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Citations for "A Practitioner's Guide to Robust Covariance Matrix Estimation"

by Wouter J. Den Haan & Andrew T. Levin

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  1. Cees Diks & Valentyn Panchenko & Oleg Sokolinskiy, & Dick van Dijk, 2013. "Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support," Tinbergen Institute Discussion Papers 13-061/III, Tinbergen Institute.
  2. Wouter J. Den Haan & Andrew Levin, 1996. "Inferences from Parametric and Non-Parametric Covariance Matrix Estimation Procedures," NBER Technical Working Papers 0195, National Bureau of Economic Research, Inc.
  3. Francisco Covas & Wouter Denhaan, 2006. "The role of debt and equity finance over the business cycle," 2006 Meeting Papers 407, Society for Economic Dynamics.
  4. Yixiao Sun & Peter C.B. Phillips & Sainan Jin, 2010. "Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels," Cowles Foundation Discussion Papers 1749, Cowles Foundation for Research in Economics, Yale University.
  5. Diez de los Rios, Antonio & Sentana, Enrique, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
  6. Wei-Ming Lee & Chung-Ming Kuan, 2006. "Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix," IEAS Working Paper : academic research 06-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  7. Phillips, Peter C.B., 2005. "Hac Estimation By Automated Regression," Econometric Theory, Cambridge University Press, vol. 21(01), pages 116-142, February.
  8. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
  9. Jo�o F. Gomes & Leonid Kogan & Motohiro Yogo, 2009. "Durability of Output and Expected Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 117(5), pages 941 - 986.
  10. Elena Andreou & Eric Ghysels, 2003. "Test for Breaks in the Conditional Co-Movements of Asset Returns," University of Cyprus Working Papers in Economics 3-2003, University of Cyprus Department of Economics.
  11. Fabrice Collard & Patrick Fève & Fran�ois Langot & Corinne Perraudin, 2002. "A structural model of US aggregate job flows," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(3), pages 197-223.
  12. Dufour, J.M., 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  13. Pancrazi, Roberto, 2015. "The heterogeneous Great Moderation," European Economic Review, Elsevier, vol. 74(C), pages 207-228.
  14. Eric Hillebrand & Gunther Schnabl, . "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," Departmental Working Papers 2003-09, Department of Economics, Louisiana State University.
  15. Francesco Busato & Alessandro Girardi & Amadeo Argentiero, 2005. "Technology and non-technology shocks in a two-sector economy," Economics Working Papers 2005-11, School of Economics and Management, University of Aarhus.
  16. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  17. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
  18. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  19. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, EconWPA.
  20. Jondeau, E. & Ricart, R., 1997. "La théorie des anticipations de la structure par terme : test à partir des titres publics français," Working papers 45, Banque de France.
  21. Éric JONDEAU -, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annales d'Economie et de Statistique, ENSAE, issue 62, pages 139-174.
  22. Peter C.B. Phillips & Yixiao Sun & Sainan Jin, 2005. "Improved HAR Inference," Cowles Foundation Discussion Papers 1513, Cowles Foundation for Research in Economics, Yale University.
  23. Jan J. J. Groen & George Kapetanios, 2009. "Model selection criteria for factor-augmented regressions," Staff Reports 363, Federal Reserve Bank of New York.
  24. Hillebrand, Eric & Schnabl, Gunther, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 0650, European Central Bank.
  25. Elena Andreou & Eric Ghysels, 2004. "The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests," CIRANO Working Papers 2004s-25, CIRANO.
  26. Lei Lei Song, 2006. "The Comovement between Fuel Prices and the General Price level in Australia," Melbourne Institute Working Paper Series wp2006n17, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  27. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  28. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  29. Hirukawa Masayuki, 2004. "A Two-Stage Plug-In Bandwidth Selection and Its Implementation in Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Working Papers 04005, Concordia University, Department of Economics.
  30. Diks, Cees & Panchenko, Valentyn & Sokolinskiy, Oleg & van Dijk, Dick, 2014. "Comparing the accuracy of multivariate density forecasts in selected regions of the copula support," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 79-94.
  31. Andreu Sansó & Vicent Aragó & Josep Lluís Carrion, 2003. "Testing for Changes in the Unconditional Variance of Financial Time Series," DEA Working Papers 5, Universitat de les Illes Balears, Departament d'Economía Aplicada.
  32. Philipp Schmidt-Dengler, 2003. "A structural model of aggregate US job flows: another look," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 113-118.
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