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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
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10010361374
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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Estimation of conditional asset pricing models with integrated variables in the beta specification
Antypas, Antonios; Caporale, Guglielmo Maria; … - 2019
functional form of the conditional beta will inherit a nonstationary right hand side. Our approach uses the cointegrating …
Persistent link: https://www.econbiz.de/10012138849
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Persistence in the realized betas : some evidence for the Spanish stock market
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper examines the stochastic behaviour of the realized betas within the one-factor CAPM for the six companies …
Persistent link: https://www.econbiz.de/10012194334
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011646274
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Measuring market expectations
Baumeister, Christiane - 2021
Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...
Persistent link: https://www.econbiz.de/10012622575
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Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes
Gollier, Christian - 2012
of growth are statistically independent, the discount rate is increasing with maturity if and only if the beta of the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain … probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …
Persistent link: https://www.econbiz.de/10009689360
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Interpreting OLS estimands when treatment effects are heterogeneous : smaller groups get larger weights
Słoczyński, Tymon - 2020
Applied work often studies the effect of a binary variable (“treatment”) using linear models with additive effects. I study the interpretation of the OLS estimands in such models when treatment effects are heterogeneous. I show that the treatment coefficient is a convex combination of two...
Persistent link: https://www.econbiz.de/10012223869
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Quantifying the internal validity of weighted estimands
Poirier, Alexandre; Słoczyński, Tymon - 2025
In this paper we study a class of weighted estimands, which we define as parameters that can be expressed as weighted averages of the underlying heterogeneous treatment effects. The popular ordinary least squares (OLS), two-stage least squares (2SLS), and two-way fixed effects (TWFE) estimands...
Persistent link: https://www.econbiz.de/10015358999
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Impulse response matching estimators for DSGE models
Guerrón-Quintana, Pablo A.; Inoue, Atsushi; Kilian, Lutz - 2016
One of the leading methods of estimating the structural parameters of DSGE models is the VAR-based impulse response matching estimator. The existing asymptotic theory for this estimator does not cover situations in which the number of impulse response parameters exceeds the number of VAR model...
Persistent link: https://www.econbiz.de/10011418016