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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 (contributor);  … - 2005
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
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Cross-country evidence on the relation between equity prices and the current account
Berg, Tim Oliver - 2009
the period 1980 - 2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those … fluctuations, equity prices, panel vector autoregression …
Persistent link: https://www.econbiz.de/10010384487
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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 (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808264
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Alternative approaches to estimation and inference in large multifactor panles : small sample results with an application to modelling of asset returns
Kapetanios, George (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10002808714
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A global perspective of market reaction to environmental quality : evidence from dynamic panel approach
Yahya, Farzan; Huy Pham; Waqas, Muhammad - In: International journal of green economics : IJGE 14 (2020) 4, pp. 366-385
Persistent link: https://www.econbiz.de/10012510879
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Oil price asymmetric effects : answering the puzzle in international stock markets
Ramos, Sofia B.; Veiga, Helena - In: Energy economics 38 (2013), pp. 136-145
Persistent link: https://www.econbiz.de/10009764598
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Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …
Persistent link: https://www.econbiz.de/10012042424
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Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns
Galvão Júnior, Antônio Fialho; Juhl, Ted; … - In: Journal of financial econometrics : official journal of … 16 (2018) 2, pp. 211-243
Persistent link: https://www.econbiz.de/10011987759
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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
across several estimation methods. Panel Granger causality test results indicate that there indeed is a Granger … for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US …
Persistent link: https://www.econbiz.de/10012242861
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High dimensional latent panel quantile regression with an application to asset pricing
Belloni, Alexandre; Chen, Mingli; Madrid Padilla, Oscar … - 2019
Persistent link: https://www.econbiz.de/10012170765