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Full-Text Articles in Social and Behavioral Sciences
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni
Douglas G. Steigerwald
How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Inferring Information Frequency And Quality, Douglas G. Steigerwald, John Owens
Douglas G. Steigerwald
We develop a microstructure model that, in contrast to previous models, allows one to estimate the frequency and quality of private information. In addition, the model produces stationary asset price and trading volume series. We find evidence that information arrives frequently within a day and that this information is of high quality. The frequent arrival of information, while in contrast to previous microstructure model estimates, accords with nonmodel-based estimates and the related literature testing the mixture-of-distributions hypothesis. To determine if the estimates are correctly reflecting the arrival of latent information, we estimate the parameters over half-hour intervals within the day. …
The $\Alpha$ And The $\Omega$ Of Congeneric Test Theory: An Extension Of Reliability And Internal Consistency To Heterogeneous Tests, Joseph F. Lucke
The $\Alpha$ And The $\Omega$ Of Congeneric Test Theory: An Extension Of Reliability And Internal Consistency To Heterogeneous Tests, Joseph F. Lucke
Joseph Lucke
Psychometric theory focuses primarily on tests that are homogeneous, that measure only one attribute of a psychosocial entity. However, the complexity of psychosocial behavior often requires tests that are heterogeneous, that measure more than one attribute. In this presentation, reliability and internal consistency are extended to heterogeneous tests under the rubric of congeneric test theory. The extensions show that reliability and internal consistency have very similar properties. Reliability and internal consistency are shown to be unique up to a linear transformation. Whereas internal consistency is a lower bound to reliability in the homogeneous case, it is a strict lower bound …
Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi
Are Credit Constraints In Italy Really More Binding In The South?, Claudio Lupi
Claudio Lupi
This paper is motivated by a very practical question: are there significant geographical differences in the accessibility to the credit market on the part of Italian households? The investigation is carried using robust probit model. Estimation is carried out in a Bayesian framework. The results are somewhat surprising, showing that the area where households are more likely to be credit constrained is not the South, as could be easily imagined, but rather the highly developed and industrialized North-West.