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Structural breaks in interactive effects panels and the stock market reaction to COVID-19
Karavias, Yiannis; Narayan, Paresh Kumar; Westerlund, Joakim - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 653-666
Persistent link: https://www.econbiz.de/10014448426
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Alternative approaches to estimation and inference in large multifactor panels : small sample results with an application to modelling of asset returns
Kapetanios, George; Pesaran, Mohammad Hashem - 2005
This paper considers alternative approaches to the analysis of large panel data models in the presence of error cross …
Persistent link: https://www.econbiz.de/10010276160
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Dynamic Panels, Cross Sectional Correlation, and Arbitrage in Equities Market
Huang, Xiao - 2018
This paper studies estimation in linear dynamic panel data models with multiple interactive effects when both N and T … are large. We derive the bias term in an order p dynamic panel data model and the limiting distribution of the estimator … between 2000 and 2015 shows dynamic panel data model is an effective method to produce effective trading strategies …
Persistent link: https://www.econbiz.de/10012938610
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High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data
Ait-Sahalia, Yacine - 2010
This paper proposes a consistent and efficient estimator of the high frequency covariance (quadratic covariation) of two arbitrary assets, observed asynchronously with market microstructure noise. This estimator is built upon the marriage of the quasi-maximum likelihood estimator of the...
Persistent link: https://www.econbiz.de/10013141704
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Characteristic-sorted portfolios : estimation and inference
Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016
Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...
Persistent link: https://www.econbiz.de/10011523775
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Implementing the panel event study
Clarke, Damian; Tapia Schythe, Kathya - 2020
Many studies estimate the impact of exposure to some quasi-experimental policy or event using a panel event study … time. In this paper we discuss the set-up of the panel event study design in a range of situations, and lay out a number of …
Persistent link: https://www.econbiz.de/10012256137
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Structural breaks in the correlations between Asian and US stock markets
Lee, Chia-Hao; Chou, Pei-I - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-9
Persistent link: https://www.econbiz.de/10012659820
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Market integration between conventional and Islamic stock prices
Majdoub, Jihed; Mansour, Walid; Jouini, Jamel - In: The North American journal of economics and finance : a … 37 (2016), pp. 436-457
Persistent link: https://www.econbiz.de/10011672988
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Modeling time-varying correlations in volatility between BRICS and commodity markets
Kang, Sang Hoon; McIver, Ron; Yoon, Seong-min - In: Emerging markets finance & trade : a journal of the … 52 (2016) 7/9, pp. 1698-1723
Persistent link: https://www.econbiz.de/10011594437