Multi-scale analysis of lead-lag relationships in high-frequency financial markets,
Takaki Hayashi and Yuta Koike,
from arXiv.org
(2020)
On the overestimation of the largest eigenvalue of a covariance matrix,
Soufiane Hayou,
from arXiv.org
(2017)
Is Industrial Production Still the Dominant Factor for the US Economy?,
Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin,
from C.E.P.R. Discussion Papers
(2017)
Keywords: Group factor models; Midas; Gdp growth
A General Class of Multifractional Processes and Stock Price Informativeness,
Qidi Peng and Ran Zhao,
from arXiv.org
(2018)
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions,
Antonio Diez de los Rios,
from Bank of Canada
(2017)
Keywords: Asset pricing; Econometric and statistical methods; Exchange rates; Interest rates
On the Role of Covariates in the Synthetic Control Method,
Irene Botosaru and Bruno Ferman,
from University Library of Munich, Germany
(2017)
Keywords: Synthetic controls, covariates, perfect match
Indirect Inference with Importance Sampling: An Application to Women’s Wage Growth,
Robert Sauer and Christopher R. Taber,
from National Bureau of Economic Research, Inc
(2017)
Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data,
Serena Ng,
from National Bureau of Economic Research, Inc
(2017)
Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors,
Alain Hecq, João Issler and Sean Telg,
from University Library of Munich, Germany
(2017)
Keywords: Mixed causal-noncausal process, non-Gaussian errors, identification, rational expectation models, commodity prices
The Returns to Personality Traits across the Wage Distribution,
Matthias Collischon,
from DIW Berlin, The German Socio-Economic Panel (SOEP)
(2017)
Keywords: non-cognitive skills, personality traits, unconditional quantile regression