-
2
-
-
84974220425
-
Laws of large numbers for dependent non-identically distributed random variables
-
Andrews, D. (1988) Laws of large numbers for dependent non-identically distributed random variables. Econometric Theory 4, 458-467.
-
(1988)
Econometric Theory
, vol.4
, pp. 458-467
-
-
Andrews, D.1
-
3
-
-
27744459542
-
Cross-section regression with common shocks
-
Andrews, D. (2005) Cross-section regression with common shocks. Econometrica 73, 1551-1585.
-
(2005)
Econometrica
, vol.73
, pp. 1551-1585
-
-
Andrews, D.1
-
4
-
-
61849111088
-
Robust priors in nonlinear panel data models
-
Arellano, M., S. Bonhomme (2009) Robust priors in nonlinear panel data models. Econometrica 77, 489-536.
-
(2009)
Econometrica
, vol.77
, pp. 489-536
-
-
Arellano, M.1
Bonhomme, S.2
-
6
-
-
0036221554
-
Determining the number of factors in approximate factor models
-
Bai, J., S. Ng (2002) Determining the number of factors in approximate factor models. Econometrica 70, 191-221.
-
(2002)
Econometrica
, vol.70
, pp. 191-221
-
-
Bai, J.1
Ng, S.2
-
7
-
-
0003635292
-
-
Basel Committee on Banking Supervision Consultative Document of the Bank for International Settlements, April 2001, Part 2: Pillar 1, Section Calculation of IRB Granularity Adjustment to Capital
-
Basel Committee on Banking Supervision (2001) The New Basel Capital Accord. Consultative Document of the Bank for International Settlements, April 2001, Part 2: Pillar 1, Section Calculation of IRB Granularity Adjustment to Capital".
-
(2001)
The New Basel Capital Accord
-
-
-
8
-
-
0003635292
-
-
Basel Committee on Banking Supervision Consultative Document of the Bank for International Settlements, April 2003, Part 3: The Second Pillar
-
Basel Committee on Banking Supervision (2003) The New Basel Capital Accord. Consultative Document of the Bank for International Settlements, April 2003, Part 3: The Second Pillar.
-
(2003)
The New Basel Capital Accord
-
-
-
9
-
-
68649092316
-
On the computational complexity of MCMC-based estimators in large sample
-
Belloni, A., V. Chernozhukov (2009) On the computational complexity of MCMC-based estimators in large sample. Annals of Statistics 37, 2011-2055.
-
(2009)
Annals of Statistics
, vol.37
, pp. 2011-2055
-
-
Belloni, A.1
Chernozhukov, V.2
-
10
-
-
71249144015
-
A penalty function approach to bias reduction in nonlinear panel models with fixed effects
-
Bester, C., C. Hansen (2009) A penalty function approach to bias reduction in nonlinear panel models with fixed effects. Journal of Business and Economic Statistics 27, 131-148.
-
(2009)
Journal of Business and Economic Statistics
, vol.27
, pp. 131-148
-
-
Bester, C.1
Hansen, C.2
-
16
-
-
0001620014
-
Asymptotic efficiency in estimation with conditional moment restrictions
-
Chamberlain, G. (1987) Asymptotic efficiency in estimation with conditional moment restrictions. Journal of Econometrics 34, 305-334.
-
(1987)
Journal of Econometrics
, vol.34
, pp. 305-334
-
-
Chamberlain, G.1
-
17
-
-
33747045112
-
Bankruptcy prediction with industry effects
-
Chava, S., R. Jarrow (2004) Bankruptcy prediction with industry effects. Review of Finance 8, 537-569.
-
(2004)
Review of Finance
, vol.8
, pp. 537-569
-
-
Chava, S.1
Jarrow, R.2
-
18
-
-
84858597462
-
Efficient semiparametric estimation of the Fama-French model and extensions
-
Connor, G., M. Hagmann, O. Linton (2012) Efficient semiparametric estimation of the Fama-French model and extensions. Econometrica 80, 713-754.
-
(2012)
Econometrica
, vol.80
, pp. 713-754
-
-
Connor, G.1
Hagmann, M.2
Linton, O.3
-
21
-
-
3342955888
-
Funzione Caratteristica di un Fenomeno Aleatorio
-
Memorie, Classe di Scienze Fisiche, Matematiche e Naturali
-
de Finetti, B. (1931) Funzione Caratteristica di un Fenomeno Aleatorio. In Atti della Reale Accademia dei Lincei 6, Memorie, Classe di Scienze Fisiche, Matematiche e Naturali, 4, 251-299.
