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MEASURING TRENDS IN LEISURE: THE ALLOCATION OF TIME OVER FIVE DECADES
MEASURING TRENDS IN LEISURE THE ALLOCATION OF TIME FIVE DECADES
2014/3/12
In this paper, we use five decades of time-use surveys to document trends in the allocation of time within the United States. We find that a dramatic increase in leisure time lies behind t...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...
Net Inflows and Time-Varying Alphas: The Case of Hedge Funds
Hedge funds performance asset pricing models unobserved components models
2014/6/25
The growth in the size of the hedge funds industry has led some investors to worry about a decline in alphas, associated with reduced arbitrage opportunities in international financial markets. ...
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data
Bias-correction Market microstructure Martingale Measurement error Realized volatility Subsampling
2014/3/13
It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced ...
Saddlepoint approximations for continuous-time Markov processes
Transition density Infinitesimal generator Characteristic function Closed-form approximation
2014/3/13
This paper proposes saddlepoint expansions as a means to generate closed-form approximations to the transition densities and cumulative distribution functions of Markov processes. This method is appli...
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Multistep forecasts Var forecasts Forecast comparisons
2014/3/18
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-...
Estimating Continuous-Time Models Using Discretely Sampled Data
Continuous-Time Models Discretely Sampled Data
2014/3/13
Estimating Continuous-Time Models Using Discretely Sampled Data.
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions
The Effects of Random Discrete Sampling Estimating Continuous-Time Diffusions
2014/3/13
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions.
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional...
Economic theories underlying economic variables nuisance parameter free
2011/4/2
Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for tim...
Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion
Discrete Data the Underlying Continuous-Time Model a Diffusion
2014/3/13
Can discretely sampled financial data help us decide which continuous-time models are sensible? Diffusion processes are characterized by the continuity of their sample paths. This cannot be verified f...
Evidence on Structural Instability in Macroeconomic Time Series Relations
Break tests Forecasting Recursive least squares Structural stability Time- varying parameter
2014/3/18
An experiment is performed to assess the prevalence of instability in univariate and bivariate macroeconomic time series relations and to ascertain whether various adaptive forecasting t...
INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS
Cointegration error correction models vector autoregressio
2014/3/18
This paper considers estimation and hypothesis testing in linear time series models when some or all of the variables have unit roots. Our motivating example is a vector auto...
The two most striking historical features of aggregate output are its sustained long run growth and its recurrent fluctuations around this growth path. Real per capita GNP, consu...
A One-Factor Multivariate Time Series Model of Metropolitan Wage Rates
State space model Dynamic factor anal-ysis Kalman filter Method of scoring Unobserved com- ponent estimation
2014/3/18
The paper formulates and estimates a single-factor multi-variate time series model. The model is a dynamic gen-eralization of the multiple indicator (or factor analysis) model. ...