Nonlinear regression with dependent observations
H White, I Domowitz - Econometrica: Journal of the Econometric Society, 1984 - JSTOR
This paper provides general conditions which ensure consistency and asymptotic normality
for the nonlinear least squares estimator. These conditions apply to time-series, cross-section…
for the nonlinear least squares estimator. These conditions apply to time-series, cross-section…
International cross‐listing and order flow migration: Evidence from an emerging market
I Domowitz, J Glen, A Madhavan - the Journal of Finance, 1998 - Wiley Online Library
Policymakers in emerging markets are increasingly concerned about the consequences for
the domestic equity market when companies list stock abroad. We show that the effects of …
the domestic equity market when companies list stock abroad. We show that the effects of …
Conditional variance and the risk premium in the foreign exchange market
I Domowitz, CS Hakkio - Journal of international Economics, 1985 - Elsevier
We investigate the existence of a risk premium in the foreign exchange market, based on the
conditional variance of market forecast errors. The forecast errors are assumed to follow the …
conditional variance of market forecast errors. The forecast errors are assumed to follow the …
Business cycles and the relationship between concentration and price-cost margins
I Domowitz, RG Hubbard, BC Petersen - The RAND Journal of Economics, 1986 - JSTOR
Using a newly constructed panel data base, we examine changes in price-cost margins in
284 manufacturing industries between 1958 and 1981. A key finding is a dramatic narrowing …
284 manufacturing industries between 1958 and 1981. A key finding is a dramatic narrowing …
Market structure and cyclical fluctuations in US manufacturing
I Domowitz, RG Hubbard, BC Petersen - 1986 - nber.org
The relevance of imperfect competition for models of aggregate economic fluctuations has
received increased attention from researchers in both macroeconomics and industrial …
received increased attention from researchers in both macroeconomics and industrial …
Liquidity, volatility and equity trading costs across countries and over time
I Domowitz, J Glen, A Madhavan - International Finance, 2001 - Wiley Online Library
Actual investment performance reflects the underlying strategy of the portfolio manager and
the execution costs incurred in realizing those objectives. Execution costs, especially in …
the execution costs incurred in realizing those objectives. Execution costs, especially in …
Market segmentation and stock prices: Evidence from an emerging market
I Domowitz, J Glen, A Madhavan - the Journal of Finance, 1997 - Wiley Online Library
We examine the relationship between stock prices and market segmentation induced by
ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate …
ownership restrictions in Mexico. The focus is on multiple classes of equity that differentiate …
Determinants of the consumer bankruptcy decision
I Domowitz, RL Sartain - The Journal of Finance, 1999 - Wiley Online Library
Qualitative choice models of consumers' decisions to file for bankruptcy and their choice of
bankruptcy chapter are estimated jointly, combining choice‐based sampling techniques with …
bankruptcy chapter are estimated jointly, combining choice‐based sampling techniques with …
Trading patterns and prices in the interbank foreign exchange market
T Bollerslev, I Domowitz - The Journal of Finance, 1993 - Wiley Online Library
The behavior of quote arrivals and bid‐ask spreads is examined for continuously recorded
deutsche mark‐dollar exchange rate data over time, across locations, and by market …
deutsche mark‐dollar exchange rate data over time, across locations, and by market …
Misspecified models with dependent observations
I Domowitz, H White - Journal of Econometrics, 1982 - Elsevier
General results are given in this paper which allow the development of a theory of estimation
and inference for situations in which the model of a data-generating process has been …
and inference for situations in which the model of a data-generating process has been …