Measuring high-frequency income risk from low-frequency data

DOI10.1016/j.jedc.2012.10.002zbMath1346.91191OpenAlexW2013092472MaRDI QIDQ318362

Irina A. Telyukova, Paul Klein

Publication date: 5 October 2016

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.10.002

zbMATH Keywords

frequencyestimationidiosyncratic income uncertainty

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (1)

Does the labor-income process contain a unit root? Evidence from individual-specific time series

Cites Work

• The risk-free rate in heterogeneous-agent incomplete-insurance economies
• Simulation estimation of time-series models
• The method of endogenous gridpoints for solving dynamic stochastic optimization problems
• A Model of Money and Credit, with Application to the Credit Card Debt Puzzle
• Consumption Inequality and Income Uncertainty

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