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Equilibrium moment restrictions on asset returns : normal and crisis periods

Simmons, Peter J.; Tantisantiwong, Nongnuch - In: The European journal of finance 20 (2014) 10/12, pp. 1064-1089

Persistent link: https://www.econbiz.de/10010465917

Matching, human capital, and the covariance structure of earnings

Parent, Daniel - In: Labour economics : official journal of the European … 9 (2002) 3, pp. 375-404

Persistent link: https://www.econbiz.de/10001682202

The determinants of asymmetric volatility

Wu, Guojun - In: The review of financial studies 14 (2001) 3, pp. 837-859

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Dynamic panel data models with spatial correlation

Hujer, Reinhard; Rodrigues, Paulo J. M.; Wolf, Katja - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 5/6, pp. 612-629

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Finite sample properties of alternative GMM estimators for random effects models with spatially correlated errors

Larch, Mario; Walde, Janette F. - In: The annals of regional science : an international … 43 (2009) 2, pp. 473-490

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Identification of the covariance structure of earnings using the GMM estimator

Doris, Aedín; O'Neill, Donal; Sweetman, Olive B. - 2010

In this paper we study the performance of the GMM estimator in the context of the covariance structure of earnings. Using analytical and Monte Carlo techniques we examine the sensitivity of parameter identification to key features such as panel length, sample size, the degree of persistence of...