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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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Journal ArticleDOI
Revisiting Non-Parametric Exchange Rate Prediction
Nikola Gradojevic,Marko Caric +1 more
TL;DR: This article examined the forecasting performance of Diebold and Nason's non-parametric model for six major spot Canadian dollar exchange rates for the period 1987-2004 and suggested that a more flexible nonparametric estimation technique (artificial neural networks) is required and drew into question the choice of lagged dependent variables as explanatory factors.
Posted Content
Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?
TL;DR: The authors empirically tested this hypothesis and found that risk-adjusted returns on stock portfolios consisting of luxury goods firms with high exposure to China shifted persistently downward around the launch of the anti-corruption campaign.
Proceedings ArticleDOI
A Study of Impact on the Changes of Telecom Price Policy
Wei Ming,Yang Shu-e,Wang Gui-pu +2 more
TL;DR: In this article, abnormal returns of policy changes of telecom price, announcements issued by China Mobile and China Unicom, and rumors about unilateral charge on mobile communications were tested, and it was concluded that industrial policies have more distinct impact on the stock price of later listed company (i.e. China Unicoms); while operating environment and the performance changes have more influence on the early listed company of China Mobile.
Journal ArticleDOI
Idiosysncratic Variance Matters and Covariance also Does
TL;DR: This article found that cross-sectional information across stocks has significant forecasting power to predict portfolio returns in the Japanese stock market, and developed the techniques to improve the forecasting power of cross-sectional information.
Journal Article
The Effects of Post-Katrina Gasoline Price Regulations: The Contrast between New Brunswick and Nova Scotia / Les effets des règlementations des prix de l'essence après Katrina: le contraste entre le Nouveau Brunswick et de la Nouvelle Écosse
TL;DR: In this article, the effects of a price regulation introduced in Nova Scotia and New Brunswick in July 2006 were analyzed using a difference-in-differences empirical model, and it was shown that prices decreased only in New Brunswick after the regulation's introduction.
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.