1,721,022 research outputs found
Is good health purchasable by out-of-pocket money IN Western Europe?
No full textGood health is vital for all the living and there is an insatiable demand for it, especially among the elderly because health generally declines with age. This paper investigates whether people can buy higher quality medical care and in exchange, receive improvements in health perception. The analysis covers the trade of out-of-pocket (OOP) health expenditures for improved self-assessed health status by using two samples drawn from the data of the Survey of Health, Ageing and Retirement in Europe (SHARE) - which is representative for people at the age of 50 and older. Two models are introduced, where model 1 embraces a 2-part model and model 2 considers a tobit model; then, some econometrics issues are addressed to obtain more effi estimates. As a result, sample 1 shows a positive but weak sign for the eff ct of OOP medical expense on health perception improvements, whereas in sample 2 a much stronger but not large in magnitude relation is found in the negative direction. That is in the latter sample, people are less likely to have improvements in health status when OOP expenses are increased so they "cannot buy good health with these payments". Robustness checks confi these fi they suggest the ability to purchase an improved health status by OOP expenditures in 2004/05 (sample 1) but not in 2006/07 (sample 2). However, empirical evidence show clearly that higher elasticities in the OOP medical expenditure in the years 2004/05 and 2006/07 corresponds to an improved health status by 2006/07 and 2010/11 in Greece for sample 1 and sample 2 respectively. This could be elucidated by the fact that OOP expenses - in the form of informal payments - in Western-Europe are anecdotal while in Greece it is widespread [Dixon et al., 2002, p. 23]
Factor Investing in the Green Bond Market
No full textThis paper extends upon factor investing in the bond market by exploiting seven investment strategies in the green bond market. The considered factors are based on measures of Carry, Value, Momentum and Quality. It is found that the individual factor portfolios, except Value, neither substantially outperform the risk free rate nor exhibit abnormal returns. Moreover, there is evidence that long-only portfolios compare favourably with long-short portfolios in terms of Sharpe ratios. Finally, it is found that diversifying across the individual factor portfolios in a sophisticated way substantially improves Sharpe ratio
Picking the best cherries: Analysing the use of macro-nance variables in predicting monthly realized volatility
No full textThis paper analyses the use of macroeconomic and finance variables in predicting monthly realized volatility in four different asset classes: Equities, commodities, foreign exchange rates, and bonds. The predictability is analysed with four different estimation technique classes: Penalized regressions, dynamic factor models, forecast combinations, and bootstrap aggregation. The results, evaluated both statistically and economically, reveal there is predictive content in the macro-finance variables.
However, both the estimation technique and subset of variables which are most relevant appear to be asset class specific
Extended Geometric-VaR backtesting
Get PDFAbstract This paper extends on the methods provided by Pelletier & Wei (2015). In the first part of the paper, we replicate the simulation-driven results where we extend with empirical research in the second part. Opposed to the Historical Simulation method used in Pelletier & Wei (2015), we create a set of risk specifications derived from Wong et al. (2016). These specifications are exploited using two distinct methods of innovations inspired by the findings of Bao et al. (2007). We empirically show that the Geometric-VaR test possesses high power against alternatives within the framework for our empirical specifications. Additionally, we show that parametrized GARCH specifications lead to better specified Value-at-Risk estimations than the Historical Simulation approach does. Lastly, we show that GARCH specifications with skewed innovations generally lead to better-specified Value-atRisk estimations than specifications that use a Filtered Historical Simulation instead
Does the use of aid in functioning affect the self-assessed functioning?
No full textThis paper considers the influence of the use of an aid in functioning on the self-assessment of functioning. Assessments on distance vision, vision up close, hearing and chewing are obtained from four waves of the Survey of Health Ageing and Retirement in Europe (SHARE). Ordered logistic regressions show that people using glasses or contacts tend to give better assessments of their vision than people without the aid. The contrary is found in the self-assessment of hearing and chewing.
