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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014

multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of … theoretical constant arising in the rate of convergence of existing thresholding estimators. We compare the performance of our …

Persistent link: https://www.econbiz.de/10010398521

Global Food Prices and Inflation

Anderl, Christina; Caporale, Guglielmo Maria - 2024

This paper uses the endogenous regime switching model with dynamic feedback and interactions developed by Chang et al. (2023) to estimate global food price mean and volatility indicators, the latter measuring uncertainty and risk in the global food market. Both are then included in structural...

Persistent link: https://www.econbiz.de/10014534439

Gold, Oil, and Stocks: Dynamic Correlations

Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - 2015

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010531821

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012908680

Harding, Matthew C. - 2018

Pesaran (2015) and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under …

Persistent link: https://www.econbiz.de/10012908711

Long-Run Linkages between US Stock Prices and Cryptocurrencies : A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10014239604

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

Baruník, Jozef - 2019

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra-day data over the period 2007 - 2017. By employing variance decompositions and their spectral representation in combination with realized semivariances to account for asymmetric and...

Persistent link: https://www.econbiz.de/10012865701

Persistence, Non-Linearities and Structural Breaks in European Stock Market Indices

Caporale, Guglielmo Maria - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012866377

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012859046

Estimation and Inference in Spatial Models with Dominant Units

Pesaran, M. Hashem - 2020

In spatial econometrics literature estimation and inference are carried out assuming that the matrix of spatial or …

Persistent link: https://www.econbiz.de/10012849715