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Journal of Econometrics

1973 - 2017

Current editor(s): T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

From Elsevier
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Volume 194, issue 2, 2016

Increased correlation among asset classes: Are volatility or jumps to blame, or both? pp. 205-219 Downloads
Yacine Aït-Sahalia and Dacheng Xiu
Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data pp. 220-230 Downloads
Donggyu Kim and Yazhen Wang
Copula structured M4 processes with application to high-frequency financial data pp. 231-241 Downloads
Zhengjun Zhang and Bin Zhu
Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price pp. 242-262 Downloads
Per A. Mykland and Lan Zhang
Convolutional autoregressive models for functional time series pp. 263-282 Downloads
Xialu Liu, Han Xiao and Rong Chen
Testing super-diagonal structure in high dimensional covariance matrices pp. 283-297 Downloads
Jing He and Song Chen
Robust inference of risks of large portfolios pp. 298-308 Downloads
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
Semiparametric dynamic portfolio choice with multiple conditioning variables pp. 309-318 Downloads
Jia Chen, Degui Li, Oliver Linton and Zudi Lu
Asymptotics for parametric GARCH-in-Mean models pp. 319-329 Downloads
Christian Conrad and Enno Mammen
Tail dependence measure for examining financial extreme co-movements pp. 330-348 Downloads
Alexandru V. Asimit, Russell Gerrard, Yanxi Hou and Liang Peng
Local-momentum autoregression and the modeling of interest rate term structure pp. 349-359 Downloads
Jin-Chuan Duan
On consistency of minimum description length model selection for piecewise autoregressions pp. 360-368 Downloads
Richard A. Davis, Stacey A. Hancock and Yi-Ching Yao
Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients pp. 369-382 Downloads
Baojun Dou, Maria Lucia Parrella and Qiwei Yao

Volume 194, issue 1, 2016

Modeling covariance breakdowns in multivariate GARCH pp. 1-23 Downloads
Xin Jin and John Maheu
Multiscale adaptive inference on conditional moment inequalities pp. 24-43 Downloads
Timothy B. Armstrong and Hock Peng Chan
Local composite quantile regression smoothing for Harris recurrent Markov processes pp. 44-56 Downloads
Degui Li and Runze Li
Identification of panel data models with endogenous censoring pp. 57-75 Downloads
Shakeeb Khan, Maria Ponomareva and Elie Tamer
White noise testing and model diagnostic checking for functional time series pp. 76-95 Downloads
Xianyang Zhang
A simple test for moment inequality models with an application to English auctions pp. 96-115 Downloads
Andres Aradillas-Lopez, Amit Gandhi and Daniel Quint
Estimating dynamic equilibrium models using mixed frequency macro and financial data pp. 116-137 Downloads
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
The large-sample distribution of the maximum Sharpe ratio with and without short sales pp. 138-152 Downloads
Ross Maller, Steven Roberts and Rabee Tourky
A nonparametric test of a strong leverage hypothesis pp. 153-186 Downloads
Oliver Linton, Yoon-Jae Whang and Yu-Min Yen
Consistent model specification tests based on k-nearest-neighbor estimation method pp. 187-202 Downloads
Hongjun Li, Qi Li and Ruixuan Liu

Volume 193, issue 2, 2016

Macroeconomics and the reality of mixed frequency data pp. 294-314 Downloads
Eric Ghysels
A MIDAS approach to modeling first and second moment dynamics pp. 315-334 Downloads
Davide Pettenuzzo, Allan Timmermann and Rossen Valkanov
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs pp. 335-348 Downloads
Massimiliano Marcellino and Vasja Sivec
High-dimensional copula-based distributions with mixed frequency data pp. 349-366 Downloads
Dong Hwan Oh and Andrew Patton
On the use of high frequency measures of volatility in MIDAS regressions pp. 367-389 Downloads
Elena Andreou
The estimation of continuous time models with mixed frequency data pp. 390-404 Downloads
Marcus Chambers
Weighted maximum likelihood for dynamic factor analysis and forecasting with mixed frequency data pp. 405-417 Downloads
Francisco Blasques, Siem Jan Koopman, M. Mallee and Zhaoyong Zhang
Testing for Granger causality in large mixed-frequency VARs pp. 418-432 Downloads
Thomas Götz, Alain Hecq and Stephan Smeekes
A computationally efficient method for vector autoregression with mixed frequency data pp. 433-437 Downloads
Hang Qian
Extended Yule–Walker identification of VARMA models with single- or mixed-frequency data pp. 438-446 Downloads
Peter Zadrozny

