We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...

Research Question- We investigate the relationship between information technology (IT) capability and firm performance of US firms during 1989-2012. Motivation- We identify the model misspecification and estimation problems in Santhanam and Hartono (2003), Chae et al. (2014), Choi and George...

This article offers an empirical analysis of determinants of inflation in 28 European economies that belonged to the transition group of countries in the end of the last century. We rely on dynamic panel methodology and find that economic and structural variables, including economic openness,...

We study the role of international financial integration in buffering natural disaster shocks, using a large sample of advanced and emerging economies. Conditioning on such exogenous events addresses the endogeneity between financial structures and economic conditions. We document that...

This paper investigates the degree of fixed-mobile call substitution (FMCS). We use quarterly data from 2004 to mid 2010 on 16 mainly Western European countries. By applying dynamic panel data techniques, we are able to estimate short-and long-run elasticities. The own-price and cross-price...

This paper investigates the degree of fixed-mobile call substitution (FMCS). We use quarterly data from 2004 to mid 2010 on 16 mainly Western European countries. By applying dynamic panel data techniques, we are able to estimate short- and long-run elasticities. The own-price and cross-price...

Extensive research efforts notwithstanding, scholars continue to disagree on the nature and meaning of party identification. Traditionalists conceive of partisanship as a largely affective attachment to a political party that emerges in childhood through parental influences and tends to persist...

This study investigates the impact of ownership structure on firms' audit report lag. The research sampled 102 Saudi non-financial listed companies' data from 2012 to 2021. The data was analysed using a generalised method of moments (GMM) framework. The findings significantly suggest that as...

The Arellano-Bond estimator is a fundamental method for dynamic panel data models, widely used in practice. However, the estimator is severely biased when the data's time series dimension T is long due to the large degree of overidentification. We show that weak dependence along the panel's time...

We use dynamic panel analysis to examine whether credit rating agencies achieve what they claim to achieve, namely, look into the future when assigning their ratings. We find that Moody's ratings help predict individual financial ratios over a horizon of up to five years. Ratings also predict a...