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Content
2020, Volume 215, Issue 2
- 559-573 Issues in the estimation of mis-specified models of fractionally integrated processes
by Martin, Gael M. & Nadarajah, K. & Poskitt, D.S.
- 574-590 Identification and estimation in panel models with overspecified number of groups
by Liu, Ruiqi & Shang, Zuofeng & Zhang, Yonghui & Zhou, Qiankun
- 591-606 Multivariate spatial autoregressive model for large scale social networks
by Zhu, Xuening & Huang, Danyang & Pan, Rui & Wang, Hansheng
- 607-632 Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression
by Li, Degui & Phillips, Peter C.B. & Gao, Jiti
2020, Volume 215, Issue 1
- 1-34 Inference for local distributions at high sampling frequencies: A bootstrap approach
by Hounyo, Ulrich & Varneskov, Rasmus T.
- 35-59 Does modeling a structural break improve forecast accuracy?
by Boot, Tom & Pick, Andreas
- 60-83 Determining individual or time effects in panel data models
by Lu, Xun & Su, Liangjun
- 84-117 A goodness-of-fit test for copulas based on martingale transformation
by Lu, Xiaohui & Zheng, Xu
- 118-130 Ultrahigh dimensional precision matrix estimation via refitted cross validation
by Wang, Luheng & Chen, Zhao & Wang, Christina Dan & Li, Runze
- 131-164 Inference on distribution functions under measurement error
by Adusumilli, Karun & Kurisu, Daisuke & Otsu, Taisuke & Whang, Yoon-Jae
- 165-183 Non-standard inference for augmented double autoregressive models with null volatility coefficients
by Jiang, Feiyu & Li, Dong & Zhu, Ke
- 184-208 Identification and estimation of time-varying nonseparable panel data models without stayers
by Ishihara, Takuya
- 209-238 Sequential monitoring for changes from stationarity to mild non-stationarity
by Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan
- 239-256 Semiparametric estimation of a censored regression model with endogeneity
by Chen, Songnian & Wang, Qian
- 257-285 Hybrid stochastic local unit roots
by Lieberman, Offer & Phillips, Peter C.B.
- 286-304 Nonparametric identification of discrete choice models with lagged dependent variables
by Williams, Benjamin
2020, Volume 214, Issue 2
- 295-325 Nonparametric filtering of conditional state-price densities
by Dalderop, Jeroen
- 326-348 Variance disparity and market frictions
by Park, Yang-Ho
- 349-378 Nonparametric assessment of hedge fund performance
by Almeida, Caio & Ardison, Kym & Garcia, René
- 379-412 On rank estimators in increasing dimensions
by Fan, Yanqin & Han, Fang & Li, Wei & Zhou, Xiao-Hua
- 413-432 Measurement error in multiple equations: Tobin’s q and corporate investment, saving, and debt
by Chalak, Karim & Kim, Daniel
- 433-450 Inference in heavy-tailed vector error correction models
by She, Rui & Ling, Shiqing
- 451-481 Panel threshold regressions with latent group structures
by Miao, Ke & Su, Liangjun & Wang, Wendun
- 482-494 High-dimensional minimum variance portfolio estimation based on high-frequency data
by Cai, T. Tony & Hu, Jianchang & Li, Yingying & Zheng, Xinghua
- 495-512 Robust estimation with many instruments
by Sølvsten, Mikkel
- 513-539 Modelling regional patterns of inefficiency: A Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
by Klein, Nadja & Herwartz, Helmut & Kneib, Thomas
2020, Volume 214, Issue 1
- 6-32 Econometric estimates of Earth’s transient climate sensitivity
by Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude
- 33-45 Modeling time series when some observations are zero
by Harvey, Andrew & Ito, Ryoko
- 46-66 Long-term forecasting of El Niño events via dynamic factor simulations
by Li, Mengheng & Koopman, Siem Jan & Lit, Rutger & Petrova, Desislava
- 67-80 Statistical approximation of high-dimensional climate models
by Miftakhova, Alena & Judd, Kenneth L. & Lontzek, Thomas S. & Schmedders, Karl
- 81-109 Autoregressive wild bootstrap inference for nonparametric trends
by Friedrich, Marina & Smeekes, Stephan & Urbain, Jean-Pierre
- 110-129 Expected utility and catastrophic risk in a stochastic economy–climate model
by Ikefuji, Masako & Laeven, Roger J.A. & Magnus, Jan R. & Muris, Chris
- 130-152 Inference related to common breaks in a multivariate system with joined segmented trends with applications to global and hemispheric temperatures
by Kim, Dukpa & Oka, Tatsushi & Estrada, Francisco & Perron, Pierre
- 153-174 Trends in distributional characteristics: Existence of global warming
by Gadea Rivas, María Dolores & Gonzalo, Jesús
- 175-197 A multicointegration model of global climate change
by Bruns, Stephan B. & Csereklyei, Zsuzsanna & Stern, David I.
