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Angelo Melino

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.

    Mentioned in:

    1. Welfare costs of the business cycle and the equity premium
      by Stephen in Worthwhile Canadian Initiative on 2006-12-16 01:09:36

Working papers

  1. Angelo Melino & Michael Parkin, 2010. "Greater Transparency Needed," e-briefs 102, C.D. Howe Institute.

    Cited by:

    1. Pierre Siklos & Andrew Spence, 2010. "Faceoff: Should the Bank of Canada Release its Projections of the Interest Rate Path? – The Cases For and Against," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 134, October.
    2. Pierre L. Siklos, Matthias Neuenkirch, 2014. "How Monetary Policy is Made: Two Canadian Tales," LCERPA Working Papers 0075, Laurier Centre for Economic Research and Policy Analysis, revised 01 Mar 2014.
    3. Lawrence L. Herman, 2010. "Trend Spotting: NAFTA Disputes After Fifteen Years," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 133, July.
    4. Clyde Goodlet, 2010. "Too Big to Fail: A Misguided Policy in Times of Financial Turmoil," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 311, October.
    5. Benjamin Dachis, 2010. "Picking up Savings: The Benefits of Competition in Municipal Waste Services," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 308, September.
    6. Jan Carr, 2010. "Power Sharing: Developing Inter-Provincial Electricity Trade," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 306, July.
    7. Stuart Landon & Constance Smith, 2010. "Energy Prices and Alberta Government Revenue Volatility," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 313, November.
    8. Bob Baldwin & Brian FitzGerald, 2010. "Seeking Certainty in Uncertain Times: A Review of Recent Government-Sponsored Studies on the Regulation of Canadian Pension Plans," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 310, September.
    9. Philippe Bergevin & David Laidler, 2010. "Putting Money Back into Monetary Policy: A Monetary Anchor for Price and Financial Stability," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 312, October.
    10. Dave Sawyer & Carolyn Fischer, 2010. "Better Together? The Implications of Linking Canada-US Greenhouse Gas Policies," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 307, August.

  2. Angelo Melino, 2006. "Measuring the Cost of Economic Fluctuations with Preferences that Rationalize the Equity Premium," Working Papers tecipa-256, University of Toronto, Department of Economics.

    Cited by:

    1. Guillén, Osmani Teixeira de Carvalho & Issler, João Victor & Franco-Neto, Afonso Arinos de Mello, 2014. "On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 62-78.
    2. Issler, João Victor & Rodrigues, Claudia & Burjack, Rafael, 2014. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 310-335.
    3. Osmani Teixeira de Carvalho Guillény & João Victor Issler & Afonso Arinos de Mello Franco-Neto, 2012. "On the Welfare Costs of Business-Cycle Fluctuations and Economic-Growth Variation in the 20th Century," Working Papers Series 284, Central Bank of Brazil, Research Department.

  3. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.

    Cited by:

    1. Jean-Pierre Danthine & John B. Donaldson & Christos Giannikos & Hany Guirguis, 2002. "On the Consequences of State Dependent Preferences for the Pricing of Financial Assets," Cahiers de Recherches Economiques du Département d'économie 02.17, Université de Lausanne, Faculté des HEC, Département d’économie.
    2. Falato, Antonio, 2009. "Happiness maintenance and asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1247-1262, June.
    3. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
    4. Mao-Wei Hung & Jr-Yan Wang, 2011. "Loss aversion and the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 43(29), pages 4623-4640.
    5. Miroslav Misina, 2005. "Risk Perceptions and Attitudes," Staff Working Papers 05-17, Bank of Canada.
    6. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    7. Andrew Binning & Junior Maih, 2015. "Sigma Point Filters For Dynamic Nonlinear Regime Switching Models," Working Papers No 4/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    8. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, vol. 99(3), pages 546-559, March.
    9. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers.
    10. Bryan R. Routledge & Stanley E. Zin, 2010. "Generalized Disappointment Aversion and Asset Prices," Journal of Finance, American Finance Association, vol. 65(4), pages 1303-1332, August.
    11. Mariana Khapko, 2023. "Asset pricing with dynamically inconsistent agents," Finance and Stochastics, Springer, vol. 27(4), pages 1017-1046, October.
    12. René Garcia & Richard Luger, 2012. "Risk aversion, intertemporal substitution, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 1013-1036, September.
    13. Paulo Maio, 2013. "Intertemporal CAPM with Conditioning Variables," Management Science, INFORMS, vol. 59(1), pages 122-141, April.
    14. Dolmas, Jim, 2017. "Campbell and Cochrane meet Melino and Yang: Reverse engineering the surplus ratio in a Mehra–Prescott economy," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 55-62.
    15. Seonghoon Cho, 2016. "Sufficient Conditions for Determinacy in a Class of Markov-Switching Rational Expectations Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 21, pages 182-200, July.
    16. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    17. Angelo Melino, 2010. "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 43(2), pages 405-422, May.
    18. Merella, Vincenzo & Satchell, Stephen E., 2022. "By force of confidence," European Economic Review, Elsevier, vol. 150(C).
    19. Felix KUBLER & Karl SCHMEDDERS, 2009. "Non-parametric counterfactual analysis in dynamic general equilibrium," Swiss Finance Institute Research Paper Series 09-05, Swiss Finance Institute.
    20. Alan Guoming Huang & Eric Hughson & J. Chris Leach, 2016. "Generational Asset Pricing, Equity Puzzles, and Cyclicality," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 22, pages 52-71, October.
    21. Kraus, Alan & Sagi, Jacob S., 2006. "Asset pricing with unforeseen contingencies," Journal of Financial Economics, Elsevier, vol. 82(2), pages 417-453, November.
    22. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    23. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'économie 05.04, Université de Lausanne, Faculté des HEC, Département d’économie.
    24. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    25. Luz Rocío Sotomayor & Abel Cadenillas, 2009. "Explicit Solutions Of Consumption‐Investment Problems In Financial Markets With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 251-279, April.
    26. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO.
    27. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle," Staff Working Papers 05-9, Bank of Canada.
    28. Chen, Guojin & Hong, Zhiwu & Ren, Yu, 2016. "Durable consumption and asset returns: Cointegration analysis," Economic Modelling, Elsevier, vol. 53(C), pages 231-244.
    29. Jim Dolmas, 2013. "Disastrous disappointments: asset-pricing with disaster risk and disappointment aversion," Working Papers 1309, Federal Reserve Bank of Dallas.
    30. Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers 05-2, Bank of Canada.
    31. Vincenzo Merella & Stephen E. Satchell, 2014. "Technology Shocks and Asset Pricing: The Role of Consumer Confidence," Carlo Alberto Notebooks 352, Collegio Carlo Alberto.
    32. Jaime A. Londo~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
    33. Marianne Andries, 2012. "Consumption-based Asset Pricing Loss Aversion," 2012 Meeting Papers 571, Society for Economic Dynamics.
    34. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho.
    35. Dominique Pépin & Stephen M. Miller, 2020. "The Time-Varying Nature of Risk Aversion: Evidence from 60 Years of U.S. Stock Market Data," Working papers 2020-09, University of Connecticut, Department of Economics.
    36. Ian Dew‐Becker, 2014. "Bond Pricing with a Time‐Varying Price of Risk in an Estimated Medium‐Scale Bayesian DSGE Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(5), pages 837-888, August.
    37. Chourdakis, Kyriakos & Dendramis, Yiannis & Tzavalis, Elias, 2014. "Are regime-shift sources of risk priced in the market?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 151-170.
    38. Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
    39. Maria Grith & Wolfgang Karl Härdle & Volker Krätschmer, 2013. "Reference Dependent Preferences and the EPK Puzzle," SFB 649 Discussion Papers SFB649DP2013-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    40. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
    41. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.

  4. Michael Baker & Angelo Melino, 1999. "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study," Working Papers melino-99-01, University of Toronto, Department of Economics.

