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Authors: Heaton, Chris
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1037759
Description: This paper reports the results of a simulation study that considers the finite-sample performances of a range of approaches for testing multiple-period predictability between two potentially serially ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/324252
Description: In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/164676
Description: Estimates of the cost of equity are often sensitive to the specification of the linear factor model used in their construction. In this article, we use techniques developed for high-dimensional factor ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/168111
Description: We introduce a generalization of the approximate factor model that divides the observable variables into groups, allows for arbitrarily strong cross-correlation between the disturbance terms of variab ... More
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics | G14 | G15 | C52
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114771
Description: We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodit ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/99257
Description: This paper considers contributions of industry-sectoral-micro shocks vs aggregate macro shocks. A dynamic factor model is estimated with maximum likelihood method in the frequency domain, and decompos ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2009
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/151338
Description: We introduce a generalization of the approximate factor model for which the observable variables belong to a finite number of groups. The error terms of variables that belong to different groups are a ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/12120
Description: The use of principal component techniques to estimate approximate factor models with large cross-sectional dimension is now well established. However, recent work by Inklaar, R. J., J. Jacobs and W. R ... More
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/12125
Description: We consider the contribution of sectoral shocks to post-war US unemployment movements in a dynamic factor framework. Whereas previously published estimates of the contribution of sectoral shocks to un ... More
Date: 2004
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74325
Description: We consider identification of a class of dynamic factor model. We show that identification holds under reasonably general conditions. The results apply to many of the dynamic factor models that have a ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1120972
Description: 21 page(s)
Date: 2002
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1120573
Description: 26 page(s)
Date: 2002
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1100454
Description: 10 page(s)
Reviewed: Reviewed
Authors: Heaton, Chris
Date: 2001
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1246834
Date: 2000
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1126982
Description: 13 page(s)
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