- 198-215 Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis
by Holt, Matthew T. & Teräsvirta, Timo
- 216-255 Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions
by Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun
- 256-273 Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions
by Pretis, Felix
- 274-294 Evaluating trends in time series of distributions: A spatial fingerprint of human effects on climate
by Chang, Yoosoon & Kaufmann, Robert K. & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y. & Park, Sungkeun
2019, Volume 213, Issue 2
- 297-320 Simulated likelihood estimators for discretely observed jump–diffusions
by Giesecke, K. & Schwenkler, G.
- 321-358 Consistent non-Gaussian pseudo maximum likelihood estimators
by Fiorentini, Gabriele & Sentana, Enrique
- 359-397 Bootstrapping structural change tests
by Boldea, Otilia & Cornea-Madeira, Adriana & Hall, Alastair R.
- 398-433 Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors
by Moreira, Humberto & Moreira, Marcelo J.
- 434-458 A likelihood ratio test for spatial model selection
by Liu, Tuo & Lee, Lung-fei
- 459-492 Bias reduction in nonlinear and dynamic panels in the presence of cross-section dependence
by Pakel, Cavit
- 493-515 Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
by Paolella, Marc S. & Polak, Paweł & Walker, Patrick S.
- 516-555 Uniform confidence bands for nonparametric errors-in-variables regression
by Kato, Kengo & Sasaki, Yuya
- 556-577 A new stochastic frontier model with cross-sectional effects in both noise and inefficiency terms
by Orea, Luis & Álvarez, Inmaculada C.
- 578-592 Saddlepoint approximations for short and long memory time series: A frequency domain approach
by La Vecchia, Davide & Ronchetti, Elvezio
- 593-607 Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models
by Zhou, Ling & Lin, Huazhen & Chen, Kani & Liang, Hua
- 608-631 Efficient estimation of nonparametric regression in the presence of dynamic heteroskedasticity
by Linton, Oliver & Xiao, Zhijie
2019, Volume 213, Issue 1
- 4-29 Conditional quantile processes based on series or many regressors
by Belloni, Alexandre & Chernozhukov, Victor & Chetverikov, Denis & Fernández-Val, Iván
- 30-53 Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions
by Chen, Xiaohong & Pouzo, Demian & Powell, James L.
- 54-67 Quantile-regression-based clustering for panel data
by Zhang, Yingying & Wang, Huixia Judy & Zhu, Zhongyi
- 68-91 Panel data quantile regression with grouped fixed effects
by Gu, Jiaying & Volgushev, Stanislav
- 92-120 What do mean impacts miss? Distributional effects of corporate diversification
by Xiao, Zhijie & Xu, Lan
- 121-144 Smoothed GMM for quantile models
by de Castro, Luciano & Galvao, Antonio F. & Kaplan, David M. & Liu, Xin
- 145-173 Quantiles via moments
by Machado, José A.F. & Santos Silva, J.M.C.
- 174-189 Asymptotic inference for the constrained quantile regression process
by Parker, Thomas
- 190-209 Placebo inference on treatment effects when the number of clusters is small
by Hagemann, Andreas
- 210-234 Partial identification of the treatment effect distribution and its functionals
by Firpo, Sergio & Ridder, Geert
- 235-260 On the predictive risk in misspecified quantile regression
by Giessing, Alexander & He, Xuming
- 261-280 Predictive quantile regressions under persistence and conditional heteroskedasticity
by Fan, Rui & Lee, Ji Hyung
- 281-288 Edgeworth’s time series model: Not AR(1) but same covariance structure
by Portnoy, Stephen
- 289-295 Review of median stable distributions and Schröder’s equation
by Bassett, Gib
2019, Volume 212, Issue 2
- 359-376 Accelerating score-driven time series models
by Blasques, F. & Gorgi, P. & Koopman, S.J.