-
(1931)
Atti della Reale Accademia Dei Lincei
, vol.6
, Issue.4
, pp. 251
-
-
De Finetti, B.1
-
26
-
-
21244500381
-
Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
-
Douc, R., E. Moulines, T. Rydén (2004) Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime. Annals of Statistics 32, 2254-2304.
-
(2004)
Annals of Statistics
, vol.32
, pp. 2254-2304
-
-
Douc, R.1
Moulines, E.2
Rydén, T.3
-
27
-
-
70349478737
-
Frailty correlated defaults
-
Duffie, D., A. Eckner, G. Horel, L. Saita (2009) Frailty correlated defaults. Journal of Finance 64, 2089-2123.
-
(2009)
Journal of Finance
, vol.64
, pp. 2089-2123
-
-
Duffie, D.1
Eckner, A.2
Horel, G.3
Saita, L.4
-
30
-
-
4444323292
-
Likelihood-based estimation of latent generalized ARCH structures
-
Fiorentini, G., E. Sentana, N. Shephard (2004) Likelihood-based estimation of latent generalized ARCH structures. Econometrica 72, 1481-1517.
-
(2004)
Econometrica
, vol.72
, pp. 1481-1517
-
-
Fiorentini, G.1
Sentana, E.2
Shephard, N.3
-
31
-
-
0034364595
-
The generalized dynamic factor model: Identification and estimation
-
Forni, M., M. Hallin, M. Lippi, L. Reichlin (2000) The generalized dynamic factor model: Identification and estimation. Review of Economics and Statistics 82, 540-554.
-
(2000)
Review of Economics and Statistics
, vol.82
, pp. 540-554
-
-
Forni, M.1
Hallin, M.2
Lippi, M.3
Reichlin, L.4
-
32
-
-
0001600765
-
Let's get real: A factor analytic approach to disaggregated business cycle dynamics
-
Forni, M., L. Reichlin (1998) Let's get real: A factor analytic approach to disaggregated business cycle dynamics. Review of Economic Studies 65, 453-473.
-
(1998)
Review of Economic Studies
, vol.65
, pp. 453-473
-
-
Forni, M.1
Reichlin, L.2
-
33
-
-
12444290992
-
Migration correlation: Definition and efficient estimation
-
Gagliardini, P., C. Gouriéroux (2005a) Migration correlation: Definition and efficient estimation. Journal of Banking and Finance 29, 865-894.
-
(2005)
Journal of Banking and Finance
, vol.29
, pp. 865-894
-
-
Gagliardini, P.1
Gouriéroux, C.2
-
35
-
-
84855407558
-
Microinformation, nonlinear filtering and granularity
-
Gagliardini, P., C. Gouriéroux, A. Monfort (2012) Microinformation, nonlinear filtering and granularity. Journal of Financial Econometrics 10, 1-53.
-
(2012)
Journal of Financial Econometrics
, vol.10
, pp. 1-53
-
-
Gagliardini, P.1
Gouriéroux, C.2
Monfort, A.3
-
36
-
-
0040999083
-
Second-order efficiency of maximum likelihood estimators
-
Ghosh, J., K. Subramanyam (1974) Second-order efficiency of maximum likelihood estimators. Sankya Series A 36, 325-358.
-
(1974)
Sankya Series A
, vol.36
, pp. 325-358
-
-
Ghosh, J.1
Subramanyam, K.2
-
37
-
-
0041856328
-
A risk-factor model foundation for rating-based bank capital rules
-
Gordy, M. (2003) A risk-factor model foundation for rating-based bank capital rules. Journal of Financial Intermediation 12, 199-232.
-
(2003)
Journal of Financial Intermediation
, vol.12
, pp. 199-232
-
-
Gordy, M.1
-
39
-
-
84858284581
-
Granularity adjustment for default risk factor model with cohorts
-
Gouriéroux, C., J. Jasiak (2012) Granularity adjustment for default risk factor model with cohorts. Journal of Banking and Finance 36, 1464-1477.
