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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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UK Real‐Time Macro Data Characteristics*
Anthony Garratt,Shaun P. Vahey +1 more
TL;DR: This work characterises the relationships between preliminary and subsequent measurements for 16 commonly-used UK macroeconomic indicators drawn from two existing real-time data sets and a new nominal variable database and uses a vector autoregresion to generate real- time one-step-ahead probability event forecasts.
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Headlines and Bottom Lines: Attention and Learning Effects from Media Coverage of Mutual Funds
TL;DR: In this paper, the role of media coverage in investment decisions of mutual fund investors and the consequent effects on fund flows was investigated, finding that fund characteristics affect the probability of a news story and that the existence and stance of news coverage affects net investor flows into the fund in ways consistent with investor attention and learning.
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Corporate Vulnerability Index as a Fear Gauge? Exploring the Contagion Effect between U.S. and Korean Markets
TL;DR: Kim et al. as mentioned in this paper explored the transmission of credit risk from the U.S. stock market to Korean markets for stock, equity futures, and volatility, and showed that a shock to the CVI for S&P 500 Index stocks has a highly significant influence on the KOSPI 200, KosPI 200 futures and the VKOSPI volatility index.
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The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk
TL;DR: In this article, the relevance of recently developed news-based measures of economic policy and equity market uncertainty in causing and predicting the conditional quantiles of crude oil returns and risk was analyzed.
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Import Competition and Skill Content in U.S. Manufacturing Industries
TL;DR: This article showed that import competition can explain a significant portion of the variation in various skill measures across manufacturing industries, including cognitive, interpersonal, and manual skills, and fewer cognitive routine skills.