Heteroskedasticity - Publications - Faculty & Research

Article

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

Keywords: Econometrics; Panel Estimation; Autocorrelation; Heteroskedasticity; Mathematical Methods; Economics

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

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

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

Citation

Find at Harvard

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

Publications