Now showing items 221-230 of 243
Estimating the SpotCovariation of Asset Prices
Statistical Theory andEmpirical Evidence
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed ...
Comparing Solution Methodsfor DSGE Models withLabor Market Search
I compare the performance of solution methods in solving a standard real business cycle model with labor market search frictions. Under the conventional calibration, the model is solved by the projection method using the ...
Do Tax Cuts Increase Consumption?
An Experimental Test of Ricardian Equivalence
This paper tests whether the Ricardian Equivalence proposition holds in a life cycle consumption laboratory experiment. This proposition is a fundamental assumption underlying numerous studies on intertemporal choice and ...
Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models
We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the ...
Corporate Cash Hoarding in a Model with Liquidity Constraints
This paper studies the role of uncertainty in the corporate cash hoarding puzzle. The baseline model is a stochastic neoclassical growth model featuring idiosyncratic and uninsurable productivity shocks and a cash-in-advance ...