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Vikrant Vig (LBS)
5 mars 2014, BDF, Paris
Nicolas Debarsy (Université d'Orléans - LEO)
Toulouse : TSE, 25 février 2014, 14h00–15h15, salle MF 323
This paper considers the large sample properties of the matrix exponential spatial specification (MESS) and compares its properties with those of the spatial autoregressive (SAR) model. We find that the quasimaximum likelihood estimator (QMLE) for the MESS is consistent under heteroskedasticity, a...
Miklos Koren (Central European University)
Toulouse : TSE, 24 février 2014, 17h00–18h30, salle MS 001
Using detailed U.S. and Spanish export data, we document that administrative trade costs of per shipment nature (documentation, customs clearance and inspection) lead to less frequent and larger-sized shipments, i.e. more lumpiness, in international trade. We build a model to analyze these effects...
Ralph Koijen (London Business School)
IDEI, 24 février 2014, 12h30–14h00, salle MF 323
Liabilities ceded by life insurers to shadow reinsurers (i.e., affiliated and less regulated off-balance-sheet entities) grew from $11 billion in 2002 to $364 billion in 2012. Companies using shadow insurance, which capture half of the market share, ceded 25 cents of every dollar insured to shadow...
Paul Sauvy (University Toulouse 1 - Capitole)
Toulouse : TSE, 21 février 2014, 14h00–15h15, salle MF 323
Kevin R. Williams (University of Minnesota)
Toulouse : TSE, 17 février 2014
Airfares are determined by both intertemporal price discrimination and dynamic adjustment to stochastic demand given limited capacity. In this paper I estimate a model of dynamic airline pricing taking both forces into account. I use an original data set of daily fares and seat availabilities at...
Zhentao Shi (Yale University)
Toulouse : TSE, 4 février 2014, 14h00–15h30, salle MS001
Structural models involving moment conditions are in widespread practical use, and commonly include many moments to capture the stylized facts in large datasets. The number of moments m can explode with the sample size n. The growing complexity of the model challenges familiar estimators like...
Angelo Ranaldo (University of St. Gallen)
30 janvier 2014, BDF, Paris
Theodore Papageorgiou (Penn State University)
Toulouse : TSE, 28 janvier 2014, 14h00–15h30, salle MS001
This paper contributes to our understanding of agglomeration economies in three ways: First it documents a number of facts relating to occupational switching patterns, moving patterns, and wages in large cities. Second, guided by these facts, it develops a model where larger cities have more...
Dong Hwan Oh (Duke University)
This paper proposes a new general model for high dimension distributions of asset returns that utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast...
