Publisher Summary The class of stochastic volatility (SV) models has its roots in both,
mathematical finance and financial econometrics. In fact, several variations of SV models …

Publisher Summary This chapter discusses the concept of robust covariance matrix
estimation. In many structural economic or time-series models, the errors may have …

" Introduction God made the integers, all the rest is the work of man.-Kronecker. This book is
concerned with models of event counts. An event count refers to the number of times an …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical …

This paper uses an equilibrium multifactor model to interpret the cross-sectional pattern of
postwar US stock and bond returns. Priced factors include the return on a stock index …

Generalized method of moments (GMM) was first introduced into the econometrics literature
by Lars Hansen in 1982. Since then, GMM has had considerable impact on the theory and …

The last twenty years have witnessed tremendous advances in the mathematical, statistical,
and computational tools available to applied macroeconomists. This rapidly evolving field …

Abstract We highlight how Corporate Social Responsibility (CSR) can be strategically used
against the negative perception from earnings management (EM). Using international data …

We examine the small-sample properties of the generalized method of moments estimator
applied to models of covariance structures, in which case it is commonly known as the …

This paper develops two new methods for conducting formal statistical inference in
nonlinear dynamic economic models. The two methods require very little analytical …