Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …

than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results … suggest a general trend towards a lower level of return volatility, accompanied by a rising trend in conditional cross …

. A penalized least squares estimation is linked to the GLS (Aitken) estimates of the corresponding linear model with time …

that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …

contribution of the two transition rates to the volatility of unemployment, whereas the search shock implies a disproportionate …

there is time varying panel non-response. If such non-response does not affect the common-trend assumption, then OLS and FE … estimation may still be consistent, while OLS will be inconsistent. We provide simulation as well as empirical evidence for this … evidence that non‐response is not ignorable for the differences-in-differences estimation. …