Prosper Dovonon

Barclays Wealth

1, Churchill Place

London, E14 5HP

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

253

SSRN CITATIONS
Rank 34,960

SSRN RANKINGS

Top 34,960

in Total Papers Citations

12

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

GMM Overidentification Test with First Order Underidentification

Number of pages: 35 Posted: 05 Nov 2009
Prosper Dovonon and Eric Renault
Barclays Wealth and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 98 (272,778)
Citation 7

Abstract:

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onstandard asymptotics, GMM, GMM overidentification test, identification, first order identification, second order identification, common GARCH features

2.

Bootstrapping Realized Multivariate Volatility Measures

Number of pages: 34 Posted: 05 Nov 2009
Prosper Dovonon, Sílvia Gonçalves and Nour Meddahi
Barclays Wealth, University of Montreal - Department of Economics and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 63 (353,538)
Citation 13

Abstract:

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Realized regression, realized beta, realized correlation, bootstrap, Edgeworth expansions

3.

Conditionally Heteroskedastic Factor Models with Skewness and Leverage Effects

Number of pages: 51 Posted: 05 Nov 2009
Prosper Dovonon
Barclays Wealth
Downloads 61 (359,348)

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Factor models, conditional heteroskedasticity, conditional leverage, conditional skewness, temporal aggregation, generalized method of moments, extended Kalman filter

4.

Long Run Canonical Correlations: Estimation and Inference

Number of pages: 33 Posted: 05 Nov 2009
Prosper Dovonon, Alastair R. Hall and Kalidas Jana
Barclays Wealth, North Carolina State University - Department of Economics and affiliation not provided to SSRN
Downloads 30 (474,741)

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Long Run Canonical Correlations, Canonical Coherences, Asymptotic Independence of Partial Sums, Cointegration

5.

Inference About Long Run Canonical Correlations

Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 665-683, 2012
Number of pages: 19 Posted: 15 Jun 2012
Prosper Dovonon, Alastair R. Hall and Kalidas Jana
Barclays Wealth, North Carolina State University - Department of Economics and affiliation not provided to SSRN
Downloads 1 (660,723)
Citation 1
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Abstract:

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Long run canonical correlations, canonical coherences, asymptotic independence of standardized sums, cointegration, inference about and based on moment conditions

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Misspecified models, Empirical likelihood, Three-step Euclidean likelihood