JSTOR Daily

RISK OF BAYESIAN INFERENCE IN MISSPECIFIED MODELS, AND THE SANDWICH COVARIANCE MATRIX

This is a preview. Log in through your library . Abstract It is well known that, in misspecified parametric models, the maximum likelihood estimator (MLE) is consistent for the pseudo-true value and ...
JSTOR Daily

TESTING AND MODELLING FOR THE STRUCTURAL CHANGE IN COVARIANCE MATRIX TIME SERIES WITH MULTIPLICATIVE FORM

We first construct a new generalized Hausman test for detecting the structural change in a multiplicative form of covariance matrix time series model. This generalized Hausman test is asymptotically ...
Risk

Converting a covariance matrix from local currencies to a common currency

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...
Risk

The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures

While risk factor disclosures in 10-K filings have been criticized by practitioners as generic and boilerplate, recent studies indicate that these risk reports can be informative. This study ...