This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...

This paper considers a spatial panel data regression model with serial correlation on each spatial unit over time as well as spatial dependence between the spatial units at each point in time. In addition, the model allows for heterogeneity across the spatial units using random effects. The...

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...

This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...