-
(2012)
Journal of Banking and Finance
, vol.36
, pp. 1464-1477
-
-
Gouriéroux, C.1
Jasiak, J.2
-
40
-
-
47249103759
-
Quadratic stochastic intensity and prospective mortality tables
-
Gouriéroux, C., A. Monfort (2008) Quadratic stochastic intensity and prospective mortality tables. Insurance Mathematics and Economics 43, 174-184.
-
(2008)
Insurance Mathematics and Economics
, vol.43
, pp. 174-184
-
-
Gouriéroux, C.1
Monfort, A.2
-
43
-
-
84986792205
-
An introduction to long memory time series models and fractional differencing
-
Granger, C., R. Joyeux (1980) An introduction to long memory time series models and fractional differencing. Journal of Time Series Analysis 1, 15-29.
-
(1980)
Journal of Time Series Analysis
, vol.1
, pp. 15-29
-
-
Granger, C.1
Joyeux, R.2
-
45
-
-
0036077642
-
Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large
-
Hahn, J., G. Kuersteiner (2002) Asymptotically unbiased inference for a dynamic panel model with fixed effects when both n and T are large. Econometrica 70, 1639-1657.
-
(2002)
Econometrica
, vol.70
, pp. 1639-1657
-
-
Hahn, J.1
Kuersteiner, G.2
-
46
-
-
82455198612
-
Bias reduction for dynamic nonlinear panel models with fixed effects
-
Hahn, J., G. Kuersteiner (2011) Bias reduction for dynamic nonlinear panel models with fixed effects. Econometric Theory 27, 1152-1191.
-
(2011)
Econometric Theory
, vol.27
, pp. 1152-1191
-
-
Hahn, J.1
Kuersteiner, G.2
-
47
-
-
2542473258
-
Asymptotic distribution of misspecified random effects estimators for a dynamic panel model with fixed effects when both n and T are large
-
Hahn, J., G. Kuersteiner, M. Cho (2005) Asymptotic distribution of misspecified random effects estimators for a dynamic panel model with fixed effects when both n and T are large. Economic Letters 84, 117-125.
-
(2005)
Economic Letters
, vol.84
, pp. 117-125
-
-
Hahn, J.1
Kuersteiner, G.2
Cho, M.3
-
48
-
-
33645002479
-
Reducing bias of MLE in dynamic panel models
-
Hahn, J., H. Moon (2006) Reducing bias of MLE in dynamic panel models. Econometric Theory 22, 499-512.
-
(2006)
Econometric Theory
, vol.22
, pp. 499-512
-
-
Hahn, J.1
Moon, H.2
-
49
-
-
3142718410
-
Jackknife and analytical bias reduction for nonlinear panel models
-
Hahn, J., W. Newey (2004) Jackknife and analytical bias reduction for nonlinear panel models. Econometrica 72, 1295-1319.
-
(2004)
Econometrica
, vol.72
, pp. 1295-1319
-
-
Hahn, J.1
Newey, W.2
-
52
-
-
0006707350
-
Modelling panels of intercorrelated autoregressive time series
-
Hjellvik, V., D. Tjostheim (1999) Modelling panels of intercorrelated autoregressive time series. Biometrika 86, 573-590.
-
(1999)
Biometrika
, vol.86
, pp. 573-590
-
-
Hjellvik, V.1
Tjostheim, D.2
-
53
-
-
53749083738
-
A saddlepoint approximation of the distribution of the k-class estimator of a coefficient in a simultaneous system
-
Holly, A., P. Phillips (1979) A saddlepoint approximation of the distribution of the k-class estimator of a coefficient in a simultaneous system. Econometrica 47, 1527-1547.
-
(1979)
Econometrica
, vol.47
, pp. 1527-1547
-
-
Holly, A.1
Phillips, P.2
-
54
-
-
78649422922
-
Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
-
Huber, P., O. Scaillet, M.-P. Victoria-Feser (2009) Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data. Annals of Applied Statistics 3, 249-271.
-
(2009)
Annals of Applied Statistics
, vol.3
, pp. 249-271
-
-
Huber, P.1
Scaillet, O.2
Victoria-Feser, M.-P.3
-
56
-
-
0000091003
-
Asymptotic properties of non-linear least squares estimators
-
Jennrich, R. (1969) Asymptotic properties of non-linear least squares estimators. Annals of Mathematical Statistics 40, 633-643.
