-specific effects on implied tranche correlations. The implied-correlation forecasts of tranche spreads are compared to forecasts using … correlation model …

. We show that consistent estimation of the long-run average parameter is possible once we control for cross …

and corresponding GMM estimates in which spatial error correlation is ignored are small …

adaptive analytic tools, wavelets are useful for capturing serial correlation where the spectrum has peaks or kinks, as can … cycles, and other kinds of periodicity. This paper proposes a new class of wavelet-based tests for serial correlation of … correlation of unknown form. We propose and justify a data-driven finest scale, in an automatic manner, converges to zero under …

with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two … ; spatial correlation ; spatial panel model …

with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two …

omitted variable bias. A panel model allowing for spatial correlation is a convenient way to capture these effects. This …