- 377-392 A moment-based notion of time dependence for functional time series
by Salish, Nazarii & Gleim, Alexander
- 393-412 Asymptotic theory and wild bootstrap inference with clustered errors
by Djogbenou, Antoine A. & MacKinnon, James G. & Nielsen, Morten Ørregaard
- 413-432 On asymptotic size distortions in the random coefficients logit model
by Ketz, Philipp
- 433-450 Nonparametric estimation of conditional quantile functions in the presence of irrelevant covariates
by Chen, Xirong & Li, Degui & Li, Qi & Li, Zheng
- 451-475 Panel data analysis with heterogeneous dynamics
by Okui, Ryo & Yanagi, Takahide
- 476-502 Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
by Chen, Heng & Fan, Yanqin
- 503-521 A diagnostic criterion for approximate factor structure
by Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier
- 522-555 Instrumental variables and the sign of the average treatment effect
by Machado, Cecilia & Shaikh, Azeem M. & Vytlacil, Edward J.
- 556-583 The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
by Christensen, Kim & Thyrsgaard, Martin & Veliyev, Bezirgen
- 584-606 Exact computation of Censored Least Absolute Deviations estimator
by Bilias, Yannis & Florios, Kostas & Skouras, Spyros
- 607-622 Semi-parametric single-index panel data models with interactive fixed effects: Theory and practice
by Feng, Guohua & Peng, Bin & Su, Liangjun & Yang, Thomas Tao
- 623-645 Indirect inference with a non-smooth criterion function
by Frazier, David T. & Oka, Tatsushi & Zhu, Dan
- 646-677 Non-separable models with high-dimensional data
by Su, Liangjun & Ura, Takuya & Zhang, Yichong
2019, Volume 212, Issue 1
- 4-25 Unified inference for nonlinear factor models from panels with fixed and large time span
by Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T.
- 26-46 Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
by Andreasen, Martin M. & Christensen, Jens H.E. & Rudebusch, Glenn D.
- 47-77 Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty
by Babii, Andrii & Chen, Xi & Ghysels, Eric
- 78-96 Rank regularized estimation of approximate factor models
by Bai, Jushan & Ng, Serena
- 97-115 Bayesian nonparametric sparse VAR models
by Billio, Monica & Casarin, Roberto & Rossini, Luca
- 116-136 High-dimensional multivariate realized volatility estimation
by Bollerslev, Tim & Meddahi, Nour & Nyawa, Serge
- 137-154 Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
by Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano
- 155-176 A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
by Chen, Jia & Li, Degui & Linton, Oliver
- 177-202 Generalized high-dimensional trace regression via nuclear norm regularization
by Fan, Jianqing & Gong, Wenyan & Zhu, Ziwei
- 203-220 Monitoring banking system connectedness with big data
by Hale, Galina & Lopez, Jose A.
