Gregory Connor
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Gregory Connor & Thomas Flavin & Brian O'Kelly, 2015.
"Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2,"
Economics Department Working Paper Series
n259-15.pdf, Department of Economics, National University of Ireland - Maynooth.
Mentioned in:
- New Working Paper on the Restructuring and Recovery of the Irish Financial Sector
by Gregory Connor in The Irish Economy on 2015-04-02 19:13:05
- New Working Paper on the Restructuring and Recovery of the Irish Financial Sector
Working papers
- Gregory Connor & Robert A. Korajczyk, 2019.
"Semi-strong factors in asset returns,"
Economics Department Working Paper Series
n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- M. Hashem Pesaran & Ron P. Smith, 2021. "Factor Strengths, Pricing Errors, and Estimation of Risk Premia," CESifo Working Paper Series 8947, CESifo.
- Gregory Connor & Thomas Flavin & Brian O'Kelly, 2015.
"Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2,"
Economics Department Working Paper Series
n259-15.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Honohan, Patrick, 2016. "Debt and austerity: Post-crisis lessons from Ireland," Journal of Financial Stability, Elsevier, vol. 24(C), pages 149-157.
- Nevin, Ciarán, 2018. "Irish retail bank profitability 2003-20018," Financial Stability Notes 10/FS/18, Central Bank of Ireland.
- Gregory Connor & Thomas Flavin, 2014.
"Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults,"
Economics Department Working Paper Series
n253-14.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Connor, Gregory & Flavin, Thomas, 2015. "Strategic, unaffordability and dual-trigger default in the Irish mortgage market," Journal of Housing Economics, Elsevier, vol. 28(C), pages 59-75.
- Gregory Connor & Thomas Flavin, 2013.
"Irish Mortgage Default Optionality,"
Economics Department Working Paper Series
n243-13.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Lenarčič, Črt, 2022. "Drivers of household arrears: an euro area country panel data analysis," MPRA Paper 114558, University Library of Munich, Germany.
- Gregory Connor & Brian O’Kelly, 2012.
"A Coasean Approach to Bank Resolution Policy in the Eurozone,"
FMG Special Papers
sp214, Financial Markets Group.
- Gregory Connor & Brian O'Kelly, 2012. "A Coasean Approach to Bank Resolution Policy in the Eurozone," Economics Department Working Paper Series n233-12.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Agnieszka Trzcinska, 2015. "The Impact of the New Resolution Regime on Public Support to Banks (Udzial sektora publicznego w kosztach ratowania bankow w swietle nowych przepisow w zakresie restrukturyzacji i uporzadkowanej likwi," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 13(55), pages 120-133.
- ap Gwilym, Rhys & Kanas, Angelos & Molyneux, Philip, 2013. "U.S. prompt corrective action and bank risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 239-257.
- Philippe Oster, 2020. "Contingent Convertible bond literature review: making everything and nothing possible?," Journal of Banking Regulation, Palgrave Macmillan, vol. 21(4), pages 343-381, December.
- Gregory Connor & Anita Suurlaht, 2012.
"Dynamic Stock Market Covariances in the Eurozone,"
Economics Department Working Paper Series
n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Connor, Gregory & Suurlaht, Anita, 2013. "Dynamic stock market covariances in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
Cited by:
- Opschoor, Anne & van Dijk, Dick & van der Wel, Michel, 2014. "Predicting volatility and correlations with Financial Conditions Indexes," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 435-447.
- Trabelsi, Mohamed Ali & Hmida, Salma, 2018.
"Impact of the Credit Rating Revision on the Eurozone Stock Markets,"
MPRA Paper
89152, University Library of Munich, Germany, revised 2018.
- Mohamed Ali Trabelsi & Salma Hmida, 2019. "Impact of the Credit Rating Revision on the Eurozone Stock Markets," Journal Transition Studies Review, Transition Academia Press, vol. 26(1), pages 3-14.
- Connor, Gregory & Suurlaht, Anita, 2013.
"Dynamic stock market covariances in the Eurozone,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
- Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Tiwari, Aviral Kumar & Mutascu, Mihai Ioan & Albulescu, Claudiu Tiberiu, 2016.
"Continuous wavelet transform and rolling correlation of European stock markets,"
International Review of Economics & Finance, Elsevier, vol. 42(C), pages 237-256.
- Aviral Kumar Tiwari & Mihai Ioan Mutascu & Claudiu Tiberiu Albulescu, 2016. "Continuous wavelet transform and rolling correlation of European stock markets," Post-Print hal-03528475, HAL.
- Bartram, Söhnke M. & Wang, Yaw-Huei, 2015. "European financial market dependence: An industry analysis," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 146-163.
