I develop a new empirical model for discrete games and apply it to study the release date timing game played by distributors of movies. The results suggest that release dates of movies are too clustered around big holiday weekends and that box office revenues would increase if distributors shifted some holiday releases by one or two weeks. The proposed game structure could be applied more broad...

After reviewing the simulation performance of general-to-specific automatic regressionmodel selection, as embodied in PcGets, we show how model selection can be nondistortionary: approximately unbiased ‘selection estimates’ are derived, with reported standard errors close to the sampling standard deviations of the estimated DGP parameters, and a near-unbiased goodness-of-fit measure. The handli...

We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the...

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold (2000), Diebold, Gunther and Tay (1998), Diebold, Hahn and Tay (1999), White (2000), Bai (2003...

Long memory in volatility is a stylized fact found in most ̄nancial return series. This paper empirically investigates the extent to which interdependence in emerging markets may be driven by conditional short and long range dependence in volatility. We ̄t copulas to pairs of raw and ̄ltered returns, analyse the observed changes in the dependence structure may be driven by volatility, and discu...

This paper considers an econometric approach to measuring substitutability of three types of energy, i.e. crude oil, electricity and diesel with capital and labour in the manufacturing sector of Greek industry during the period 1970]1990. A general dynamic framework is developed under the assumption that the structure of the production process is weakly separable in capital, labour and energy a...

In this study we provide evidence on the e¤ect of alcohol consumption on occupational attainment and wages in England. To do this we use a pooled sample of employees from the Health Survey for England of 1994, 1995 and 1996. Using the technique of Instrumental Variables we ...nd positive returns to moderate levels of drinking that drop-o¤ rapidly as consumption increases. This result holds when...

We develop a simple robust link between deep out-of-the-money American put options on a company’s stock and a credit insurance contract on the company’s bond. We assume that the stock price stays above a barrier B before default but drops below a lower barrier A after default, thus generating a default corridor [A, B] that the stock price can never enter. Given the presence of this default corr...

The existing literature on attitudes towards immigration has not accounted for the potential effect of unobservable home education on attitude formation. Yet, factors such as parents’ knowledge, their morals, and their weltanschauung are likely to influence the attitudes of the next generation. Their omission from the analysis thus threatens to lead to erroneous conclusions. Utilizing siblings ...