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Modelling asymmetric volatility dynamics by multivariate bl-garch models
(2006)
The class of Multivariate BiLinear GARCH (MBL-GARCH) models is proposed
and its statistical properties are investigated. The model can be regarded
as a generalization to a multivariate setting of the univariate BLGARCH
model ...
Inequality and labour-market performance. A survey beyond an elusive trade-off
(2006)
In this paper we assess the evolution of employment and wage
inequality in Europe and the US labour markets over the past two
decades. We find that the salient trends in wage structures are
more complicated than implied ...