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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012
Persistent link: https://www.econbiz.de/10009579875
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 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/10009530816
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Exponent of cross-sectional dependence : estimation and inference
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 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/10009488893
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The use of recursive model selection strategies in forecasting stock returns
Pesaran, M. Hashem; Timmermann, Allan - 1994
Persistent link: https://www.econbiz.de/10000924261
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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
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003491106
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
than by GARCH type volatility estimates. The t-DCC estimation procedure is applied to a portfolio of daily returns on …-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/10003586562
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Modelling volatilities and conditional correlations in futures markets with a multivariate t distribution
Pesaran, Bahram (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003499671
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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 …-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
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The role of pricing errors in linear asset pricing models with strong, semi-strong, and latent factors
Pesaran, M. Hashem; Smith, Ron - 2023
-strong factors, and latent weak factors. It focusses on the estimation of ∅k = λk − μk which plays a pivotal role, not only in the … estimation of risk premia but also in tests of market efficiency, where λk and μk are respectively the risk premium and the mean …
Persistent link: https://www.econbiz.de/10013549135