- Virk, Nader & Javed, Farrukh, 2017. "European equity market integration and joint relationship of conditional volatility and correlations," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 53-77.
- Trabelsi, Mohamed Ali & Hmida, Salma, 2018.
"A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets,"
MPRA Paper
115852, University Library of Munich, Germany, revised 0218.
- Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.
- Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yuan, Jing, 2018. "Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 13-31.
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2017.
"Co-movements and contagion between international stock index futures markets,"
Empirical Economics, Springer, vol. 52(4), pages 1529-1568, June.
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwaric, 2016. "Co-movements and contagion between international stock index futures markets," Post-Print halshs-01388618, HAL.
- Turhan, M. Ibrahim & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2014. "A view to the long-run dynamic relationship between crude oil and the major asset classes," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 286-299.
- Cristina Amado & Annastiina Silvennoinen & Timo Teräsvirta, 2018.
"Models with Multiplicative Decomposition of Conditional Variances and Correlations,"
CREATES Research Papers
2018-14, Department of Economics and Business Economics, Aarhus University.
- Cristina Amado & Annastiina Silvennoinen & Timo Ter¨asvirta, 2018. "Models with Multiplicative Decomposition of Conditional Variances and Correlations," NIPE Working Papers 07/2018, NIPE - Universidade do Minho.
- Ghysels, Eric & Qian, Hang, 2019. "Estimating MIDAS regressions via OLS with polynomial parameter profiling," Econometrics and Statistics, Elsevier, vol. 9(C), pages 1-16.
- Tsukuda, Yoshihiko & Shimada, Junji & Miyakoshi, Tatsuyoshi, 2017. "Bond market integration in East Asia: Multivariate GARCH with dynamic conditional correlations approach," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 193-213.
- Claudiu Tiberiu Albulescu & Daniel Goyeau & Aviral Kumar Tiwari, 2015. "Contagion and Dynamic Correlation of the Main European Stock Index Futures Markets: A Time-frequency Approach," Post-Print hal-01376756, HAL.
- Qifa Xu & Junqing Zuo & Cuixia Jiang & Yaoyao He, 2021. "A large constrained time‐varying portfolio selection model with DCC‐MIDAS: Evidence from Chinese stock market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3417-3435, July.
- Elena, Radu (Grigorie), 2022. "Financial Stability, The Objective Of Development Financial Markets," Management Strategies Journal, Constantin Brancoveanu University, vol. 55(1), pages 144-149.
- Xiao Jing Cai & Shuairu Tian & Shigeyuki Hamori, 2016. "Dynamic correlation and equicorrelation analysis of global financial turmoil: evidence from emerging East Asian stock markets," Applied Economics, Taylor & Francis Journals, vol. 48(40), pages 3789-3803, August.
- Gregory Connor & Brian O'Kelly, 2010.
"Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation,"
Economics Department Working Paper Series
n214a-10.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Kelly, Robert & McQuinn, Kieran & Stuart, Rebecca, 2011.
"Exploring the Steady-State Relationship between Credit and GDP for a Small Open Economy - The Case of Ireland,"
Research Technical Papers
1/RT/11, Central Bank of Ireland.
- Kelly, Robert & McQuinn, Kieran & Stuart, Rebecca, 2013. "Exploring the steady-state relationship between credit and GDP for a small open economy: the case of Ireland," Working Paper Series 1531, European Central Bank.
- Robert Kelly & Kieran Mcquinn & Rebecca Stuart, 2011. "Exploring the Steady-State Relationship Between Credit and GDP for a Small Open Economy–The Case Of Ireland," The Economic and Social Review, Economic and Social Studies, vol. 42(4), pages 455-477.
- Kelly, Robert & McQuinn, Kieran & Stuart, Rebecca, 2011.
"Exploring the Steady-State Relationship between Credit and GDP for a Small Open Economy - The Case of Ireland,"
Research Technical Papers
1/RT/11, Central Bank of Ireland.
- Gregory Connor & Thomas Flavin & Brian O’Kelly, 2010.
"The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features,"
Economics Department Working Paper Series
n206-10.pdf, Department of Economics, National University of Ireland - Maynooth.
- Connor, Gregory & Flavin, Thomas & O’Kelly, Brian, 2012. "The U.S. and Irish credit crises: Their distinctive differences and common features," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 60-79.
Cited by:
- Ahuja, Rishi & Barrett, Sean & Corbet, Shaen & Larkin, Charles, 2019. "A way forward: The future of Irish and European union financial regulation," Economic Analysis and Policy, Elsevier, vol. 64(C), pages 346-360.
- Smith, Constance, 2011.
"External Balance Adjustment: An Intra-National and International Comparison,"
Working Papers
2011-13, University of Alberta, Department of Economics.
