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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, M. Hashem - In: Economic modelling 27 (2010) 6, pp. 1398-1416
Persistent link: https://www.econbiz.de/10008825760
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 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/10008856398
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 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/10009010169
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Lumpy price adjustments : a microeconometric analysis
Dhyne, Emmanuel; Fuss, Catherine; Pesaran, M. Hashem; … - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 4, pp. 529-540
Persistent link: https://www.econbiz.de/10009355615
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10010361374
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Counterfactual analysis in macroeconometrics : an empirical investigation into the effects of quantitative easing
Pesaran, M. Hashem; Smith, Ron - 2014
Persistent link: https://www.econbiz.de/10010408456
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Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - In: Journal of econometrics 178 (2014) 1, pp. 273-285
Persistent link: https://www.econbiz.de/10010256161
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An empirical growth model for major oil exporters
Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - In: Journal of applied econometrics 29 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010414273
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
Persistent link: https://www.econbiz.de/10003877033
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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model
Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010
. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present …
Persistent link: https://www.econbiz.de/10008657123