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 …

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …

Understanding the Stock Return-Inflation Nexus is a continuing concern among scholars. The main goal of the current … study was to critically examine the view that the relation between stock return and inflation is potentially asymmetric. To …