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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10013051612
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10013094817
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Weak and Strong Cross Section Dependence and Estimation of Large Panels
Chudik, Alexander - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10013158328
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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/10013111367
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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10012756639
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Gold, Oil, and Stocks : Dynamic Correlations
Baruník, Jozef - 2015
in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …
Persistent link: https://www.econbiz.de/10013023110
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Exchange Rate Misalignment Estimates - Sources of Differences
Cheung, Yin-Wong - 2013
We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....
Persistent link: https://www.econbiz.de/10013092474
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Testing
Bergbauer, Annika - 2018
School systems regularly use student assessments for accountability purposes. But, as highlighted by our conceptual model, different configurations of assessment usage generate performance-conducive incentives of different strengths for different stakeholders in different school environments. We...
Persistent link: https://www.econbiz.de/10012910939
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A Bias-Corrected Method of Moments Approach to Estimation of Dynamic Short-T Panels
Chudik, Alexander - 2017
searching for instruments that are uncorrelated with the errors, in cases where the correlation between the target variables and … have maximum correlation with the target variables and the problem of weak instrument is thus avoided. The proposed … approach can be applied to estimation of a variety of models such as spatial and dynamic panel data models. In this paper we …
Persistent link: https://www.econbiz.de/10012943386
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The Estimation of Multi-Dimensional Fixed Effects Panel Data Models
Balazsi, Laszlo - 2015
The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...
Persistent link: https://www.econbiz.de/10013024591