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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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Large-sample approximations for variance-covariance matrices of high-dimensional time series
Ansgar Steland,Rainer von Sachs +1 more
TL;DR: Large-sample approximations are established for such bilinear forms related to the sample variance-covariance matrix of a high-dimensional vector time series in terms of strong approximation by Brownian motions for uniformly l1-bounded projection vectors.
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Does Investment Horizon Matter? Disentagling the Effect of Institutional Herding on Stock Prices
TL;DR: In this paper, the authors disentangle the price impact of short-term and long-term institutional herding on stock prices and show that herding by shortterm institutions promotes price discovery.
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Option-Implied Correlations, Factor Models, and Market Risk
TL;DR: In this paper, the authors developed implied correlations for economic sectors and used them to extract option-implied risk factors from sector-based covariances to predict future market returns and risk in the form of market betas dispersion.
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International stock return predictability: statistical evidence and economic significance
Pierre Giot,Mikael Petitjean +1 more
TL;DR: In this paper, the predictability of stock returns in ten countries is assessed taking into account recently developed out-of-sample statistical tests and risk-adjusted metrics, including both valuation ratios and interest rate variables.
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Stochastic Idiosyncratic Operating Risk and Real Options: Implications for Stock Returns
TL;DR: In this paper, the authors introduce stochastic idiosyncratic operating risk into an equity valuation model of firms with growth options to explain the positive contemporaneous relation between stock returns and changes in idiosyncratic return volatility and the poor performance of stocks with high idiosyncratic volatility.