In this paper, we address the issue of spurious correlation in the production of health in a systematic way. Spurious … correlation entails the risk of linking health status to medical (and nonmedical) inputs when no links exist. This note first … presents the bounds testing procedure as a method to detect and avoid spurious correlation. It then applies it to a recent …

. It is therefore not influenced by the Epps effect. Moreover, the estimation procedure is free of tuning parameters or …

/tables/figures of the paper are referenced by numbers. In Section A, we expose the estimation procedure of the models employed in the … detail the estimation method and the results behind our findings about the long-run and short-run effects of the volatility …

components and the mixed-sign component load differently on economic information concerning stochastic correlation and jumps. The …

inputs within the investment process. It is this estimation step which is ultimately key in transforming raw financial data … into useful investment information. Therefore, having a flexible and robust estimation process is of crucial importance to … different forms of time-conditioning and market state-conditioning into any estimation procedure. This framework allows one to …

its error component is partially unspecified. The statistical properties of the model are discussed and a novel estimation …

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations …-of-the-art realized correlation estimators which I then use to testing for normality, long-memory, asymmetries and jumps and also to … modeling for jumps. Jumps are detected when the realized correlation is higher than 0.99 and lower than 0.01 in absolute values …