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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
of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence …
Persistent link: https://www.econbiz.de/10011460771
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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
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010398521
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Covariance prediction in large portfolio allocation
Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, pp. 1-24
Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...
Persistent link: https://www.econbiz.de/10012696234
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Weak versus strong dominance of shrinkage estimators
De Luca, Giuseppe; Magnus, Jan R. - 2021
We consider the estimation of the mean of a multivariate normal distribution with known variance. Most studies consider the risk of competing estimators, that is the trace of the mean squared error matrix. In contrast we consider the whole mean squared error matrix, in particular its...
Persistent link: https://www.econbiz.de/10012427193
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A shrinkage instrumental variable estimator for large datasets
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
construction of the final instruments, may provide effective estimation strategies. Shrinkage is a well known approach that … promotes parsimony. We consider a new shrinkage 2SLS estimator. We derive a consistency result for this estimator under general …
Persistent link: https://www.econbiz.de/10010284174
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Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage …
Persistent link: https://www.econbiz.de/10010280764
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Human capital and economic growth: Pakistan, 1960 - 2003
Abbasa, Qaisar; Foreman-Peck, James - 2007
This paper investigates the relationship between human capital and economic growth in Pakistan with time series data. Estimated with the Johansen (1991) approach, the aggregate production function rejects one version of the endogenous growth formulation. But the fitted model indicates that the...
Persistent link: https://www.econbiz.de/10010322752
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...
Persistent link: https://www.econbiz.de/10010331352
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Optimal bandwidth selection for robust generalized method of moments estimation
Wilhelm, Daniel - 2014
A two-step generalized method of moments estimation procedure can be made robust to heteroskedasticity and autocorrelation in the data by using a nonparametric estimator of the optimal weighting matrix. This paper addresses the issue of choosing the corresponding smoothing parameter (or...
Persistent link: https://www.econbiz.de/10010368186
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Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
Raknerud, Arvid; Skare, Øivind - 2009
This paper aims to develop new methods for statistical inference in a class of stochastic volatility models for financial data based on non-Gaussian Ornstein-Uhlenbeck (OU) processes. Our approach uses indirect inference methods: First, a quasi-likelihood for the actual data is estimated. This...
Persistent link: https://www.econbiz.de/10011968371