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Publications

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Show Results For

  • All HBS Web  (6)
    • Research  (5)
  • Faculty Publications  (4)

Show Results For

  • All HBS Web  (6)
    • Research  (5)
  • Faculty Publications  (4)
Page 1 of 6 Results
  • Article

Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data

By: K. A. Froot
Keywords: Econometrics; Panel Estimation; Autocorrelation; Heteroskedasticity; Mathematical Methods; Economics
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Froot, K. A. "Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Cross-Sectional Financial Data." Journal of Financial and Quantitative Analysis 24, no. 3 (September 1989): 333–355. (Revised from NBER Technical Working Paper No. 62.)
  • Research Summary

Heteroskedasticity Autocorrelation Consistent Covariance Matrix Estimation with Wavelets

I propose a new HAC estimator based on the wavelet representation of the spectral density.  Whereas kernel-based HAC estimators [e.g. Newey West (1987) Andrews (1991)] have a fixed bandwidth, a wavelet estimator has bandwidths that vary across wavelet resolution... View Details
  • Research Summary

Optimal Heteroskedasticity Autocorrelation Consistent Covariance Estimators for GMM Weighting Matrices

This paper considers the optimal bias-variance tradeoff for estimators of the long run covariance matrix used to generate GMM weighting matrices in time series contexts.  Minimum MSE HAC estimators do not yield minimum MSE GMM estimators.  Instead, achieving... View Details
  • Article

Scenario Generation for Long Run Interest Rate Risk Assessment

By: Robert F. Engle, Guillaume Roussellet and Emil N. Siriwardane
We propose a statistical model of the term structure of U.S. treasury yields tailored for long-term probability-based scenario generation and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor... View Details
Keywords: Forecasting; Stress Testing; Interest Rates; Forecasting and Prediction; Risk Management; United States
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Engle, Robert F., Guillaume Roussellet, and Emil N. Siriwardane. "Scenario Generation for Long Run Interest Rate Risk Assessment." Special Issue on Theoretical and Financial Econometrics: Essays in Honor of C. Gourieroux. Journal of Econometrics 201, no. 2 (December 2017): 333–347.
  • Web

Statistical Resources - Research Computing Services

binary models and count data models An introduction to Arellano-Bond model An introduction to Heteroskedasticity and Autocorrelation Consistent estimators An introduction to mixed model An introduction to regressions when dependent... View Details
  • 23 Jan 2018
  • First Look

First Look at New Research and Ideas, January 23, 2018

and forecasts. Our model is easy to estimate and is able to simultaneously reproduce the positivity, persistence, and factor structure of the yield curve. Moreover, we incorporate heteroskedasticity and time-varying correlations across... View Details
Keywords: Sean Silverthorne
  • 1
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