- Smith, Constance E., 2011. "External balance adjustment: An intra-national and international comparison," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1195-1213, October.
- Sebastian Dullien & Barbara Fritz & Laurissa Mühlich, 2013. "Regional Monetary Cooperation: Lessons from the Euro Crisis for Developing Areas?," World Economic Review, World Economics Association, vol. 2013(2), pages 1-1, February.
- Thomas Flavin & Dolores Lagoa-Varela, 2016.
"Are Banking Shocks Contagious? Evidence from the Eurozone,"
Economics Department Working Paper Series
n268-16.pdf, Department of Economics, National University of Ireland - Maynooth.
- Dungey, Mardi & Flavin, Thomas J. & Lagoa-Varela, Dolores, 2020. "Are banking shocks contagious? Evidence from the eurozone," Journal of Banking & Finance, Elsevier, vol. 112(C).
- Krzysztof Olszewski, 2013.
"The Commercial Real Estate Market, Central Bank Monitoring and Macroprudential Policy,"
Review of Economic Analysis, Digital Initiatives at the University of Waterloo Library, vol. 5(2), pages 213-250, December.
- Krzysztof Olszewski, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," NBP Working Papers 132, Narodowy Bank Polski.
- Michael O’Grady, 2019. "Estimating the Output, Inflation and Unemployment Gaps in Ireland using Bayesian Model Averaging," The Economic and Social Review, Economic and Social Studies, vol. 50(1), pages 35-76.
- Dungey, Mardi H. & Flavin, Thomas & Sheenan, Lisa, 2020.
"Banks and Sovereigns: Did Adversity Bring Them Closer?,"
QBS Working Paper Series
2020/05, Queen's University Belfast, Queen's Business School.
- T. Flavin & M.Dongey & L. Sheenan, 2020. "Banks and Sovereigns: Did adversity bring them closer?," Economics Department Working Paper Series n307-20.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gregory Connor & Brian O'Kelly, 2010. "Sliding Doors Cost Measurement.A Restrictive Approach to Analyzing the Net Economic Cost of Policy Decisions and an Application to Irish Financial Regulation," Economics Department Working Paper Series n214a-10.pdf, Department of Economics, National University of Ireland - Maynooth.
- Julien BENGUI & Toan PHAN, 2018.
"Asset Pledgeability and Endogenously Leveraged Bubbles,"
Cahiers de recherche
07-2018, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Bengui, Julien & Phan, Toan, 2018. "Asset pledgeability and endogenously leveraged bubbles," Journal of Economic Theory, Elsevier, vol. 177(C), pages 280-314.
- Julien Bengui & Toan Phan, 2018. "Asset Pledgeability and Endogenously Leveraged Bubbles," Working Paper 18-11, Federal Reserve Bank of Richmond.
- BENGUI, Julien & PHAN, Toan, 2018. "Asset pledgeability and endogenously leveraged bubbles," Cahiers de recherche 2018-04, Universite de Montreal, Departement de sciences economiques.
- Roy, Saktinil & Kemme, David M., 2012. "Causes of banking crises: Deregulation, credit booms and asset bubbles, then and now," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 270-294.
- Michael Wosser, 2015. "Long Run Macroeconomic and Sectoral Determinants of Systemic Banking Crises," Economics Department Working Paper Series n266-15.pdf, Department of Economics, National University of Ireland - Maynooth.
- Seán Ó Riain, 2012. "The Crisis of Financialisation in Ireland," The Economic and Social Review, Economic and Social Studies, vol. 43(4), pages 497-533.
- Rakesh Padhan & K. P. Prabheesh, 2019. "Effectiveness Of Early Warning Models: A Critical Review And New Agenda For Future Direction," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(4), pages 457-484, December.
- Dwyer, Gerald P. & Lothian, James R., 2012. "International and historical dimensions of the financial crisis of 2007 and 2008," Journal of International Money and Finance, Elsevier, vol. 31(1), pages 1-9.
- Thomas J.Flavin & Dolores Lagoa-Varela, 2019.
"On the stability of Stock-bond comovements across market conditions in the Eurozone periphery,"
Economics Department Working Paper Series
n295-19.pdf, Department of Economics, National University of Ireland - Maynooth.
- Flavin, Thomas J. & Lagoa-Varela, Dolores, 2021. "On the stability of stock-bond comovements across market conditions in the Eurozone periphery," Global Finance Journal, Elsevier, vol. 49(C).
- Gregory Connor & Thomas Flavin & Brian O'Kelly, 2015. "Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2," Economics Department Working Paper Series n259-15.pdf, Department of Economics, National University of Ireland - Maynooth.
