Estimation of the covariance matrix of asset returns is crucial to portfolio construction. As suggested by economic theories, the correlation structure among assets differs between emerging markets and developed countries. It is therefore imperative to make rigorous statistical inference on...

The Financial Accounting Standard Board (FASB) recently issued Accounting Standards Update No. 2016-01 which requires firms to report unrealized gains and losses on available-for-sale (AFS) equity securities in net income, thus reducing firms’ ability to manage or smooth earnings. Previously,...