- 221-240 Large-scale portfolio allocation under transaction costs and model uncertainty
by Hautsch, Nikolaus & Voigt, Stefan
- 241-271 Adaptive hierarchical priors for high-dimensional vector autoregressions
by Korobilis, Dimitris & Pettenuzzo, Davide
- 272-285 Combining statistical intervals and market prices: The worst case state price distribution
by Mykland, Per Aslak
- 286-306 A quasi-Bayesian local likelihood approach to time varying parameter VAR models
by Petrova, Katerina
- 307-322 Extreme canonical correlations and high-dimensional cointegration analysis
by Onatski, Alexei & Wang, Chen
- 323-344 Variable selection in panel models with breaks
by Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu
- 345-358 Network quantile autoregression
by Zhu, Xuening & Wang, Weining & Wang, Hansheng & Härdle, Wolfgang Karl
2019, Volume 211, Issue 2
- 319-337 Strict stationarity testing and GLAD estimation of double autoregressive models
by Guo, Shaojun & Li, Dong & Li, Muyi
- 338-360 Bayesian inference for partially identified smooth convex models
by Liao, Yuan & Simoni, Anna
- 361-387 Applied welfare analysis for discrete choice with interval-data on income
by Lee, Ying-Ying & Bhattacharya, Debopam
- 388-413 Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
by Patton, Andrew J. & Ziegel, Johanna F. & Chen, Rui
- 414-438 Semiparametric estimation of the random utility model with rank-ordered choice data
by Yan, Jin & Yoo, Hong Il
- 439-460 A rank test for the number of factors with high-frequency data
by Kong, Xin-Bing & Liu, Zhi & Zhou, Wang
- 461-482 Combining p-values to test for multiple structural breaks in cointegrated regressions
by Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni
- 483-506 Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures
by Cherchye, Laurens & Demuynck, Thomas & Rock, Bram De
- 507-538 Inference for first-price auctions with Guerre, Perrigne, and Vuong’s estimator
by Ma, Jun & Marmer, Vadim & Shneyerov, Artyom
- 539-559 A time-varying true individual effects model with endogenous regressors
by Kutlu, Levent & Tran, Kien C. & Tsionas, Mike G.
- 560-588 Inference on Difference-in-Differences average treatment effects: A fixed-b approach
by Sun, Yu & Yan, Karen X.
- 589-618 Robust uniform inference for quantile treatment effects in regression discontinuity designs
by Chiang, Harold D. & Hsu, Yu-Chin & Sasaki, Yuya
2019, Volume 211, Issue 1
- 4-10 An Econometric Life
by Hausman, Jerry
- 11-15 Jerry Hausman
by Joskow, Paul L.
- 16-46 Labour supply and taxation with restricted choices
by Beffy, Magali & Blundell, Richard & Bozio, Antoine & Laroque, Guy & Tô, Maxime
- 47-60 Marginal deadweight loss when the income tax is nonlinear
by Blomquist, Sören & Simula, Laurent
- 61-82 A panel quantile approach to attrition bias in Big Data: Evidence from a randomized experiment
by Harding, Matthew & Lamarche, Carlos
- 83-103 Constructive identification in some nonseparable discrete choice models
by Matzkin, Rosa L.
- 104-116 Nonseparable multinomial choice models in cross-section and panel data
by Chernozhukov, Victor & Fernández-Val, Iván & Newey, Whitney K.
- 117-136 Is the FDA too conservative or too aggressive?: A Bayesian decision analysis of clinical trial design
by Isakov, Leah & Lo, Andrew W. & Montazerhodjat, Vahid
- 137-150 Correlated random effects models with unbalanced panels
by Wooldridge, Jeffrey M.
- 151-165 Missing dependent variables in fixed-effects models
by Abrevaya, Jason
- 166-175 Increasing the power of specification tests
by Woutersen, Tiemen & Hausman, Jerry A.
- 176-205 A Hausman test for the presence of market microstructure noise in high frequency data
by Aït-Sahalia, Yacine & Xiu, Dacheng
- 206-242 A model-free consistent test for structural change in regression possibly with endogeneity
by Fu, Zhonghao & Hong, Yongmiao
- 243-261 Invariance principles for dependent processes indexed by Besov classes with an application to a Hausman test for linearity
by Kuersteiner, Guido M.
- 262-293 Three-stage semi-parametric inference: Control variables and differentiability
by Hahn, Jinyong & Ridder, Geert
- 294-307 On the structure of IV estimands
by Andrews, Isaiah
- 308-318 Convolution without independence
by Schennach, Susanne M.
2019, Volume 210, Issue 2
- 219-235 A closed-form estimator for quantile treatment effects with endogeneity
by Wüthrich, Kaspar
- 236-267 Estimation of longrun variance of continuous time stochastic process using discrete sample
by Lu, Ye & Park, Joon Y.
- 268-290 Asymptotic theory for clustered samples
by Hansen, Bruce E. & Lee, Seojeong
- 291-309 Robust inference for threshold regression models
by Hidalgo, Javier & Lee, Jungyoon & Seo, Myung Hwan
- 310-326 A weak law for moments of pairwise stable networks
by Leung, Michael P.
