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Disentangling Insurance and Information in Intertemporal Consumption Choices
Intertemporal Consumption Choices Information
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2015/7/23
The textbook version of the life-cycle permanent income hypothesis with no liquidity constraints predicts that consumption should react
very mildly to (unanticipated) transitory income
changes and...
Disentangling collective trends from local dynamics
Time series analysis independent compo-nent analysis financial time series crime rates obesity
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2010/11/2
A single social phenomenon (such as crime, unemployment or birth rate) can be observed through
temporal series corresponding to units at different levels (cities, regions, countries...). Units at a g...
Disentangling the Channels of the 2007–09 Recession
Disentangling the Channels of the 2007–09 Recession
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2014/3/18
This paper examines the macroeconomic dynamics of the 2007–09 recession in the United States and the subsequent slow recovery. Using a dynamic factor model with 200 variables, we reach three main conc...
Disentangling diffusion from jumps
Poisson jumps Cauchy jumps Levy process Diffusion Maximum likelihood
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2014/3/13
Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to dist...