David M Lilien
Biographic Data
| ID | 5732814 |
|---|---|
| NAME | David M Lilien |
| GIVEN NAMES | David M |
| FAMILY NAME | Lilien |
| SIGNATURE | LILIEN D M |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 40 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1980 |
| LATEST PUBLICATION YEAR | 1992 |
| H-INDEX | 1 |
Micro TSP 7.0
Estimating Time Varying Risk Premia in the Term Structure
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of L…
Sectoral Shifts and Cyclical Unemployment
A substantial fraction of cyclical unemployment is better characterized as fluctuations of the "frictional" or "natural" rate than as deviations from some relatively stable natural rate. Shifts of employment demand between sectors of the economy necessitate continuous labor reallocation. Since it takes time for workers to find new jobs, some unemployment is unavoidable. This paper presents evidence that most of the unemployment fluctuations of th…
The Cyclical Pattern of Temporary Layoffs in United States Manufacturing
ONE important question arises out of current attempts to provide a foundation for aggregate wage rigidity and unemployment. How mobile are unemployed workers? Recent theoretical models of unemployment can be divided into two basic categories: the new microeconomic search theories attribute unemployment to the job search and job changing behavior of workers who become permanently separated from their jobs. The newer contract theories attribute une…
Sectoral Shifts and Cyclical Unemployment
A substantial fraction of cyclical unemployment is better characterized as fluctuations of the "frictional" or "natural" rate than as deviations from some relatively stable natural rate. Shifts of employment demand between sectors of the economy necessitate continuous labor reallocation. Since it takes time for workers to find new jobs, some unemployment is unavoidable. This paper presents evidence that most of the unemployment fluctuations of th…
The Cyclical Pattern of Temporary Layoffs in United States Manufacturing
ONE important question arises out of current attempts to provide a foundation for aggregate wage rigidity and unemployment. How mobile are unemployed workers? Recent theoretical models of unemployment can be divided into two basic categories: the new microeconomic search theories attribute unemployment to the job search and job changing behavior of workers who become permanently separated from their jobs. The newer contract theories attribute une…
Sectoral Shifts and Cyclical Unemployment
A substantial fraction of cyclical unemployment is better characterized as fluctuations of the "frictional" or "natural" rate than as deviations from some relatively stable natural rate. Shifts of employment demand between sectors of the economy necessitate continuous labor reallocation. Since it takes time for workers to find new jobs, some unemployment is unavoidable. This paper presents evidence that most of the unemployment fluctuations of th…
Estimating Time Varying Risk Premia in the Term Structure
The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of L…
Micro TSP 7.0
Economics (3 works) · Business (2 works) · Econometrics (2 works) · Affine term structure model (1 work) · Arch (1 work) · Credit Risk and Financial Regulations (1 work) · Distributed and Parallel Computing Systems (1 work) · Economic theories and models (1 work) · Economic Theory and Policy (1 work) · Engineering (1 work)