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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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Regression with a Slowly Varying Regressor in the Presence of a Unit Root
TL;DR: In this paper, the authors considered the regression model with a slowly varying (SV) regressor in the presence of a unit root in serially correlated disturbances and derived the limiting distribution of the unit root test statistic.
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Implied Volatility Prediction Based on Different Term Structures: An Empirical Study of the SSE 50 ETF Options Market from High-Frequency Data
Wenqi Yang,Jingkun Ma +1 more
TL;DR: In this paper, the authors focused on the implied volatility forecast of the SSE 50 ETF options market from June 1, 2017, to August 30, 2019, and constructs AR (1) model and ARMA-GARCH model based on liquidity characteristics to compare and analyze the prediction effect of implied volatility on different option types and term structures.
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Dynamic Hedging, Expected Returns and Factor Timing
TL;DR: In this article, a single statistic constructed from the latent expected return dynamics -the spectral gap -was used to forecast market returns with an out-of-sample R-squared of 10.8% annually.
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Risk Tolerance, Marketing Information and Investment Decision Makings Under Loss Aversion: Theory and Evidence
Chi-Lu Peng,Chi-Lu Peng +1 more
TL;DR: In this article, the authors examine how changes in marketing information affects the degree of investor's risk aversion, and in turn, influences investor's decision-makings process under uncertainty, and find that cumulative prospect theory investors have propensity to discipline their depreciated assets and to sell their appreciated assets.
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Economic transparency and poverty
TL;DR: In this paper, the authors highlight the connection between economic transparency and poverty and show that central bank transparency is a useful strategy in reducing income inequality and poverty in the context of monetary policy.
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.