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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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Testing the Markov property with ultra high frequency financial data
TL;DR: In this article, the authors develop a framework to nonparametrically test whether discrete-valued irregularly-spaced financial transactions data follow a Markov process, and investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange.
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Stationarity of seasonal patterns in weekly agricultural prices
TL;DR: In this article, a procedure to test for the null hypothesis of stationarity at seasonal frequencies was extended to the weekly case and unit root and stationarity tests were applied to weekly retail prices of different agricultural commodities in Spain.
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Buy in May and Sell on St. Leger Day? The Reversal Halloween Effect in QMJ
TL;DR: In this article, the authors found that both quality and junk have a significant Halloween effect: the portfolios have a relatively better performance during winter as compared with summer, and that Junk is greater than quality in terms of the magnitude of Halloween effect.
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Dynamic Indexes: Equity Rotation and Factor Timing
TL;DR: In this paper, the authors build on the existing literature regarding the factor exposure of value-weighted and equalweighted portfolios and make use of the diversity-weighting indexing approach, in order to dynamically derive the degree of tilt towards an equal weighting.
Essays on the effects of oil price shocks on the U.S. stock returns
TL;DR: In this article, the authors present an analysis of the response to positive and negative innovations in the nominal oil price for h = 1, 2,..., 12 for the case where h = 0, 1, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12.
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.