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All Blog Posts Tagged 'REH' (25)

Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Matteo Barigozzi, SBS‐EM, ECARES, Université Libre de Bruxelles
Christian T. Brownlees, New York University
Giampiero M. Gallo, University of Florence
David Veredas, SBS‐EM, ECARES, Université Libre de Bruxelles
Abstract
When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment



Regis Barnichon



Abstract: This paper presents a search model of unemployment with a new mechanism of job separation based on firms' demand constraints. The model is consistent with the cyclical behavior of labor market variables and can account for three stylized facts about unemployment that the Mortensen-Pissarides (1994) model has difficulties explaining jointly: (i) the…

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Added by John A Morrison on June 22, 2009 at 11:30pm — No Comments

WHAT DO ASSET PRICES HAVE TO SAY ABOUT RISK APPETITE AND UNCERTAINTY?

by

Geert Bekaert (Columbia Business School) &

Marie Hoerova and Martin Scheicher (European Central Bank)



EUROPEAN CENTRAL BANK WORKING PAPER SERIES



EXECUTIVE SUMMARY (ABSTRACT)



In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by the dynamic asset pricing literature. We view…

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Added by John A Morrison on April 17, 2009 at 11:00am — No Comments

New Research Technical Paper - "NowCasting" Irish GDP - Central Bank of Ireland

PLEASE SEE THE REFERENCES IN THE COMMENTS BELOW TO GET THE WHOLE STORY

THIS IS A 'BLEEDING EDGE' "TECHNOLOGY" DEVELOPED BETWEEN BRUSSELS AND DUBLIN; BUT DREAMED UP BY THE ECB; viz;-

Recent studies undertaken by the ECB show that the so-called mixed frequency models,…

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Added by John A Morrison on February 5, 2009 at 1:00am — 9 Comments

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