- Connor, Gregory & Flavin, Thomas, 2015. "Strategic, unaffordability and dual-trigger default in the Irish mortgage market," Journal of Housing Economics, Elsevier, vol. 28(C), pages 59-75.
- David M. Kemme & Saktinil Roy, 2012. "Did the Recent Housing Boom Signal the Global Financial Crisis?," Southern Economic Journal, John Wiley & Sons, vol. 78(3), pages 999-1018, January.
- Stanley Fischer, 2017. "Housing and Financial Stability : a speech at the DNB-Riksbank Macroprudential Conference Series, Amsterdam, Netherlands, June 20, 2017," Speech 956, Board of Governors of the Federal Reserve System (U.S.).
- Lane, Philip, 2015.
"The Funding of the Irish Domestic Banking System During the Boom,"
CEPR Discussion Papers
10777, C.E.P.R. Discussion Papers.
- Philip R. Lane, 2015. "The Funding of the Irish Domestic Banking System During the Boom," Trinity Economics Papers tep0515, Trinity College Dublin, Department of Economics.
- Robert N McCauley, 2018. "The 2008 crisis: transpacific or transatlantic?," BIS Quarterly Review, Bank for International Settlements, December.
- Jihad Dagher, 2018. "Regulatory Cycles: Revisiting the Political Economy of Financial Crises," IMF Working Papers 2018/008, International Monetary Fund.
- Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.
- Gregory Connor & Sheng Li, 2009.
"Market Dispersion and the Profitability of Hedge Funds,"
Economics Department Working Paper Series
n2000109.pdf, Department of Economics, National University of Ireland - Maynooth.
Cited by:
- Angelidis, Timotheos & Sakkas, Athanasios & Tessaromatis, Nikolaos, 2015. "Stock market dispersion, the business cycle and expected factor returns," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 265-279.
- Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Andrew Grant & Steve Satchell, 2016. "Theoretical decompositions of the cross-sectional dispersion of stock returns," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 169-180, February.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007.
"Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns,"
STICERD - Econometrics Paper Series
524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 24504, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
Cited by:
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Kunpeng Li & Qi Li & Lina Lu, 2018.
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
- Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2009.
"Efficiency in Large Dynamic Panel Models with Common Factor,"
Swiss Finance Institute Research Paper Series
09-12, Swiss Finance Institute.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
- Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(5), pages 961-1020, October.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
- Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
- Gregory Connor & Oliver Linton, 2006.
"Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns,"
STICERD - Econometrics Paper Series
506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Connor, Gregory & Linton, Oliver, 2007. "Semiparametric estimation of a characteristic-based factor model of common stock returns," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
- Connor, Gregory & Linton, Oliver, 2006. "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics 4424, London School of Economics and Political Science, LSE Library.
Cited by:
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
- Shujie Ma & Oliver Linton & Jiti Gao, 2017.
"Estimation and inference in semiparametric quantile factor models,"
Monash Econometrics and Business Statistics Working Papers
8/17, Monash University, Department of Econometrics and Business Statistics.
- Ma, Shujie & Linton, Oliver & Gao, Jiti, 2021. "Estimation and inference in semiparametric quantile factor models," Journal of Econometrics, Elsevier, vol. 222(1), pages 295-323.
- Ma, S. & Linton, O. & Gao, J., 2019. "Estimation and Inference in Semiparametric Quantile Factor Models," Cambridge Working Papers in Economics 1933, Faculty of Economics, University of Cambridge.
- Charle Augusto Londoño, 2011.
"Regresión del cuantil aplicada al modelo de redes neuronales artificiales,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
- Charle Augusto Llondono, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales. Una aproximación de la estructura CAVIAR para el mercado de valores colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 29(64), pages 62-109, July.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007.
"Efficient estimation of a semiparametric characteristic-based factor model of security returns,"
LSE Research Online Documents on Economics
24504, London School of Economics and Political Science, LSE Library.
- Connor, Gregory & Hagmann, Matthias & Linton, Oliver, 2007. "Efficient estimation of a semiparametric characteristic-based factor model of security returns," LSE Research Online Documents on Economics 3775, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a SemiparametricCharacteristic-Based Factor Model of Security Returns," STICERD - Econometrics Paper Series 524, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2007. "Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns," Swiss Finance Institute Research Paper Series 07-26, Swiss Finance Institute.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Pan, Haozi, 2023.
"Estimation of Characteristics-based Quantile Factor Models,"
CEPR Discussion Papers
18115, C.E.P.R. Discussion Papers.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023. "Estimation of Characteristics-based Quantile Factor Models," Papers 2304.13206, arXiv.org.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús & Pan, Haozi, 2023. "Estimation of characteristics-based quantile factor models," UC3M Working papers. Economics 37095, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Kunpeng Li & Qi Li & Lina Lu, 2018.
