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Journal of Econometrics

1973 - 2020

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

From Elsevier
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Volume 218, issue 1, 2020

Estimating latent asset-pricing factors pp. 1-31 Downloads
Martin Lettau and Markus Pelger
Statistical inferences for price staleness pp. 32-81 Downloads
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
Spatial dynamic models with intertemporal optimization: Specification and estimation pp. 82-104 Downloads
Hanbat Jeong and Lung-fei Lee
Reducing the state space dimension in a large TVP-VAR pp. 105-118 Downloads
Joshua Chan, Eric Eisenstat and Rodney Strachan
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models pp. 119-139 Downloads
Jianqing Fan, Yang Feng and Lucy Xia
Asymptotic F tests under possibly weak identification pp. 140-177 Downloads
Julián Martínez-Iriarte, Yixiao Sun and Xuexin Wang
On the unbiased asymptotic normality of quantile regression with fixed effects pp. 178-215 Downloads
Antonio F. Galvao, Jiaying Gu and Stanislav Volgushev
Regression discontinuity design with many thresholds pp. 216-241 Downloads
Marinho Bertanha

Volume 217, issue 2, 2020

Liquidity and volatility in the U.S. Treasury market pp. 207-229 Downloads
Giang Nguyen, Robert Engle, Michael Fleming and Eric Ghysels
The leverage effect puzzle revisited: Identification in discrete time pp. 230-258 Downloads
Hyojin Han, Stanislav Khrapov and Eric Renault
Volatility estimation and jump detection for drift–diffusion processes pp. 259-290 Downloads
Sébastien Laurent and Shuping Shi
Spanning tests for Markowitz stochastic dominance pp. 291-311 Downloads
Stelios Arvanitis, Olivier Scaillet and Nikolas Topaloglou
Dynamics of variance risk premia: A new model for disentangling the price of risk pp. 312-334 Downloads
Jeroen V.K. Rombouts, Lars Stentoft and Francesco Violante
Partially censored posterior for robust and efficient risk evaluation pp. 335-355 Downloads
Agnieszka Borowska, Lennart Hoogerheide, Siem Jan Koopman and Herman K. van Dijk
Virtual Historical Simulation for estimating the conditional VaR of large portfolios pp. 356-380 Downloads
Christian Francq and Jean-Michel Zakoïan
Nearest comoment estimation with unobserved factors pp. 381-397 Downloads
Kris Boudt, Dries Cornilly and Tim Verdonck
Flexible multivariate Hill estimators pp. 398-410 Downloads
Yves Dominicy, Matias Heikkilä, Pauliina Ilmonen and David Veredas
Multivariate leverage effects and realized semicovariance GARCH models pp. 411-430 Downloads
Tim Bollerslev, Andrew J. Patton and Rogier Quaedvlieg
Estimation of a multiplicative correlation structure in the large dimensional case pp. 431-470 Downloads
Christian Hafner, Oliver B. Linton and Haihan Tang
Incorporating overnight and intraday returns into multivariate GARCH volatility models pp. 471-495 Downloads
Geert Dhaene and Jianbin Wu
Nonlinearities and regimes in conditional correlations with different dynamics pp. 496-522 Downloads
Luc Bauwens and Edoardo Otranto

Volume 217, issue 1, 2020

Estimating derivatives of function-valued parameters in a class of moment condition models pp. 1-19 Downloads
Christoph Rothe and Dominik Wied
High frequency traders and the price process pp. 20-45 Downloads
Yacine Ait-Sahalia and Celso Brunetti
Relevant parameter changes in structural break models pp. 46-78 Downloads
Arnaud Dufays and Jeroen V.K. Rombouts
Inference for high-dimensional instrumental variables regression pp. 79-111 Downloads
David Gold, Johannes Lederer and Jing Tao
Nonparametric analysis of a duration model with stochastic unobserved heterogeneity pp. 112-139 Downloads
Irene Botosaru
Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data pp. 140-160 Downloads
Marcus Chambers
Posterior distribution of nondifferentiable functions pp. 161-175 Downloads
Toru Kitagawa, José Luis Montiel Olea, Jonathan Payne and Amilcar Velez Salamanca
A coupled component DCS-EGARCH model for intraday and overnight volatility pp. 176-201 Downloads
Oliver Linton and Jianbin Wu

