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A Very Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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This article is published in Research Papers in Economics.The article was published on 1991-01-01 and is currently open access. It has received 736 citations till now. The article focuses on the topics: Covariance function & Estimation of covariance matrices.read more
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Oil usage, gas consumption and economic growth: Evidence from Poland
TL;DR: In this article, the authors investigated causal links between economic growth, oil consumption and natural gas usage in Poland on the basis of quarterly data for the period Q1 2000 -Q4 2009.
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The Decision to Concentrate: Active Management, Manager Skill, and Portfolio Size
TL;DR: In this paper, the authors formally examine the implicit assumption that the initial portfolio concentration decision is related to a manager's inherent investment skill, and they conclude that talented asset managers should and actually do hold more concentrated portfolios and that the extent of this concentration decision was meaningfully related to forecasting skill.
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Momentum in stock market returns, risk premia on foreign currencies and international financial integration
TL;DR: In this paper, two risk factors extracted from the stock index momentum based currency portfolio returns explain more than 80 percent of their cross-sectional variation and are associated with relatively deep financial integration and a high level of risk sharing.
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A convergence improvement of the BSAIC preconditioner by deflation
TL;DR: A numerical solution to topology optimization problems of domains in which boundary value problems of partial differential equations are defined by a gradient method in a design space for the design variable.
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Foreign exchange risk in stock returns
TL;DR: In this paper, the authors examined whether regional currency premiums explain foreign stock returns in a multifactor global asset pricing model for four different geographical regions and found that the regional currency premium is the spread between the return of a portfolio of currency investments from a given region and the average global currency return.
References
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Large sample properties of generalized method of moments estimators
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Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data
John C. Driscoll,Aart Kraay +1 more
TL;DR: The authors presented conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large.
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Assessing the Contribution of Venture Capital to Innovation
TL;DR: This paper examined the influence of venture capital on patent applications in twenty industries over three decades and found that increases in venture capital activity in an industry are associated with significantly higher patenting rates.
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Approximately Normal Tests for Equal Predictive Accuracy in Nested Models
TL;DR: In this paper, the mean squared prediction error (MSPE) from the parsimonious model is adjusted to account for the noise in the large model's model. But, the adjustment is based on the nonstandard limiting distributions derived in Clark and McCracken (2001, 2005a) to argue that use of standard normal critical values will yield actual sizes close to, but a little less than, nominal size.
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Tests of Conditional Predictive Ability
TL;DR: This paper proposed a framework for out-of-sample predictive ability testing and forecast selection designed for use in the realistic situation in which the forecasting model is possibly misspecified, due to unmodeled dynamics, unmodelled heterogeneity, incorrect functional form, or any combination of these.