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Content
2022, Volume 230, Issue 2
- 255-280 Nonparametric jump variation measures from options
by Todorov, Viktor
- 281-298 Markov switching panel with endogenous synchronization effects
by Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco
- 299-317 Sampling properties of the Bayesian posterior mean with an application to WALS estimation
by De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco
- 318-338 Inference on covariance-mean regression
by Zou, Tao & Lan, Wei & Li, Runze & Tsai, Chih-Ling
- 339-362 Fast and accurate variational inference for models with many latent variables
by Loaiza-Maya, Rubén & Smith, Michael Stanley & Nott, David J. & Danaher, Peter J.
- 363-387 Estimation and inference about tail features with tail censored data
by Wang, Yulong & Xiao, Zhijie
- 388-415 Estimation of varying coefficient models with measurement error
by Dong, Hao & Otsu, Taisuke & Taylor, Luke
- 416-431 Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
by Han, Dongxiao & Huang, Jian & Lin, Yuanyuan & Shen, Guohao
- 432-452 GMM quantile regression
by Firpo, Sergio & Galvao, Antonio F. & Pinto, Cristine & Poirier, Alexandre & Sanroman, Graciela
- 453-482 Nonparametric inference for quantile cointegrations with stationary covariates
by Tu, Yundong & Liang, Han-Ying & Wang, Qiying
- 483-509 Testing for the presence of jump components in jump diffusion models
by Wang, Bin & Zheng, Xu
- 510-534 Local mispricing and microstructural noise: A parametric perspective
by Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus
- 535-558 How should parameter estimation be tailored to the objective?
by Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona
2022, Volume 230, Issue 1
- 3-19 Bayesian factor-adjusted sparse regression
by Fan, Jianqing & Jiang, Bai & Sun, Qiang
- 20-38 Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
by Ando, Tomohiro & Bai, Jushan & Li, Kunpeng
- 39-61 Parsimony inducing priors for large scale state–space models
by Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S.
- 62-82 Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
by Norets, Andriy & Pelenis, Justinas
- 83-113 Posterior-based Wald-type statistics for hypothesis testing
by Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao
- 114-130 Real-time Bayesian learning and bond return predictability
by Wan, Runqing & Fulop, Andras & Li, Junye
- 131-153 Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
by Fisher, Mark & Jensen, Mark J.
- 154-182 Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
by Petrova, Katerina
- 183-200 Factor investing: A Bayesian hierarchical approach
by Feng, Guanhao & He, Jingyu
- 201-220 Affine arbitrage-free yield net models with application to the euro debt crisis
by Hong, Zhiwu & Niu, Linlin & Zhang, Chen
2022, Volume 229, Issue 2
- 219-245 Semiparametric model averaging prediction for dichotomous response
by Fang, Fang & Li, Jialiang & Xia, Xiaochao
- 246-262 On improvability of model selection by model averaging
by Peng, Jingfu & Yang, Yuhong
- 263-275 Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect
by Hoshino, Tadao
- 276-298 A doubly corrected robust variance estimator for linear GMM
by Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong
- 299-321 Nonparametric estimation of the random coefficients model: An elastic net approach
by Heiss, Florian & Hetzenecker, Stephan & Osterhaus, Maximilian
- 322-349 On LASSO for predictive regression
by Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan
- 350-362 Transformations and moment conditions for dynamic fixed effects logit models
by Kitazawa, Yoshitsugu
- 363-395 Testing the eigenvalue structure of spot and integrated covariance
by Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian
- 396-421 Spurious functional-coefficient regression models and robust inference with marginal integration
by Tu, Yundong & Wang, Ying
- 422-451 Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
by Li, Yingying & Liu, Guangying & Zhang, Zhiyuan
2022, Volume 229, Issue 1
- 1-18 Asymptotic properties of correlation-based principal component analysis
by Choi, Jungjun & Yang, Xiye
- 19-54 An incidental parameters free inference approach for panels with common shocks
by Juodis, Artūras & Sarafidis, Vasilis
- 55-79 Estimation and inference in heterogeneous spatial panels with a multifactor error structure
by Chen, Jia & Shin, Yongcheol & Zheng, Chaowen
- 80-102 Factor models with local factors — Determining the number of relevant factors
by Freyaldenhoven, Simon
- 103-126 Factor models with many assets: Strong factors, weak factors, and the two-pass procedure
by Anatolyev, Stanislav & Mikusheva, Anna
- 127-151 Functional time series approach to analyzing asset returns co-movements
by Saart, Patrick W. & Xia, Yingcun
- 152-175 High-dimensional test for alpha in linear factor pricing models with sparse alternatives
by Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan
- 176-179 Kotlarski with a factor loading
by Lewbel, Arthur
- 180-200 Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
by Wang, Fa
- 201-217 Projected estimation for large-dimensional matrix factor models
by Yu, Long & He, Yong & Kong, Xinbing & Zhang, Xinsheng
2022, Volume 228, Issue 2
- 177-220 SONIC: SOcial Network analysis with Influencers and Communities
by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor
- 221-243 Measuring news sentiment
by Shapiro, Adam Hale & Sudhof, Moritz & Wilson, Daniel J.