    Cited by:

    1. Arnab Bhattacharjee & Jean Bonnet & Nicolas Le Pape & Régis Renault, 2009. "Entrepreneurial motives and performance: Why might better educated entrepreneurs be less successful?," Working Papers halshs-00809745, HAL.
    2. Wiji Arulampalam & Andrea Papini, 2023. "Tax Progressivity and Self-Employment Dynamics," The Review of Economics and Statistics, MIT Press, vol. 105(2), pages 376-391, March.
    3. Cai, Lixin, 2015. "The Dynamics of Low Pay Employment in Australia," MPRA Paper 67261, University Library of Munich, Germany.
    4. Piu Banerjee & Jose J. Canals-Cerda, 2012. "Credit risk analysis of credit card portfolios under economic stress conditions," Working Papers 12-18, Federal Reserve Bank of Philadelphia.
    5. Carmen Aina & Cheti Nicoletti, 2014. "The intergenerational transmission of liberal professions: nepotism versus abilities," Discussion Papers 14/14, Department of Economics, University of York.
    6. Haghani, Shermineh, 2014. "Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 291-320.
    7. Lo Turco, Alessia & Maggioni, Daniela & Picchio, Matteo, 2012. "Offshoring and Job Stability: Evidence from Italian Manufacturing," IZA Discussion Papers 6514, Institute of Labor Economics (IZA).
    8. B. Dormont & D. Fougère & A. Prieto, 2001. "L'effet de l'allocation unique dégressive sur la reprise d'emploi," THEMA Working Papers 2001-05, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Jeffrey Zabel & Saul Schwartz & Stephen Donald, 2010. "The impact of the Self‐Sufficiency Project on the employment behaviour of former welfare recipients," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 43(3), pages 882-918, August.
    10. José Ignacio García Pérez, 2003. "Non-stationary Job Search When Jobs Do Not Last Forever: A Structural Estimation to Evaluate Alternative Unemployment Insurance Systems," Economic Working Papers at Centro de Estudios Andaluces E2003/49, Centro de Estudios Andaluces.
    11. Nicoletti, Cheti & Rondinelli, Concetta, 2006. "The (mis)specification of discrete time duration models with unobserved heterogenity: a Monte Carlo study," ISER Working Paper Series 2006-53, Institute for Social and Economic Research.
    12. Kalwij, Adriaan, 2001. "Individuals' Unemployment Experiences: Heterogeneity and Business Cycle Effects," IZA Discussion Papers 370, Institute of Labor Economics (IZA).
    13. Ohinata, A., 2011. "Did the US Infertility Health Insurance Mandates Affect the Timing of First Birth?," Discussion Paper 2011-102, Tilburg University, Center for Economic Research.
    14. Zabel, Jeffrey & Schwartz, Saul & Donald, Stephen, 2006. "An Econometric Analysis of the Impact of the Self-Sufficiency Project on the Employment Behaviour of Former Welfare Recipients," IZA Discussion Papers 2122, Institute of Labor Economics (IZA).
    15. Stephen Gyimah & Alex Ezeh & J. Fotso, 2012. "Frailty models with applications to the study of infant deaths on birth timing in Ghana and Kenya," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(5), pages 1505-1521, August.
    16. Échevin, Damien & Fortin, Bernard, 2014. "Physician payment mechanisms, hospital length of stay and risk of readmission: Evidence from a natural experiment," Journal of Health Economics, Elsevier, vol. 36(C), pages 112-124.
    17. Nicoletti, Cheti & Rondinelli, Concetta, 2010. "The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 159(1), pages 1-13, November.
    18. Li, Xianghong & Smith, Barry, 2015. "Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 187(1), pages 275-292.
    19. Stijn BAERT & Bart COCKX & Dieter VERHAEST, 2012. "Overeducation at the start of the career - stepping stone or trap?," LIDAM Discussion Papers IRES 2012012, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    20. Brian Graversen & Brian Larsen, 2013. "Is there a threat effect of mandatory activation programmes for the long-term unemployed?," Empirical Economics, Springer, vol. 44(2), pages 1031-1051, April.
    21. Kåre Johansen & Fredrik Carlsen & Knut Røed, "undated". "Wage Formation, Regional Migration and Local Labour Market Tightness," Working Paper Series 2903, Department of Economics, Norwegian University of Science and Technology, revised 14 Feb 2003.
    22. Hess, Wolfgang & Persson, Maria, 2010. "The Duration of Trade Revisited: Continuous-Time vs. Discrete-Time Hazards," Working Paper Series 829, Research Institute of Industrial Economics.
    23. Fougère, D. & Le Bihan, H. & Sevestre, P., 2005. "Heterogeneity in Consumer Price Stickiness: A Microeconometric Investigation," Working papers 137, Banque de France.
    24. Albanese, Andrea & Ghirelli, Corinna & Picchio, Matteo, 2019. "Timed to Say Goodbye: Does Unemployment Benefit Eligibility Affect Worker Layoffs?," GLO Discussion Paper Series 323, Global Labor Organization (GLO).
    25. Frijters, Paul & Shields, Michael A. & Wheatley Price, Stephen, 2004. "To Teach or Not to Teach? Panel Data Evidence on the Quitting Decision," IZA Discussion Papers 1164, Institute of Labor Economics (IZA).
    26. Yolanda F. Rebollo-Sanz & Nuria Rodriguez Planas, 2016. "When the Going Gets Tough... Financial Incentives, Duration of Unemployment and Job-Match Quality," Working Papers 16.11, Universidad Pablo de Olavide, Department of Economics.
    27. Lombardi, Stefano & van den Berg, Gerard J. & Vikström, Johan, 2021. "Empirical Monte Carlo Evidence on Estimation of Timing-of-Events Models," IZA Discussion Papers 14015, Institute of Labor Economics (IZA).
    28. Christian Belzil & Marco Leonardi, 2006. "Can Risk Aversion Explain Schooling Attainments? Evidence From Italy," Working Papers 0607, Groupe d'Analyse et de Théorie Economique Lyon St-Étienne (GATE Lyon St-Étienne), Université de Lyon.
    29. Rebollo-Sanz, Yolanda, 2012. "Unemployment insurance and job turnover in Spain," Labour Economics, Elsevier, vol. 19(3), pages 403-426.
    30. Muriel Dejemeppe, 2005. "A Complete Decomposition of Unemployment Dynamics using Longitudinal Grouped Duration Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(1), pages 47-70, February.
    31. Bachmann, Ronald & Baumgarten, Daniel & Stiebale, Joel, 2011. "Cross-border Investment, Heterogeneous Workers, and Employment Security – Evidence from Germany," Ruhr Economic Papers 268, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    32. Bruno, CREPON & Muriel, DEJEMEPPE & Marc, GURGAND, 2005. "Counseling the unemployed : does it lower unemployment duration and recurrence ?," Discussion Papers (ECON - Département des Sciences Economiques) 2005034, Université catholique de Louvain, Département des Sciences Economiques.
    33. Roed, Knut & Nordberg, Morten, 2003. "Temporary layoffs and the duration of unemployment," Labour Economics, Elsevier, vol. 10(3), pages 381-398, June.
    34. Damien Échevin & Bernard Fortin, 2011. "Physician Payment Mechanisms, Hospital Length of Stay and Risk of Readmission: a Natural Experiment," Cahiers de recherche 1112, CIRPEE.
    35. Bijwaard, Govert & Ridder, Geert, 2009. "A Simple GMM Estimator for the Semi-Parametric Mixed Proportional Hazard Model," IZA Discussion Papers 4543, Institute of Labor Economics (IZA).
    36. Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
    37. Canals-Cerda, Jose & Ridao-Cano, Cristobal, 2004. "The dynamics of school and work in rural Bangladesh," Policy Research Working Paper Series 3330, The World Bank.
    38. T. Everhardt & Ph. Jong, 2011. "Return to Work After Long Term Sickness," De Economist, Springer, vol. 159(3), pages 361-380, September.
    39. Timothy J. Halliday, 2008. "Heterogeneity, state dependence and health," Econometrics Journal, Royal Economic Society, vol. 11(3), pages 499-516, November.
    40. Govert Bijwaard & Geert Ridder, 1998. "Correcting for Selective Compliance in a Re-Employment Bonus Experiment," Economics Working Paper Archive 412, The Johns Hopkins University,Department of Economics.
    41. Gaure, Simen & Roed, Knut & Zhang, Tao, 2007. "Time and causality: A Monte Carlo assessment of the timing-of-events approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 1159-1195, December.
    42. Jaap H. Abbring & Gerard J. Van Den Berg, 2007. "The unobserved heterogeneity distribution in duration analysis," Biometrika, Biometrika Trust, vol. 94(1), pages 87-99.
    43. Gerard J. van den Berg & Bas van der Klaauw, 1998. "Combining Micro and Macro Unemployment Duration Data," Tinbergen Institute Discussion Papers 98-098/3, Tinbergen Institute.
    44. Cockx, Bart & Dejemeppe, Muriel, 2002. "Duration Dependence in the Exit Rate out of Unemployment in Belgium: Is It True or Spurious?," IZA Discussion Papers 632, Institute of Labor Economics (IZA).
    45. Raquel Carrasco & J. Ignacio García Pérez, 2012. "Economic Conditions and Employment Dynamics of Immigrants versus Natives: Who Pays the Costs of the “Great Recession”?," Working Papers 12.13, Universidad Pablo de Olavide, Department of Economics.
    46. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
    47. Zhang, Tao, 2003. "A Monte Carlo study on non-parametric estimation of duration models with unobserved heterogeneity," Memorandum 25/2003, Oslo University, Department of Economics.
    48. Sadat Reza & Paul Rilstone, 2016. "Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 693-726, May.
    49. Ohinata, A., 2011. "Did the US Infertility Health Insurance Mandates Affect the Timing of First Birth?," Other publications TiSEM dd844a22-78ab-4f48-b1a0-9, Tilburg University, School of Economics and Management.
