stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …

Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under … the time series dimension of the panel is large. We present an application to the evaluation of Time-of-Use pricing using …

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

strength matter for consistent estimation of risk premia and subsequent inference, thus an estimate of factor strength is …

stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …

policy change affects the model's parameters and where it does not. It is argued that for ex post policy evaluation it is … solved out for the policy evaluation exercise. An ex post policy ineffectiveness test statistic is proposed. The analysis is … applied to the evaluation of the effects of the quantitative easing (QE) in the UK after March 2009. It is estimated that a …