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Testing the unbiased forward exchange rate hypothesis using a Markov switchin...
This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue... -
Partially overlapping time series: a new model for volatility dynamics in com...
In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time... -
Modelling and forecasting stock returns: exploiting the futures market, regim...
This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime-switching... -
Valuation ratios and long-horizon stock price predictability (replication data)
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant... -
Parametric pricing of higher order moments in S&P500 options (replication...
A general parametric framework based on the generalized Student t-distribution is developed for pricing S&P500 options. Higher order moments in stock returns as well as... -
Replication of the results in learning about heterogeneity in returns to scho...
A recent article (Koop and Tobias, 2004) proposes a direct way to characterize the extent of heterogeneity in returns to education. They investigate the adequacy of several... -
Did the German minimum wage reform influence (un)employment growth in 2015? E...
Using the variation across space, age and sex and the variation across space and sectors, we analyze the relationship between the minimum wage and (un-)employment growth in... -
The Effects of Germany’s New Minimum Wage on Employment and Welfare Dependency
In January 2015, Germany introduced a federal, statutory minimum wage of 8.50 Euro per hour. This study evaluates the effects of this policy on regular and marginal employment...
