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ECONIS (ZBW)
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1
Exponent of cross-sectional dependence for residuals
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
-
2018
findings. Finally, we undertake an empirical investigation of α for the errors of the
CAPM
model and its Fama-French extensions …
Persistent link: https://www.econbiz.de/10011900761
Saved in:
2
Exponent of cross-sectional dependence for residuals
Bailey, Natalia
;
Kapetanios, George
;
Pesaran, M. Hashem
-
2018
Persistent link: https://www.econbiz.de/10012583496
Saved in:
3
Detection of units with pervasive effects in large panel data models
Kapetanios, George
;
Pesaran, M. Hashem
;
Reese, S.
- In:
Journal of econometrics
221
(
2021
)
2
,
pp. 510-541
Persistent link: https://www.econbiz.de/10012619248
Saved in:
4
Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2009
Persistent link: https://www.econbiz.de/10003814581
Saved in:
5
Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2009
Persistent link: https://www.econbiz.de/10003851191
Saved in:
6
Variable selection,
estimation
and inference for multi-period forecasting problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2010
Persistent link: https://www.econbiz.de/10003978514
Saved in:
7
Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem
;
Pick, Andreas
;
Timmermann, Allan
-
2009
direct forecasts when
estimation
error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10003807908
Saved in:
8
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 …
Persistent link: https://www.econbiz.de/10011405221
Saved in:
9
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
Saved in:
10
A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia
-
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/10013053343
Saved in:
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