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Testing CAPM with a Large Number of Assets

Pesaran, M. Hashem - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10013107698

Predictability of Asset Returns and the Efficient Market Hypothesis

Pesaran, M. Hashem - 2010

This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...

Persistent link: https://www.econbiz.de/10013141228

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi - 2012

This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...

Persistent link: https://www.econbiz.de/10013107701

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10013110862

Counterfactual Analysis in Macroeconometrics : An Empirical Investigation into the Effects of Quantitative Easing

Pesaran, M. Hashem - 2012

This paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it...

Persistent link: https://www.econbiz.de/10013104950

Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution

Pesaran, Bahram; Pesaran, M. Hashem - 2021

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … correlations in most markets; possibly reflecting the advent of euro in 1999 and increased interdependence of financial markets …

Persistent link: https://www.econbiz.de/10013316934

Lumpy Price Adjustments : A Microeconometric Analysis

Dhyne, Emmanuel; Fuss, Catherine; Pesaran, M. Hashem; … - 2021

This paper presents a simple model of state-dependent pricing that allows identification of the relative importance of the degree of price rigidity that is inherent to the price setting mechanism (intrinsic) and that which is due to the price's driving variables (extrinsic). Using two data sets...

Persistent link: https://www.econbiz.de/10013317064

Infinite Dimensional VARs and Factor Models

Chudik, Alexander; Pesaran, M. Hashem - 2021

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

Persistent link: https://www.econbiz.de/10013316638

Aggregation in Large Dynamic Panels

Pesaran, M. Hashem - 2011

Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

Persistent link: https://www.econbiz.de/10013129942