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Journal of Econometrics

1973 - 2016

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

From Elsevier
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Volume 187, issue 2, 2015

Econometric analysis of financial derivatives: An overview pp. 403-407 Downloads
Chia-Lin Chang and Michael McAleer
Pricing with finite dimensional dependence pp. 408-417 Downloads
C. Gourieroux and Alain Monfort
Market-based estimation of stochastic volatility models pp. 418-435 Downloads
Yacine Aït-Sahalia, Dante Amengual and Elena Manresa
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing pp. 436-446 Downloads
Manabu Asai and Michael McAleer
Model-based pricing for financial derivatives pp. 447-457 Downloads
Ke Zhu and Shiqing Ling
Stock return and cash flow predictability: The role of volatility risk pp. 458-471 Downloads
Tim Bollerslev, Lai Xu and Hao Zhou
A stochastic dominance approach to financial risk management strategies pp. 472-485 Downloads
Chia-Lin Chang, Juan Jimenez-Martin, Esfandiar Maasoumi and Teodosio Pérez-Amaral
Option pricing with non-Gaussian scaling and infinite-state switching volatility pp. 486-497 Downloads
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella and Marco Zamparo
What is beneath the surface? Option pricing with multifrequency latent states pp. 498-511 Downloads
Laurent Calvet, Marcus Fearnley, Adlai J. Fisher and Markus Leippold
Quanto option pricing in the presence of fat tails and asymmetric dependence pp. 512-520 Downloads
Young Shin Kim, Jaesung Lee, Stefan Mittnik and Jiho Park
Smile from the past: A general option pricing framework with multiple volatility and leverage components pp. 521-531 Downloads
Adam A. Majewski, Giacomo Bormetti and Fulvio Corsi
The fine structure of equity-index option dynamics pp. 532-546 Downloads
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen
A non-linear dynamic model of the variance risk premium pp. 547-556 Downloads
Bjørn Eraker and Jiakou Wang
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets pp. 557-579 Downloads
Giuseppe Cavaliere, Morten Nielsen and Robert Taylor
The long and the short of the risk-return trade-off pp. 580-592 Downloads
Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap
COMFORT: A common market factor non-Gaussian returns model pp. 593-605 Downloads
Marc S. Paolella and Paweł Polak
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction pp. 606-621 Downloads
Diep Duong and Norman Swanson
Divided governments and futures prices pp. 622-633 Downloads
Elvira Sojli and Wing Wah Tham

Volume 187, issue 1, 2015

Model selection tests for moment inequality models pp. 1-17 Downloads
Xiaoxia Shi
Learning, confidence, and option prices pp. 18-42 Downloads
Ivan Shaliastovich
A Quadratic Kalman Filter pp. 43-56 Downloads
Alain Monfort, Jean-Paul Renne and Guillaume Roussellet
Explicit form of approximate transition probability density functions of diffusion processes pp. 57-73 Downloads
Seungmoon Choi
Sharp bounds on treatment effects in a binary triangular system pp. 74-81 Downloads
Ismael Mourifié
K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation? pp. 82-94 Downloads
Sylvia Kaufmann
Cross-validation for selecting a model selection procedure pp. 95-112 Downloads
Yongli Zhang and Yuhong Yang
A bootstrapped spectral test for adequacy in weak ARMA models pp. 113-130 Downloads
Ke Zhu and Wai Keung Li
Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies pp. 131-153 Downloads
Donghoon Lee and Kyungchul Song
Nonparametric tests for constant tail dependence with an application to energy and finance pp. 154-168 Downloads
Axel Bücher, Stefan Jäschke and Dominik Wied
VAR for VaR: Measuring tail dependence using multivariate regression quantiles pp. 169-188 Downloads
Halbert White, Tae-Hwan Kim and Simone Manganelli
Semiparametric model building for regression models with time-varying parameters pp. 189-200 Downloads
Ting Zhang
Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference pp. 201-216 Downloads
Sung Jae Jun, Joris Pinkse and Yuanyuan Wan
A test of the null of integer integration against the alternative of fractional integration pp. 217-237 Downloads
Cheol-Keun Cho, Christine Amsler and Peter Schmidt
Estimation in generalised varying-coefficient models with unspecified link functions pp. 238-255 Downloads
Wenyang Zhang, Degui Li and Yingcun Xia
Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso pp. 256-274 Downloads
Mehmet Caner and Qingliang Fan
Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study pp. 275-292 Downloads
Xianghong Li and Barry Smith
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes pp. 293-311 Downloads
Lily Y. Liu, Andrew Patton and Kevin Sheppard
IV, GMM or likelihood approach to estimate dynamic panel models when either N or T or both are large pp. 312-322 Downloads
Cheng Hsiao and Junwei Zhang
Nonparametric specification tests for stochastic volatility models based on volatility density pp. 323-344 Downloads
Yang Zu
A flexible semiparametric forecasting model for time series pp. 345-357 Downloads
Degui Li, Oliver Linton and Zudi Lu
Instrumental variable and variable addition based inference in predictive regressions pp. 358-375 Downloads
Jörg Breitung and Matei Demetrescu
Testing linearity using power transforms of regressors pp. 376-384 Downloads
Yae In Baek, Jin Seo Cho and Peter Phillips
Non-nested testing of spatial correlation pp. 385-401 Downloads
Miguel A. Delgado and Peter M. Robinson

