The Moving-Estimates Test for ParameterStability
11 feb. 2009 · Newey, W.K. & West, K.D. (1987) A simple, positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703 – 708. CrossRef …
Are big banks too-big-to-fail? An investigation into the size …
5 dagen geleden · Standard errors are adjusted for heteroskedasticity and autocorrelation using Newey-West (1987). The sample period is 2000 to 2022. Our results reveal a consistent pattern …
Extreme weather events and military conflict over seven centuries …
We examine the link between extreme weather events and interstate conflict using data covering the three ancient kingdoms on the Korean Peninsula over seven centuries. Extreme weather …
Analytical GMM Tests: Asset Pricing with Time-Varying Risk …
We propose alternative generalized method of moments (GMM) tests that are analytically solva- ble in many econometric models, yielding in par- ticular analytical GMM testsfor assetpricing …
Parameter path estimation in unstable environments: The tvpreg …
Newey W. K., West K. D. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55: 703–708. Crossref Web of …
Cultural Tension and Large- and Small-Scale Internal Conflicts
6 nov. 2024 · Although there are some regional variations and nuances, the results indicate cultural tensions are significant determinants of (1) the broad measure of internal conflict, (2) …
Bank of England Staff Working Paper No. 1,139
NEWEY, W. K. AND K. D. WEST (1987): “A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,” Econometrica, 55, 703–708. OSTRY, J. D. …
Top 1 Research Items by Number of Citations - IDEAS/RePEc
What this page is about This list provides a count of how many times research items have been cited. It is adjusted for multiple versions of the same work to count only once.
The Price of Variance Risk | PDF | Vix | Futures Contract - Scribd
Newey, W.K., West, K.D., 1987. A simple, positive semi-definite, het- Cieslak, A. Povala, P., 2014. Information in the term structure of yield eroskedasticity and autocorrelation consistent …
Volatility regimes and liquidity co-movements in cap-based …
Newey W. K. and West K. D. (1987), A Simple, Positive Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55 (3), 703-708.
Doorgaan naar inhoud