Department of Economics, McGill University
Leacock Building Room 443, 855 Sherbrooke West
Montreal, Quebec H3A 2T7
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multi-horizon causality, causality measures, commodity prices, exchange rates, stock prices, high-frequency data, spurious causality, financial markets
Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility
capital asset pricing model, CAPM, Black, mean-variance efficiency, non-normality, weak identification, Fieller, multivariate linear regression, uniform linear hypothesis, exact test, Monte Carlo test, bootstrap, nuisance parameters, GARCH, portfolio repacking
structural change, time-varying parameter, energy prices, coal, gas, crude oil, unidentified nuisance parameter, exact test, Monte Carlo test, Kalman filter, normality test
sign test, median regression, Hodges-Lehmann estimator, p-value, least absolute deviations, quantile regression, simultaneous inference, Monte Carlo tests, projection methods, nonnormality, heteroskedasticity, serial dependence, GARCH, stochastic volatility
factor analysis, VARMA process, forecasting, structural analysis
echelon form, linear estimation, generalized least squares, GLS, two-step linear estimation, three-step linear estimation, asymptotically efficient, maximum likelihood, ML, stationary process, invertible process, Kronecker indices, simulation
Infinite-order cointegrated vector autoregressive process, independence, causality, residual cross-correlation, consistency, asymptotic power
Identification-robust confidence sets, endogeneity, AR-type statistic, projection-based techniques, partial exogeneity test
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AR‐type statistic, Endogeneity, Identification‐robust confidence sets, Partial exogeneity test, Projection‐based techniques
Monte Carlo test, induced test, test combination, simultaneous inference, Variance ratio
Sign-based methods; median regression; test inversion; Hodges-Lehmann estimators; confidence distributions; p-value function; least absolute deviation estimators; quantile regressions; sign test; simultaneous inference; Monte Carlo tests; projection methods; non-normality; heteroskedasticity; serial
Exogeneity; Durbin-Wu-Hausman Test; Weak Instrument; Incomplete Model; Non-Gaussian; Weak Identification; Identification Robust; Finite-Sample Theory; Pivotal; Invariance; Monte Carlo Test; Power
Mixture distributions, Markov chains, Regime switching, Parametric bootstrap, Monte Carlo tests, Exact inference
Network, Multiple Horizon Causality Measures, LASSO, Financial Systemic Risk, Network Connectedness, Implied Volatility
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