Journal of Econometrics

1973 - 2025

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

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Volume 187, issue 2, 2015

Econometric analysis of financial derivatives: An overview pp. 403-407

Chia-Lin Chang and Michael McAleer

Pricing with finite dimensional dependence pp. 408-417

Christian Gourieroux and Alain Monfort

Market-based estimation of stochastic volatility models pp. 418-435

Yacine Ait-Sahalia, Dante Amengual and Elena Manresa

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing pp. 436-446

Manabu Asai and Michael McAleer

Model-based pricing for financial derivatives pp. 447-457

Ke Zhu and Shiqing Ling

Stock return and cash flow predictability: The role of volatility risk pp. 458-471

Tim Bollerslev, Lai Xu and Hao Zhou

A stochastic dominance approach to financial risk management strategies pp. 472-485

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

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

Laurent Calvet, Marcus Fearnley, Adlai Fisher and Markus Leippold

Quanto option pricing in the presence of fat tails and asymmetric dependence pp. 512-520

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

Adam A. Majewski, Giacomo Bormetti and Fulvio Corsi

The fine structure of equity-index option dynamics pp. 532-546

Torben Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen

A non-linear dynamic model of the variance risk premium pp. 547-556

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

Giuseppe Cavaliere, Morten Nielsen and Robert Taylor

The long and the short of the risk-return trade-off pp. 580-592

Marco Bonomo, René Garcia, Nour Meddahi and Roméo Tédongap

COMFORT: A common market factor non-Gaussian returns model pp. 593-605

Marc S. Paolella and Paweł Polak

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction pp. 606-621

Diep Duong and Norman Swanson

Divided governments and futures prices pp. 622-633

Elvira Sojli and Wing Wah Tham

Volume 187, issue 1, 2015

Model selection tests for moment inequality models pp. 1-17

Xiaoxia Shi

Learning, confidence, and option prices pp. 18-42

Ivan Shaliastovich

A Quadratic Kalman Filter pp. 43-56

Alain Monfort, Jean-Paul Renne and Guillaume Roussellet

Explicit form of approximate transition probability density functions of diffusion processes pp. 57-73

Seungmoon Choi

Sharp bounds on treatment effects in a binary triangular system pp. 74-81

Ismael Mourifié

K-state switching models with time-varying transition distributions—Does loan growth signal stronger effects of variables on inflation? pp. 82-94

Sylvia Kaufmann

Cross-validation for selecting a model selection procedure pp. 95-112

Yongli Zhang and Yuhong Yang

A bootstrapped spectral test for adequacy in weak ARMA models pp. 113-130

Ke Zhu and Wai Keung Li

Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies pp. 131-153

Donghoon Lee and Kyungchul Song

Nonparametric tests for constant tail dependence with an application to energy and finance pp. 154-168

Axel Bücher, Stefan Jäschke and Dominik Wied

VAR for VaR: Measuring tail dependence using multivariate regression quantiles pp. 169-188

Halbert White, Tae-Hwan Kim and Simone Manganelli

Semiparametric model building for regression models with time-varying parameters pp. 189-200

Ting Zhang

Classical Laplace estimation for n3-consistent estimators: Improved convergence rates and rate-adaptive inference pp. 201-216

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

Cheol-Keun Cho, Christine Amsler and Peter Schmidt

Estimation in generalised varying-coefficient models with unspecified link functions pp. 238-255

Wenyang Zhang, Degui Li and Yingcun Xia

Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso pp. 256-274

Mehmet Caner and Qingliang (Michael) Fan

Diagnostic analysis and computational strategies for estimating discrete time duration models—A Monte Carlo study pp. 275-292

Xianghong Li and Barry Smith

Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes pp. 293-311

Lily 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

Cheng Hsiao and Junwei Zhang

Nonparametric specification tests for stochastic volatility models based on volatility density pp. 323-344

Yang Zu

A flexible semiparametric forecasting model for time series pp. 345-357

Degui Li, Oliver Linton and Zudi Lu

Instrumental variable and variable addition based inference in predictive regressions pp. 358-375

Jörg Breitung and Matei Demetrescu

Testing linearity using power transforms of regressors pp. 376-384

Yae In Baek, Jin Seo Cho and Peter Phillips

Non-nested testing of spatial correlation pp. 385-401

Miguel Delgado and Peter M. Robinson

Volume 186, issue 2, 2015

Forecasting with factor-augmented regression: A frequentist model averaging approach pp. 280-293

Xu Cheng and Bruce Hansen

The three-pass regression filter: A new approach to forecasting using many predictors pp. 294-316

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

A. Chatterjee, S. Gupta and S.N. Lahiri

Oracle inequalities for high dimensional vector autoregressions pp. 325-344

Anders Kock and Laurent Callot

Some new asymptotic theory for least squares series: Pointwise and uniform results pp. 345-366

Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov and Kengo Kato

Risks of large portfolios pp. 367-387

Jianqing Fan, Yuan Liao and Xiaofeng Shi

Asymptotic analysis of the squared estimation error in misspecified factor models pp. 388-406

Alexei Onatski

Bootstrap inference for linear dynamic panel data models with individual fixed effects pp. 407-426

Silvia Goncalves and Maximilien Kaffo

Regularized LIML for many instruments pp. 427-442

Marine Carrasco and Guy Tchuente

Select the valid and relevant moments: An information-based LASSO for GMM with many moments pp. 443-464

Xu Cheng and Zhipeng Liao

Instrumental variable estimation in functional linear models pp. 465-476

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

Xingbai Xu and Lung-Fei Lee

Inference on higher-order spatial autoregressive models with increasingly many parameters pp. 19-31

Abhimanyu Gupta and Peter M. Robinson

Regression-based analysis of cointegration systems pp. 32-50

Javier Gomez-Biscarri and Javier Hualde

Asymptotically exact inference in conditional moment inequality models pp. 51-65

Timothy Armstrong

Disentangling the effects of multiple treatments—Measuring the net economic impact of the 1995 great Hanshin-Awaji earthquake pp. 66-73

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

Jessica A. Wachter and Missaka Warusawitharana

Empirical likelihood for regression discontinuity design pp. 94-112

Taisuke Otsu, Ke-Li Xu and Yukitoshi Matsushita

Asset-pricing anomalies at the firm level pp. 113-128

Scott Cederburg and O’Doherty, Michael S.

Revealed preference tests for weak separability: An integer programming approach pp. 129-141

Laurens Cherchye, Thomas Demuynck, Bram De Rock and Per Hjertstrand

Distribution theory of the least squares averaging estimator pp. 142-159

Chu-An Liu

Nested forecast model comparisons: A new approach to testing equal accuracy pp. 160-177

Todd Clark and Michael McCracken

A general method for third-order bias and variance corrections on a nonlinear estimator pp. 178-200

Zhenlin Yang

Quantile regression with censoring and endogeneity pp. 201-221

Victor Chernozhukov, Ivan Fernandez-Val and Amanda Kowalski

Specification test for panel data models with interactive fixed effects pp. 222-244

Liangjun Su, Sainan Jin and Yonghui Zhang

The generalised autocovariance function pp. 245-257

Tommaso Proietti and Alessandra Luati

Bad environments, good environments: A non-Gaussian asymmetric volatility model pp. 258-275

Geert Bekaert, Eric Engstrom and Andrey Ermolov