"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
- Sakemoto, Ryuta, 2019. "Currency carry trades and the conditional factor model," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 198-208.
- Yang, Shuquan & Ling, Nengxiang, 2023. "Robust projected principal component analysis for large-dimensional semiparametric factor modeling," Journal of Multivariate Analysis, Elsevier, vol. 195(C).
- Georg Keilbar & Juan M. Rodriguez-Poo & Alexandra Soberon & Weining Wang, 2022. "A semiparametric approach for interactive fixed effects panel data models," Papers 2201.11482, arXiv.org, revised Mar 2023.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2023.
"Beta-Sorted Portfolios,"
Staff Reports
1068, Federal Reserve Bank of New York.
- Matias D. Cattaneo & Richard K. Crump & Weining Wang, 2022. "Beta-Sorted Portfolios," Papers 2208.10974, arXiv.org, revised Jul 2023.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2014.
"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
Working Papers
09-2014, Singapore Management University, School of Economics.
- Sainan Jin & Liangjun Su & Yonghui Zhang, 2015. "Nonparametric testing for anomaly effects in empirical asset pricing models," Empirical Economics, Springer, vol. 48(1), pages 9-36, February.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
- Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
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"Strategic, unaffordability and dual-trigger default in the Irish mortgage market,"
Journal of Housing Economics, Elsevier, vol. 28(C), pages 59-75.
Cited by:
- Alin Marius Andries & Anca Copaciu & Radu Popa & Razvan Vlahu, 2021. "Recourse and (strategic) mortgage defaults: Evidence from changes in housing market laws," Working Papers 727, DNB.
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"Estimating the Mortgage Default Probability in Cyprus: Evidence using micro data,"
Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 16(1), pages 37-49, June.
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- Schoenmaker, Dirk & Reinders, Henk Jan & Van Dijk, Mathijs, 2020.
"A Finance Approach to Climate Stress Testing,"
CEPR Discussion Papers
14609, C.E.P.R. Discussion Papers.
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- Merike Kukk, 2019. "Debt repayment problems: short-term and long-term implications for spending," Review of Economics of the Household, Springer, vol. 17(2), pages 715-740, June.
- Gregory Connor & Thomas Flavin, 2014. "Unpublished Appendix:Ancillary Results and Robustness Checks on a Probit Model of Irish Mortgage Defaults," Economics Department Working Paper Series n253-14.pdf, Department of Economics, National University of Ireland - Maynooth.
- O'Toole, Conor & Slaymaker, Rachel, 2020.
"Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods,"
Papers
WP652, Economic and Social Research Institute (ESRI).
- O’Toole, Conor & Slaymaker, Rachel, 2021. "Repayment capacity, debt service ratios and mortgage default: An exploration in crisis and non-crisis periods," Journal of Banking & Finance, Elsevier, vol. 133(C).
- Connor, Gregory & Suurlaht, Anita, 2013.
"Dynamic stock market covariances in the Eurozone,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
See citations under working paper version above.
- Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gregory Connor & Matthias Hagmann & Oliver Linton, 2012.
"Efficient Semiparametric Estimation of the Fama–French Model and Extensions,"
Econometrica, Econometric Society, vol. 80(2), pages 713-754, March.
Cited by:
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas," Departmental Working Papers 201711, Rutgers University, Department of Economics.
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"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas,"
Cahiers de recherche
13-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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- Ilze Kalnina, 2023. "Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(2), pages 538-549, April.
- Fei Liu & Jiti Gao & Yanrong Yang, 2020. "Time-Varying Panel Data Models with an Additive Factor Structure," Monash Econometrics and Business Statistics Working Papers 42/20, Monash University, Department of Econometrics and Business Statistics.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011.
"Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets,"
Swiss Finance Institute Research Paper Series
11-41, Swiss Finance Institute.
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- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
- Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Pan, Haozi, 2023.
"Estimation of Characteristics-based Quantile Factor Models,"
CEPR Discussion Papers
18115, C.E.P.R. Discussion Papers.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo & Haozi Pan, 2023. "Estimation of Characteristics-based Quantile Factor Models," Papers 2304.13206, arXiv.org.
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"High dimensional semiparametric moment restriction models,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 320-345.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Connor, G. & Li, S. & Linton, O., 2020. "A Dynamic Semiparametric Characteristics-based Model for Optimal Portfolio Selection," Cambridge Working Papers in Economics 20103, Faculty of Economics, University of Cambridge.
- Jianqing Fan & Yuan Ke & Yuan Liao, 2016.
"Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia,"
Papers
1603.07041, arXiv.org, revised Sep 2018.
