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Multiple or Simultaneous Equation Models; Multiple Variables x Econometric and Statistical Methods and Methodology: General x clear all

Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

Yongmiao Hong, Jun Tu and Guofu Zhou.

in The Review of Financial Studies

September 2007; p ublished online September 2006 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics. 15467 words.

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for...

Asymptotic Efficiency of Semiparametric Two-step GMM

Daniel Ackerberg, Xiaohong Chen, Jinyong Hahn and Zhipeng Liao.

in The Review of Economic Studies

July 2014; p ublished online April 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables. 8281 words.

Many structural economics models are semiparametric ones in which the unknown nuisance functions are identified via non-parametric conditional moment restrictions with possibly non-nested...

A Bayesian Analysis of Return Dynamics with Lévy Jumps

Haitao Li, Martin T. Wells and Cindy L. Yu.

in The Review of Financial Studies

September 2008; p ublished online September 2006 .

Journal Article. Subjects: Economics; Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables. 15245 words.

We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity Lévy jumps using discretely...

Bayesian Estimation of a Censored Linear Almost Ideal Demand System: Food Demand in Pakistan

Panagiotis Kasteridis, Steven T. Yen and Cheng Fang.

in American Journal of Agricultural Economics

October 2011; p ublished online September 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Household Behaviour and Family Economics; Multiple or Simultaneous Equation Models; Multiple Variables. 7950 words.

A censored linear almost ideal demand system for food is estimated with a Bayesian Markov chain Monte Carlo procedure, using a sample of urban households from Pakistan. All own-price...

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Common Intraday Periodicity

Alain Hecq, Sébastien Laurent and Franz C. Palm.

in Journal of Financial Econometrics

March 2012; p ublished online December 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables. 9383 words.

Using a reduced rank regression framework as well as information criteria, we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return...

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A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew

Matthias R. Fengler, Helmut Herwartz and Christian Werner.

in Journal of Financial Econometrics

June 2012; p ublished online March 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics. 13435 words.

Equity index implied volatility functions are known to be excessively skewed in comparison with implied volatility at the single stock level. We study this stylized fact for the case of a...

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Dynamic Functional Regression with Application to the Cross-section of Returns

Piotr Kokoszka, Hong Miao, Matthew Reimherr and Bahaeddine Taoufik.

in Journal of Financial Econometrics

June 2018; p ublished online August 2017 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Economics; Econometric Modelling; Econometric and Statistical Methods and Methodology: General. 7913 words.

Abstract

Motivated by testing the significance of risk factors for a cross-section of returns, we develop an inferential framework which involves...

Functional Dynamic Factor Model for Intraday Price Curves

Piotr Kokoszka, Hong Miao and Xi Zhang.

in Journal of Financial Econometrics

March 2015; p ublished online February 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics; Econometric Modelling. 5724 words.

This article proposes a functional dynamic factor model for the evaluation of the impact of scalar– and curve–valued factors on the shapes of intraday price curves. The asymptotic theory...

Identification-Robust Estimation and Testing of the Zero-Beta CAPM

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf.

in The Review of Economic Studies

July 2013; p ublished online January 2013 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics. 14656 words.

We propose exact simulation-based procedures for: (i) testing mean-variance efficiency when the zero-beta rate is unknown; (ii) building confidence intervals for the zero-beta rate. On...

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Inference for Games with Many Players

Konrad Menzel.

in The Review of Economic Studies

January 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory. 14677 words.

We develop an asymptotic theory for static discrete-action games with a large number of players, and propose a novel inference approach based on stochastic expansions around the limit of...

Instrumental Variables with Unrestricted Heterogeneity and Continuous Treatment

Maximilian Kasy.

in The Review of Economic Studies

October 2014; p ublished online June 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Single Equation Models; Single Variables. 8695 words.

This article discusses identification in continuous triangular systems without restrictions on heterogeneity or functional form. We do not assume separability of structural functions,...

Latent Thresholds Analysis of Choice Data under Value Uncertainty

Mimako Kobayashi, Klaus Moeltner and Kimberly Rollins.

in American Journal of Agricultural Economics

January 2012; p ublished online January 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Environmental Economics; Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling. 9987 words.

In many non-market valuation settings stakeholders will be uncertain as to their exact willingness-to-pay for a proposed environmental amenity. It then makes sense for the analyst to treat...

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Lumpy investments, factor adjustments, and labour productivity

Øivind A. Nilsen, Arvid Raknerud, Marina Rybalka and Terje Skjerpen.

in Oxford Economic Papers

January 2009; p ublished online August 2008 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Production and Organizations. 8447 words.

This paper describes firms’ output and factor demands before, during, and after episodes of lumpy investment. By using a rich employer–employee panel data set for two manufacturing...

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Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

Jean-Marie Dufour, René Garcia and Abderrahim Taamouti.

in Journal of Financial Econometrics

January 2012; p ublished online January 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics; Econometric Modelling. 11690 words.

We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of...

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Modeling Realized Covariances and Returns

Xin Jin and John M. Maheu.

in Journal of Financial Econometrics

March 2013; p ublished online November 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Financial Forecasting and Simulation; Econometric Modelling. 10604 words.

This article proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison...

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Monetary Policy Shifts and the Term Structure

Andrew Ang, Jean Boivin, Sen Dong and Rudy Loo-Kung.

in The Review of Economic Studies

April 2011; p ublished online February 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 12555 words.

We estimate the effect of shifts in monetary policy using the term structure of interest rates. In our no-arbitrage model, the short rate follows a version of the Taylor's (1993,...

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Nutritional Gains from Extended Exposure to a Large-scale Nutrition Programme

Emanuela Galasso, Nithin Umapathi and Jeffrey Yau.

in Journal of African Economies

November 2011; p ublished online January 2011 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Economics of Health. 8644 words.

This paper estimates the returns to differential programme exposure in the context of a large-scale nutritional programme. It addresses this question using information available only on...

Panel Data Estimation Techniques and Farm-level Data Models

Silvia Platoni, Paolo Sckokai and Daniele Moro.

in American Journal of Agricultural Economics

October 2012; p ublished online October 2012 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Single Equation Models; Single Variables; Agricultural Economics. 6264 words.

Econometric models estimating parameters for agricultural policy analysis increasingly rely on unbalanced panels of farm-level data. Since such models have often been estimated through...

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Random Coefficients on Endogenous Variables in Simultaneous Equations Models

Matthew A Masten.

in The Review of Economic Studies

April 2018; p ublished online August 2017 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling. 32104 words.

Abstract

This article considers a classical linear simultaneous equations model with random coefficients on the endogenous variables. Simultaneous equations...

Robust Econometric Inference for Stock Return Predictability

Alexandros Kostakis, Tassos Magdalinos and Michalis P. Stamatogiannis.

in The Review of Financial Studies

May 2015; p ublished online December 2014 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Economics. 18993 words.

This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to...