    50. Paul Frijters & Michael Shields & Stephen Wheatley Price, 2004. "Investigating the Quitting Decision of Nurses: Panel Data Evidence from the British National Health Service," CEPR Discussion Papers 471, Centre for Economic Policy Research, Research School of Economics, Australian National University.
    51. John C. Ham & Xianghong Li & Lara Shore-Sheppard, 2009. "Seam Bias, Multiple-State, Multiple-Spell Duration Models and the Employment Dynamics of Disadvantaged Women," NBER Working Papers 15151, National Bureau of Economic Research, Inc.
    52. Reza, Sadat & Rilstone, Paul, 2014. "A simple root-N-consistent semiparametric estimator for discrete duration models," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 150-154.
    53. Lo Simon M.S. & Stephan Gesine & Wilke Ralf A., 2017. "Competing Risks Copula Models for Unemployment Duration: An Application to a German Hartz Reform," Journal of Econometric Methods, De Gruyter, vol. 6(1), pages 1-20, January.
    54. Jouko Verho, 2005. "Unemployment Duration and Business Cycles in Finland," Working Papers 214, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    55. Raaum, Oddbjørn & Rogstad, Jon & Røed, Knut & Westlie, Lars, 2005. "Young and Out: An Application of a Prospects-Based Concept of Social Exclusion," Memorandum 17/2005, Oslo University, Department of Economics.
    56. J. Ignacio García Pérez, 2001. "Non-stationary job search when jobs are not forever: A structural estimation," Economics Working Papers 556, Department of Economics and Business, Universitat Pompeu Fabra.
    57. Finnie, Ross & Gray, David, 2002. "Earnings dynamics in Canada: an econometric analysis," Labour Economics, Elsevier, vol. 9(6), pages 763-800, December.
    58. Lauer, Charlotte, 2003. "Education and Unemployment: A French-German Comparison," ZEW Discussion Papers 03-34, ZEW - Leibniz Centre for European Economic Research.
    59. Auray, Stéphane & Lepage-Saucier, Nicolas, 2021. "Stepping-stone effect of atypical jobs: Could the least employable reap the most benefits?," Labour Economics, Elsevier, vol. 68(C).
    60. Eberwein, Curtis & Ham, John C. & LaLonde, Robert J., 2002. "Alternative methods of estimating program effects in event history models," Labour Economics, Elsevier, vol. 9(2), pages 249-278, April.
    61. Xiaohong Chen & James J. Heckman & Edward Vytlacil, 2000. "Identification and SQRT N Efficient Estimation of Semiparametric Panel Data Models with Binary Dependent Variables and a Latent Factor," Econometric Society World Congress 2000 Contributed Papers 1567, Econometric Society.
    62. Frijters, Paul & Shields, Michael A. & Wheatley Price, Stephen, 2003. "Immigrant Job Search in the UK: Evidence from Panel Data," IZA Discussion Papers 902, Institute of Labor Economics (IZA).
    63. Knut Roed & Tao Zhang, 2003. "Does Unemployment Compensation Affect Unemployment Duration?," Economic Journal, Royal Economic Society, vol. 113(484), pages 190-206, January.
    64. Belapatiño, Vanessa & Céspedes, Nikita & Gutierrez, Ana Paola, 2014. "La duración del desempleo en Lima Metropolitana," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 27, pages 67-80.
    65. Ekhaugen, Tyra, 2005. "Immigrants on Welfare: Assimilation and Benefit Substitution," Memorandum 18/2005, Oslo University, Department of Economics.
    66. Céspedes, Nikita & Gutiérrez, Ana Paola & Belapatiño, Vanessa, 2013. "Determinantes de la duración del desempleo en una economía con alta informalidad," Working Papers 2013-022, Banco Central de Reserva del Perú.
    67. Johannes Geyer & Peter Haan & Katharina Wrohlich, 2014. "The Effects of Family Policy on Mothers' Labor Supply: Combining Evidence from a Structural Model and a Natural Experiment," SOEPpapers on Multidisciplinary Panel Data Research 645, DIW Berlin, The German Socio-Economic Panel (SOEP).
    68. Ronald Bachmann & Daniel Baumgarten & Joel Stiebale, 2014. "Foreign direct investment, heterogeneous workers and employment security: Evidence from Germany," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 47(3), pages 720-757, August.
    69. Jerry Hausman & Tiemen M. Woutersen, 2005. "Estimating a semi-parametric duration model without specifying heterogeneity," CeMMAP working papers CWP11/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    70. Yang Lu, 2020. "The distribution of unobserved heterogeneity in competing risks models," Statistical Papers, Springer, vol. 61(2), pages 681-696, April.
    71. Marie Albertine Djuikom & Guy Lacroix, 2018. "Dynamic Causal Effects of Post-Migration Schooling on Labour Market Transitions," Cahiers de recherche 1803, Chaire de recherche Industrielle Alliance sur les enjeux économiques des changements démographiques.
    72. Timothy Dunne & Xiaoyi Mu, 2010. "Investment Spikes And Uncertainty In The Petroleum Refining Industry," Journal of Industrial Economics, Wiley Blackwell, vol. 58(1), pages 190-213, March.
    73. Bruno Crépon & Rozenn Desplatz, 2001. "Une nouvelle évaluation des effets des allégements de charges sociales sur les bas salaires suivi de commentaires de Yannick L'Horty et Guy Lacroix," Économie et Statistique, Programme National Persée, vol. 348(1), pages 3-34.
    74. Knut Røed & Fredrik Haugen, 2003. "Early Retirement and Economic Incentives: Evidence from a Quasi‐natural Experiment," LABOUR, CEIS, vol. 17(2), pages 203-228, June.
    75. Yang, Zhenlin & Tsui, Albert K., 2004. "Analytically calibrated Box-Cox percentile limits for duration and event-time models," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 649-677, December.
    76. John C. Ham & Lara D. Shore-Sheppard, 2001. "The Impact of Public Health Insurance on Labor Market Transitions," Department of Economics Working Papers 2001-02, Department of Economics, Williams College.
    77. Adriaan Kalwij, 2010. "Unemployment durations and the pattern of duration dependence over the business cycle of British males," Empirical Economics, Springer, vol. 38(2), pages 429-456, April.
    78. Joan Costa-Font & Alistair McGuire & Nebibe Varol, 2015. "Regulation effects on the adoption of new medicines," Empirical Economics, Springer, vol. 49(3), pages 1101-1121, November.
    79. Bhattacharjee, Arnab, 2009. "Testing for Proportional Hazards with Unrestricted Univariate Unobserved Heterogeneity," SIRE Discussion Papers 2009-22, Scottish Institute for Research in Economics (SIRE).
    80. Hess Wolfgang & Tutz Gerhard & Gertheiss Jan, 2016. "A Flexible Link Function for Discrete-Time Duration Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(4), pages 455-481, August.
    81. Leman Yonca Gurbuzer & Ozge Nihan Koseleci, 2008. "What hides behind extended periods of youth unemployment in Bosnia and Herzegovina? Evidence from individual level data," Working Papers hal-00308629, HAL.
    82. Paolo Li Donni & Juan Rodríguez & Pedro Rosa Dias, 2015. "Empirical definition of social types in the analysis of inequality of opportunity: a latent classes approach," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 44(3), pages 673-701, March.
    83. Steven M. Shugan, 2006. "Editorial: Errors in the Variables, Unobserved Heterogeneity, and Other Ways of Hiding Statistical Error," Marketing Science, INFORMS, vol. 25(3), pages 203-216, 05-06.
    84. Arnab Bhattacharjee & Jean Bonnet & Nicolas Le Pape & Régis Renault, 2016. "Going into Business and Out of Business: The Role of Human Capital," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 2016-04, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
    85. Hess, Wolfgang & Persson, Maria, 2009. "Survival and Death in International Trade - Discrete-Time Durations of EU Imports," Working Papers 2009:12, Lund University, Department of Economics.
    86. Paul Frijters & John Haisken-DeNew & Michael Shields, 2005. "Socio-Economic Status, Health Shocks, Life Satisfaction and Mortality: Evidence from an Increasing Mixed Proportional Hazard Model," CEPR Discussion Papers 496, Centre for Economic Policy Research, Research School of Economics, Australian National University.
    87. Wolfgang Hess & Maria Persson, 2012. "The duration of trade revisited," Empirical Economics, Springer, vol. 43(3), pages 1083-1107, December.
    88. J. Ignacio García-Pérez, 2006. "Job separation in a non-stationary search model: a structural estimation to evaluate alternative unemployment insurance systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 245-272.
    89. Gaure, Simen & Røed, Knut & van den Berg, Gerard J. & Zhang, Tao, 2010. "Estimation of Heterogeneous Treatment Effects on Hazard Rates," IZA Discussion Papers 4794, Institute of Labor Economics (IZA).
    90. Kyyrä, Tomi, 2007. "Studies on Wage Differentials and Labour Market Transitions," Research Reports 133, VATT Institute for Economic Research.
    91. Andreas Groll & Gerhard Tutz, 2017. "Variable selection in discrete survival models including heterogeneity," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 23(2), pages 305-338, April.
    92. Qureshi, Atef, 2013. "The Effect of Punitive Sanctions on the Transition Rate from Welfare to Work: Evidence from Denmark," Nationaløkonomisk tidsskrift, Nationaløkonomisk Forening, vol. 2013(2), pages 225-246.
    93. Nicoletti, Cheti & Aina, Carmen, 2014. "The intergenerational mobility of liberal professions: nepotism versus abilities," ISER Working Paper Series 2014-39, Institute for Social and Economic Research.
    94. Adriaan S. Kalwij, 2004. "Unemployment Experiences of Young Men: on the Road to Stable Employment?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(2), pages 205-237, May.
    95. Baumgarten, Daniel, 2009. "International Outsourcing, the Nature of Tasks, and Occupational Stability – Empirical Evidence for Germany," Ruhr Economic Papers 108, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.