-
(1969)
Annals of Mathematical Statistics
, vol.40
, pp. 633-643
-
-
Jennrich, R.1
-
58
-
-
36148993566
-
The multi-state latent factor intensity model for credit rating transitions
-
Koopman, S., A. Lucas, A. Monteiro (2008) The multi-state latent factor intensity model for credit rating transitions. Journal of Econometrics 142, 399-424.
-
(2008)
Journal of Econometrics
, vol.142
, pp. 399-424
-
-
Koopman, S.1
Lucas, A.2
Monteiro, A.3
-
59
-
-
0001099021
-
The incidental parameter problem since 1948
-
Lancaster, T. (2000) The incidental parameter problem since 1948. Journal of Econometrics 95, 391-413.
-
(2000)
Journal of Econometrics
, vol.95
, pp. 391-413
-
-
Lancaster, T.1
-
62
-
-
0038309725
-
The effects of estimation error on measures of portfolio credit risk
-
Loeffler, G. (2003) The effects of estimation error on measures of portfolio credit risk. Journal of Banking and Finance 27, 1427-1453.
-
(2003)
Journal of Banking and Finance
, vol.27
, pp. 1427-1453
-
-
Loeffler, G.1
-
63
-
-
33847255363
-
Bayesian inference for generalized linear mixed models of portfolio credit risk
-
McNeil, A., J. Wendin (2007) Bayesian inference for generalized linear mixed models of portfolio credit risk. Journal of Empirical Finance 14, 131-149.
-
(2007)
Journal of Empirical Finance
, vol.14
, pp. 131-149
-
-
McNeil, A.1
Wendin, J.2
-
64
-
-
0000808665
-
On the pricing of corporate debt: The risk structure of interest rates
-
Merton, R. (1974) On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance 29, 449-470.
-
(1974)
Journal of Finance
, vol.29
, pp. 449-470
-
-
Merton, R.1
-
65
-
-
0001831031
-
Consistent estimates based on partially consistent observations
-
Neyman, J., E. Scott (1948) Consistent estimates based on partially consistent observations. Econometrica 16, 1-31.
-
(1948)
Econometrica
, vol.16
, pp. 1-31
-
-
Neyman, J.1
Scott, E.2
-
66
-
-
0002125171
-
A third-order optimum property of the maximum likelihood estimator
-
Pfanzagl, J., W. Wefelmeyer (1978) A third-order optimum property of the maximum likelihood estimator. Journal of Multivariate Analysis 8, 1-29.
-
(1978)
Journal of Multivariate Analysis
, vol.8
, pp. 1-29
-
-
Pfanzagl, J.1
Wefelmeyer, W.2
-
67
-
-
0346547963
-
Marginal densities of instrumental variable estimators in the general single equation case
-
Phillips, P. (1983) Marginal densities of instrumental variable estimators in the general single equation case. Advances in Econometrics 2, 1-24.
-
(1983)
Advances in Econometrics
, vol.2
, pp. 1-24
-
-
Phillips, P.1
-
68
-
-
0000788831
-
The stochastic difference between econometric estimators
-
Robinson, P. (1988) The stochastic difference between econometric estimators. Econometrica 56, 531-548.
-
(1988)
Econometrica
, vol.56
, pp. 531-548
-
-
Robinson, P.1
-
70
-
-
0346977307
-
A simplified approach to computing efficiency bounds in semiparametric models
-
Severini, T., G. Tripathi (2001) A simplified approach to computing efficiency bounds in semiparametric models. Journal of Econometrics 102, 23-66.
-
(2001)
Journal of Econometrics
, vol.102
, pp. 23-66
-
-
Severini, T.1
Tripathi, G.2
-
71
-
-
0008104389
-
Forecasting bankruptcy more accurately: A simple hazard model
-
Shumway, T. (2001) Forecasting bankruptcy more accurately: A simple hazard model. Journal of Business 74, 101-124.
-
(2001)
Journal of Business
, vol.74
, pp. 101-124
-
-
Shumway, T.1
-
73
-
-
0036970448
-
Forecasting using principal components from a large number of predictors
-
Stock, J., M. Watson (2002) Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association 97, 1167-1179.
-
(2002)
Journal of the American Statistical Association
, vol.97
, pp. 1167-1179
-
-
Stock, J.1
Watson, M.2
|