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"Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models,"
Supervisory Research and Analysis Working Papers
RPA 18-2, Federal Reserve Bank of Boston.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2016. "Quasi Maximum Likelihood Analysis of High Dimensional Constrained Factor Models," MPRA Paper 75676, University Library of Munich, Germany.
- Li, Kunpeng & Li, Qi & Lu, Lina, 2018. "Quasi maximum likelihood analysis of high dimensional constrained factor models," Journal of Econometrics, Elsevier, vol. 206(2), pages 574-612.
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- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
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1612.04990, arXiv.org, revised Aug 2017.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
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"Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models,"
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09-2014, Singapore Management University, School of Economics.
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"Dissecting Characteristics Nonparametrically,"
CESifo Working Paper Series
6391, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2326-2377.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber & Michael Weber, 2018. "Dissecting Characteristics Nonparametrically," CESifo Working Paper Series 7187, CESifo.
- Joachim Freyberger & Andreas Neuhierl & Michael Weber, 2017. "Dissecting Characteristics Nonparametrically," NBER Working Papers 23227, National Bureau of Economic Research, Inc.
- Zhang, Lyuou & Zhou, Wen & Wang, Haonan, 2021. "A semiparametric latent factor model for large scale temporal data with heteroscedasticity," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
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- Ge, S. & Li, S. & Linton, O., 2020. "A Dynamic Network of Arbitrage Characteristics," Cambridge Working Papers in Economics 2060, Faculty of Economics, University of Cambridge.
- Fei Liu & Jiti Gao & Yanrong Yang, 2019. "Nonparametric Estimation in Panel Data Models with Heterogeneity and Time Varyingness," Monash Econometrics and Business Statistics Working Papers 24/19, Monash University, Department of Econometrics and Business Statistics.
- Likai Chen & Weining Wang & Wei Biao Wu, 2017. "Dynamic Semiparametric Factor Model with a Common Break," SFB 649 Discussion Papers SFB649DP2017-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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"Eigenvalue tests for the number of latent factors in short panels,"
Swiss Finance Institute Research Paper Series
22-81, Swiss Finance Institute.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
- Lee, Jiyon, 2015. "A semiparametric single index model with heterogeneous impacts on an unobserved variable," Journal of Econometrics, Elsevier, vol. 184(1), pages 13-36.
- Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
- Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"Estimation of large dimensional conditional factor models in finance,"
Working Papers
unige:125031, University of Geneva, Geneva School of Economics and Management.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019. "Estimation of Large Dimensional Conditional Factor Models in Finance," Swiss Finance Institute Research Paper Series 19-46, Swiss Finance Institute.
- French, Declan & Wu, Yuliang & Li, Youwei, 2016. "Identifying the relative importance of stock characteristics," Journal of Multinational Financial Management, Elsevier, vol. 34(C), pages 80-91.
- Stefano Giglio & Dacheng Xiu, 2017. "Inference on Risk Premia in the Presence of Omitted Factors," NBER Working Papers 23527, National Bureau of Economic Research, Inc.
- Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
- Brownlees, Christian T., 2019. "Hierarchical GARCH," Journal of Empirical Finance, Elsevier, vol. 51(C), pages 17-27.
- Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
- Jaeheon Jung, 2019. "Estimating a Large Covariance Matrix in Time-varying Factor Models," Papers 1910.11965, arXiv.org.
- Jung, Sungkyu, 2018. "Continuum directions for supervised dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 125(C), pages 27-43.
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- Chaohua Dong & Jiti Gao & Oliver Linton, 2018.
"High dimensional semiparametric moment restriction models,"
CeMMAP working papers
CWP04/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dong, C. & Gao, J. & Linton, O., 2018. "High Dimensional Semiparametric Moment Restriction Models," Cambridge Working Papers in Economics 1881, Faculty of Economics, University of Cambridge.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," CeMMAP working papers CWP69/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2017. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 17/17, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Oliver Linton, 2018. "High dimensional semiparametric moment restriction models," Monash Econometrics and Business Statistics Working Papers 23/18, Monash University, Department of Econometrics and Business Statistics.
- Jungjun Choi & Hyukjun Kwon & Yuan Liao, 2023. "Inference for Low-rank Models without Estimating the Rank," Papers 2311.16440, arXiv.org.
- Yuan Liao & Xiye Yang, 2017. "Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models," Papers 1711.04392, arXiv.org, revised Dec 2018.
- Jiti Gao & Fei Liu & Bin Peng & Yayi Yan, 2020.
"Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects,"
Papers
2012.03182, arXiv.org, revised Nov 2021.
- Gao, Jiti & Liu, Fei & Peng, Bin & Yan, Yayi, 2023. "Binary response models for heterogeneous panel data with interactive fixed effects," Journal of Econometrics, Elsevier, vol. 235(2), pages 1654-1679.
- Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007.
"Time Series Modelling with Semiparametric Factor Dynamics,"
SFB 649 Discussion Papers
SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
- Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
- Connor, Gregory & Flavin, Thomas & O’Kelly, Brian, 2012.
"The U.S. and Irish credit crises: Their distinctive differences and common features,"
Journal of International Money and Finance, Elsevier, vol. 31(1), pages 60-79.
See citations under working paper version above.
- Gregory Connor & Thomas Flavin & Brian O’Kelly, 2010. "The U.S. and Irish Credit Crises: Their Distinctive Differences and Common Features," Economics Department Working Paper Series n206-10.pdf, Department of Economics, National University of Ireland - Maynooth.
- Gregory Connor & Brian O’Kelly, 2012.
"Sliding Doors Cost Measurement: The Net Economic Cost of Lax Regulation of the Irish Banking Sector,"
The World Economy, Wiley Blackwell, vol. 35(10), pages 1256-1276, October.
Cited by:
- Gregory Connor & Thomas Flavin & Brian O'Kelly, 2015. "Restructuring and Recovery of the Irish Financial Sector: An Economic Case History V2," Economics Department Working Paper Series n259-15.pdf, Department of Economics, National University of Ireland - Maynooth.
- Lane, Philip, 2015.
"The Funding of the Irish Domestic Banking System During the Boom,"
CEPR Discussion Papers
10777, C.E.P.R. Discussion Papers.
- Philip R. Lane, 2015. "The Funding of the Irish Domestic Banking System During the Boom," Trinity Economics Papers tep0515, Trinity College Dublin, Department of Economics.
- Connor, Gregory & Linton, Oliver, 2007.
"Semiparametric estimation of a characteristic-based factor model of common stock returns,"
Journal of Empirical Finance, Elsevier, vol. 14(5), pages 694-717, December.
See citations under working paper version above.
- Connor, Gregory & Linton, Oliver, 2006. "Semiparametric estimation of a characteristic-based factor model of common stock returns," LSE Research Online Documents on Economics 4424, London School of Economics and Political Science, LSE Library.
- Gregory Connor & Oliver Linton, 2006. "Semiparametric Estimation of aCharacteristic-based Factor Model ofCommon Stock Returns," STICERD - Econometrics Paper Series 506, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Clarke, J.A. & Connor, G. & Grant, A.D. & Johnstone, C.M., 2006.
"Regulating the output characteristics of tidal current power stations to facilitate better base load matching over the lunar cycle,"
Renewable Energy, Elsevier, vol. 31(2), pages 173-180.
Cited by:
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- Almoghayer, Mohammed A. & Woolf, David K. & Kerr, Sandy & Davies, Gareth, 2022. "Integration of tidal energy into an island energy system – A case study of Orkney islands," Energy, Elsevier, vol. 242(C).
- Pennock, Shona & Coles, Daniel & Angeloudis, Athanasios & Bhattacharya, Saptarshi & Jeffrey, Henry, 2022. "Temporal complementarity of marine renewables with wind and solar generation: Implications for GB system benefits," Applied Energy, Elsevier, vol. 319(C).
- Hammar, Linus & Ehnberg, Jimmy & Mavume, Alberto & Francisco, Francisco & Molander, Sverker, 2012. "Simplified site-screening method for micro tidal current turbines applied in Mozambique," Renewable Energy, Elsevier, vol. 44(C), pages 414-422.
- Daniel Coles & Athanasios Angeloudis & Zoe Goss & Jon Miles, 2021. "Tidal Stream vs. Wind Energy: The Value of Cyclic Power When Combined with Short-Term Storage in Hybrid Systems," Energies, MDPI, vol. 14(4), pages 1-17, February.
- Mohamad Kaddoura & Johan Tivander & Sverker Molander, 2020. "Life Cycle Assessment of Electricity Generation from an Array of Subsea Tidal Kite Prototypes," Energies, MDPI, vol. 13(2), pages 1-18, January.
- Silvio Barbarelli & Benedetto Nastasi, 2021. "Tides and Tidal Currents—Guidelines for Site and Energy Resource Assessment," Energies, MDPI, vol. 14(19), pages 1-20, September.
- Allan, Grant & Gilmartin, Michelle & McGregor, Peter & Swales, Kim, 2011. "Levelised costs of Wave and Tidal energy in the UK: Cost competitiveness and the importance of "banded" Renewables Obligation Certificates," Energy Policy, Elsevier, vol. 39(1), pages 23-39, January.
