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Cross-section Regression with Common Shocks
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003
This paper considers regression models for cross-section data that exhibit cross-section dependence due to common …) estimators in this context. The results of the paper allow for any form of cross-section dependence and heterogeneity across …
Persistent link: https://www.econbiz.de/10005762510
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Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005
dependence to the i.i.d. binomial case. Furthermore, we show that the expected payoff of a European call option in the …
Persistent link: https://www.econbiz.de/10005593290
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A Quantilogram Approach to Evaluating Directional Predictability
Linton, Oliver; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2004
In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the distribution theory needed to conduct inference,...
Persistent link: https://www.econbiz.de/10005593651