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Flexible Estimation of Demand Systems: A Copula Approach (replication data)
In this paper we study the own-price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local... -
Dynamic discrete copula models for high‐frequency stock price changes (replic...
We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick-size price changes has... -
Risk‐neutral moment‐based estimation of affine option pricing models (replica...
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option... -
How important are fixed effects and time trends in estimating returns to scho...
A substantial and rapidly growing literature has developed around estimating earnings gains from 2-year college degrees using administrative data. These papers almost...
