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International Journal of Forecasting, ISSN 0169-2070, 04/2019, Volume 35, Issue 2, pp. 540 - 554
This paper studies the quality of portfolio performance tests based on out-of-sample returns. By disentangling the components of the out-of-sample performance,... 
Bootstrapping | Simulation | Statistical tests | Decision making | Finance | Investment analysis | Portfolio management
Journal Article
2008, 1. Aufl., Studies in empirical economics, ISBN 9783790819915, vi, 312
This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure,... 
Econometric models | Foreign exchange rates | Econometrics | Finance | Economics | Economics/Management Science | Statistics for Business/Economics/Mathematical Finance/Insurance | Quantitative Finance | Financial Economics
Book
Oxford Bulletin of Economics and Statistics, ISSN 0305-9049, 12/2016, Volume 78, Issue 6, p. 915
  The presence of weak instruments is translated into a nearly singular problem in a control function representation. Therefore, L^sub 2^-norm type of... 
Studies | Estimation bias | Parameter estimation | Approximations | Estimating techniques | Maximum likelihood method | Monte Carlo simulation
Journal Article
Oxford bulletin of economics and statistics, ISSN 0305-9049, 12/2016, Volume 78, Issue 6, pp. 915 - 915
The presence of weak instruments is translated into a nearly singular problem in a control function representation. Therefore, Lsub 2-norm type of... 
Studies | Estimation bias | Parameter estimation | Approximations | Estimating techniques
Journal Article
Jahrbucher fur Nationalokonomie und Statistik, ISSN 0021-4027, 2019
Journal Article
Journal of Economic Dynamics & Control, ISSN 0165-1889, 08/2012, Volume 36, Issue 8, p. 1212
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we... 
Economic models | Risk assessment | Comparative studies | Economic forecasting | Economic crisis
Journal Article
International Journal of Forecasting, ISSN 0169-2070, 01/2019, Volume 35, Issue 1, pp. 11 - 24
This paper contributes to the growing body of literature in macroeconomics and finance on expectation formation and information processing by analyzing the... 
Expectations | Forecasting errors | Misclassification | Tendency survey | GLARMA | PRICES | MANAGEMENT | INFORMATION | PERFORMANCE | MARKETS | LEARN | VARIABLES | ECONOMICS | Analysis | Macroeconomics
Journal Article
Journal of Economic Dynamics and Control, ISSN 0165-1889, 08/2012, Volume 36, Issue 8, pp. 1212 - 1228
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we... 
Optimal forecast combination | Quantile regression | Method of moments | Value-at-risk | Financial crisis | REGRESSION QUANTILES | ECONOMICS | HETEROSKEDASTICITY | Economic policy
Journal Article
Oxford Bulletin of Economics and Statistics, ISSN 0305-9049, 12/2016, Volume 78, Issue 6, pp. 915 - 924
The presence of weak instruments is translated into a nearly singular problem in a control function representation. Therefore, the L2‐norm type of... 
DISTRIBUTIONS | APPROXIMATIONS | VARIABLES ESTIMATION | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | INFERENCE
Journal Article
Journal of Economic Psychology, ISSN 0167-4870, 2011, Volume 32, Issue 6, pp. 980 - 992
► We investigate the relation between personality traits and unemployment duration. ► Conscientiousness and Neuroticism have a strong impact on the... 
Big Five | Duration analysis | Unemployment duration | Personality traits | PSYCHOLOGY, MULTIDISCIPLINARY | ABILITIES | ECONOMICS | TRAITS | BEHAVIORS | Unemployment duration Personality traits Big Five Duration analysis | Unemployment
Journal Article
Journal of Human Resources, ISSN 0022-166X, 1995, Volume 30, Issue 2, pp. 339 - 361
Journal Article
Journal of Economic Psychology, ISSN 0167-4870, 12/2011, Volume 32, Issue 6, p. 980
This paper focuses on the role personality traits play in determining individual unemployment duration. We argue that a worker's job search intensity is... 
Studies | Job hunting | Personality traits | Econometrics | Unemployment
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 08/2016, Volume 100, pp. 512 - 525
A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment effect. As the weights in these estimators... 
Penalizing | Econometric evaluation | Average treatment effect | Propensity score | Shrinkage | PROPENSITY-SCORE | REGRESSION | MISSING DATA | STATISTICS & PROBABILITY | EDUCATION | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | MODELS | SAMPLE PROPERTIES
Journal Article
Journal of Applied Econometrics, ISSN 0883-7252, 6/2011, Volume 26, Issue 4, pp. 669 - 707
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain ${\bboard{Z\bboard} ^{n^}, n \in... 
Integers | Histograms | Copula functions | Economic models | Simulations | Forecasting standards | Autocorrelation | Parametric models | Modeling | Forecasting models | CHAOS | PRICES | DISCRETENESS | ODD-8TH QUOTES | SOCIAL SCIENCES, MATHEMATICAL METHODS | POISSON MODELS | NOISE | ECONOMICS | COMPASS ROSE PATTERN | MARKET MICROSTRUCTURE
Journal Article
Journal of Applied Econometrics, ISSN 0883-7252, 06/2011, Volume 26, Issue 4, p. 669
In this paper, the authors develop a model for the conditional inflated multivariate density of integer count variables with domain ... The modeling framework... 
Studies | Spread | Securities trading | Asked price | Econometrics | Multivariate analysis | Sampling techniques
Journal Article
Journal of applied econometrics, ISSN 0883-7252, 06/2011, Volume 26, Issue 4, pp. 669 - 707
In this paper, the authors develop a model for the conditional inflated multivariate density of integer count variables with domain ... The modeling framework... 
Journal Article
Review of Economic and Business Studies, ISSN 1843-763X, 12/2011, Volume IV, Issue 2, pp. 29 - 41
In this paper, human capital investments are evaluated by assuming heterogeneous returns to schooling. We use the potential outcome approach to measure the... 
Journal Article
10/2010, Studies in Empirical Economics Ser., ISBN 3790825409
Annotation Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in... 
Finance | Foreign Exchange Rates | Business & Economics | Econometrics
Web Resource
10/2010, Studies in Empirical Economics Ser., ISBN 3790825409
Annotation Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in... 
Finance | Foreign Exchange Rates | Business & Economics | Econometrics
Web Resource
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