Regression models sometimes contain a linear parametric part and a part obtained by reducing the dimension of a larger set of data. This paper considers properties of estimates of the interpretable parameters of the model, in a general setting in which a potentially unbounded set of other...

Many non- and semi- parametric estimators have asymptotic properties that have been established under conditions that exclude the possibility of singular parts in the distribution. It is thus important to be able to test for absence of singularities. Methods of testing that focus on specific...

Dependence among large observations in equity markets is usually examined using second-moment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce similar estimates on different major equity markets, with a sum of estimated GARCH...

Many processes can be represented in a simple form as infinite-order linear series. In such cases, an approximate model is often derived as a truncation of the infinite-order process, for estimation on the finite sample. The literature contains a number of asymptotic distributional results for...

We examine a simple estimator for the multivariate moving average model based on vector autoregressive approximation. In finite samples the estimator has a bias which is low where roots of the characteristic equation are well away from the unit circle, and more substantial where one or more...

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

GARCH models and their variants are usually estimated using quasi-Maximum Likelihood (QML). Recent work has shown that by using estimates of quadratic variation, for example from the daily realized volatility, it is possible to estimate these models in a different way which incorporates the...