- Zhang, Jisheng & Lin, Xiangfeng & Wang, Risheng & Guo, Yakun & Zhang, Can & Zhang, Yuquan, 2020. "Flow structures in wake of a pile-supported horizontal axis tidal stream turbine," Renewable Energy, Elsevier, vol. 147(P1), pages 2321-2334.
- Iyer, A.S. & Couch, S.J. & Harrison, G.P. & Wallace, A.R., 2013. "Variability and phasing of tidal current energy around the United Kingdom," Renewable Energy, Elsevier, vol. 51(C), pages 343-357.
- Chen, Long & Hashim, Roslan & Othman, Faridah & Motamedi, Shervin, 2017. "Experimental study on scour profile of pile-supported horizontal axis tidal current turbine," Renewable Energy, Elsevier, vol. 114(PB), pages 744-754.
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- Manchester, Sebastian & Barzegar, Behzad & Swan, Lukas & Groulx, Dominic, 2013. "Energy storage requirements for in-stream tidal generation on a limited capacity electricity grid," Energy, Elsevier, vol. 61(C), pages 283-290.
- Coles, Daniel & Wray, Bevan & Stevens, Rob & Crawford, Scott & Pennock, Shona & Miles, Jon, 2023. "Impacts of tidal stream power on energy system security: An Isle of Wight case study," Applied Energy, Elsevier, vol. 334(C).
- Neill, Simon P. & Hashemi, M. Reza & Lewis, Matt J., 2016. "Tidal energy leasing and tidal phasing," Renewable Energy, Elsevier, vol. 85(C), pages 580-587.
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- Chen, Wei-Bo & Liu, Wen-Cheng, 2017. "Assessing the influence of sea level rise on tidal power output and tidal energy dissipation near a channel," Renewable Energy, Elsevier, vol. 101(C), pages 603-616.
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"The common and specific components of dynamic volatility,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 231-255, May.
Cited by:
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"Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks,"
Working Papers ECARES
ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
- Barigozzi, Matteo & Hallin, Mark, 2015. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," LSE Research Online Documents on Economics 60980, London School of Economics and Political Science, LSE Library.
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"The effects of the subprime crisis on the Latin American financial markets: an empirical assessment,"
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- Dufrénot, Gilles & Mignon, Valérie & Péguin-Feissolle, Anne, 2011. "The effects of the subprime crisis on the Latin American financial markets: An empirical assessment," Economic Modelling, Elsevier, vol. 28(5), pages 2342-2357, September.
- Gilles Dufrénot & Valérie Mignon & Anne Péguin-Feissolle, 2010. "The Effects of the Subprime Crisis on the Latin American Financial Markets: an Empirical Assessment," Working Papers 2010-11, CEPII research center.
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010. "Portfolio Risk Analysis," Economics Books, Princeton University Press, edition 1, number 9224.
- Eric Renault & Thijs Van Der & Bas J M Werker, 2023. "Arbitrage Pricing Theory for Idiosyncratic Variance Factors," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1403-1442.
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- Matteo Barigozzi & Marc Hallin, 2015.
"Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting,"
Working Papers ECARES
ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
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Chapters
-
Sorry, no citations of chapters recorded.
Books
- Gregory Connor & Lisa R. Goldberg & Robert A. Korajczyk, 2010.
"Portfolio Risk Analysis,"
Economics Books,
Princeton University Press,
edition 1, number 9224.
Cited by:
- Daniel Bartz & Kerr Hatrick & Christian W Hesse & Klaus-Robert Müller & Steven Lemm, 2013. "Directional Variance Adjustment: Bias Reduction in Covariance Matrices Based on Factor Analysis with an Application to Portfolio Optimization," PLOS ONE, Public Library of Science, vol. 8(7), pages 1-14, July.
- Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"Dynamic specification tests for dynamic factor models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
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- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Connor, Gregory & Suurlaht, Anita, 2013.
"Dynamic stock market covariances in the Eurozone,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
- Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Guerard, John, 2023. "Harry Markowitz: An appreciation," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1496-1501.
- John B. Guerard & Ganlin Xu & Harry Markowitz, 2021. "A further analysis of robust regression modeling and data mining corrections testing in global stocks," Annals of Operations Research, Springer, vol. 303(1), pages 175-195, August.
- Carol Newman & Fiona Wainwright, 2011. "Income Shocks and Household Risk-Coping Strategies: Evidence from Rural Vietnam," The Institute for International Integration Studies Discussion Paper Series iiisdp358, IIIS.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012.
"Financial Risk Measurement for Financial Risk Management,"
NBER Working Papers
18084, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Mark R. Powell, 2015. "Risk‐Based Sampling: I Don't Want to Weight in Vain," Risk Analysis, John Wiley & Sons, vol. 35(12), pages 2172-2182, December.
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