- 327-362 A simple and trustworthy asymptotic t test in difference-in-differences regressions
by Liu, Cheng & Sun, Yixiao
- 363-378 Identification and estimation of risk aversion in first-price auctions with unobserved auction heterogeneity
by Grundl, Serafin & Zhu, Yu
- 379-404 Specification tests for the propensity score
by Sant’Anna, Pedro H.C. & Song, Xiaojun
- 405-433 Causal inference by quantile regression kink designs
by Chiang, Harold D. & Sasaki, Yuya
- 434-458 Identification and estimation of linear social interaction models
by Kwok, Hon Ho
- 459-481 Inference on functionals under first order degeneracy
by Chen, Qihui & Fang, Zheng
- 482-497 Breaking the curse of dimensionality in conditional moment inequalities for discrete choice models
by Chen, Le-Yu & Lee, Sokbae
2019, Volume 210, Issue 1
- 4-25 Sequentially adaptive Bayesian learning algorithms for inference and optimization
by Geweke, John & Durham, Garland
- 26-44 Tempered particle filtering
by Herbst, Edward & Schorfheide, Frank
- 45-57 Importance sampling from posterior distributions using copula-like approximations
by Dellaportas, Petros & Tsionas, Mike G.
- 58-74 Modeling systemic risk with Markov Switching Graphical SUR models
by Bianchi, Daniele & Billio, Monica & Casarin, Roberto & Guidolin, Massimo
- 75-97 Achieving shrinkage in a time-varying parameter model framework
by Bitto, Angela & Frühwirth-Schnatter, Sylvia
- 98-115 Sparse Bayesian time-varying covariance estimation in many dimensions
by Kastner, Gregor
- 116-134 Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
by Kaufmann, Sylvia & Schumacher, Christian
- 135-154 Bayesian compressed vector autoregressions
by Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide
- 155-169 Dynamic Bayesian predictive synthesis in time series forecasting
by McAlinn, Kenichiro & West, Mike
- 170-186 Forecast density combinations of dynamic models and data driven portfolio strategies
by Baştürk, N. & Borowska, A. & Grassi, S. & Hoogerheide, L. & van Dijk, H.K.
- 187-202 Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
by Fisher, Mark & Jensen, Mark J.
- 203-218 The value of news for economic developments
by Larsen, Vegard H. & Thorsrud, Leif A.
2019, Volume 209, Issue 2
- 145-157 Portal nodes screening for large scale social networks
by Zhu, Xuening & Chang, Xiangyu & Li, Runze & Wang, Hansheng
- 158-184 Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book
by Bibinger, Markus & Neely, Christopher & Winkelmann, Lars
- 185-207 Weak σ-convergence: Theory and applications
by Kong, Jianning & Phillips, Peter C.B. & Sul, Donggyu
- 208-237 Random coefficient continuous systems: Testing for extreme sample path behavior
by Tao, Yubo & Phillips, Peter C.B. & Yu, Jun
- 238-255 Priors about observables in vector autoregressions
by Jarociński, Marek & Marcet, Albert
- 256-288 A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
by Yang, Nian & Chen, Nan & Wan, Xiangwei
- 289-337 Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
by Clinet, Simon & Potiron, Yoann
- 338-352 Testing for randomness in a random coefficient autoregression model
by Horváth, Lajos & Trapani, Lorenzo
- 353-375 Functional GARCH models: The quasi-likelihood approach and its applications
by Cerovecki, Clément & Francq, Christian & Hörmann, Siegfried & Zakoïan, Jean-Michel
- 376-390 Identifying the effect of a mis-classified, binary, endogenous regressor
by DiTraglia, Francis J. & García-Jimeno, Camilo
- 391-406 Forecasting using random subspace methods
by Boot, Tom & Nibbering, Didier
2019, Volume 209, Issue 1
- 1-17 Quantile regression for duration models with time-varying regressors
by Chen, Songnian
- 18-34 Nearly weighted risk minimal unbiased estimation
by Müller, Ulrich K. & Wang, Yulong
- 35-60 Model averaging based on leave-subject-out cross-validation for vector autoregressions
by Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua
- 61-78 Structured volatility matrix estimation for non-synchronized high-frequency financial data
