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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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A nonlinear panel model of cross-sectional dependence
Kapetanios, George; Mitchell, James; Shin, Yongcheol - 2010
This paper proposes a new panel model of cross-sectional dependence. The model has a number of potential structural … approach to the modelling of interactions across panel units and can generate endogenous cross-sectional dependence that can … study and two empirical illustrations. -- Cross-sectional dependence ; Nonlinearity ; Factor models ; Panel models ; Fixed …
Persistent link: https://www.econbiz.de/10008728710
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
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Uncovering regimes in out of sample forecast errors from predictive regressions
Silva Neto, Aníbal Emiliano da; Gonzalo, Jesús; … - 2020
Persistent link: https://www.econbiz.de/10012501495
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Out of sample predictability in predictive regressions with many predictor candidates
Gonzalo, Jesús; Pitarakis, Jean-Yves - 2020
Persistent link: https://www.econbiz.de/10012501524
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Investment strategy and selection bias : an equilibrium perspective on overoptimism
Jehiel, Philippe - 2017
Persistent link: https://www.econbiz.de/10011695504
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Sample separation and the sensitivity of investment to cash flow : is the monotonicity condition empirically satisfied?
Iona, Alfonsina; Leonida, Leone - 2018
This paper studies whether the monotonicity condition of the investment-cash flow sensitivity is satisfied empirically. We show that if this condition holds, then the point of sample separation does not affect the monotonic relationship between the sensitivities of any two complementary classes...
Persistent link: https://www.econbiz.de/10011872436
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …
Persistent link: https://www.econbiz.de/10014252427
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Copula-based bivariate binary response models
Winkelmann, Rainer - 2009
The bivariate probit model is frequently used for estimating the effect of an endogenous binary regressor on a binary outcome variable. This paper discusses simple modifications that maintain the probit assumption for the marginal distributions while introducing non-normal dependence among the...
Persistent link: https://www.econbiz.de/10003900958