- 244-258 An explainable attention network for fraud detection in claims management
by Farbmacher, Helmut & Löw, Leander & Spindler, Martin
- 259-277 Can we measure inflation expectations using Twitter?
by Angelico, Cristina & Marcucci, Juri & Miccoli, Marcello & Quarta, Filippo
- 278-301 Instrument-free identification and estimation of differentiated products models using cost data
by Byrne, David P. & Imai, Susumu & Jain, Neelam & Sarafidis, Vasilis
- 302-321 Infinite Markov pooling of predictive distributions
by Jin, Xin & Maheu, John M. & Yang, Qiao
- 322-341 Latent complementarity in bundles models
by Allen, Roy & Rehbeck, John
- 342-358 A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions
by Fakih, Ali & Makdissi, Paul & Marrouch, Walid & Tabri, Rami V. & Yazbeck, Myra
- 359-378 Illuminating economic growth
by Hu, Yingyao & Yao, Jiaxiong
- 379-397 An integrated panel data approach to modelling economic growth
by Feng, Guohua & Gao, Jiti & Peng, Bin
2022, Volume 228, Issue 1
- 4-26 High-dimensional linear models with many endogenous variables
by Belloni, Alexandre & Hansen, Christian & Newey, Whitney
- 27-38 Nonparametric Bayes subject to overidentified moment conditions
by Gallant, A. Ronald
- 39-61 Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
by Ai, Chunrong & Linton, Oliver & Zhang, Zheng
- 62-84 Bayesian estimation of long-run risk models using sequential Monte Carlo
by Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening
- 85-106 Constrained estimation using penalization and MCMC
by Gallant, A. Ronald & Hong, Han & Leung, Michael P. & Li, Jessie
- 107-126 Robust Bayesian inference in proxy SVARs
by Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew
- 127-155 Copula-based time series with filtered nonstationarity
by Chen, Xiaohong & Xiao, Zhijie & Wang, Bo
- 156-175 Variation and efficiency of high-frequency betas
by Zhang, Congshan & Li, Jia & Todorov, Viktor & Tauchen, George
2022, Volume 227, Issue 2
- 305-324 Stationary vine copula models for multivariate time series
by Nagler, Thomas & Krüger, Daniel & Min, Aleksey
- 325-346 Maximum likelihood estimation for score-driven models
by Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André
- 347-370 Semiparametric testing with highly persistent predictors
by Werker, Bas J.M. & Zhou, Bo
- 371-407 Functional coefficient panel modeling with communal smoothing covariates
by Phillips, Peter C.B. & Wang, Ying
- 408-428 Simultaneous inference for time-varying models
by Karmakar, Sayar & Richter, Stefan & Wu, Wei Biao
- 429-460 Residual-augmented IVX predictive regression
by Demetrescu, Matei & Rodrigues, Paulo M.M.
- 461-497 The drift burst hypothesis
by Christensen, Kim & Oomen, Roel & Renò, Roberto
- 498-505 Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”
by Bognanni, Mark
2022, Volume 227, Issue 1
- 4-24 Goodness-of-fit testing for time series models via distance covariance
by Wan, Phyllis & Davis, Richard A.
