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Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Panel data tests of return models with applications to global stock returns

Hjalmarsson, Erik - 2005

Persistent link: https://www.econbiz.de/10003553376

Optimal maximin GMM tests for sphericity in latent factor analysis of short panels

Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2025

Persistent link: https://www.econbiz.de/10015358019

A nonlinear panel data model of cross-sectional dependence

Kapetanios, George; Mitchell, James; Shin, Yongcheol - In: Journal of econometrics 179 (2014) 2, pp. 134-157

Persistent link: https://www.econbiz.de/10010372654

Inter-linkages between liquidity and stock returns : an empirical investigation through panel cointegration

Saeed, Sadia; Hassan, Arshad - In: Pakistan journal of commerce and social sciences 12 (2018) 2, pp. 617-637

error correction model have been applied in panel data setting. The Pedroni cointegration analysis provides evidence about …

Persistent link: https://www.econbiz.de/10011934263

Predictive regressions with panel data

Hjalmarsson, Erik (contributor) - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002569981

Predictive regressions with panel data

Hjalmarsson, Erik - 2006

Persistent link: https://www.econbiz.de/10003393540

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014

We conduct an empirical investigation of the pricing and economic sources of commonality in liquidity in the U.S. REIT market. Taking advantage of the specific characteristics of REITs, we analyze three types of commonality in liquidity: within-asset commonality, cross-asset commonality (with...

Persistent link: https://www.econbiz.de/10010412872

Commonality in liquidity and real estate securities

Hoesli, Martin; Kadilli, Anjeza; Reka, Kustrim - 2014

Persistent link: https://www.econbiz.de/10010438228

A random coefficient approach to the predictability of stock returns in panels

Westerlund, Joakim; Narayan, Paresh Kumar - In: Journal of financial econometrics : official journal of … 13 (2015) 3, pp. 605-664

Persistent link: https://www.econbiz.de/10011339261