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Beta Estimation Using High Frequency Data
By Angela Ryu Using high frequency stock price data in estimating nancial measures often causes serious distortion. It is due to the existence of the market microstructure noise, the lag of the observed price to the underlying value due to market friction. The adverse eect of the noise can be avoided by choosing an appropriate […]
“Winner-Take-All Economics” Professional Inquiry and Public Discourse on Material Inequality
By Jonathan Pryor What can account for the failure of economists to extend a firm guiding hand into the public discourse on material inequality in contemporary America? This paper reviews historical and modern economic literature and then extends its focus to the debates in the public sector, private opinion, “think tanks,” the news media, the […]
The Nurture Effect: Like Father, Like Son. What about for an Adopted Child? A Study of Korean-American Adoptees on the Impact of Family Environment and Genes
By Suanna Seung-yun Oh I investigate the influences of family environment and genes on children’s educational outcomes by working with data on Korean American adoptees and their non-adoptive siblings. I make use of the natural experiment setting where children were quasi-randomly assigned to families. From Sacerdote’s discussion of the three different approaches of analyzing the […]
Extending the Possibilities of Kidney Exchange with Compatible Pairs
By Karna Mital Kidney exchange enables incompatible pairs to exchange kidneys so each recipient can receive a transplant. Compatible pairs have not yet been incorporated in any kidney exchange program. The present study incorporates compatible pairs in cycles-only mechanism, and focuses on the HLA match aspect of match quality. When 27.7% of compatible pairs participate, […]
Time-Varying Beta: The Heterogeneous Autoregressive Beta Model
By Kunal Jain Conventional models of volatility estimation do not capture the persistence in high-frequency market data and are not able to limit the impact of market micro-structure noise present at very finely sampled intervals. In an attempt to incorporate these two elements, we use the beta-metric as a proxy for equity-specific volatility and use […]
The Comprehensive Optimal Business Location Model
By Mitchel Gorecki In order to ensure long run viability, a firm must understand the idea of optimal business location. In the designing of a strategy, it is important to not only evaluate the present market environment but to also account for possible future change. This paper will demonstrate the core ideas behind a comprehensive […]
The Marital Wage Premium in the Twenty-First Century: Do married men earn a higher wage rate, and if so, why?
By Hans F. Kist and Yanqi (Halley) Hu Married men have historically earned higher wages than single men. One of the most prominent explanations for this phenomenon is the theory of intra-household specialization. However, the marriage premium was found to be decreasing up until the early 90’s. In our paper, we have re-examined the wage […]
The Determinants and Social Benefit of Student Summer Activity: An Analysis of the Determinants of Summer Activity Participation by Elementary and Secondary Students, and the Resulting Social Benefit of Summer Activity Participation on Crime
By Elad Gross Using data from 1996, this study first identifies the socioeconomic determinants of a child’s participation in an organized summer activity. Models are produced for summer activity in general and for different types of summer activities. The results indicate the importance of caregiver supervisory capability in choosing whether to send a child to […]
Female Surname Choice: Historical, Cultural, and Branding Influences at Duke University
By Corinne Grzbowski Female surname choice at marriage depends on a range of historical, cultural, and branding factors. Two of the three datasets are administrative datasets from the Duke University Alumni Association (DAA), which include every female Duke alumnae from 1960-2000. The third dataset comes from a survey administered to Duke alumnae. We find that […]
Crisis Period Forecast Evaluation of the DCC-GARCH Model
By Yang Ding The goal of this paper is to investigate the forecasting ability of the Dynamic Conditional Correlation Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH). We estimate the DCC’s forecasting ability relative to unconditional volatility in three equity-based crashes: the S&L Crisis, the Dot-Com Boom/Crash, and the recent Credit Crisis. The assets we use are the […]