Volume 216, issue 2, 2020

Efficient estimation of heterogeneous coefficients in panel data models with common shocks pp. 327-353 Downloads
Kunpeng Li, Guowei Cui and Lina Lu
Unobserved heterogeneity in auctions under restricted stochastic dominance pp. 354-374 Downloads
Yao Luo
Adaptive inference on pure spatial models pp. 375-393 Downloads
Jungyoon Lee and Peter M. Robinson
Counterfactual prediction in complete information games: Point prediction under partial identification pp. 394-429 Downloads
Sung Jae Jun and Joris Pinkse
Option market trading activity and the estimation of the pricing kernel: A Bayesian approach pp. 430-449 Downloads
Giovanni Barone-Adesi, Nicola Fusari, Antonietta Mira and Carlo Sala
Deviance information criterion for latent variable models and misspecified models pp. 450-493 Downloads
Yong Li, Jun Yu and Tao Zeng
The dynamic factor network model with an application to international trade pp. 494-515 Downloads
Falk Bräuning and Siem Jan Koopman
Survey weighted estimating equation inference with nuisance functionals pp. 516-536 Downloads
Puying Zhao, David Haziza and Changbao Wu

Volume 216, issue 1, 2020

Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals pp. 4-34 Downloads
Matteo Barigozzi and Marc Hallin
A robust procedure to build dynamic factor models with cluster structure pp. 35-52 Downloads
Andrés M. Alonso, Pedro Galeano and Daniel Peña
Threshold factor models for high-dimensional time series pp. 53-70 Downloads
Xialu Liu and Rong Chen
Factor-adjusted regularized model selection pp. 71-85 Downloads
Jianqing Fan, Yuan Ke and Kaizheng Wang
High-frequency factor models and regressions pp. 86-105 Downloads
Yacine Ait-Sahalia, Ilze Kalnina and Dacheng Xiu
Testing serial correlations in high-dimensional time series via extreme value theory pp. 106-117 Downloads
Ruey S. Tsay
Variable selection for high-dimensional regression models with time series and heteroscedastic errors pp. 118-136 Downloads
Hai-Tang Chiou, Meihui Guo and Ching-Kang Ing
Dynamic conditional angular correlation pp. 137-150 Downloads
Riad Jarjour and Kung-Sik Chan
Twisted probabilities, uncertainty, and prices pp. 151-174 Downloads
Lars Peter Hansen, Bálint Szőke, Lloyd S. Han and Thomas Sargent
Estimation for double-nonlinear cointegration pp. 175-191 Downloads
Yingqian Lin, Yundong Tu and Qiwei Yao
Asymptotic theory for near integrated processes driven by tempered linear processes pp. 192-202 Downloads
Farzad Sabzikar, Qiying Wang and Peter Phillips
Two-mode network autoregressive model for large-scale networks pp. 203-219 Downloads
Danyang Huang, Feifei Wang, Xuening Zhu and Hansheng Wang
Inference for the degree distributions of preferential attachment networks with zero-degree nodes pp. 220-234 Downloads
N.H. Chan, Simon K.C. Cheung and Samuel P.S. Wong
Robust causality test of infinite variance processes pp. 235-245 Downloads
Fumiya Akashi, Masanobu Taniguchi and Anna Clara Monti
Noncausal vector AR processes with application to economic time series pp. 246-267 Downloads
Richard A. Davis and Li Song
Double machine learning with gradient boosting and its application to the Big N audit quality effect pp. 268-283 Downloads
Jui-Chung Yang, Hui-Ching Chuang and Chung-Ming Kuan
Pairwise local Fisher and naive Bayes: Improving two standard discriminants pp. 284-304 Downloads
Håkon Otneim, Martin Jullum and Dag Tjøstheim
Multiscale clustering of nonparametric regression curves pp. 305-325 Downloads
Michael Vogt and Oliver Linton
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