Volume 193, issue 1, 2016

Kernel estimation of hazard functions when observations have dependent and common covariates pp. 1-16 Downloads
James Lewis Wolter
Inference theory for volatility functional dependencies pp. 17-34 Downloads
Jia Li, Viktor Todorov and George Tauchen
Double asymptotics for explosive continuous time models pp. 35-53 Downloads
Xiaohu Wang and Jun Yu
Statistical inference in a random coefficient panel model pp. 54-75 Downloads
Lajos Horvath and Lorenzo Trapani
Multivariate and multiple permutation tests pp. 76-91 Downloads
EunYi Chung and Joseph P. Romano
Smoothed quantile regression for panel data pp. 92-112 Downloads
Antonio F. Galvao and Kengo Kato
A discontinuity test for identification in triangular nonseparable models pp. 113-122 Downloads
Carolina Caetano, Christoph Rothe and Neşe Yıldız
Fixed-smoothing asymptotics in the generalized empirical likelihood estimation framework pp. 123-146 Downloads
Xianyang Zhang
S-values: Conventional context-minimal measures of the sturdiness of regression coefficients pp. 147-161 Downloads
Edward Leamer
Informational content of special regressors in heteroskedastic binary response models pp. 162-182 Downloads
Songnian Chen, Shakeeb Khan and Xun Tang
Testing for monotonicity in unobservables under unconfoundedness pp. 183-202 Downloads
Stefan Hoderlein, Liangjun Su, Halbert White and Thomas Tao Yang
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous pp. 203-214 Downloads
Shin Ikeda
Goodness-of-fit test for specification of semiparametric copula dependence models pp. 215-233 Downloads
Shulin Zhang, Ostap Okhrin, Qian M. Zhou and Peter X.-K. Song
Bayesian treatment effects models with variable selection for panel outcomes with an application to earnings effects of maternity leave pp. 234-250 Downloads
Liana Jacobi, Helga Wagner and Sylvia Frühwirth-Schnatter
The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series pp. 251-270 Downloads
Heejoon Han, Oliver Linton, Tatsushi Oka and Yoon-Jae Whang
Model averaging in semiparametric estimation of treatment effects pp. 271-289 Downloads
Toru Kitagawa and Chris Muris

Volume 192, issue 2, 2016

Structural analysis with Multivariate Autoregressive Index models pp. 332-348 Downloads
Andrea Carriero, George Kapetanios and Massimiliano Marcellino
A multi-country approach to forecasting output growth using PMIs pp. 349-365 Downloads
Alexander Chudik, Valerie Grossman and M Pesaran
The structure of multivariate AR and ARMA systems: Regular and singular systems; the single and the mixed frequency case pp. 366-373 Downloads
Brian D.O. Anderson, Manfred Deistler, Elisabeth Felsenstein and Lukas Koelbl
Large Bayesian VARMAs pp. 374-390 Downloads
Joshua Chan, Eric Eisenstat and Gary Koop
Dynamic prediction pools: An investigation of financial frictions and forecasting performance pp. 391-405 Downloads
Marco Del Negro, Raiden B. Hasegawa and Frank Schorfheide
Striated Metropolis–Hastings sampler for high-dimensional models pp. 406-420 Downloads
Daniel Waggoner, Hongwei Wu and Tao Zha
Joint confidence sets for structural impulse responses pp. 421-432 Downloads
Atsushi Inoue and Lutz Kilian
Robust econometric inference with mixed integrated and mildly explosive regressors pp. 433-450 Downloads
Peter Phillips and Ji Hyung Lee
Tests of the co-integration rank in VAR models in the presence of a possible break in trend at an unknown point pp. 451-467 Downloads
David Harris, Stephen J. Leybourne and Robert Taylor
Vector autoregressive moving average identification for macroeconomic modeling: A new methodology pp. 468-484 Downloads
Donald Poskitt
Gaussian mixture vector autoregression pp. 485-498 Downloads
Leena Kalliovirta, Mika Meitz and Pentti Saikkonen
TENET: Tail-Event driven NETwork risk pp. 499-513 Downloads
Wolfgang Härdle, Weining Wang and Lining Yu

Volume 192, issue 1, 2016

Exploiting the errors: A simple approach for improved volatility forecasting pp. 1-18 Downloads
Tim Bollerslev, Andrew Patton and Rogier Quaedvlieg
Bayesian semiparametric modeling of realized covariance matrices pp. 19-39 Downloads
Xin Jin and John Maheu
Efficiency of thin and thick markets pp. 40-54 Downloads
Li Gan and Qi Li
Root-T consistent density estimation in GARCH models pp. 55-63 Downloads
Aurore Delaigle, Alexander Meister and Jeroen Rombouts
Inference on co-integration parameters in heteroskedastic vector autoregressions pp. 64-85 Downloads
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek and Robert Taylor
Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators pp. 86-104 Downloads
Seojeong Lee
Predictive quantile regression with persistent covariates: IVX-QR approach pp. 105-118 Downloads
Ji Hyung Lee
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models pp. 119-138 Downloads
Yacine Aït-Sahalia and Joon Y. Park
Model averaging based on leave-subject-out cross-validation pp. 139-151 Downloads
Yan Gao, Xinyu Zhang, Shouyang Wang and Guohua Zou
Nonstationarity in time series of state densities pp. 152-167 Downloads
Yoosoon Chang, Chang Sik Kim and Joon Y. Park
A reexamination of stock return predictability pp. 168-189 Downloads
Yongok Choi, Stefan Jacewitz and Joon Y. Park
Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem pp. 190-206 Downloads
Christian Aßmann, Jens Boysen-Hogrefe and Markus Pape
Testing for Granger causality with mixed frequency data pp. 207-230 Downloads
Eric Ghysels, Jonathan B. Hill and Kaiji Motegi
Bootstrap inference for instrumental variable models with many weak instruments pp. 231-268 Downloads
Wenjie Wang and Maximilien Kaffo
A dual approach to inference for partially identified econometric models pp. 269-290 Downloads
Hiroaki Kaido
Individual and time effects in nonlinear panel models with large N, T pp. 291-312 Downloads
Ivan Fernandez-Val and Martin Weidner
The effects of asymmetric volatility and jumps on the pricing of VIX derivatives pp. 313-328 Downloads
Yang-Ho Park
Page updated 2017-09-22