  5. Larry G. Epstein & Angelo Melino, 1993. "A Revealed Preference Analysis of Asset Pricing Under Recursive Utility," NBER Working Papers 4524, National Bureau of Economic Research, Inc.

    Cited by:

    1. Karim Abadir, 1999. "An introduction to hypergeometric functions for economists," Econometric Reviews, Taylor & Francis Journals, vol. 18(3), pages 287-330.
    2. Angelo Melino, 2010. "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 43(2), pages 405-422, May.
    3. Marinacci, Massimo & Montrucchio, Luigi, 2010. "Unique solutions for stochastic recursive utilities," Journal of Economic Theory, Elsevier, vol. 145(5), pages 1776-1804, September.
    4. Lars Peter Hansen & Thomas J. Sargent, 2001. "Acknowledging Misspecification in Macroeconomic Theory," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(3), pages 519-535, July.
    5. Giordani, Paolo & Söderlind, Paul, 2002. "Solution of Macromodels with Hansen-Sargent Robust Policies: Some Extensions," SSE/EFI Working Paper Series in Economics and Finance 499, Stockholm School of Economics, revised 15 May 2003.
    6. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics.

  6. Richard Deaves & Angelo Melino & James E. Pesando, 1987. "The Response of Interest Rates to the Federal Reserve's Weekly Money Announcements: The "Puzzle" of Anticipated Money," NBER Working Papers 2125, National Bureau of Economic Research, Inc.

    Cited by:

    1. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
    2. Poole, William, 1988. "Monetary Policy Lessons of Recent Inflation and Disinflation," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 73-100, Summer.
    3. Daniel L. Thornton, 1989. "Tests of covered interest rate parity," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 55-66.
    4. Rik Hafer & Richard G. Sheehan, 1987. "On the response of interest rates to unexpected weekly money: are policy changes important?," Working Papers 1987-005, Federal Reserve Bank of St. Louis.
    5. Deaves, Richard & Miu, Peter & Barry White, C., 2008. "Canadian stock market multiples and their predictive content," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 457-466.
    6. Thomas Mann & Richard Dowen, 2004. "The Influence of Monetary Conditions on the Response of Interest Rate Futures to M1 Releases: 1976–1998," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(7‐8), pages 1125-1150, September.
    7. Peter C. Liu, 1994. "Are Money Announcement Forecasts Rational?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(4), pages 475-483, November.

  7. Angelo Melino, 1986. "The Term Structure of Interest Rates: Evidence and Theory," NBER Working Papers 1828, National Bureau of Economic Research, Inc.

    Cited by:

    1. James E. Pesando & Andre Plourde, 1986. "The October 1979 Change in the Monetary Regime: Its Impact on the "Forecastability" of Interest Rates," NBER Working Papers 1874, National Bureau of Economic Research, Inc.
    2. Pierre Siklos, 1999. "Inflation Targets and the Yield Curve: New Zealand and Australia vs. the US," Research Paper Series 25, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. Les Oxley & Marco Reale & Granville Tunnicliffe Wilson, 2008. "Constructing Structural VAR Models with Conditional Independence Graphs," Working Papers in Economics 08/19, University of Canterbury, Department of Economics and Finance.
    4. Downing, Chris & Oliner, Stephen, 2007. "The term structure of commercial paper rates," Journal of Financial Economics, Elsevier, vol. 83(1), pages 59-86, January.
    5. Ravenna, Federico & Seppälä, Juha, 2006. "Monetary policy and rejections of the expectations hypothesis," Bank of Finland Research Discussion Papers 25/2006, Bank of Finland.
    6. A. DAVID McDONALD & JON D. KENDALL & TIM LA. RIDLEY, 1993. "GARCH‐M Estimates of Variable Risk Premia for 180‐day Australian Bank Bills," The Economic Record, The Economic Society of Australia, vol. 69(1), pages 10-19, March.
    7. John Y. Campbell, 1995. "Some Lessons from the Yield Curve," NBER Working Papers 5031, National Bureau of Economic Research, Inc.
    8. Bams, Dennis & Wolff, Christian C. P., 2003. "Risk premia in the term structure of interest rates: a panel data approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 211-236, July.
    9. Anonymous, 1993. "Expectations and the term structure of interest rates," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 56, December.
    10. Petko Kalev & Brett Inder, 2006. "The information content of the term structure of interest rates," Applied Economics, Taylor & Francis Journals, vol. 38(1), pages 33-45.
    11. Abel Mayeyenda, 1997. "Détermination de la structure des taux d'intérêt : Une analyse empirique," Cahiers de recherche CREFE / CREFE Working Papers 49, CREFE, Université du Québec à Montréal.
    12. Pierluigi Balduzzi & Giuseppe Bertola & Silverio Foresi & Leora Klapper, 1997. "Interest Rate Targeting and the Dynamics of Short-Term Rates," NBER Working Papers 5944, National Bureau of Economic Research, Inc.
    13. E. Scott Mayfield & Robert G. Murphy, 1993. "Explaining The Term Structure Of Interest Rates: A Panel Data Approach," Boston College Working Papers in Economics 230, Boston College Department of Economics.
    14. Choi, Seungmook & Wohar, Mark E., 1995. "The expectations theory of interest rates: Cointegration and factor decomposition," International Journal of Forecasting, Elsevier, vol. 11(2), pages 253-262, June.
    15. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January.
    16. Morten Balling & Ernest Gnan, 2013. "The development of financial markets and financial theory: 50 years of interaction," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 5, pages 157-194, SUERF - The European Money and Finance Forum.
    17. Benjamin M. Friedman & Kenneth N. Kuttner, 1988. "Time-Varying Risk Perceptions and the Pricing of Risky Assets," NBER Working Papers 2694, National Bureau of Economic Research, Inc.
    18. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
    19. Mitusch, Kay & Nautz, Dieter, 1995. "Expectations and Interest Rates on Mortgage Loans," Empirical Economics, Springer, vol. 20(4), pages 667-680.
    20. Martin D. Evans & Karen K. Lewis, 1990. "Do Stationary Risk Premia Explain It All? Evidence from the Term Struct," NBER Working Papers 3451, National Bureau of Economic Research, Inc.
    21. Keith Cuthbertson & Don Bredin, 2000. "The Expectations Hypothesis of the Term Structure - The Case of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 31(3), pages 267-281.
    22. Jurgen Wolters, 1998. "Cointegration and German bond yields," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 497-502.
    23. Cuthbertson, Keith, 1996. "The Expectations Hypothesis of the Term Structure: The UK Interbank Market," Economic Journal, Royal Economic Society, vol. 106(436), pages 578-592, May.
    24. Seppälä, Juha, 2000. "The term structure of real interest rates: Theory and evidence form UK index-linked bonds," Bank of Finland Research Discussion Papers 22/2000, Bank of Finland.
    25. Noor Ghazali & Soo-Wah Low, 2002. "The expectation hypothesis in emerging financial markets: the case of Malaysia," Applied Economics, Taylor & Francis Journals, vol. 34(9), pages 1147-1156.
    26. Shen Chung-Hua, 1998. "The Term Structure of Taiwan Money Market Rates And Rational Expectation," International Economic Journal, Taylor & Francis Journals, vol. 12(1), pages 105-119.

  8. Sanford J. Grossman & Angelo Melino & Robert J. Shiller, 1985. "Estimating the Continuous Time Consumption Based Asset Pricing Model," NBER Working Papers 1643, National Bureau of Economic Research, Inc.