- 25-46 Understanding temporal aggregation effects on kurtosis in financial indices
by Lieberman, Offer & Phillips, Peter C.B.
- 47-64 Testing the existence of moments for GARCH processes
by Francq, Christian & Zakoïan, Jean-Michel
- 65-84 A time-varying parameter model for local explosions
by Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc
- 85-113 Testing for episodic predictability in stock returns
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert
- 114-133 Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
by Cai, Zongwu & Fang, Ying & Xu, Qiuhua
- 134-150 β in the tails
by Bandi, Federico M. & Renò, Roberto
- 151-167 Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
by So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y.
- 168-188 Asset selection based on high frequency Sharpe ratio
by Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min
- 189-211 Occupation density estimation for noisy high-frequency data
by Zhang, Congshan & Li, Jia & Bollerslev, Tim
- 212-227 Identification of structural multivariate GARCH models
by Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone
- 228-240 LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
by Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing
- 241-263 Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
by Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders
- 264-284 Hybrid quantile estimation for asymmetric power GARCH models
by Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung
- 285-304 Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael
2022, Volume 226, Issue 2
- 205-223 Identification of semiparametric model coefficients, with an application to collective households
by Lewbel, Arthur & Lin, Xirong
- 224-247 Quantile regression methods for first-price auctions
by Gimenes, Nathalie & Guerre, Emmanuel
- 248-268 Inference on estimators defined by mathematical programming
by Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew
- 269-294 Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors
by Hu, Yingyao & Schennach, Susanne & Shiu, Ji-Liang
- 295-320 Testing for risk aversion in first-price sealed-bid auctions
by Jun, Sung Jae & Zincenko, Federico
- 321-342 Sample selection models with monotone control functions
by Liu, Ruixuan & Yu, Zhengfei
- 343-367 Identification of dynamic games with unobserved heterogeneity and multiple equilibria
by Luo, Yao & Xiao, Ping & Xiao, Ruli
- 368-398 Estimating multinomial choice models with unobserved choice sets
by Lu, Zhentong
- 399-422 A wavelet method for panel models with jump discontinuities in the parameters
by Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C.
- 423-450 A test of the selection on observables assumption using a discontinuously distributed covariate
by Khalil, Umair & Yıldız, Neşe
- 451-476 Inference in ordered response games with complete information
by Aradillas-López, Andrés & Rosen, Adam M.
- 477-497 Estimating unobserved individual heterogeneity using pairwise comparisons
by Krasnokutskaya, Elena & Song, Kyungchul & Tang, Xun
2022, Volume 226, Issue 1
- 4-20 Feedback in panel data models
by Chamberlain, Gary
- 21-61 Robust likelihood estimation of dynamic panel data models
by Alvarez, Javier & Arellano, Manuel
- 62-79 Design-based analysis in Difference-In-Differences settings with staggered adoption
by Athey, Susan & Imbens, Guido W.
- 80-103 Estimation and inference of semiparametric models using data from several sources
by Buchinsky, Moshe & Li, Fanghua & Liao, Zhipeng
- 104-114 Minimax-regret sample design in anticipation of missing data, with application to panel data
by Dominitz, Jeff & Manski, Charles F.
- 115-138 Semiparametrically efficient estimation of the average linear regression function
by Graham, Bryan S. & Pinto, Cristine Campos de Xavier
- 139-154 Analyzing cross-validation for forecasting with structural instability
by Hirano, Keisuke & Wright, Jonathan H.
- 155-170 Who wins, who loses? Identification of conditional causal effects, and the welfare impact of changing wages
by Kasy, Maximilian
- 171-191 Approximation of sign-regular kernels
by Knox, Thomas A.
