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Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

Persistent link: https://www.econbiz.de/10012583496

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

; which is based on the number of non-zero pair-wise cross correlations of these errors. We prove that our estimator, ᾶ; is …

Persistent link: https://www.econbiz.de/10011900761

A new method for determining the number of factors in factor models with large datasets

Kapetanios, George (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002403209

Structural analysis with Multivariate Autoregressive Index models

Carriero, Andrea; Kapetanios, George; Marcellino, … - In: Journal of econometrics 192 (2016) 2, pp. 332-348

Persistent link: https://www.econbiz.de/10011704654

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

Persistent link: https://www.econbiz.de/10009579875

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

across and within countries. -- cross correlations ; cross-sectional dependence ; cross-sectional averages ; weak and strong …

Persistent link: https://www.econbiz.de/10009530816

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

using the S&P 500 data-set, and a large number of macroeconomic variables across and within countries. -- cross correlations …

Persistent link: https://www.econbiz.de/10009488893

A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors

Atak, Alev; Kapetanios, George - In: Economics letters 120 (2013) 2, pp. 224-228

Persistent link: https://www.econbiz.de/10010128339

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - In: Journal of applied econometrics 31 (2016) 6, pp. 929-960

Persistent link: https://www.econbiz.de/10011686163

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

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