    Cited by:

    1. Jonathan A. Parker, 2001. "The Consumption Risk of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(2), pages 279-348.
    2. Vance Martin & G.C. Lim & Esfandiar Maasoumi, 2004. "Discounting The Equity Premium Puzzle," Econometric Society 2004 Australasian Meetings 331, Econometric Society.
    3. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
    4. Gregory, Allan W. & Smith, Gregor W., 1987. "Calibration as Estimation," Queen's Institute for Economic Research Discussion Papers 275210, Queen's University - Department of Economics.
    5. Yougsoo Choi & Tony S. Wirjanto, 2008. "A Simple Model of the Nominal Term Structure of Interest Rates," Working Papers 08011, University of Waterloo, Department of Economics.
    6. Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
    7. Chamil W. Senarathne & Wei Jianguo, 2018. "The Stochastic Implications of Permanent Income Hypothesis for US Speculative Traders: Implications for Consumption-Based Asset Pricing," Croatian Economic Survey, The Institute of Economics, Zagreb, vol. 20(2), pages 5-32, December.
    8. Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
    9. Lee, Wai, 1997. "Covariance risk, consumption risk, and international stock market returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 37(2), pages 491-510.
    10. Stanislav Anatolyev, 2005. "Optimal Instruments in Time Series: A Survey," Working Papers w0069, Center for Economic and Financial Research (CEFIR).
    11. Andrew W. Lo, 1986. "Maximum Likelihood Estimation of Generalized Ito Processes with Discretely Sampled Data," NBER Technical Working Papers 0059, National Bureau of Economic Research, Inc.
    12. Mr. Raphael A Espinoza & Mr. Dimitrios P. Tsomocos, 2013. "Monetary Transaction Costs and the Term Premium," IMF Working Papers 2013/085, International Monetary Fund.
    13. Juha Seppala, 2000. "Asset Prices And Business Cycles Under Limited Commitment," Computing in Economics and Finance 2000 319, Society for Computational Economics.
    14. Maasoumi, Esfandiar & Lim, G.C. & Martin, Vance, 2006. "A reexamination of the equity-premium puzzle: A robust non-parametric approach," Departmental Working Papers 0604, Southern Methodist University, Department of Economics.
    15. Robert E. Hall, 1985. "Real Interest and Consumption," NBER Working Papers 1694, National Bureau of Economic Research, Inc.
    16. Miles S. Kimball, 1990. "Precautionary Saving and the Marginal Propensity to Consume," NBER Working Papers 3403, National Bureau of Economic Research, Inc.
    17. Melino, Angelo, 1988. "The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
    18. John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
    19. Ravi Jagannathan & Srikant Marakani & Hitoshi Takehara & Yong Wang, 2012. "Calendar Cycles, Infrequent Decisions, and the Cross Section of Stock Returns," Management Science, INFORMS, vol. 58(3), pages 507-522, March.
    20. Christophe Belhomme, 1992. "Prime de risque et effet ARCH," Revue Économique, Programme National Persée, vol. 43(1), pages 55-70.
    21. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1992. "Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns," NBER Technical Working Papers 0124, National Bureau of Economic Research, Inc.
    22. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Norwegian School of Economics, Department of Business and Management Science.
    23. Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
    24. Toda, Alexis Akira & Walsh, Kieran James, 2016. "Fat Tails and Spurious Estimation of Consumption-Based Asset Pricing Models," MPRA Paper 78980, University Library of Munich, Germany.
    25. Sanford J Grossman & Guy Laroque, 2003. "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," Levine's Working Paper Archive 618897000000000803, David K. Levine.
    26. Choi, Paul Moon Sub & Chung, Chune Young & Kim, Dongnyoung, 2020. "Corporate tax, financial leverage, and portfolio risk," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    27. Robert E. Hall, 1987. "Consumption," NBER Working Papers 2265, National Bureau of Economic Research, Inc.
    28. Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
    29. Raphael A. Espinoza & Dimitrios P. Tsomocos, 2008. "Liquidity and Asset Prices," OFRC Working Papers Series 2008fe28, Oxford Financial Research Centre.
    30. Grant, Simon & Quiggin, John, 2003. "The Risk Premium for Equity: Implicatiosn for Resource Allocation, Welfare adn Policy," Working Papers 2003-14, Rice University, Department of Economics.
    31. Munk, Claus, 2015. "Financial Asset Pricing Theory," OUP Catalogue, Oxford University Press, number 9780198716457.
    32. Hélène Hamisultane, 2008. "Which Method for Pricing Weather Derivatives ?," Working Papers halshs-00355856, HAL.
    33. Bandi, Federico M., 2002. "Short-term interest rate dynamics: a spatial approach," Journal of Financial Economics, Elsevier, vol. 65(1), pages 73-110, July.
    34. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    35. Juha Ilmari Seppala, 2000. "The Term Structure of Real Interest Rates: Theory and Evidence from the U.K. Index-Linked Bonds," Econometric Society World Congress 2000 Contributed Papers 0245, Econometric Society.
    36. Grant, S. & Quiggin, J., 2001. "The Risk Premium for Equity : Explanations and Implications," Discussion Paper 2001-89, Tilburg University, Center for Economic Research.
    37. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
    38. Saito, Makoto, 1998. "A simple model of incomplete insurance the case of permanent shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 763-777, May.
    39. Choi, Youngsoo & Wirjanto, Tony S., 2007. "An analytic approximation formula for pricing zero-coupon bonds," Finance Research Letters, Elsevier, vol. 4(2), pages 116-126, June.
    40. Robert Faff & Barry Oliver, 1998. "Consumption versus market betas of Australian industry portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 5(8), pages 513-517.
    41. Diether Beuermann & Antonios Antoniou & Alejandro Bernales, 2005. "The Dynamics of the Short-Term Interest Rate in the UK," Finance 0512029, University Library of Munich, Germany.
    42. Kihlstrom, Richard, 2009. "Risk aversion and the elasticity of substitution in general dynamic portfolio theory: Consistent planning by forward looking, expected utility maximizing investors," Journal of Mathematical Economics, Elsevier, vol. 45(9-10), pages 634-663, September.
    43. Kroencke, Tim Alexander, 2014. "Asset Pricing without Garbage," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100476, Verein für Socialpolitik / German Economic Association.
    44. J. McCrorie, 2002. "The Likelihood of the Parameters of a Continuous Time Vector Autoregressive Model," Statistical Inference for Stochastic Processes, Springer, vol. 5(3), pages 273-286, October.
    45. Hardouvelis, Gikas A. & Kim, Dongcheol & Wizman, Thierry A., 1996. "Asset pricing models with and without consumption data: An empirical evaluation," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 267-301, September.
    46. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    47. Campbell, John Y., 2003. "Consumption-based asset pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 13, pages 803-887, Elsevier.
    48. Aase, Knut K., 2014. "Recursive utility using the stochastic maximum principle," Discussion Papers 2014/3, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    49. Toda, Alexis Akira, 2014. "Incomplete market dynamics and cross-sectional distributions," Journal of Economic Theory, Elsevier, vol. 154(C), pages 310-348.
    50. Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
    51. Ferson, Wayne E. & Constantinides, George M., 1991. "Habit persistence and durability in aggregate consumption: Empirical tests," Journal of Financial Economics, Elsevier, vol. 29(2), pages 199-240, October.
    52. Daria Pignalosa, 2021. "The Euler Equation Approach: Critical Implications of Recent Developments in the Theory of Intertemporal Choice," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 1-43, June.
    53. Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
    54. Kris Jacobs, 2002. "The Rate of Risk Aversion May Be Lower Than You Think," CIRANO Working Papers 2002s-08, CIRANO.
    55. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
    56. Berkowitz, Jeremy, 2001. "Generalized spectral estimation of the consumption-based asset pricing model," Journal of Econometrics, Elsevier, vol. 104(2), pages 269-288, September.
    57. Evans, Paul & Hasan, Iftekhar, 1998. "The consumption-based capital asset pricing model: International evidence," Journal of Multinational Financial Management, Elsevier, vol. 8(1), pages 1-21, January.
    58. Bonneuil, Noel & Saint-Pierre, Patrick, 2008. "Beyond optimality: Managing children, assets, and consumption over the life cycle," Journal of Mathematical Economics, Elsevier, vol. 44(3-4), pages 227-241, February.
    59. J. Roderick McCrorie, 2000. "The Likelihood of a Continuous-time Vector Autoregressive Model," Working Papers 419, Queen Mary University of London, School of Economics and Finance.
    60. Aase, Knut K., 2014. "Heterogeneity and limited stock market Participation," Discussion Papers 2014/5, Norwegian School of Economics, Department of Business and Management Science, revised 25 Mar 2015.
    61. Asiye Aydilek & Harun Aydilek, 2020. "An optimization model of retiree decisions under recursive utility with housing," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 44(2), pages 258-277, April.
    62. Lund, Jesper & Engsted, Tom, 1996. "GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 497-521, August.

  9. Olivier J. Blanchard & Angelo Melino, 1984. "Cyclical Behavior of Prices and Quantities in the Automobile Market," NBER Working Papers 1325, National Bureau of Economic Research, Inc.

    Cited by:

    1. Pindyck, Robert S., 1990. "Inventories and the short-run dynamics of commodity prices," Working papers 3133-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Gottfries, N., 1999. "Market Shares, Financial Constraints, and Pricing Behavior in the Export Market," Papers 1999:15, Uppsala - Working Paper Series.
    3. Olivier J. Blanchard, 1982. "The Production and Inventory Behavior of the American Automobile Industry," NBER Working Papers 0891, National Bureau of Economic Research, Inc.
    4. Caplin, Andrew & Leahy, John, 2006. "Equilibrium in a durable goods market with lumpy adjustment," Journal of Economic Theory, Elsevier, vol. 128(1), pages 187-213, May.

