Narrow search
Showing 1 - 10 of 2,674
Cover Image
Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate T Distribution
Pesaran, Bahram; Pesaran, M. Hashem - 2021
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by …-DCC specification. The t-DCC model also passes a number of VaR diagnostic tests over an evaluation sample. The estimation results …
Persistent link: https://www.econbiz.de/10013316934
Cover Image
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/10013110862
Cover Image
Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem - 2012
correlation is found between a twelve-month moving average p-values of the test and the returns of long/short equity strategies …
Persistent link: https://www.econbiz.de/10013107698
Cover Image
Google Econometrics and Unemployment Forecasting
Askitas, Nikos - 2012
The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...
Persistent link: https://www.econbiz.de/10013117001
Cover Image
Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013129942
Cover Image
Estimating the Technology of Cognitive and Noncognitive Skill Formation
Cunha, Flavio - 2010
This paper formulates and estimates multistage production functions for children's cognitive and noncognitive skills. Skills are determined by parental environments and investments at different stages of childhood. We estimate the elasticity of substitution between investments in one period and...
Persistent link: https://www.econbiz.de/10013148325
Cover Image
Testing the Correlated Random Coefficient Model
Heckman, James J. - 2009
The recent literature on instrumental variables (IV) features models in which agents sort into treatment status on the basis of gains from treatment as well as on baseline-pretreatment levels. Components of the gains known to the agents and acted on by them may not be known by the observing...
Persistent link: https://www.econbiz.de/10013154992
Cover Image
Intrahousehold Resource Allocation and Individual Poverty : Assessing Collective Model Predictions Against Direct Evidence on Sharing
Bargain, Olivier; Lacroix, Guy; Tiberti, Luca - 2023
-capita expenditures and ignore the extent of within-household inequality. Recent advances in the estimation of collective models suggest …
Persistent link: https://www.econbiz.de/10014254963
Cover Image
Educational Homogamy and Assortative Mating Have Not Increased
Gihleb, Rania - 2016
sensitive to how educational categories are chosen. We also find no evidence that the correlation between spouses' potential …
Persistent link: https://www.econbiz.de/10012977330
Cover Image
Bayesian Exploratory Factor Analysis
Conti, Gabriella - 2014
This paper develops and applies a Bayesian approach to Exploratory Factor Analysis that improves on ad hoc classical approaches. Our framework relies on dedicated factor models and simultaneously determines the number of factors, the allocation of each measurement to a unique factor, and the...
Persistent link: https://www.econbiz.de/10013049750