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 131, issue 1-2, 2006

The econometrics of macroeconomics, finance, and the interface pp. 1-2

Francis Diebold, Robert Engle, Carlo Favero, Giampiero Gallo and Frank Schorfheide

A multiple indicators model for volatility using intra-daily data pp. 3-27

Robert Engle and Giampiero Gallo

Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment pp. 29-58

Rohit Deo, Clifford Hurvich and Yi Lu

Predicting volatility: getting the most out of return data sampled at different frequencies pp. 59-95

Eric Ghysels, Pedro Santa-Clara and Rossen Valkanov

Consistent ranking of volatility models pp. 97-121

Peter Hansen and Asger Lunde

Volatility puzzles: a simple framework for gauging return-volatility regressions pp. 123-150

Tim Bollerslev and Hao Zhou

Breaks and persistency: macroeconomic causes of stock market volatility pp. 151-177

Andrea Beltratti and Claudio Morana

Volatility comovement: a multifrequency approach pp. 179-215

Laurent Calvet, Adlai Fisher and Samuel B. Thompson

Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes pp. 217-252

Ole Barndorff-Nielsen and Neil Shephard

Option valuation with conditional skewness pp. 253-284

Peter Christoffersen, Steve Heston and Kris Jacobs

Term structure of risk under alternative econometric specifications pp. 285-308

Massimo Guidolin and Allan Timmermann

The macroeconomy and the yield curve: a dynamic latent factor approach pp. 309-338

Francis Diebold, Glenn Rudebusch and S. Boragan Aruoba

Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates pp. 339-358

Andrea Carriero, Carlo Favero and Iryna Kaminska

What does the yield curve tell us about GDP growth? pp. 359-403

Andrew Ang, Monika Piazzesi and Min Wei

A joint econometric model of macroeconomic and term-structure dynamics pp. 405-444

Peter Hördahl, Oreste Tristani and David Vestin

Regime switching for dynamic correlations pp. 445-473

Denis Pelletier

Multivariate Jacobi process with application to smooth transitions pp. 475-505

Christian Gourieroux and Joann Jasiak

Evaluating latent and observed factors in macroeconomics and finance pp. 507-537

Jushan Bai and Serena Ng

An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series pp. 539-578

Geetesh Bhardwaj and Norman Swanson

A time series model for an exchange rate in a target zone with applications pp. 579-609

Stefan Lundbergh and Timo Teräsvirta

Volume 130, issue 2, 2006

Local Whittle estimation of fractional integration and some of its variants pp. 209-233

Katsumi Shimotsu and Peter Phillips

A semi-parametric estimator for censored selection models with endogeneity pp. 235-252

Myoung-jae Lee and Francis Vella

Identification and estimation with contaminated data: When do covariate data sharpen inference? pp. 253-272

Charles H. Mullin

On the selection of forecasting models pp. 273-306

Atsushi Inoue and Lutz Kilian

Estimation of copula-based semiparametric time series models pp. 307-335

Xiaohong Chen and Yanqin Fan

Forecasting the term structure of government bond yields pp. 337-364

Francis Diebold and Canlin Li

A semiparametric GARCH model for foreign exchange volatility pp. 365-384

Lijian Yang

Volume 130, issue 1, 2006

A family of autoregressive conditional duration models pp. 1-23

Marcelo Fernandes and Joachim Grammig

Superlative index numbers: not all of them are super pp. 25-43

Robert Hill

Efficient tests for the presence of a pair of complex conjugate unit roots in real time series pp. 45-100

Stéphane Gregoir

A new approximate point optimal test of a composite null hypothesis pp. 101-122

Sivagowry Sriananthakumar and Maxwell King

Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series pp. 123-142

Jean-Marie Dufour, Abdeljelil Farhat and Marc Hallin

Introduction to m-m processes pp. 143-164

Clive Granger and Namwon Hyung

Residual log-periodogram inference for long-run relationships pp. 165-207

Uwe Hassler, Francesc Marmol and Carlos Velasco

Volume 129, issue 1-2, 2005

Modelling structural breaks, long memory and stock market volatility: an overview pp. 1-34

Anindya Banerjee and Giovanni Urga

The past and future of empirical finance: some personal comments pp. 35-40

Clive Granger

Selection of the break in the Perron-type tests pp. 41-64

Antonio Montañés, Irene Olloqui and Elena Calvo

Structural breaks with deterministic and stochastic trends pp. 65-119

Pierre Perron and Xiaokang Zhu

Neglecting parameter changes in GARCH models pp. 121-138

Eric Hillebrand

Robust GMM tests for structural breaks pp. 139-182

Patrick Gagliardini, Fabio Trojani and Giovanni Urga

Small sample properties of forecasts from autoregressive models under structural breaks pp. 183-217

Mohammad Pesaran and Allan Timmermann

A parametric bootstrap test for cycles pp. 219-261

Violetta Dalla and Javier Hidalgo

Cointegration in fractional systems with deterministic trends pp. 263-298

Peter Robinson and Fabrizio Iacone

Renewal regime switching and stable limit laws pp. 299-327

Remigijus Leipus, Vygantas Paulauskas and Donatas Surgailis

Testing for structural change in regression with long memory processes pp. 329-372

Stepana Lazarova

Volume 128, issue 2, 2005

Size and power of tests of stationarity in highly autocorrelated time series pp. 195-213

Ulrich K. Muller

Sign tests for long-memory time series pp. 215-251

Miguel Delgado and Carlos Velasco

Generating schemes for long memory processes: regimes, aggregation and linearity pp. 253-282

James Davidson and Philipp Sibbertsen

The distance between rival nonstationary fractional processes pp. 283-300

Peter Robinson

Maximum likelihood estimation of limited and discrete dependent variable models with nested random effects pp. 301-323

Sophia Rabe-Hesketh, Anders Skrondal and Andrew Pickles

Volume 128, issue 1, 2005

Combining estimators to improve structural model estimation and inference under quadratic loss pp. 1-29

Ron Mittelhammer and George Judge

Impact factors pp. 31-68

Pieter Omtzigt and Paolo Paruolo

Robust efficient method of moments pp. 69-97

Claudio Ortelli and Fabio Trojani

VAR forecasting under misspecification pp. 99-136

Frank Schorfheide

Quasi-maximum likelihood estimation for conditional quantiles pp. 137-164

Ivana Komunjer

Bootstrap inference in systems of single equation error correction models pp. 165-193

Helmut Herwartz and Michael H. Neumann