Articles

  1. Angelo Melino, 2011. "Moving Monetary Policy Forward: Why Small Steps - and a Lower Inflation Target - Make Sense for the Bank of Canada," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 319, January.

    Cited by:

    1. Steve E. Hrudey, 2011. "Safe Drinking Water Policy for Canada - Turning Hindsight into Foresight," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 323, February.
    2. Colin Busby & William B.P. Robson, 2011. "A Social Insurance Model for Pharmacare: Ontario's Options for a More Sustainable, Cost-Effective Drug Program," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 326, April.
    3. David A. Dodge & Richard Dion, 2011. "Chronic Healthcare Spending Disease: A Macro Diagnosis and Prognosis," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 327, April.
    4. Thorsten V. Koeppl, 2011. "Time for Stability in Derivatives Markets – a New Look at Central Counterparty Clearing for Securities Markets," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 329, May.
    5. Christopher Ragan, 2011. "Precision Targeting: The Economics – and Politics – of Improving Canada’s Inflation-Targeting Framework," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 321, February.
    6. James P. Bruce, 2011. "Protecting Groundwater: The Invisible and Vital Resource," C.D. Howe Institute Backgrounder, C.D. Howe Institute, issue 136, February.
    7. Philippe Bergevin & William B.P. Robson, 2011. "The Costs of Inflexible Indexing: Avoiding the Adverse Fiscal Impacts of Lower Inflation," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 322, February.
    8. Steven Ambler, 2014. "Price-Level Targeting: A Post-Mortem?," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 400, February.
    9. Bev Dahlby & Ergete Ferede, 2011. "What Does it Cost Society to Raise a Dollar of Tax Revenue? The Marginal Cost of Public Funds," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 324, March.
    10. Pierre Fortin, 2011. "Staying the Course: Quebec's Fiscal Balance Challenge," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 325, March.
    11. John Richards, 2011. "Aboriginal Education in Quebec: A Benchmarking Exercise," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 328, April.
    12. Alexandre Laurin & William B.P. Robson, 2011. "A Faster Track to Fiscal Balance: The 2011 Shadow Budget," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 320, February.

  2. Angelo Melino, 2010. "Measuring the cost of economic fluctuations with preferences that rationalize the equity premium," Canadian Journal of Economics, Canadian Economics Association, vol. 43(2), pages 405-422, May.
    See citations under working paper version above.
  3. Angelo Melino & Nash Peerbocus, 2008. "High Frequency Export and Price Responses in the Ontario Electricity Market," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 35-52.

    Cited by:

    1. Wai Choi & Anindya Sen & Adam White, 2011. "Response of industrial customers to hourly pricing in Ontario’s deregulated electricity market," Journal of Regulatory Economics, Springer, vol. 40(3), pages 303-323, December.

  4. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 806-830, October.
    See citations under working paper version above.
  5. Melino, Angelo, 2001. "Estimation of a rational expectations model of the term structure," Journal of Empirical Finance, Elsevier, vol. 8(5), pages 639-668, December.

    Cited by:

    1. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis.
    2. Bekaert, Geert & Wei, Min & Xing, Yuhang, 2007. "Uncovered interest rate parity and the term structure," Journal of International Money and Finance, Elsevier, vol. 26(6), pages 1038-1069, October.
    3. Ranaldo, Angelo & Rupprecht, Matthias, 2016. "The Forward Premium in Short-Term Rates," Working Papers on Finance 1619, University of St. Gallen, School of Finance, revised Sep 2019.

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    Cited by:

    1. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
    2. Robert F. Engle & Joshua Rosenberg, 1966. "Testing the Volatility Term Structure Using Option Hedging Criteria," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-24, New York University, Leonard N. Stern School of Business-.
    3. Giulia Di Nunno & Kk{e}stutis Kubilius & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2023. "From constant to rough: A survey of continuous volatility modeling," Papers 2309.01033, arXiv.org, revised Sep 2023.
    4. Hui Guo & Jason Higbee & Christopher J. Neely, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis.
    5. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    6. Cheng Few Lee & Yibing Chen & John Lee, 2020. "Alternative Methods to Derive Option Pricing Models: Review and Comparison," World Scientific Book Chapters, in: Cheng Few Lee & John C Lee (ed.), HANDBOOK OF FINANCIAL ECONOMETRICS, MATHEMATICS, STATISTICS, AND MACHINE LEARNING, chapter 102, pages 3573-3617, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. Vivek Bhargava & Robert Brooks & D. K. Malhotra, 2001. "Implied volatilities, stochastic interest rates, and currency futures options valuation: an empirical investigation," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 231-246.
    4. Akihiko Takahashi & , Kota Takehara & Akira Yamazaki, 2006. "Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates," CIRJE F-Series CIRJE-F-451, CIRJE, Faculty of Economics, University of Tokyo.
    5. Ballestra, Luca Vincenzo & Cecere, Liliana, 2016. "A numerical method to estimate the parameters of the CEV model implied by American option prices: Evidence from NYSE," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 100-106.
    6. Chen, Gang & Roberts, Matthew C. & Roe, Brian E., 2005. "Empirical Performance of Alternative Option Pricing Models for Commodity Futures Options," 2005 Annual meeting, July 24-27, Providence, RI 19183, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Michael McAleer & Chatayan Wiphatthanananthakul, 2010. "A Simple Expected Volatility (SEV) Index: Application to SET50 Index Options," Working Papers in Economics 10/15, University of Canterbury, Department of Economics and Finance.
    8. Melino, Angelo & Turnbull, Stuart M., 1995. "Misspecification and the pricing and hedging of long-term foreign currency options," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 373-393, June.
    9. Padmakumari, Lakshmi & S., Maheswaran, 2017. "A new statistic to capture the level dependence in stock price volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 355-362.
    10. Peter A. Abken & Saikat Nandi, 1996. "Options and volatility," Economic Review, Federal Reserve Bank of Atlanta, vol. 81(Dec), pages 21-35.
    11. Kim, Jerim & Kim, Bara & Moon, Kyoung-Sook & Wee, In-Suk, 2012. "Valuation of power options under Heston's stochastic volatility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(11), pages 1796-1813.
    12. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    13. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates (Revised in August 2007 and January 2009; subseq," CARF F-Series CARF-F-092, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    14. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
    15. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
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    18. Akihiko Takahashi & Kota Takehara & Akira Yamazaki, 2006. "Pricing Currency Options with a Market Model of Interest Rates under Jump-Diffusion Stochastic Volatility Processes of Spot Exchange Rates," CARF F-Series CARF-F-082, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    19. Akihiko Takahashi & Kohta Takehara, 2007. "An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 14(1), pages 69-121, March.
    20. Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang, 2014. "Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate," Papers 1402.2273, arXiv.org.

  10. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.

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    234. Xue-Zhong He & Lei Shi, 2016. "A Binomial Model of Asset and Option Pricing with Heterogeneous Beliefs," Published Paper Series 2016-4, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    235. F. Parpinel & C. Pizzi, 2002. "Iterative estimation procedure for option pricing with stochastic volatility models," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 211-223.
    236. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
    237. Bjorn Hansson & Peter Hordahl, 2005. "Forecasting variance using stochastic volatility and GARCH," The European Journal of Finance, Taylor & Francis Journals, vol. 11(1), pages 33-57.
    238. Christina Nikitopoulos-Sklibosios, 2005. "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005.
    239. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
    240. Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen, 1998. "Pricing and Hedging Long-Term Options," Yale School of Management Working Papers ysm90, Yale School of Management.
    241. Liang, Zongxia & Sheng, Wenlong, 2016. "Valuing inflation-linked death benefits under a stochastic volatility framework," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 45-58.
    242. Ballestra, Luca Vincenzo & Pacelli, Graziella & Zirilli, Francesco, 2007. "A numerical method to price exotic path-dependent options on an underlying described by the Heston stochastic volatility model," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3420-3437, November.
    243. Yasuhiro Omori & Toshiaki Watanabe, 2007. "Block Sampler and Posterior Mode Estimation for Asymmetric Stochastic Volatility Models (Published in "Computational Statistics and Data Analysis", 52-6, 2892-2910. February 2008. )," CARF F-Series CARF-F-103, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    244. Li, Minqiang, 2008. "Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern," MPRA Paper 11530, University Library of Munich, Germany.
    245. Wei Wang & Qianyan Li & Quan Li & Song Xu, 2023. "Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk," Mathematics, MDPI, vol. 11(6), pages 1-17, March.
    246. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
    247. Antonis Demos, 2023. "Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models," DEOS Working Papers 2303, Athens University of Economics and Business.
    248. Andersen, Torben G. & Chung, Hyung-Jin & Sorensen, Bent E., 1999. "Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study," Journal of Econometrics, Elsevier, vol. 91(1), pages 61-87, July.
    249. George Chacko & Peter Tufano & Geoffrey Verter, 2000. "Cephalon, Inc. Taking Risk Management Theory Seriously," NBER Working Papers 7748, National Bureau of Economic Research, Inc.
    250. Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
    251. Hau, Liya & Zhu, Huiming & Huang, Rui & Ma, Xiang, 2020. "Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression," Energy, Elsevier, vol. 213(C).
    252. Kilic, Erdem, 2017. "Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets," Economic Modelling, Elsevier, vol. 62(C), pages 51-67.
    253. Jin-Yu Zhang & Zhong-Tian Chen & Yong Li, 2019. "Bayesian Testing for Leverage Effect in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1153-1164, March.
    254. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
    255. Mathieu Rosenbaum, 2006. "Estimation of the Volatility Persistence in a Discretly Observed Diffusion Model," Working Papers 2006-02, Center for Research in Economics and Statistics.
    256. Anine E. Bolko & Kim Christensen & Mikko S. Pakkanen & Bezirgen Veliyev, 2020. "Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures," CREATES Research Papers 2020-12, Department of Economics and Business Economics, Aarhus University.
    257. Bronka Rzepkowski, 2000. "The Expectations of Hong Kong Dollar Devaluation and Their Determinants," Working Papers 2000-04, CEPII research center.
    258. Smith Daniel R, 2009. "Asymmetry in Stochastic Volatility Models: Threshold or Correlation?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(3), pages 1-36, May.
    259. Dajiang Guo, 2000. "Dynamic Volatility Trading Strategies in the Currency Option Market," Review of Derivatives Research, Springer, vol. 4(2), pages 133-154, May.
    260. Peter M. Garber & Michael G. Spencer, 1996. "Dynamic Hedging and the Interest Rate Defense," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 209-228, National Bureau of Economic Research, Inc.
    261. Yun, Jaeho, 2011. "The role of time-varying jump risk premia in pricing stock index options," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 833-846.
    262. Yoshino, Joe Akira, 2003. "Market Risk and Volatility in the Brazilian Stock Market," Journal of Applied Economics, Universidad del CEMA, vol. 6(2), pages 1-19, November.

