Search frictions in the labor market help explain the equity premium in the financial market. We embed the Diamond-Mortensen-Pissarides search framework into a dynamic stochastic general equilibrium m

NBER2012-01-01 更新90

Replication Data for: A GARCH Tutorial with R

金融计量学

波动性建模

Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volati

DataCite Commons2025-05-12 更新70

Replication Data and Code for: Gambling on Crypto Tokens?

加密货币投机分析

金融计量学

This folder contains the data and code needed for replicating the findings of Chava, Hu, and Paradkar (2024), entitled "Gambling on Crypto Tokens?" The data is in CSV form, while the code is in the fo

DataCite Commons2024-10-24 更新100

Variable selection in linear regressions with possibly all strongly correlated covariates

高维变量选择

资产定价模型

Penalized regression methods, particularly LASSO, require the irrepresentable condition for variable selection consistency. This condition places an upper bound on the magnitudes of correlation betwee

DataCite Commons2025-02-02 更新70

Conditional Risk and the Pricing Kernel -- replication code

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