Narrow search
Showing 1 - 10 of 1,849
Cover Image
Testing CAPM with a large number of assets
Pesaran, Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10010282392
Cover Image
Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10010550527
Cover Image
On Measuring Uncertainty: Snakes and Ladders
Junankar, Pramod N. (Raja) - 2016
measurement in influencing economic decisions. They attempt to measure uncertainty by indexes of volatility of the stock market …
Persistent link: https://www.econbiz.de/10011559672
Cover Image
A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic
Ozdemir, Huseyin; Ozdemir, Zeynel Abidin - 2021
We propose a new Sharpe ratio index obtained from return and volatility spillover indices to individual assets from the …-7 stock markets by using daily return and volatility data from September 2013 to October 2021. Our empirical findings … show that the hedging effectiveness of gold, Bitcoin, and crude oil varies overtime before the Covid-19 pandemic …
Persistent link: https://www.econbiz.de/10012882464
Cover Image
Panel Unit Root Tests in the Presence of aMultifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a multifactor error structure. The basic idea is to exploitinformation regarding the unobserved factors that are shared by other time series in additionto the variable under...
Persistent link: https://www.econbiz.de/10005860582
Cover Image
Robust standard errors in transformed likelihood estimation of dynamic panel data models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …
Persistent link: https://www.econbiz.de/10010282268
Cover Image
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Hayakawa, Kazuhiko; Pesaran, M. Hashem - Institute for the Study of Labor (IZA) - 2012
This paper extends the transformed maximum likelihood approach for estimation of dynamic panel data models by Hsiao … trivial due to the incidental parameters problem that arises, and its implications for estimation and inference. We approach …
Persistent link: https://www.econbiz.de/10010552471
Cover Image
Non-parametric inference for the effect of a treatment on survival times with application in the health and social sciences
Luna, Xavier de; Johansson, Per - 2009
In this paper we perform inference on the effect of a treatment on survival times in studies where the treatment assignment is not randomized and the assignment time is not known in advance. Two such studies are discussed: a heart transplant program and a study of Swedish unemployed eligible for...
Persistent link: https://www.econbiz.de/10010269367
Cover Image
How much can we trust causal interpretations of fixed-effects estimators in the context of criminality?
Bjerk, David - 2009
Researchers are often interested in estimating the causal effect of some treatment on individual criminality. For example, two recent relatively prominent papers have attempted to estimate the respective direct effects of marriage and gang participation on individual criminal activity. One...
Persistent link: https://www.econbiz.de/10010271337
Cover Image
Testing for poverty dominance: an application to Canada
Chen, Wen-Hao; Duclos, Jean-Yves - 2008
The paper proposes and applies statistical tests for poverty dominance that check for whether poverty comparisons can be made robustly over ranges of poverty lines and classes of poverty indices. This helps provide both normative and statistical confidence in establishing poverty rankings across...
Persistent link: https://www.econbiz.de/10010272033