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Estimating the Wishart Affine Stochastic Correlation model using the empirical characteristic function
Fonseca, José da; Grasselli, Martino; Ielpo, Florian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 3, pp. 253-289
Persistent link: https://www.econbiz.de/10010384289
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Childhood neighborhood conditions and the persistence of adult income
Islam, TM Tonmoy - In: Regional science & urban economics 43 (2013) 4, pp. 684-693
Persistent link: https://www.econbiz.de/10009783733
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Identification of the covariance structure of earnings using the GMM estimator
Doris, Aedín; O'Neill, Donal; Sweetman, Olive B. - In: Journal of economic inequality 11 (2013) 3, pp. 343-372
Persistent link: https://www.econbiz.de/10009790241
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
into intraday covariance and correlation dynamics. We show that intraday (co-)variations (i) follow underlying periodicity …
Persistent link: https://www.econbiz.de/10010412428
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Spatial effects in a common trend model of US city-level CPI
Burridge, Peter; Iacone, Fabrizio; Lazarová, Stěpána - In: Regional science & urban economics 54 (2015), pp. 87-98
Persistent link: https://www.econbiz.de/10011479810
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Covariance matrix estimatioon and the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability
Hall, Alastair R.; Inoue, Atsushi; Peixe, Fernanda P. M. - In: Econometric theory 19 (2003) 6, pp. 962-983
Persistent link: https://www.econbiz.de/10001818930
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Demystifying Time-Series Momentum Strategies : Volatility Estimators, Trading Rules and Pairwise Correlations
Baltas, Nick - 2019
dynamic leverage mechanism. The correlation-adjusted variant outperforms the naive implementation of the strategy and the …
Persistent link: https://www.econbiz.de/10012905544
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Heteroskedasticity Consistent Covariance Matrix Estimators for Spatial Autoregressive Models
Taspinar, Suleyman - 2018
In the presence of heteroskedasticity, conventional test statistics based on the ordinary least square estimator lead to incorrect inference results for the linear regression model. Given that heteroskedasticity is common in cross-sectional data, the test statistics based on various forms of...
Persistent link: https://www.econbiz.de/10012931988
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Gaussian rank correlation and regression
Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 269-306). 2022
Persistent link: https://www.econbiz.de/10013194599