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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 Share of Systematic Variation in Bilateral Exchange Rates
TL;DR: In this paper, a slope factor (long in high beta currencies and short in low beta currencies) accounts for this cross-section of currency risk premia, which is orthogonal to the high-minus-low carry trade factor built from portfolios of countries sorted by their interest rates.
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Limiting Laws of Coherence of Random Matrices with Applications to Testing Covariance Structure and Construction of Compressed Sensing Matrices
T. Tony Cai,Tiefeng Jiang +1 more
TL;DR: The limiting laws of the coherence of an n× p random matrix in the high-dimensional setting where p can be much larger than n are derived and the law of large numbers and the limiting distribution are derived.
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Political Risk Spreads
TL;DR: In this paper, the authors introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a country's US dollar debt and an equivalent US Treasury bond.
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Can Rare Events Explain the Equity Premium Puzzle
Christian Julliard,Anisha Ghosh +1 more
TL;DR: This article showed that the rare events explanation of the EPP signi cally worsens the ability of the Consumption-CAPM to explain the cross-section of asset returns, due to the fact that, by assigning higher probabilities to bad -economy wide -states in which consumption growth is low and all the assets in the crosssection tend to yield low returns, the rare event hypothesis reduces the crosssectional dis- persion of consumption risk relative to the cross -sectional variation of average.
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Further Evidence on the Relation Between Analysts' Forecast Dispersion and Stock Returns
TL;DR: This article found that the negative association between changes in dispersion and contemporaneous stock returns is not due to increased uncertainty but rather increased information asymmetry, and provided support for Johnson's (2004) explanation that dispersion levels reflect idiosyncratic uncertainty that increases the option value of the firm.
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.