by Fan, Jianqing & Kim, Donggyu
- 79-93 New results on the identification of stochastic bargaining models
by Merlo, Antonio & Tang, Xun
- 94-113 The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification
by Li, Chuhui & Poskitt, D.S. & Zhao, Xueyan
- 114-138 Bayesian estimation of dynamic asset pricing models with informative observations
by Fulop, Andras & Li, Junye
2019, Volume 208, Issue 2
- 324-345 Testing for structural breaks in factor copula models
by Manner, Hans & Stark, Florian & Wied, Dominik
- 346-366 Identification and estimation of a triangular model with multiple endogenous variables and insufficiently many instrumental variables
by Huang, Liquan & Khalil, Umair & Yıldız, Neşe
- 367-394 Residual bootstrap tests in linear models with many regressors
by Richard, Patrick
- 395-417 Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
by Kim, Donggyu & Fan, Jianqing
- 418-441 Determination of vector error correction models in high dimensions
by Liang, Chong & Schienle, Melanie
- 442-467 Asymptotic properties of the maximum likelihood estimator in regime switching econometric models
by Kasahara, Hiroyuki & Shimotsu, Katsumi
- 468-486 Testing treatment effect heterogeneity in regression discontinuity designs
by Hsu, Yu-Chin & Shen, Shu
- 487-506 On the estimation of treatment effects with endogenous misreporting
by Nguimkeu, Pierre & Denteh, Augustine & Tchernis, Rusty
- 507-534 A multiple testing approach to the regularisation of large sample correlation matrices
by Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa
- 535-562 Consistent estimation of time-varying loadings in high-dimensional factor models
by Mikkelsen, Jakob Guldbæk & Hillebrand, Eric & Urga, Giovanni
- 563-584 A computationally efficient fixed point approach to dynamic structural demand estimation
by Sun, Yutec & Ishihara, Masakazu
- 585-612 GEL estimation and tests of spatial autoregressive models
by Jin, Fei & Lee, Lung-fei
- 613-637 Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
by Gagliardini, Patrick & Gouriéroux, Christian
- 638-657 Alternative tests for correct specification of conditional predictive densities
by Rossi, Barbara & Sekhposyan, Tatevik
2019, Volume 208, Issue 1
- 5-22 Robust covariance estimation for approximate factor models
by Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao
- 23-42 Large-dimensional factor modeling based on high-frequency observations
by Pelger, Markus
- 43-79 Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
by Dai, Chaoxing & Lu, Kun & Xiu, Dacheng
- 80-100 Estimating the integrated volatility with tick observations
by Jacod, Jean & Li, Yingying & Zheng, Xinghua
- 101-119 The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
by Mykland, Per A. & Zhang, Lan & Chen, Dachuan
- 120-140 The scale of predictability
by Bandi, F.M. & Perron, B. & Tamoni, A. & Tebaldi, C.
- 141-159 A unified test for predictability of asset returns regardless of properties of predicting variables
by Liu, Xiaohui & Yang, Bingduo & Cai, Zongwu & Peng, Liang
- 160-178 Semiparametric estimation of the bid–ask spread in extended roll models
by Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping
- 179-210 Optimum thresholding using mean and conditional mean squared error
by Figueroa-López, José E. & Mancini, Cecilia
- 211-230 Banded spatio-temporal autoregressions
by Gao, Zhaoxing & Ma, Yingying & Wang, Hansheng & Yao, Qiwei
- 231-248 Factor models for matrix-valued high-dimensional time series
by Wang, Dong & Liu, Xialu & Chen, Rong
- 249-264 Daily price limits and destructive market behavior
by Chen, Ting & Gao, Zhenyu & He, Jibao & Jiang, Wenxi & Xiong, Wei
- 265-281 Climate risks and market efficiency
by Hong, Harrison & Li, Frank Weikai & Xu, Jiangmin
- 282-298 Tail event driven networks of SIFIs
by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Okhrin, Yarema
- 299-321 Mark to market value at risk
by Chen, Yu & Wang, Zhicheng & Zhang, Zhengjun
2018, Volume 207, Issue 2
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