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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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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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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
Ravi Jagannathan,Tongshu Ma +1 more
TL;DR: In this paper, the authors show that constraining portfolio weights to be nonnegative is equivalent to using the sample covariance matrix after reducing its large elements and then form the optimal portfolio without any restrictions on portfolio weights.
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Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations
TL;DR: In this article, a production-based asset pricing model is proposed, which is analogous to the standard consumption-based model, but it uses producers and production functions in the place of consumers and utility functions.
References
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Sovereign Default and the Decline in Interest Rates
TL;DR: The authors proposed an explanation based on a decline in inflation and default risk, which is more consistent with the long-run nature of the interest rate decline, and showed that a model with investment, inventory storage, and sovereign default captures the decline in interest rates, the stability of equity valuation ratios, and the recent reduction in investment and output growth coinciding with the binding zero lower bound.
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Cointegration modeling of interrelated factor demands: With an application to labor–import substitution in the European Union
TL;DR: In this article, the authors present techniques for cointegration modeling of interrelated factor demands, which respect the non-stationary character of the price and quantity data, and permit specification of general, dynamic factor demand models based on error correction forms derived from co-integration.
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Idiosyncratic Kurtosis and Expected Returns
Benjamin M. Blau,Ryan J. Whitby +1 more
TL;DR: This article examined how the thickness and width of the tails of return distributions affect expected returns and found that kurtosis is negatively related to expected returns. But they also found that the width of return distribution has a return premium that is substantially more negative than the thickness of the return distribution.
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The forward- and the equity-premium puzzles: two symptoms of the same illness?
TL;DR: In this article, the authors build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption-based models by interpreting the stochastic discount factor as the projection of a pricing kernels from a fully specied model in the space of returns.
An Analysis of the Effects of Political Events on Oil Price Volatility and Consequential Spillover Effects on Selected GCC Stock Markets: An Emphasis on the Case of Kuwait
TL;DR: Acknowledgment and List of Abbreviations of the Declaration of Independence are given in this paper, with a table of abbreviations for each of the declarations and acknowledgements.