39 documents found, page 1 of 4
Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.A conditional tail index estimator is introduced which explicitly allows for right-tail censoring (top-coding). We show that the factor values used to adjust top-coded wages have changed over time and depend on individuals' characteristics, occupations and industries, and propose suitable values. Specifically, contrasting the results of our approach with those of a conservative fixed adjustment factor of 1.5 (u...
Tail index estimation in the presence of covariates : Stock returns’ tail risk ...
Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z.This paper provides novel theoretical results for the estimation of the conditional tail index of Pareto and Pareto-type distributions in a time series context. We show that both the estimators and relevant test statistics are normally distributed in the limit, when independent and identically distributed or dependent data are considered. Simulation results provide support for the theoretical findings and highl...
Changes in inflation compensation and oil prices : short‑term and long‑term dyn...
Cabral, Inês da Cunha; Ribeiro, Pedro Pires; Nicolau, JoãoThis paper investigates the relationship between changes in euro area short-term and long-term market-based inflation expectations from January 2005 to September 2018, also devoting special attention to the relevance of the oil market. The full sample is split into three subsets related to different economic and financial landscapes. To model the conditional mean and the variance–covariance structure, a VAR-CCC...
Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. MA conditional tail index estimator is introduced which explicitly allows for right‐tail censoring (top‐coding). We show that the factor values used to adjust top‐coded wages have changed over time and depend on individuals' characteristics, occupations and industries, and propose suitable values. Specifically, contrasting the results of our approach with those of a conservative fixed adjustment factor of 1.5 (u...
The expected time to cross a threshold and its determinants : a simple and flex...
Zsurkis, Gabriel; Nicolau, João; Rodrigues, Paulo M.M.In this paper we introduce a flexible framework to estimate the expected time (ET) an outcome variable takes to cross a threshold conditional on covariates. The proposed method ology makes use of the Markovian property and allows us to infer the impacts that co variates have on the ET an outcome variable takes to revert to a value of interest (for instance, its mean) given a specific starting point. An empirica...
Structural changes in the duration of bull markets and business cycle dynamics
Cruz, João; Nicolau, João; Rodrigues, Paulo M.M.This paper tests for structural changes in the duration of bull regimes in 18 developed and emerging economies’ adjusted market capitalization stock indexes, by using the novel approach of Nicolau (Econ Lett 146:64–67, 2016) as well as two additional new procedures introduced here; and investigates whether the structural changes detected in the bull markets’ duration are connected to the business cycle. We conc...
Inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.In this paper we investigate potential changes which may have occurred over the last two decades in the probability mass of the right tail of the wage distribution, through the analysis of the corresponding tail index. In specific, a conditional tail index estimator is introduced which explicitly allows for right tail censoring (top-coding), which is a feature of the widely used current population survey (CPS),...
Measuring wage inequality under right censoring
Nicolau, João; Raposo, Pedro; Rodrigues, Paulo M. M.In this paper we investigate potential changes which may have occurred over the last two decades in the probability mass of the right tail of the wage distribution, through the analysis of the corresponding tail index. In specific, a conditional tail index estimator is introduced which explicitly allows for right tail censoring (top-coding), which is a feature of the widely used current population survey (CPS),...
Time inhomogeneous multivariate Markov chains : detecting and testing multiple ...
Damásio, Bruno; Nicolau, JoãoMarkov chains models are used in several applications and different areas of study. Usually a Markov chain model is assumed to be homogeneous in the sense that the transition probabilities are time invariant. Yet, ignoring the inhomogeneous nature of a stochastic process by disregarding the presence of structural breaks can lead to misleading conclusions. Several methodologies are currently proposed for detectin...
The profitability in the FTSE 100 Index: A new Markov Chain approach
Riedlinger, Flavio Ivo; Nicolau, JoãoIn this paper, we propose a new method to predict stock market trends based on the multivariate Markov chain (MMC) methodology. Our approach consists of forecasting the one-period ahead FTSE 100 Index behavior, using the MTD-Probit model. The MTD-Probit model is a new approach for estimating MMC, based on multiple categorical data sequences that can be used to forecast financial markets. In this context, we pro...