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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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The Relation between Idiosyncratic Volatility and Returns: A Growth Option Model with Stochastic Volatility and Jumps
TL;DR: The authors developed a zero-beta industry model of growth options to explain the conflicting empirical findings on the relation between stock returns and idiosyncratic return volatility at the firm level, by allowing for the volatility of the underlying idiosyncratic choice variables to exhibit independent switches between a high and low volatility regime.
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Value, Momentum and Market Timing
TL;DR: In this article, a two-factor asset pricing model comprising a "market" and a "mispricing" factor was developed to capture the cross-sectional variation of value and momentum.
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What Drives the Growth of Aggregate Residential Mortgage Debt in the U.S.
TL;DR: The authors examined the importance of fixed income and housing price variables in explaining and predicting the annual growth of Mortgage Debt Outstanding (MDO) or Unpaid Principal Balance (UPB) in the US residential mortgage market.
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A Component Markov Regime-Switching Autoregressive Conditional Range Model
Richard Harris,Murat Mazibas +1 more
TL;DR: In this paper, the authors developed a component Markov switching conditional volatility model based on the intraday range and evaluated its performance in forecasting the weekly volatility of the S&P 500 index.
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Bargaining and Wage Rigidity in a Matching Model for the US
TL;DR: This paper used robust econometric methods to assess previous empirical results for the Mortensen and Pissarides (1994) matching model and found that the model is consistent with the history dependence in US wages, even allowing for heterogeneous match productivities and credible bargaining.
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.