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 160, issue 2, 2011

The Hausman test and weak instruments pp. 289-299

Jinyong Hahn, John Ham and Hyungsik Moon

Robust tests for heteroskedasticity in the one-way error components model pp. 300-310

Gabriel Montes-Rojas and Walter Sosa-Escudero

Multivariate contemporaneous-threshold autoregressive models pp. 311-325

Michael Dueker, Zacharias Psaradakis, Martin Sola and Fabio Spagnolo

Panels with non-stationary multifactor error structures pp. 326-348

George Kapetanios, Mohammad Pesaran and Takashi Yamagata

Spatial heteroskedasticity and autocorrelation consistent estimation of covariance matrix pp. 349-371

Min Seong Kim and Yixiao Sun

Volume 160, issue 1, 2011

Realized Volatility pp. 1-1

Nour Meddahi, Per Mykland and Neil Shephard

Estimating quadratic variation when quoted prices change by a constant increment pp. 2-11

Jeremy Large

Econometric analysis of jump-driven stochastic volatility models pp. 12-21

Viktor Todorov

Estimation of objective and risk-neutral distributions based on moments of integrated volatility pp. 22-32

René Garcia, Marc-André Lewis, Sergio Pastorello and Eric Renault

Estimating covariation: Epps effect, microstructure noise pp. 33-47

Lan Zhang

The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets pp. 48-57

Thomas Busch, Bent Jesper Christensen and Morten Nielsen

Covariance measurement in the presence of non-synchronous trading and market microstructure noise pp. 58-68

Jim Griffin and Roel C.A. Oomen

Do high-frequency measures of volatility improve forecasts of return distributions? pp. 69-76

John Maheu and Thomas McCurdy

Threshold estimation of Markov models with jumps and interest rate modeling pp. 77-92

Cecilia Mancini and Roberto Renò

Forecasting multivariate realized stock market volatility pp. 93-101

Gregory Bauer and Keith Vorkink

Realized jumps on financial markets and predicting credit spreads pp. 102-118

George Tauchen and Hao Zhou

High-frequency returns, jumps and the mixture of normals hypothesis pp. 119-128

Jeff Fleming and Bradley S. Paye

Box-Cox transforms for realized volatility pp. 129-144

Silvia Goncalves and Nour Meddahi

Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations pp. 145-159

Federico M. Bandi and Jeffrey R. Russell

Ultra high frequency volatility estimation with dependent microstructure noise pp. 160-175

Yacine Ait-Sahalia, Per A. Mykland and Lan Zhang

A reduced form framework for modeling volatility of speculative prices based on realized variation measures pp. 176-189

Torben Andersen, Tim Bollerslev and Xin Huang

Edgeworth expansions for realized volatility and related estimators pp. 190-203

Lan Zhang, Per A. Mykland and Yacine Ait-Sahalia

Subsampling realised kernels pp. 204-219

Ole Barndorff-Nielsen, Peter Hansen, Asger Lunde and Neil Shephard

Realized volatility forecasting and market microstructure noise pp. 220-234

Torben Andersen, Tim Bollerslev and Nour Meddahi

Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities pp. 235-245

Tim Bollerslev, Michael Gibson and Hao Zhou

Volatility forecast comparison using imperfect volatility proxies pp. 246-256

Andrew Patton

Volatility forecasting and microstructure noise pp. 257-271

Eric Ghysels and Arthur Sinko

Causality effects in return volatility measures with random times pp. 272-279

Eric Renault and Bas J.M. Werker

Variance dynamics: Joint evidence from options and high-frequency returns pp. 280-287

Liuren Wu

Volume 159, issue 2, 2010

Characterization of the asymptotic distribution of semiparametric M-estimators pp. 252-266

Hidehiko Ichimura and Sokbae (Simon) Lee

Semiparametric bounds on treatment effects pp. 267-275

Richard C. Chiburis

Threshold bipower variation and the impact of jumps on volatility forecasting pp. 276-288

Fulvio Corsi, Davide Pirino and Roberto Renò

Dominating estimators for minimum-variance portfolios pp. 289-302

Gabriel Frahm and Christoph Memmel

An efficient GMM estimator of spatial autoregressive models pp. 303-319

Xiaodong Liu, Lung-Fei Lee and Christopher Bollinger

A primal Divisia technical change index based on the output distance function pp. 320-330

Guohua Feng and Apostolos Serletis

Volume 159, issue 1, 2010

The (mis)specification of discrete duration models with unobserved heterogeneity: A Monte Carlo study pp. 1-13

Cheti Nicoletti and Concetta Rondinelli

Knowledge spillovers in US patents: A dynamic patent intensity model with secret common innovation factors pp. 14-32

Szabolcs Blazsek and Alvaro Escribano

A direct Monte Carlo approach for Bayesian analysis of the seemingly unrelated regression model pp. 33-45

Arnold Zellner and Tomohiro Ando

A consistent nonparametric test of affiliation in auction models pp. 46-54

Sung Jae Jun, Joris Pinkse and Yuanyuan Wan

Efficient estimation of a multivariate multiplicative volatility model pp. 55-73

Christian Hafner and Oliver Linton

Realised quantile-based estimation of the integrated variance pp. 74-98

Kim Christensen, Roel Oomen and Mark Podolskij

GMM estimation of social interaction models with centrality pp. 99-115

Xiaodong Liu and Lung-Fei Lee

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data pp. 116-133

Kim Christensen, Silja Kinnebrock and Mark Podolskij

A flexible approach to parametric inference in nonlinear and time varying time series models pp. 134-150

Gary Koop and Simon Potter

Inconsistency of the MLE and inference based on weighted LS for LARCH models pp. 151-165

Christian Francq and Jean-Michel Zakoian

No-arbitrage macroeconomic determinants of the yield curve pp. 166-182

Ruslan Bikbov and Mikhail Chernov

Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance pp. 183-201

Yong Zhou, Alan Wan, Shangyu Xie and Xiaojing Wang

The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models: Some additional results pp. 202-208

Kazuhiko Hayakawa

Specification tests of parametric dynamic conditional quantiles pp. 209-221

Juan Carlos Escanciano and Carlos Velasco

Root-N-consistent estimation of fixed-effect panel data transformation models with censoring pp. 222-234

Songnian Chen

Quasi-maximum likelihood estimation of volatility with high frequency data pp. 235-250

Dacheng Xiu