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Business and Management x Financial Institutions and Services x Econometric and Statistical Methods and Methodology: General x clear all

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Todd A. Gormley and David A. Matsa.

in The Review of Financial Studies

February 2014; p ublished online August 2013 .

Journal Article. Subjects: Economics; Financial Institutions and Services; Corporate Governance; Econometrics and Mathematical Economics; Econometric and Statistical Methods and Methodology: General. 20204 words.

Controlling for unobserved heterogeneity (or “common errors”), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two...

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The Geometric-VaR Backtesting Method

Denis Pelletier and Wei Wei.

in Journal of Financial Econometrics

September 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.

This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...

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