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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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Does the uncovered interest parity hold in short horizons
Özgür Aslan,Levent Korap +1 more
TL;DR: In this article, the authors examined uncovered interest parity (UIP) theory for exchange rate determination and showed that the UIP hypothesis assumes that if capital is perfectly mobile, then investors around the world will be indifferent between holding their portfolios in domestic or foreign securities because they obtain the same return from these assets.
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The Impact of Electronic Trading on Liquidity
Alex Frino,Amelia Hill +1 more
TL;DR: In this article, the London International Financial Futures and Options Exchange (LIFFE), Sydney Futures Exchange (SFE), and Hong Kong Futures exchange (HKFE) transferred trading in stock index futures from open outcry to electronic markets, with significantly lower bidask spreads recorded for the electronic trading systems of the SFE and HKFE.
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Smart Beta Is Not Monkey Business
TL;DR: The results show that, although some strategies such as fundamental equity indexation may perhaps be driven by a value tilt and may generate similar performance to their upside-down counterpart, many smart beta strategies display exposure to additional factors, as well as pronounced differences in factor exposures across different strategies.
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Exchange rate uncertainty, UK trade and the euro
TL;DR: In this paper, the impact of exchange rate uncertainty on the disaggregated imports of the UK is investigated by focusing on 15 major manufacturing categories and finding no evidence that exchange rate volatility has a positive impact on international trade.