In econometrics some nonparametric instrumental regression models and nonparametric demand models with endogeneity lead …

show that the correlation may increase or decrease the variances of the estimators. There are several factors that … influence how correlation affects the variance of the estimators, including the choice of estimator, the strength of the …

almost all these papers ignore the bias in the estimated standard errors that serial correlation introduces. This is …

We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large … system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation … parameters can lead to misleading conclusions. We then suggest a more tractable dynamic conditional correlation model (cDCC model …

-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate …

The Gaussian rank correlation equals the usual correlation coefficient computed from the normal scores of the data … correlation matrix based on the Gaussian rank correlation is always positive semidefinite, and very easy to compute, also in high … the popular Kendall and Spearman correlation measures. In the empirical application, we show how it can be used for …