  11. Gunderson, Morley & Melino, Angelo, 1990. "The Effects of Public Policy on Strike Duration," Journal of Labor Economics, University of Chicago Press, vol. 8(3), pages 295-316, July.

    Cited by:

    1. Filippo Belloc, 2019. "Labor Conflict at the Workplace: Do Dismissal Regulations Matter?," Department of Economics University of Siena 806, Department of Economics, University of Siena.
    2. Steven Stern & Petra Todd, 2000. "A Test Of Lazear’S Mandatory Retirement Model," Virginia Economics Online Papers 391, University of Virginia, Department of Economics.
    3. Edison Roy César & François Vaillancourt, 2010. "Does a Specific Union Impact on Wage Increases? Evidence from Canada, 1985-2007," CIRANO Working Papers 2010s-09, CIRANO.
    4. Martin Dooley & Ross Finnie, 2006. "Welfare Policy, Language Group and the Duration of Lone Motherhood Spells," Department of Economics Working Papers 2006-03, McMaster University.
    5. Michele Campolieti & Robert Hebdon & Benjamin Dachis, 2016. "Collective Bargaining in the Canadian Public Sector, 1978–2008: The Consequences of Restraint and Structural Change," British Journal of Industrial Relations, London School of Economics, vol. 54(1), pages 192-213, March.
    6. Michele Campolieti & Robert Hebdon & Benjamin Dachis, 2014. "The Impact of Collective Bargaining Legislation on Strike Activity and Wage Settlements," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 53(3), pages 394-429, July.
    7. Paul Duffy & Susan Johnson, 2009. "The Impact of Anti-Temporary Replacement Legislation on Work Stoppages: Empirical Evidence from Canada," Canadian Public Policy, University of Toronto Press, vol. 35(1), pages 99-120, March.
    8. Michele Campolieti, 2001. "Bayesian semiparametric estimation of discrete duration models: an application of the dirichlet process prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 1-22.
    9. Belloc, Filippo, 2021. "Industrial actions and firing regimes: How deregulating worker “Exit” reshapes worker “Voice”," Structural Change and Economic Dynamics, Elsevier, vol. 56(C), pages 251-264.
    10. Anthony Y. Baah & Barry Reilly, 2009. "An Empirical Analysis of Strike Durations in Ghana from 1980 to 2004," LABOUR, CEIS, vol. 23(3), pages 459-479, September.
    11. Kovacs, Kent F., 2009. "The Timing of Rapid Farmland Conversion Events: Evidence from California's Differential Assessment Program," 2009 Annual Meeting, July 26-28, 2009, Milwaukee, Wisconsin 49252, Agricultural and Applied Economics Association.
    12. Budd, J.W., 1995. "The Effect of Strike Replacement Legislation of Employment," Papers 95-04, Minnesota - Industrial Relations Center.
    13. Sadat Reza & Paul Rilstone, 2016. "Semiparametric Efficiency Bounds and Efficient Estimation of Discrete Duration Models with Unspecified Hazard Rate," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 693-726, May.
    14. Michael Baker & Samuel A. Rea, 1998. "Employment Spells And Unemployment Insurance Eligibility Requirements," The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 80-94, February.
    15. Stephen L. DesJardins & Dennis A. Ahlburg & Brian P. McCall, "undated". "The Effects of Interrupted Enrollment on Graduation from College: Racial, Income, and Ability Differences," Working Papers 0505, Human Resources and Labor Studies, University of Minnesota (Twin Cities Campus).
    16. Michele Campolieti, 2023. "An event study analysis of the effects of collective bargaining legislation on strike outcomes," LABOUR, CEIS, vol. 37(2), pages 242-279, June.
    17. Finnie, Ross & Gray, David, 2002. "Earnings dynamics in Canada: an econometric analysis," Labour Economics, Elsevier, vol. 9(6), pages 763-800, December.
    18. Eberwein, Curtis & Ham, John C. & LaLonde, Robert J., 2002. "Alternative methods of estimating program effects in event history models," Labour Economics, Elsevier, vol. 9(2), pages 249-278, April.
    19. John Kallas, 2023. "Retooling militancy: Labour revitalization and fixed‐duration strikes," British Journal of Industrial Relations, London School of Economics, vol. 61(1), pages 68-88, March.
    20. Hess Wolfgang & Tutz Gerhard & Gertheiss Jan, 2016. "A Flexible Link Function for Discrete-Time Duration Models," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 236(4), pages 455-481, August.
    21. Ross Finnie & Ian Irvine, 2008. "The Welfare Enigma: Explaining the Dramatic Decline in Canadians' Use of Social Assistance, 1993-2005," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 267, June.
    22. Mircea Trandafir, 2014. "The Effect of Same-Sex Marriage Laws on Different-Sex Marriage: Evidence From the Netherlands," Demography, Springer;Population Association of America (PAA), vol. 51(1), pages 317-340, February.
    23. Michael Baker & Angelo Melino, 1999. "Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study," Working Papers melino-99-01, University of Toronto, Department of Economics.
    24. Steven Stern & John Pepper, 2001. "Empirical Search Models," Virginia Economics Online Papers 383, University of Virginia, Department of Economics.
    25. John Budd & Yijiang Wang, "undated". "Labor Policy and Investment," Working Papers 0502, Human Resources and Labor Studies, University of Minnesota (Twin Cities Campus).
    26. Michael Huberman & Denise Young, 1995. "What Did Unions Do... An Analysis of Canadian Strike Data, 1901-14," CIRANO Working Papers 95s-17, CIRANO.
    27. Peter C. Cramton & Joseph S. Tracy, 1995. "The Use of Replacement Workers in Union Contract Negotiations: The U.S. Experience, 1980-1989," NBER Working Papers 5106, National Bureau of Economic Research, Inc.

  12. Melino, Angelo & Sueyoshi, Glenn T., 1990. "A simple approach to the identifiability of the proportional hazards model," Economics Letters, Elsevier, vol. 33(1), pages 63-68, May.

    Cited by:

    1. M. Picchio, 2011. "Lagged Duration Dependence in Mixed Proportional Hazard Models," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/747, Ghent University, Faculty of Economics and Business Administration.
    2. Abbring, J.H. & Berg, G.J. & Ours, J.C., 1994. "The anatomy of unemployment dynamics," Serie Research Memoranda 0024, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Bonev, Petyo, 2020. "Nonparametric identification in nonseparable duration models with unobserved heterogeneity," Economics Working Paper Series 2005, University of St. Gallen, School of Economics and Political Science.
    4. Abbring, Jaap H. & Berg, Gerard J. van den, 2000. "The non-parametric identification of the mixed proportional hazards competing risks model," Serie Research Memoranda 0024, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Van den Berg, Gerard J., 2000. "Duration Models: Specification, Identification, and Multiple Durations," MPRA Paper 9446, University Library of Munich, Germany.
    6. Jaap H. Abbring & Gerard J. van den Berg, 2000. "The Non-Parametric Identification of the Mixed Proportional Hazards Competing Risks Model," Tinbergen Institute Discussion Papers 00-066/3, Tinbergen Institute.
    7. Bhattacharjee, Arnab, 2004. "A Simple Test for the Absence of Covariate Dependence in Hazard Regression Models," MPRA Paper 3937, University Library of Munich, Germany.
    8. Jean-Pierre Florens & Denis Fougère & Julien Pouget & Michel Mouchart, 2007. "Duration Models and Point Processes," Working Papers 2007-37, Center for Research in Economics and Statistics.
    9. van den Berg, Gerard J & van Ours, Jan C, 1996. "Unemployment Dynamics and Duration Dependence," Journal of Labor Economics, University of Chicago Press, vol. 14(1), pages 100-125, January.
    10. Abbring, J.H. & van den Berg, G. & van Ours, J.C., 1999. "The Anatomy of Unemployment Dynamics," Other publications TiSEM 96f7e625-31d6-41c1-8e5d-e, Tilburg University, School of Economics and Management.

