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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
Citations
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Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
TL;DR: The main finding from the analysis of density forecasts is that, in many cases, the linear ACV models with the Burr and generalized gamma distributions provide significantly better density forecasts than thelinear ACV model with exponential innovations and the ARMA models in terms of the log-predictive score, calibration and sharpness.
Dissertation
Market timing and selectivity: evaluating both contributions towards the performance of portuguese equity funds
TL;DR: In this article, the authors evaluated the performance of 51 Portuguese equity funds between January 2001 and December 2010 and found that there is neither clever selectivity (security selection) nor skillful market timing abilities evidenced by most of the analyzed equity fund managers.
The Influence of World Factors on Finnish Stock Market Volatility
TL;DR: In this paper, the authors investigated to what extent the volatility of Finnish stock portfolios is transmitted through the "world volatility" and found that the world shock significantly enters the domestic models, and that the impact has increased over time.
Tipo de Cambio Nominal Chileno: Predicción en Base a Análisis Técnico
TL;DR: In this paper, the authors present a summary of the most important medidas utilizadas in el analisisis tecnico de la paridad peso-dolar.
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Under-diversification and idiosyncratic risk externalities
TL;DR: In this article, the authors consider an economy with two main components: under-diversification and endogenous, countercyclical idiosyncratic risk, and study the effects of idiosyncratic uncertainty on asset prices, investment and welfare.
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.
Posted Content
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.