- 192-203 Censored quantile regression survival models with a cure proportion
by Narisetty, Naveen & Koenker, Roger
2021, Volume 225, Issue 2
- 132-147 Identification in nonparametric models for dynamic treatment effects
by Han, Sukjin
- 148-174 Permutation test for heterogeneous treatment effects with a nuisance parameter
by Chung, EunYi & Olivares, Mauricio
- 175-199 Estimating dynamic treatment effects in event studies with heterogeneous treatment effects
by Sun, Liyang & Abraham, Sarah
- 200-230 Difference-in-Differences with multiple time periods
by Callaway, Brantly & Sant’Anna, Pedro H.C.
- 231-253 The identification region of the potential outcome distributions under instrument independence
by Kitagawa, Toru
- 254-277 Difference-in-differences with variation in treatment timing
by Goodman-Bacon, Andrew
- 278-294 Covariate-adjusted Fisher randomization tests for the average treatment effect
by Zhao, Anqi & Ding, Peng
- 295-307 Matching estimators with few treated and many control observations
by Ferman, Bruno
2021, Volume 225, Issue 1
- 2-26 Detecting groups in large vector autoregressions
by Guðmundsson, Guðmundur Stefán & Brownlees, Christian
- 27-46 Identification of structural vector autoregressions through higher unconditional moments
by Guay, Alain
- 47-73 Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
by Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano
- 74-87 Inference in Structural Vector Autoregressions identified with an external instrument
by Montiel Olea, José L. & Stock, James H. & Watson, Mark W.
- 88-106 Inference in Bayesian Proxy-SVARs
by Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F.
- 107-130 Impulse response analysis for structural dynamic models with nonlinear regressors
by Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena
2021, Volume 224, Issue 2
- 245-270 Diagnostic tests for homoskedasticity in spatial cross-sectional or panel models
by Baltagi, Badi H. & Pirotte, Alain & Yang, Zhenlin
- 271-285 The medium-run efficiency consequences of unfair school matching: Evidence from Chinese college admissions
by Zhong, Xiaohan & Zhu, Lin
- 286-305 An empirical total survey error decomposition using data combination
by Meyer, Bruce D. & Mittag, Nikolas
- 306-329 Adaptive inference for a semiparametric generalized autoregressive conditional heteroskedasticity model
by Jiang, Feiyu & Li, Dong & Zhu, Ke
- 330-344 Robust estimation with exponentially tilted Hellinger distance
by Antoine, Bertille & Dovonon, Prosper
- 345-370 An econometric model of network formation with an application to board interlocks between firms
by Gualdani, Cristina
- 371-393 An improved bootstrap test for restricted stochastic dominance
by Lok, Thomas M. & Tabri, Rami V.
- 394-415 Time-varying instrumental variable estimation
by Giraitis, Liudas & Kapetanios, George & Marcellino, Massimiliano
- 416-438 Robust nonlinear regression estimation in null recurrent time series
by Bravo, Francesco & Li, Degui & Tjøstheim, Dag
- 439-465 Recursive estimation in large panel data models: Theory and practice
by Jiang, Bin & Yang, Yanrong & Gao, Jiti & Hsiao, Cheng
2021, Volume 224, Issue 1
- 3-21 Continuous record Laplace-based inference about the break date in structural change models
by Casini, Alessandro & Perron, Pierre
- 22-38 Statistical tests of a simple energy balance equation in a synthetic model of cotrending and cointegration
by Carrion-i-Silvestre, Josep Lluís & Kim, Dukpa
- 39-59 Inference after estimation of breaks
by Andrews, Isaiah & Kitagawa, Toru & McCloskey, Adam
- 60-87 Boosting high dimensional predictive regressions with time varying parameters
by Yousuf, Kashif & Ng, Serena
- 88-112 Sieve estimation of option-implied state price density
by Lu, Junwen & Qu, Zhongjun
- 113-133 Inference in time series models using smoothed-clustered standard errors
by Rho, Seunghwa & Vogelsang, Timothy J.
- 134-160 Dynamic spatial panel data models with common shocks
by Bai, Jushan & Li, Kunpeng
- 161-180 Bootstrapping non-stationary stochastic volatility
by Boswijk, H. Peter & Cavaliere, Giuseppe & Georgiev, Iliyan & Rahbek, Anders
- 181-197 Simple estimators and inference for higher-order stochastic volatility models
by Ahsan, Md. Nazmul & Dufour, Jean-Marie
- 198-214 Simple tests for stock return predictability with good size and power properties
by Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert
- 215-244 Consistent inference for predictive regressions in persistent economic systems
by Andersen, Torben G. & Varneskov, Rasmus T.
