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Spread determinants and the day-of-the-week effect

Narayan, Paresh Kumar; Mishra, Sagarika; Narayan, Seema - In: The quarterly review of economics and finance : journal … 54 (2014) 1, pp. 51-60

Persistent link: https://www.econbiz.de/10010468792

Order flow imbalance effects on the German stock market

Hanke, Michael; Weigerding, Michael - In: Business research 8 (2015) 2, pp. 213-238

Order flow imbalance refers to the difference between market buy and sell orders during a given period. This paper is the first study to examine effects of order flow imbalance on returns of stocks traded on the German Xetra trading system on a daily basis. In contrast to previous studies on...

Persistent link: https://www.econbiz.de/10011488149

Do order imbalances predict Chinese stock returns? : new evidence from intraday data

Narayan, Paresh Kumar; Narayan, Seema; Westerlund, Joakim - In: Pacific-Basin finance journal 34 (2015), pp. 136-151

Persistent link: https://www.econbiz.de/10011535319

Estimation of linear dynamic panel data models with time-invariant regressors : conference paper

Kripfganz, Sebastian; Schwarz, Claudia - 2013 - This version: May 6, 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

Persistent link: https://www.econbiz.de/10010342822

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13

Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across countries or regions. This paper estimates dynamic panel...

Persistent link: https://www.econbiz.de/10011650493

Judging Contending Estimators by Simulation : Tournaments in Dynamic Panel Data Models

Kiviet, Jan F. - 2006

An attempt is made to set rules for a fair and fruitful competition between alternative inference methods based on their performance in simulation experiments. This leads to a list of eight methodologic aspirations. Against their background we criticize aspects of many simulation studies that...

Persistent link: https://www.econbiz.de/10014060519

Estimation of Stochastic Frontier Panel Data Models with Spatial Inefficiency

Belotti, Federico - 2019

that the estimation approach is consistent, showing good finite sample properties especially in small samples …

Persistent link: https://www.econbiz.de/10012869435

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

Change point estimation in panel data without boundary issue

Peštová, Barbora; Pešta, Michal - In: Risks : open access journal 5 (2017) 1, pp. 1-22

estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing and bootstrapping in …

Persistent link: https://www.econbiz.de/10011636497

Implementing the panel event study

Clarke, Damian; Tapia Schythe, Kathya - 2020

practical considerations for its estimation. We describe a Stata command eventdd that allows for simple estimation, inference …

Persistent link: https://www.econbiz.de/10012256137