Similar Search Results

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

On the persistence of cross-country inequality measures

Christopulos, Dēmētrēs K.; McAdam, Peter - In: Journal of money, credit and banking : JMCB 49 (2017) 1, pp. 255-266

Persistent link: https://www.econbiz.de/10011708007

Dependence in macroeconomic variables: Assessing instantaneous and persistent relations between and within time series

Maxand, Simone - 2017

The present thesis comprises two rather independent chapters. In general, the diagnosis and quantiﬁcation of dependence is a major aim of econometric studies. Along these lines, the concept of dependence serves as an encompassing framework to analyze time series with two very diﬀerent...

Persistent link: https://www.econbiz.de/10012799255