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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

A multiple testing approach to the regularisation of large sample correlation matrices

Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015

This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the … of estimating the theoretical constant arising in the rate of convergence of existing thresholding estimators, and hence … it is easy to implement and does not require cross-validation. The MT estimator of the sample correlation matrix is shown …

Persistent link: https://www.econbiz.de/10011460771

Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics 7 (2019) 2, pp. 1-24

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...

Persistent link: https://www.econbiz.de/10012696234

Inference for systems of stochastic differential equations from discretely sampled data: A numerical maximum likelihood approach

Lux, Thomas - 2012

Maximum likelihood estimation of discretely observed diffusion processes is mostly hampered by the lack of a closed … for the estimation of a joint system of short-run and medium run investor sentiment and asset price dynamics using German …

Persistent link: https://www.econbiz.de/10010287012

Uncertainty and economic performance in the West African Monetary Zone (WAMZ): A fixed effect panel threshold approach

Egbuna, Ngozi Eunice; John-Sowe, Maimuna; Mohammed, Dauda; … - 2020

Concerns about the impact of the general global uncertainty on economic performance have dominated academic debate in the aftermath of the Global Financial Crisis leading to huge body of empirical studies on ways of measuring and quantifying countries uncertainty and its impact on GDP,...

Persistent link: https://www.econbiz.de/10013362889

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10013432955

Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation

Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022

We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine …

Persistent link: https://www.econbiz.de/10014321750

GARCH Family Models vs EWMA: Which is the best model to forecast volatility of the Moroccan stock exchange market?

Jebari, Ouael El; Hakmaoui, Abdelati - In: Revista de Métodos Cuantitativos para la Economía y … 26 (2018), pp. 237-249

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk,...

Persistent link: https://www.econbiz.de/10014494424

What are the main factors driving behind the MENA countries current account deficit? A panel logit approach analysis

Guellil, Mohammed Seghir; Hassoun, Salah Eddine Sari; … - In: Revista de Métodos Cuantitativos para la Economía y … 33 (2022), pp. 134-153

The sustained current account deficit in any country has an important implication for policy. If it continues, then it suggests that the regime ought to have no motivation to avoid or to diminish its international debt. In this paper, we test empirically the relationship among current account...

Persistent link: https://www.econbiz.de/10014494565

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