Individuals that use a hearing aid are more likely to give a bad assessment of hearing than those without the aid. Likewise, people with dentures are more likely to state to have difficulty with chewing than people without dentures
The impact of income on life satisfaction
No full textAverage life expectancy is increasing in almost every county in the world and will most likely continue to rise (Oeppen et al., 2002). With the current pension system this will mean that people who are now working will most likely not get the money they where promised when they retire. What will the impact of this be on life satisfaction? This research tries to find the infl ence of income on life satisfaction. This is done by means of an ordered logit regression.The data used is from the Survey of Health, Ageing and Retirement in Europe (SHARE). The conclusion of this research is that belonging to a low income group has a significant negative infl on life satisfaction and belonging to a high income group has a significant positive influence on life satisfaction
Using the Midas approach for now- and forecasting Colombian GDP
No full textThis study applies the Factor-MIDAS approach (Marcellino and Schumacher, 2007) in the forecasting of Colombian GDP. The main objective is to test the performance of the predictions generated under this framework by means of Mean Squared Error values and forecast evaluation tests. Two forms of MIDAS (Mixed Data Sampling) projections were studied, MIDAS with exponential almon and MIDAS with unrestricted coefficients. Also, two methods for factor were used, one based on the EM algorithm and the other based on the state-space model with the Kalman filter. Both methods are able to handle missing values at the end of the sample due lags of publication. In addition, the factors were calculated using a large dataset of macroeconomic variables and a subset of it. The regressions were estimated using fixed factor lags along with an automatic lag selection. The nowcast and forecast performance of these regressions were compared with a simple benchmark model AR(1) model. The empirical findings show in general, that the MIDAS projections do not outperform the benchmark when the forecast tests are applied. There is only slight evidence that the MIDAS projections do better in the nowcast horizon. In terms of lower Mean Squared Error values, the better results are achieved when the number of factor lags is at most 3. Moreover, in this case there is no difference in the performance of these two projections. The automatic factor lag selection did not show any improvement compared to the use of very few fixed factor lags
The Geometric-VaR Backtesting Method On Cryptocurrencies
Get PDFThis paper investigates a recent value at risk (VaR) backtest that uses both the duration between two consecutive VaR violations and the value of the VaR: the geometric-VaR test from Pelletier & Wei (2016). Investigation is done by replicating two tables, reporting the size and power of the test, with Monte Carlo simulation. This test is then used to evaluate VaR estimates from five cryptocurrencies. Four methods are used to estimate VaRs with RiskMetrics providing the ’best’ VaR estimates for three cryptocurrencies
Backtesting VaR Estimates of HEAVY Models Using the Geometric-VaR Test
Get PDFThis paper examines the Geometric-VaR test of Pelletier and Wei (2016) as a framework for backtesting Value-at-Risk (VaR) estimates. This study confirms that the test provides good power properties against various forms of misspecification of VaR estimates, although slightly lower power is reported for smaller sample sizes compared to earlier research. The Geometric-VaR test is subsequently employed to investigate the HEAVY model of Shephard and Sheppard (2010) – an adaption of a standard GARCH model that incorporates realised measures – in the context of VaR estimation. Additionally, an asymmetric extension of the HEAVY model is introduced. 19 different models are tested using data of 21 equity indices over the period 2000-2017. A semi-parametric approach using Filtered Historical Simulation is found to provide better results than fully-parametric approaches. Additionally, this paper finds no evidence that the HEAVY models provide better VaR estimates than their GARCH counterparts over the entire sample period investigated. Notably, the HEAVY models perform significantly better during the global financial crisis of 2008, thus suggesting that they can be a valuable addition to a risk manager’s toolkit during volatile periods
GDP and Energy Mix
No full textIn this thesis the relations between Energy Mix and GDP are explored by means of a panel model with energy mix summaries. These variables proxy for the total per capita consumption, the technological development level, the international position and the utilization of energy. To our knowledge this was the first investigation of this kind. The analysis resulted in a group of energy mix variables that explain a significant portion of GDP growth in a classic production function model with capital and labor factors. To counter suspected endogeneity in some of energy mix variables a temperature range instrumental variable is constructed and used. The strongest effects are the energy aggregates such as final energy consumption and the international trade proxies such as the nett trade position or the trade dependence
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