  13. Melino, Angelo, 1988. "The Term Structure of Interest Rates: Evidence and Theory," Journal of Economic Surveys, Wiley Blackwell, vol. 2(4), pages 335-366.
    See citations under working paper version above.
  14. Grossman, S J & Melino, Angelo & Shiller, Robert J, 1987. "Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 315-327, July.
    See citations under working paper version above.
  15. Deaves, Richard & Melino, Angelo & Pesando, James E., 1987. "The response of interest rates to the Federal Reserve's weekly money announcements : The 'puzzle' of anticipated money," Journal of Monetary Economics, Elsevier, vol. 19(3), pages 393-404, May.
    See citations under working paper version above.
  16. Gunderson, Morley & Melino, Angelo, 1987. "Estimating Strike Effects in a General Model of Prices and Quantities," Journal of Labor Economics, University of Chicago Press, vol. 5(1), pages 1-19, January.

    Cited by:

    1. Olaf Posch, 2007. "Structural estimation of jump-diffusion processes in macroeconomics," CREATES Research Papers 2007-23, Department of Economics and Business Economics, Aarhus University.
    2. Bastos, Paulo & Kreickemeier, Udo & Wright, Peter, 2009. "Oligopoly, open shop unions and trade liberalisation," International Journal of Industrial Organization, Elsevier, vol. 27(6), pages 679-686, November.
    3. James McDonald & Harry Bloch, 1999. "The Spillover Effects of Industrial Action on Firm Profitability," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 15(2), pages 183-200, September.
    4. Fernando Coloma & Arturo Alegría, "undated". "Huelga: Enfoques Teóricos y Efectos Económicos de Disfrutar Regulaciones," Documentos de Trabajo 141, Instituto de Economia. Pontificia Universidad Católica de Chile..

  17. Blanchard, Olivier J. & Melino, Angelo, 1986. "The cyclical behavior of prices and quantities: The case of the automobile market," Journal of Monetary Economics, Elsevier, vol. 17(3), pages 379-407, May.

    Cited by:

    1. Kenneth D. West & David W. Wilcox, 1994. "A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model," Macroeconomics 9410001, University Library of Munich, Germany.
    2. Kenneth D. West & David W. Wilcox, 1993. "Some Evidence on Finite Sample Behavior of an Instrumental Variables Estimator of the Linear Quadtratic Inventory Model," NBER Technical Working Papers 0139, National Bureau of Economic Research, Inc.
    3. Kenneth D. West, 1990. "The Sources of Fluctuations in Aggregate Inventories and GNP," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 105(4), pages 939-971.
    4. Andrew Caplin & John Leahy, 1999. "Durable Goods Cycles," NBER Working Papers 6987, National Bureau of Economic Research, Inc.
    5. Russell Cooper & John Haltiwanger, 1990. "The Aggregate Implications of Machine Replacement: Theory and Evidence," NBER Working Papers 3552, National Bureau of Economic Research, Inc.
    6. West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers 9417, Wisconsin Madison - Social Systems.
    7. Valerie A. Ramey & Kenneth D. West, 1997. "Inventories," NBER Working Papers 6315, National Bureau of Economic Research, Inc.
    8. Andrikopoulos, Athanasios & Markellos, Raphael N., 2015. "Dynamic interaction between markets for leasing and selling automobiles," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 260-270.
    9. Hall, George J., 2000. "Non-convex costs and capital utilization: A study of production scheduling at automobile assembly plants," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 681-716, June.
    10. George J. Hall, 1996. "Non-convex costs and capital utilization: a study of production and inventories at automobile assembly plants," Working Paper Series, Macroeconomic Issues WP-96-25, Federal Reserve Bank of Chicago.
    11. Fuhrer, Jeffrey C. & Moore, George R. & Schuh, Scott D., 1995. "Estimating the linear-quadratic inventory model Maximum likelihood versus generalized method of moments," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 115-157, February.
    12. George Hall & Adam Copeland & Louis Maccini, 2015. "Interest Rates and the Market for New Light Vehicles," Working Papers 94, Brandeis University, Department of Economics and International Business School.
    13. Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.

  18. Angelo Melino, 1982. "Testing for Sample Selection Bias," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 49(1), pages 151-153.

    Cited by:

    1. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
    2. Patrick Puhani, 2000. "The Heckman Correction for Sample Selection and Its Critique," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 53-68, February.
    3. Mervyn A. King & Louis Dicks-Mireaux, 1981. "Asset Holdings and the Life Cycle," NBER Working Papers 0614, National Bureau of Economic Research, Inc.
    4. Dovonon, Prosper & Gonçalves, Sílvia, 2017. "Bootstrapping the GMM overidentification test under first-order underidentification," Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
    5. Yamagata. T., 2005. "On Testing Sample Selection Bias under the Multicollinearity Problem," Cambridge Working Papers in Economics 0522, Faculty of Economics, University of Cambridge.
    6. William Fonta & H. Ichoku & Jane Kabubo-Mariara, 2010. "The effect of protest zeros on estimates of willingness to pay in healthcare contingent valuation analysis," Applied Health Economics and Health Policy, Springer, vol. 8(4), pages 225-237, July.
    7. William Fonta & Hyacinth Ichoku & Kanayo Ogujiuba, 2010. "Estimating willingness to pay with the stochastic payment card design: further evidence from rural Cameroon," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 12(2), pages 179-193, April.
    8. Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.
    9. Mikhail Zhelonkin & Marc G. Genton & Elvezio Ronchetti, 2016. "Robust inference in sample selection models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 805-827, September.
    10. Joo, Joonhwi & LaLonde, Robert J., 2014. "Testing for Selection Bias," IZA Discussion Papers 8455, Institute of Labor Economics (IZA).
    11. Quattri, Maria A. & Ozanne, Adam & Wang, Xioabing & Hall, Alastair R., 2011. "On The Role Of The Brokerage Institution In The Development Of Ethiopian Agricultural Markets," 85th Annual Conference, April 18-20, 2011, Warwick University, Coventry, UK 108941, Agricultural Economics Society.
    12. Leung, Siu Fai & Yu, Shihti, 1996. "On the choice between sample selection and two-part models," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 197-229.
    13. Wojciech Florkowski & Timothy Park, 2001. "Promotional programmes and consumer purchasing decisions: pecan demand models," Applied Economics, Taylor & Francis Journals, vol. 33(6), pages 763-770.
    14. Mora Rodriguez, Jhon James, 2013. "Introduccion a la teoría del consumidor [Introduction to Consumer Theory]," MPRA Paper 48129, University Library of Munich, Germany, revised 08 Jul 2013.
    15. Gad Allon & Sarang Deo & Wuqin Lin, 2013. "The Impact of Size and Occupancy of Hospital on the Extent of Ambulance Diversion: Theory and Evidence," Operations Research, INFORMS, vol. 61(3), pages 544-562, June.

  19. Poirier, Dale J & Melino, Angelo, 1978. "A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions," Econometrica, Econometric Society, vol. 46(5), pages 1207-1209, September.

    Cited by:

    1. Jason Abrevaya, 2002. "Computing Marginal Effects In The Box-Cox Model," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 383-393.
    2. Berndt, Ernst R. & Showalter, Mark H. & Wooldridge, Jeffrey M., 1990. "A theoretical and empirical investigation of the Box-Cox model and a nonlinear least squares alternative," Working papers 3187-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    3. Jan Ondrich & Katharina C. Spieß & Qing Yang, 2002. "The Effect of Maternity Leave on Women's Pay in Germany 1984-1994," Discussion Papers of DIW Berlin 289, DIW Berlin, German Institute for Economic Research.
    4. Jyoti Shukla & Piyush Tiwari, 2022. "Measuring Inadequacy in Compensation for the Compulsory Acquisition of Land: Evidence from Bengaluru, India," Land, MDPI, vol. 11(5), pages 1-16, April.
    5. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2002. "Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-1, International Conferences on Panel Data.
    6. Yen, Steven T. & Dellenbarger, Lynn E. & Schupp, Alvin R., 1995. "Determinants Of Participation And Consumption: The Case Of Crawfish In South Louisiana," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 27(1), pages 1-10, July.

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