Estimating the density tail index for financial time series
Article Abstract:
An analysis of the effectiveness of using tail index of a density in determining risk management strategies reveals that Hill's (1975) estimator is the best. Simulation of estimators for tail index of a density called for the evaluation of Leadbetter et al.(1983), Pickands (1975), Hill (1975) and deHaan and Resnick (1980) estimators. The study aims to remove the assumption that data are independently and identically distributed therefore increasing accuracy of statistical data.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1997
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Rents and the cost and optimal design of commodity taxes
Article Abstract:
Rents influence the welfare costs and the optimal design of commodity taxes. A general-equilibrium model based on 1986 Canadian data revealed that rents supported by imperfect competition tend to increase tax costs while rents supported by regulation tend to produce rent-seeking costs. On the other hand, Ricardian rents tend to lessen tax costs. The model also revealed a significantly nonuniform optimal tax structure.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1998
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Job change patterns and the wages of young men
Article Abstract:
A negative relationship exists between job mobility, which refers to job separation, and wage level. The National Longitudinal Survey of Youth data revealed that highest salaries belong to workers who were able to sustain job with their initial employers for at least eight years. Meanwhile, lowest salaries are seen to be associated with workers who were unable to achieve durable employment relationship.
Publication Name: Review of Economics and Statistics
Subject: Mathematics
ISSN: 0034-6535
Year: 1998
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