Volume 186, issue 2, 2015

Forecasting with factor-augmented regression: A frequentist model averaging approach pp. 280-293 Downloads
Xu Cheng and Bruce Hansen
The three-pass regression filter: A new approach to forecasting using many predictors pp. 294-316 Downloads
Bryan Kelly and Seth Pruitt
On the residual empirical process based on the ALASSO in high dimensions and its functional oracle property pp. 317-324 Downloads
A. Chatterjee, S. Gupta and S.N. Lahiri
Oracle inequalities for high dimensional vector autoregressions pp. 325-344 Downloads
Anders Kock and Laurent Callot
Some new asymptotic theory for least squares series: Pointwise and uniform results pp. 345-366 Downloads
Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Kengo Kato
Risks of large portfolios pp. 367-387 Downloads
Jianqing Fan, Yuan Liao and Xiaofeng Shi
Asymptotic analysis of the squared estimation error in misspecified factor models pp. 388-406 Downloads
Alexei Onatski
Bootstrap inference for linear dynamic panel data models with individual fixed effects pp. 407-426 Downloads
Silvia Goncalves and Maximilien Kaffo
Regularized LIML for many instruments pp. 427-442 Downloads
Marine Carrasco and Guy Tchuente
Select the valid and relevant moments: An information-based LASSO for GMM with many moments pp. 443-464 Downloads
Xu Cheng and Zhipeng Liao
Instrumental variable estimation in functional linear models pp. 465-476 Downloads
Jean-Pierre Florens and Sébastien Van Bellegem

Volume 186, issue 1, 2015

A spatial autoregressive model with a nonlinear transformation of the dependent variable pp. 1-18 Downloads
Xingbai Xu and Lung-Fei Lee
Inference on higher-order spatial autoregressive models with increasingly many parameters pp. 19-31 Downloads
Abhimanyu Gupta and Peter M. Robinson
Regression-based analysis of cointegration systems pp. 32-50 Downloads
Javier Gomez-Biscarri and Javier Hualde
Asymptotically exact inference in conditional moment inequality models pp. 51-65 Downloads
Timothy B. Armstrong
Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake pp. 66-73 Downloads
Hiroshi Fujiki and Cheng Hsiao
What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio pp. 74-93 Downloads
Jessica A. Wachter and Missaka Warusawitharana
Empirical likelihood for regression discontinuity design pp. 94-112 Downloads
Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita
Asset-pricing anomalies at the firm level pp. 113-128 Downloads
Scott Cederburg and O’Doherty, Michael S.
Revealed preference tests for weak separability: An integer programming approach pp. 129-141 Downloads
Laurens Cherchye, Thomas Demuynck, Bram De Rock and Per Hjertstrand
Distribution theory of the least squares averaging estimator pp. 142-159 Downloads
Chu-An Liu
Nested forecast model comparisons: A new approach to testing equal accuracy pp. 160-177 Downloads
Todd Clark and Michael McCracken
A general method for third-order bias and variance corrections on a nonlinear estimator pp. 178-200 Downloads
Zhenlin Yang
Quantile regression with censoring and endogeneity pp. 201-221 Downloads
Victor Chernozhukov, Ivan Fernandez-Val and Amanda Kowalski
Specification test for panel data models with interactive fixed effects pp. 222-244 Downloads
Liangjun Su, Sainan Jin and Yonghui Zhang
The generalised autocovariance function pp. 245-257 Downloads
Tommaso Proietti and Alessandra Luati
Bad environments, good environments: A non-Gaussian asymmetric volatility model pp. 258-275 Downloads
Geert Bekaert, Eric Engstrom and Andrey Ermolov
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