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A comparison of alternative covariance matrices for models with over-lapping observations
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UNSPECIFIED (1996) A comparison of alternative covariance matrices for models with over-lapping observations. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 15 (5). pp. 813-823. ISSN 0261-5606
Full text not available from this repository.Abstract
This paper investigates the relative performance of alternative covariance matrices for models with ever-lapping observations commonly used in the finance literature. The alternative covariance matrices used are those of Hansen (1982), Newey and West (1987) (Bartlett and Quadratic Spectral (QS) weights) and Andrews and Monahan (1992) (QS weights). All matrices produce standard errors which are too small, yielding empirical size probabilities above their corresponding theoretical values, even in large samples. Empirical examples, such as testing efficiency in the foreign exchange market and mean reversion in stock prices, show that the choice of covariance matrix can affect the outcome of a hypothesis test. Copyright (C) 1996 Elsevier Science Ltd
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Journal or Publication Title: | JOURNAL OF INTERNATIONAL MONEY AND FINANCE |
| Publisher: | BUTTERWORTH-HEINEMANN LTD |
| ISSN: | 0261-5606 |
| Date: | October 1996 |
| Volume: | 15 |
| Number: | 5 |
| Number of Pages: | 11 |
| Page Range: | pp. 813-823 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/18272 |
Data sourced from Thomson Reuters' Web of Knowledge
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