This paper focuses on the diagnostic checking of vector ARMA (VARMA) models with multivariate GARCH errors. For a fitted VARMA-GARCH model with Gaussian or Student-t innovations, we derive the asymptotic distributions of autocorrelation matrices of the cross-product vector of standardized...

Commonality in idiosyncratic volatility cannot be completely explained by time-varying volatility. We decompose the common factor in idiosyncratic volatility (CIV) of Herskovic et al. (2016) into two components: idiosyncratic volatility innovations (VIN) and time-varyingidiosyncratic volatility...

<b> </b> For situations with a large number of series, N, each with T observations and each containing a certain amount of information for prediction of the variable of interest, we propose a new statistical modelling methodology that first estimates the common factors from a panel of data using...

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In this paper we consider properties of random aggregation in time series analysis. For application, we focus on the problem of estimating the high-frequency beta of an asset return when the returns are subject to the effects of market microstructure. Specifically, we study the correlation...

The purpose of this paper is to test whether there is an intergenerational transmission of gender preferences in educational resource allocation among children. The unique data set of Taiwan’s Panel Study of Family Dynamics project provides us a rich 3-generation education information and...

Previous research analyzing within-family education resource allocation usually employs the sibship and birth order of a child as explanatory variables. We argue in this paper that to correctly characterize the resource competition and support scenario within a family, one should identify the...