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Journal of Business & Economic Statistics, ISSN 0735-0015, 01/2020, Volume 38, Issue 1, pp. 19 - 24
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2011, Volume 164, Issue 1, pp. 188 - 205
This paper shows consistency of a two-step estimation of the factors in a dynamic approximate factor model when the panel of time series is large ( n large).... 
Large cross-sections | Factor models | Kalman filter | Principal components | RATES | GDP | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Factor models Kalman filter Principal components Large cross-sections
Journal Article
Journal of Financial Economics, ISSN 0304-405X, 06/2012, Volume 104, Issue 3, pp. 535 - 559
We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly... 
Liquidity | Financial institutions | Systemic risk | Financial crises | G12 | C51 | G29 | BUSINESS, FINANCE | MARKET LIQUIDITY | HEDGE FUNDS | ECONOMICS | Insurance industry | Hedge funds
Journal Article
Journal of Econometrics, ISSN 0304-4076, 2010, Volume 154, Issue 2, pp. 139 - 153
Parameter estimation under model uncertainty is a difficult and fundamental issue in econometrics. This paper compares the performance of various model... 
Bayesian analysis | Model averaging | Growth determinants | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | DETERMINANTS | INVESTMENT | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | SELECTION | Model averaging Bayesian analysis Growth determinants | Economic policy | Models | Comparative analysis | Growth | Methods
Journal Article
Journal of Banking and Finance, ISSN 0378-4266, 10/2008, Volume 32, Issue 10, pp. 2022 - 2032
Knowledge of the statistical distribution of the prices of emission allowances, and their forecastability, are crucial in constructing, among other things,... 
C53 | C52 | C32 | Emission allowances | Mixture models | C16 | GARCH | Greenhouse gases | C51 | Value-at-risk | BUSINESS, FINANCE | ECONOMICS | C16 C32 C51 C52 C53 Emission allowances GARCH Greenhouse gases Mixture models Value-at-risk | Emissions (Pollution) | Emissions credit trading | Analysis
Journal Article
Journal of Financial Econometrics, ISSN 1479-8409, 2009, Volume 7, Issue 2, pp. 174 - 196
The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type... 
Long-memory models | Realized volatility | High-frequency data | Volatility forecast | C53 | volatility forecast | BUSINESS, FINANCE | C22 | C13 | realized volatility | high-frequency data | ECONOMICS | C51 | long-memory models
Journal Article
Journal of Economic Literature, ISSN 0022-0515, 9/2014, Volume 52, Issue 3, pp. 740 - 798
Journal Article
Journal of Economic Literature, ISSN 0022-0515, 9/2013, Volume 51, Issue 3, pp. 860 - 872
Journal Article
Journal of econometrics, ISSN 0304-4076, 2008, Volume 145, Issue 1, pp. 121 - 133
We revisit the effects of spending on student performance using data from the state of Michigan. In addition to exploiting a dramatic change in funding in the... 
Panel | Bildungsabschluss | Studienfinanzierung | Michigan | Fractional response | Panel data | Partial effects | Unobserved effects | Probit | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | fractional response | panel data | partial effects | SIZE | unobserved effects | probit | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | Academic achievement | Panel analysis | Analysis | U.S.A
Journal Article
Economics Letters, ISSN 0165-1765, 2010, Volume 107, Issue 2, pp. 291 - 296
We examine the interaction effect in nonlinear models discussed by Ai and Norton (2003). Tests about partial effects and interaction terms are not necessarily... 
Interaction term | Nonlinear models | Partial effect | Probit | Interaction effect | ECONOMICS | Interaction effect Interaction term Partial effect Probit Nonlinear models
Journal Article
Review of Finance, ISSN 1572-3097, 2015, Volume 19, Issue 2, pp. 685 - 738
We propose the realized systemic risk beta as a measure of financial companies' contribution to systemic risk, given network interdependence between firms'... 
C63 | C21 | G32 | G01 | G38 | C51 | G18 | TOPOLOGY | INTERBANK MARKET | BUSINESS, FINANCE | LIQUIDITY | CONTAGION | CONNECTEDNESS | EXPOSURES | SHORTFALL | QUANTILE REGRESSION | ECONOMICS | SELECTION
Journal Article
Journal of International Economics, ISSN 0022-1996, 2009, Volume 77, Issue 1, pp. 77 - 85
Using a Taylor-series expansion, we solve for a simple reduced-form gravity equation revealing a transparent theoretical relationship among bilateral trade... 
International trade | Gravity equation | Multilateral resistance terms | Border barriers | AGREEMENTS | DETERMINANTS | ECONOMICS | International trade Gravity equation Multilateral resistance terms Border barriers
Journal Article