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Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10012101166

Pre-Trade Transparency on the Italian Stock Exchange : A Trade Size Model on Panel Data

Bontempi, Maria Elena - 2009

stocks (up to 277) listed on the Italian Stock Exchange were studied through fixed-effects panel models, within intra day …

Persistent link: https://www.econbiz.de/10013156121

Economic Growth and Stock Prices : An Empirical Analysis with Panel Data (1999-2007)

Georgiou, Miltiades N. - 2010

should be discouraged. Data source is Eurostat and the panel data ere elaborated through the Eviews software package …

Persistent link: https://www.econbiz.de/10013137240

Inference for Unit Roots in Dynamic Panels in the Presence of Deterministic Trends

Harris, Richard D. F.; Tzavalis, Elias - 1998

This paper proposes a similar unit root testing procedure for heterogeneous dynamic panel data, based on the score … principle, assuming that the time dimension of the panel is fixed …

Persistent link: https://www.econbiz.de/10014072144

Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices

Choi, In; Chue, Timothy K. - 2005

This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …

Persistent link: https://www.econbiz.de/10014027534

Is it Beneficial to be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

Ziegler, Andreas - 2009

, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin’s Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …

Persistent link: https://www.econbiz.de/10011753185

The effect of fragmentation in trading on market quality in the UK equity market

Körber, Lena; Linton, Oliver; Vogt, Michael - 2013

volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …

Persistent link: https://www.econbiz.de/10009784711

Is it beneficial to be included in a sustainability stock index? : a panel data study for European firms

Ziegler, Andreas - 2009

Persistent link: https://www.econbiz.de/10008746683

Is it Beneficial to Be Included in a Sustainability Stock Index? A Panel Data Study for European Firms

Ziegler, Andreas - 2014

, namely the Dow Jones Sustainability World Index (DJSI World), on corporate financial performance. On the basis of panel data … assets and even insignificant for Tobin's Q in the flexible panel data models that include unobserved firm heterogeneity …. Therefore, we conclude that the application of misspecified panel data approaches, similar to cross-sectional models, can lead …

Persistent link: https://www.econbiz.de/10013070646

The Effect of Fragmentation in Trading on Market Quality in the UK Equity Market

Koerber, Lena - 2013

, volatility, liquidity and volume. We use panel regression methods on a weekly dataset following the FTSE350 stocks over the …

Persistent link: https://www.econbiz.de/10013077207