2021, Volume 223, Issue 2
- 280-311 Sufficient statistics for unobserved heterogeneity in structural dynamic logit models
by Aguirregabiria, Victor & Gu, Jiaying & Luo, Yao
- 312-327 Semiparametric estimation of dynamic discrete choice models
by Buchholz, Nicholas & Shum, Matthew & Xu, Haiqing
- 328-360 Solving dynamic discrete choice models using smoothing and sieve methods
by Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel
- 361-375 The likelihood of mixed hitting times
by Abbring, Jaap H. & Salimans, Tim
- 376-400 Bidding frictions in ascending auctions
by Barkley, Aaron & Groeger, Joachim R. & Miller, Robert A.
- 401-432 Effects of taxes and safety net pensions on life-cycle labor supply, savings and human capital: The case of Australia
by Iskhakov, Fedor & Keane, Michael
- 433-453 Labor market search, informality, and on-the-job human capital accumulation
by Bobba, Matteo & Flabbi, Luca & Levy, Santiago & Tejada, Mauricio
- 454-484 Illegal drugs, education, and labor market outcomes
by Mezza, Alvaro & Buchinsky, Moshe
2021, Volume 223, Issue 1
- 1-27 Indirect inference for locally stationary models
by Frazier, David T. & Koo, Bonsoo
- 28-52 Nonparametric regression with selectively missing covariates
by Breunig, Christoph & Haan, Peter
- 53-72 Nonparametric estimation of large covariance matrices with conditional sparsity
by Wang, Hanchao & Peng, Bin & Li, Degui & Leng, Chenlei
- 73-95 Integrated likelihood based inference for nonlinear panel data models with unobserved effects
by Schumann, Martin & Severini, Thomas A. & Tripathi, Gautam
- 96-124 Model selection in utility-maximizing binary prediction
by Su, Jiun-Hua
- 125-160 Inference without smoothing for large panels with cross-sectional and temporal dependence
by Hidalgo, Javier & Schafgans, Marcia
- 161-189 Shrinkage for categorical regressors
by Heiler, Phillip & Mareckova, Jana
- 190-221 Model averaging prediction for time series models with a diverging number of parameters
by Liao, Jun & Zou, Guohua & Gao, Yan & Zhang, Xinyu
- 222-250 Macroeconomic uncertainty prices when beliefs are tenuous
by Hansen, Lars Peter & Sargent, Thomas J.
- 251-275 Efficient estimation and filtering for multivariate jump–diffusions
by Guay, François & Schwenkler, Gustavo
2021, Volume 222, Issue 2
- 861-881 Bounds on distributional treatment effect parameters using panel data with an application on job displacement
by Callaway, Brantly
- 882-908 Limit theorems for network dependent random variables
by Kojevnikov, Denis & Marmer, Vadim & Song, Kyungchul
- 909-932 A weighted sieve estimator for nonparametric time series models with nonstationary variables
by Dong, Chaohua & Linton, Oliver & Peng, Bin
- 933-958 A Bayesian robust chi-squared test for testing simple hypotheses
by Doğan, Osman & Taşpınar, Süleyman & Bera, Anil K.
- 959-973 Uncovering heterogeneous social effects in binary choices
by Lin, Zhongjian & Tang, Xun & Yu, Ning Neil
- 974-992 Time-varying model averaging
by Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu
- 993-1023 Simple and trustworthy cluster-robust GMM inference
by Hwang, Jungbin
- 1024-1056 Solving Euler equations via two-stage nonparametric penalized splines
by Cui, Liyuan & Hong, Yongmiao & Li, Yingxing
- 1057-1082 Bounding the difference between true and nominal rejection probabilities in tests of hypotheses about instrumental variables models
by Horowitz, Joel L.
