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   Migration in China: to Work or to Wed?Dupuy, Arnaud  in Journal of Applied Econometrics (2021), 36(4), 393-415 Detailed reference viewed: 110 (7 UL) Multivariate Volatility Modeling of Electricity Futures; ; Pierret, Diane in Journal of Applied Econometrics (2013), 28(5), 743-761 We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate ... [more ▼] We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components. We allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate nonparametrically. For the short-run dynamics, we use a GJR-GARCH model for the conditional variances and augmented DCC models for the conditional correlations. We also introduce exogenous variables to account for congestion and delivery date effects in short-term conditional variances. We find different correlation dynamics for long- and short-term contracts and the new model achieves higher forecasting performance compared \to a standard DCC model. [less ▲] Detailed reference viewed: 16 (0 UL)Benefit Duration, Unemployment Duration and Job Match Quality: A Regression-Discontinuity Approach; Tatsiramos, Konstantinos ; in Journal of Applied Econometrics (2013), 28(4), 604-627 Detailed reference viewed: 89 (0 UL)Fertility and Female Employment Dynamics in Europe: The Effect of Using Alternative Econometric Modeling Assumptions; Tatsiramos, Konstantinos in Journal of Applied Econometrics (2011), 26(4), 641-668 Detailed reference viewed: 89 (0 UL)R&D and Subsidies at the Firm Level: An Application of Parametric and Semi-Parametric Two-Step Selection ModelsHussinger, Katrin in Journal of Applied Econometrics (2008) This paper analyzes the effect of public R&D subsidies on firms’ private R&D investment per employee and new product sales in German manufacturing. Parametric and semiparametric two-step selection models ... [more ▼] This paper analyzes the effect of public R&D subsidies on firms’ private R&D investment per employee and new product sales in German manufacturing. Parametric and semiparametric two-step selection models are applied to this evaluation problem. The results show that the average treatment effect on the treated firms’ R&D intensity is positive. The estimated effects are robust with respect to the different selection models. Further results show that publicly induced R&D spending is as productive as private R&D investment in generating new product sales. [less ▲] Detailed reference viewed: 221 (12 UL)Extreme U.S. Stock Market Fluctuations in the Wake of 9/11Wolff, Christian ; ; in Journal of Applied Econometrics (2008), 23 Detailed reference viewed: 101 (2 UL) |
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