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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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Risk and Return of Merger Arbitrage in the UK: 2001 to 2004
TL;DR: In this paper, the authors used daily data from the United Kingdom to generate three simulated merger arbitrage portfolio return series, for the period 2001 through to 2004, and found no evidence of an increase in systematic risk in depreciating equity markets.
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Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets
TL;DR: In this paper, the authors study learning and uncertainty under the factor investing paradigm using an endogenous information model with correlated assets and propose a model-based, forward-looking measure of attention to systematic versus firm-level information.
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Discussion of Lazarus, Lewis, Stock, and Watson, “HAR Inference: Recommendations for Practice”
TL;DR: In this article, Bartlett/Newey-West (NW) and Newey and West (NW-TB) estimators are compared with EWC and NW-TB.
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What Explains Output Volatility? Evidence from the G3
Maria Grydaki,Stilianos Fountas +1 more
TL;DR: In this article, the authors investigated the short run and long run impact of the determinants of output volatility for the G3 during the period 1974-2009 and found that nominal variability, namely variability in the interest rate and inflation, explains output volatility.
Order placement strategies across different trading platforms: an empirical approach
TL;DR: A court may impose penalties and award damages in relation to offences and infringements relating to copyright material as discussed by the authors, and higher penalties may apply, and higher damages may be awarded, for offences and inferences involving the conversion of material into digital or electronic form.