Browsing School of Economics and Finance by Title
Now showing items 201-220 of 447
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The Identifying Information in Vector Autoregressions with Time-Varying Volatilities: An Application to Endogenous Uncertainty
We develop a structural vector autoregression with stochastic volatility in which one of the variables can impact both the mean and the variance of the other variables. We provide conditional posterior distributions for ... -
Impartial Selection and the Power of Up to Two Choices
(ACM Digital, 2017-12-30)We study mechanisms that select members of a set of agents based on nominations by other members and that are impartial in the sense that agents cannot influence their own chance of selection. Prior work has shown that ... -
Inequality of Fear and Self-Quarantine: Is There a Trade-off between GDP and Public Health?
We construct a quantitative model of an economy hit by a pandemic. People choose occupations and make work-from-home decisions to maximize income and minimize their fear of infection. Occupations differ by wage, infection ... -
Inferring cognitive heterogeneity from aggregate choices
The copyright to this article is held by the Econometric Society, http://www.econometricsociety.org/. It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying ... -
Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
(Elsevier, 2018-09-17)We estimate a flexible affine model using an unbalanced panel containing S&P 500 and VIX index returns and option prices and analyze the contribution of VIX options to the model’s in- and out-of-sample performance. We find ... -
Inflation convergence in the EMU
(2016-12) -
Informal Labor and the Efficiency Cost of Social Programs: Evidence from Unemployment Insurance in Brazil
It is widely believed that the presence of a large informal sector increases the efficiency cost of social programs in developing countries. We evaluate such claims for the case of unemployment insurance (UI) by combining ...
