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Social distancing, vaccination and evolution of Covid-19 transmission rates in Europe

Chudik, Alexander; Pesaran, M. Hashem; Rebucci, Alessandro - 2022

distancing, incentives to comply, vaccination and the emergence of new variants. Evidence based on panel data modeling indicates …

Persistent link: https://www.econbiz.de/10013202378

Optimality and diversifiability of mean variance and arbitrage pricing portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10003910456

Optimal asset allocation with factor models for large portfolios

Pesaran, M. Hashem (contributor); … - 2008

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Persistent link: https://www.econbiz.de/10003720566

The cost efficiency of UK debt management : a recursive modelling approach

Pesaran, M. Hashem - 2000

This paper presents an empirical analysis of the efficiency of the UK debt management authorities's (DMA) behaviour from a cost minimisation perspective over the period January 1985 to March 1995. During this period, the maturity structure of the government's bond portfolio was subject to...

Persistent link: https://www.econbiz.de/10009781627

Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011646274

COVID-19 Time-varying Reproduction Numbers Worldwide : An Empirical Analysis of Mandatory and Voluntary Social Distancing

Chudik, Alexander; Pesaran, M. Hashem; Rebucci, Alessandro - National Bureau of Economic Research - 2021

government mandated isolation. Over our sample period, neither mutation nor vaccination are major factors, so one can attribute …

Persistent link: https://www.econbiz.de/10012510508

Voluntary and Mandatory Social Distancing : Evidence on COVID-19 Exposure Rates from Chinese Provinces and Selected Countries

Chudik, Alexander - 2020

This paper considers a modification of the standard Susceptible-Infected-Recovered (SIR) model of epidemic that allows … on the epidemic and recession curves are investigated and their trade off is simulated under a number of different social … epidemic curve, but is costly in terms of employment loss. However, if targeted towards individuals most likely to spread the …

Persistent link: https://www.econbiz.de/10012481996

Voluntary and mandatory social distancing : evidence on COVID-19 exposure rates from Chinese provinces and selected countries

Chudik, Alexander; Pesaran, M. Hashem; Rebucci, Alessandro - 2020

This paper considers a modification of the standard Susceptible-Infected-Recovered (SIR) model of epidemic that allows … on the epidemic and recession curves are investigated and their trade-off is simulated under a number of different social … epidemic curve, but is costly in terms of employment loss. However, if targeted towards individuals most likely to spread the …

Persistent link: https://www.econbiz.de/10012206648

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641741

Global business cycles and credit risk

Pesaran, M. Hashem (contributor); … - 2005

The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...

Persistent link: https://www.econbiz.de/10003201686