This paper provides evidence on the influence of oil price uncertainty on the real economic activity in two Middle Eastern countries, namely, Jordan and Turkey that are heavily dependent on oil imports. To measure the effect of uncertainty, the paper combines a bivariate structural VAR with a...

This paper deals with estimation and hypothesis testing in models allowing for trending processes that are possibly nonstationary, nonlinear, and non-Gaussian. Using semi-parametric estimators, we obtain asymptotic confidence intervals for the trend and memory parameters, and we develop joint...

This paper introduces a new method for estimating variance matrices. Starting from the orthogonal decomposition of the sample variance matrix, we exploit the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues. We estimate...

Many asset pricing theories treat the cross-section of returns volatility and correlations as two intimately related quantities driven by common factors, which hinders achieving a neat definition of a correlation premium. We formulate a model without factors, but with a continuum of securities...