In the presence of heteroskedasticity of unknown form, the Ordinary Least Squares parameter estimator becomes inefficient and its covariance matrix estimator inconsistent. Eicker (1963) and White (1980) were the first to propose a robust consistent covariance matrix estimator, that permits...

We consider a class of linear regression model with extreme distribution noise. We show by a mean of point process technique that the asymptotic distribution of the maximum is the same as the one of the max of the noise process, under specific conditions.

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a...

This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

This paper shows consistency of a two step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( large). In the first step, the parameters of the model are estimated from an OLS on principal components. In the second step, the factors are...

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a...

Banking firms exhibit unique business and financial dynamics that are priced in their stock returns. This paper compares traditional empirical asset pricing models on portfolio of banking firms from fourteen European countries and proposes a banking specific risk factor. We compared a single...

Global liquidity, which consists of both monetary liquidity (quantitative easing and traditional policies) and funding liquidity, follows specific dynamics. The importance of these dynamics is reflected by the growing interest in international policy fora in the economic efects and determinants...