A Dynamic Integer Count Data Model for Financial Transaction Prices

In this paper we develop a dynamic model for integer counts to capture the discreteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low as for most European exchanges. We present the model at work by applying it to transaction data of the Henkel share traded at the Frankfurt stock exchange over a period of 6 months. In particular, we use the model to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process.Autoregressive conditional multinomial model, GLARMA, transaction prices, count data, market microstructure

Female labor force participation and the big five

This paper investigates the relationship between personality traits and female labor force participation. While research on the role of cognitive skills for individual labor market success has a long tradition in economics, comparatively little is known about the channels through which non-cognitive skills affect individual labor market behavior. There is striking evidence that personality traits play a major role in explaining individual differences in school attendance and school performance. However, comparatively little is known about how and which personality traits effect labor supply decisions. In this paper, we relate personality traits to preference parameters using a conventional structural framework of labor force participation. This allows us to separate the direct effects of personality traits affecting the individual participation decision through different individual preferences from the indirect effects through wages. We can show that personality traits play an important role in the female labor force participation decision. The channels through which personality traits effect labor force participation are manifold and depend on the specific trait. Aggregation of traits to a single index is therefore a suboptimal strategy. --personality traits,female labor supply,wages

Hydrodynamic Properties of Short NaPMA in Excess Salt: a Dynamic Light Scattering Study

Diffusion of short poly(methacrylic acid) (Na-PMA, M = 6600 g/mol) in aqueous solution has been investigated by means of dynamic light scattering at different scattering angles, ionic strengths, pH, and polymer concentrations in the pH range between 2.1 and 8.2. At pH = 2.14, only one fast relaxation mode was observed whereas at higher pH-values a fast and a slow mode could be determined. Whereas the slow mode is due to collective diffusion of polyelectrolyte domains, the fast mode at a sufficiently high ionic strength (I > 0.1 mol/L) is caused by the diffusion of single polyelectrolyte chains. From the dependence on the polymer concentration, self-diffusion coefficients at infinite dilution, the corresponding hydrodynamic radii, and second virial coefficients were determined and discussed. It was concluded that PMA exists as a random coil in excess electrolyte solution in the whole pH range, although a slight stretching was observed for pH > 4

How Risky Is the Value at Risk?

The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR before and during the recent financial crisis with respect to the choice of sampling window, return distributional assumptions and stochastic properties of the underlying financial assets. Moreover we develop a new data driven approach that is based on the principle of optimal combination and that provides robust and precise VaR forecasts for periods when they are needed most, such as the recent financial crisis.Value at Risk, model risk, optimal forecast combination

A Multivariate Integer Count Hurdle Model: Theory and Application to Exchange Rate Dynamics

In this paper we propose a model for the conditional multivariate density of integer count variables defined on the set Zn. Applying the concept of copula functions, we allow for a general form of dependence between the marginal processes which is able to pick up the complex nonlinear dynamics of multivariate financial time series at high frequencies. We use the model to estimate the conditional bivariate density of the high frequency changes of the EUR/GBP and the EUR/USD exchange rates.Integer Count Hurdle, Copula Functions, Discrete Multivariate, Distributions, Foreign Exchange Market

Estimation of labour supply functions using panel data: a survey

This survey aims at providing the reader with a thread through the literature on the topic of panel econometrics of labour supply, reporting also on the evaluation of the data used in these studies, and summarizing their substantive results. It documents the present trend away from models that take advantage of panel data almost exclusively in order to control for unobserved heterogeneity, towards fully dynamic models where wages become endogenous and consequently the concept of wage elasticity loses much of its appeal. --

Estimating Liquidity Using Information on the Multivariate Trading Process

In this paper we model the dynamic multivariate density of discrete bid and ask quote changes and their associated depths. We account for the contemporaneous relationship between these trading marks by exploiting the concept of copula functions. Thereby we show how to model truncations of the multivariate density in an easy way. A Metropolized-Independence Sampler is applied to draw from the dynamic multivariate density. The samples drawn serve to construct the dynamic density function of the quote slope liquidity measure, which enables us to quantify time varying liquidity risk. We analyze the influence of the decimalization at the NYSE on liquidity.Liquidity, Copula Functions, Trading Process, Decimalization, Metropolized-Independence Sampler

Do Married Women Base Their Labour Supply Decisions on Gross or Marginal Wages?

In the face of complex budget constraints the assumption of rationally acting individuals having complete knowledge of the tax system is a theoretical borderline. The specific issues examined in this study are (i) to what extent do consumers (here married women) perceive their true marginal tax rate when they make their labour supply decisions?, and (ii) how does the perception of the marginal tax rate differ among various socio-economic groups?. Using different approaches and different data sets·we consistently find that (i) against conventional wisdom the assumption of complete knowledge of the tax system does not fit the data well, and that (ii) education appears to be the main determinant of a correct perception of the marginal tax rate. --

On the dynamics of process innovative activity: an empirical investigation using panel data

This paper addresses three major aspects of firms' process innovative activity: forward- looking behaviour, uncertainty w.r.t. returns of R&D investments, and oligopolistic competition on the product market. Assuming that R&D expenditures are cost-reducing investments, we derive an Euler equation for process innovations and discuss alternative panel econometric approaches suitable to the case where only qualitative information is available. Empirical results are based on an unbalanced panel of German manufacturing firms for 1984-1989 and suggest that the Schumpeterian causality from firm size to innovation activity might in fact be attributed, at least partly, to heterogeneity in the perception of process innovative success. --