- 1083-1108 Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores
by Heiler, Phillip & Kazak, Ekaterina
2021, Volume 222, Issue 1
- 4-43 A survey of preference estimation with unobserved choice set heterogeneity
by Crawford, Gregory S. & Griffith, Rachel & Iaria, Alessandro
- 44-55 Using penalized likelihood to select parameters in a random coefficients multinomial logit model
by Horowitz, Joel L. & Nesheim, Lars
- 56-72 BLP estimation using Laplace transformation and overlapping simulation draws
by Hong, Han & Li, Huiyu & Li, Jessie
- 73-88 Control variables, discrete instruments, and identification of structural functions
by Newey, Whitney & Stouli, Sami
- 89-106 Assessing consumer demand with noisy neural measurements
by Webb, Ryan & Mehta, Nitin & Levy, Ifat
- 107-140 Evaluating consumers’ choices of Medicare Part D plans: A study in behavioral welfare economics
by Keane, Michael & Ketcham, Jonathan & Kuminoff, Nicolai & Neal, Timothy
- 141-160 Disentangling moral hazard and adverse selection in private health insurance
by Powell, David & Goldman, Dana
- 161-195 How well do structural demand models work? Counterfactual predictions in school choice
by Pathak, Parag A. & Shi, Peng
- 196-218 Vehicle size choice and automobile externalities: A dynamic analysis
by Winston, Clifford & Yan, Jia
- 219-243 Estimation of endogenously sampled time series: The case of commodity price speculation in the steel market
by Hall, George & Rust, John
- 244-260 The browser war — Analysis of Markov Perfect Equilibrium in markets with dynamic demand effects
by Jenkins, Mark & Liu, Paul & Matzkin, Rosa L. & McFadden, Daniel L.
- 269-294 Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
by Fan, Jianqing & Ke, Yuan & Liao, Yuan
- 295-323 Estimation and inference in semiparametric quantile factor models
by Ma, Shujie & Linton, Oliver & Gao, Jiti
- 324-343 Time-varying general dynamic factor models and the measurement of financial connectedness
by Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer
- 344-363 Tail risk and return predictability for the Japanese equity market
by Andersen, Torben G. & Todorov, Viktor & Ubukata, Masato
- 364-392 Closed-form implied volatility surfaces for stochastic volatility models with jumps
by Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu
- 393-410 Volatility analysis with realized GARCH-Itô models
by Song, Xinyu & Kim, Donggyu & Yuan, Huiling & Cui, Xiangyu & Lu, Zhiping & Zhou, Yong & Wang, Yazhen
- 411-428 The Observed Asymptotic Variance: Hard edges, and a regression approach
by Mykland, Per A. & Zhang, Lan
- 429-450 Autoencoder asset pricing models
by Gu, Shihao & Kelly, Bryan & Xiu, Dacheng
- 451-467 Generalized aggregation of misspecified models: With an application to asset pricing
by Gospodinov, Nikolay & Maasoumi, Esfandiar
- 468-483 The implied arbitrage mechanism in financial markets
by Chen, Shiyi & Chng, Michael T. & Liu, Qingfu
- 484-501 Efficient estimation of multivariate semi-nonparametric GARCH filtered copula models
by Chen, Xiaohong & Huang, Zhuo & Yi, Yanping
- 502-515 High dimensional minimum variance portfolio estimation under statistical factor models
by Ding, Yi & Li, Yingying & Zheng, Xinghua
- 516-538 New testing approaches for mean–variance predictability
by Fiorentini, Gabriele & Sentana, Enrique
- 539-560 Autoregressive models for matrix-valued time series
by Chen, Rong & Xiao, Han & Yang, Dan
- 561-578 The wisdom of the crowd and prediction markets
by Dai, Min & Jia, Yanwei & Kou, Steven
- 579-600 Max-linear regression models with regularization
by Cui, Qiurong & Xu, Yuqing & Zhang, Zhengjun & Chan, Vincent
- 601-624 Testing for observation-dependent regime switching in mixture autoregressive models
by Meitz, Mika & Saikkonen, Pentti
- 625-644 Testing constancy in varying coefficient models
by Delgado, Miguel A. & Arteaga-Molina, Luis A.
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