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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 Long-Run Relationship among Health and Income in Mexico, 1940-2011
TL;DR: In this article, the authors analyzed the long-run relationship between health and real per capita income in Mexico, allowing for the presence of multiple structural breaks along 1940-2011, with the aim to study its long run relationship and how reductions of the public expenditure have affected this link.
Study on Effect of Jumping Risk and Volatility Risk on TAIEX Option Return
TL;DR: Wang et al. as mentioned in this paper explored the relationship between the risk and reward of selected right in Taiwan index, focusing on the pricing the jump risk of option risk in the stock market.
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Lotto, How to Win? Skew Timing Strategies
Jian Chen,Yangshu Liu,Jun Tu +2 more
TL;DR: In this article, the authors investigate whether the lotto investor can benefit from the time-varying skewness of market portfolio and how to capture the gain using skew timing strategies.
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Evaluación del entorno de marketing turístico
TL;DR: Aplicar una modelización que permite la evaluación del entorno de marketing turístico de forma diaria, a ventaja principal radical en su capacidad para medir directamente los efectos de los factores del entorón de marketing in los resultados empresariales; siendo la mayor novedad el modo en que estas proyecciones se miden, ya que no son meras percepciones sino reacciones monetarias bas
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Where Is the “Meat” in Smart Beta Strategies?
Jarkko Peltomäki,Janne Äijö +1 more
TL;DR: In this article, the authors used principal component analysis (PCA) to address the relevance and style mix of four common smart beta strategy indexes: minimum volatility, momentum, fundamental value, and equal weight.
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.