Long-Run Covariability
... simplification offered by these averages is that they are normally distributed in large samples even though the stochastic process generating the data may exhibit substantial persistence (Müller and Watson (forthcoming)). This allows large-sample inference about covariability parameters to be transfo ...
... simplification offered by these averages is that they are normally distributed in large samples even though the stochastic process generating the data may exhibit substantial persistence (Müller and Watson (forthcoming)). This allows large-sample inference about covariability parameters to be transfo ...
What does the Yield Curve Tell us about GDP Growth? ¤ Andrew Ang,
... maturity segment, may lead to more e¢cient and more accurate forecasts of GDP. In an OLS framework, since yields of di¤erent maturities are highly cross-correlated, it may be di¢cult to use multiple yields as regressors because of collinearity problems. This collinearity suggests that we may be able ...
... maturity segment, may lead to more e¢cient and more accurate forecasts of GDP. In an OLS framework, since yields of di¤erent maturities are highly cross-correlated, it may be di¢cult to use multiple yields as regressors because of collinearity problems. This collinearity suggests that we may be able ...
Cross- and Delta-Hedges: Regression- versus Price
... regression-based hedge, a result that is very different from Kroner and Sultan. For cross hedges (not studied by Kroner and Sultan), we obtain the same conclusion except for pairs of currencies that are so weakly unrelated that no practitioner would use them as hedges of each other. Lastly, given th ...
... regression-based hedge, a result that is very different from Kroner and Sultan. For cross hedges (not studied by Kroner and Sultan), we obtain the same conclusion except for pairs of currencies that are so weakly unrelated that no practitioner would use them as hedges of each other. Lastly, given th ...
The Excess Bond Returns and Debt Maturity
... this issue, a cross-sectional OLS regression method is utilized in a combination with the time-series mean of each variable for an individual firm. However, this method only accounts for the variation across firms without analyzing the time-variation (Barclay and Smith, 1995). In order to investigat ...
... this issue, a cross-sectional OLS regression method is utilized in a combination with the time-series mean of each variable for an individual firm. However, this method only accounts for the variation across firms without analyzing the time-variation (Barclay and Smith, 1995). In order to investigat ...
Spatial Dependence in Apartment Offering Prices
... magnitudes of the estimates and their significance but may also lead to serious errors in the interpretation of standard regression diagnostics such as for heteroscedasticity. Comparing the baseline model with a model which explicitly corrects for spatial endogenously gives us insights into spatial ...
... magnitudes of the estimates and their significance but may also lead to serious errors in the interpretation of standard regression diagnostics such as for heteroscedasticity. Comparing the baseline model with a model which explicitly corrects for spatial endogenously gives us insights into spatial ...