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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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The Systemic Risk Potential in European Banking - Evidence from Bivariate GARCH Models
Michael Schröder,Martin Schüler +1 more
TL;DR: In this article, the authors employ a bivariate GARCH model to estimate conditional correlations between European bank stock indices and employ several tests to assess the development of systemic risk: a nonparametric test of constancy of the correlation, a test of parallel shifts in the correlation at pre-specified events, and a test for a linear time trend in the correlations.
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Impact of an accounting environment on cash flow prediction
Jussi Nikkinen,Petri Sahlström +1 more
TL;DR: In this article, the authors investigated the impact of an accounting environment on the performance of cash flow prediction models and found that the model performed well in countries where the accruals are used mainly to correct cash flows to better reflect current profitability of the firm.
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The Market Risk Premium and Long-Term Stock Returns
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Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises
Tom Engsted,Stig Vinther Møller +1 more
TL;DR: In this article, the authors used a beginning-of-period timing convention for consumption, and by including the Great Depression years in the analysis, they showed that on annual data from 1926 to 2009 a standard contemporaneous consumption risk model goes a long way in explaining the size and value premiums in cross-sectional data that include both the Fama-French portfolios and industry portfolios.
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Longitudinal assessment of cost in health care interventions
Joseph C. Gardiner,Zhehui Luo,Cathy J. Bradley,Elena Polverejan,Margaret Holmes-Rovner,David R. Rovner +5 more
TL;DR: The method allows greater use of total costs data, typically found in hospital records and claim files, that has not been previously attempted, and accounts for the differential impact of treatment duration on total cost, in addition to patient characteristics.