TOC: J Econometrics
Introduction
Journal of Econometrics, 147(1)
 : : : TOC
: : journals |
Relevant ARCategory: |
Econometric modelling in finance and risk management: An overview
–Jiti Gao, Michael McAleer and David E. Allen [] []
Correlation testing in time series, spatial and cross-sectional data
–P.M. Robinson [] []
Out of sample forecasts of quadratic variation?
–Yacine Aït-Sahalia and Loriano Mancini [] []
Realized volatility forecasting and option pricing?
–Federico M. Bandi, Jeffrey R. Russell and Chen Yang [] []
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error?
–Ilze Kalnina and Oliver Linton [] []
Nonlinear models for strongly dependent processes with financial applications
–Richard T. Baillie and George Kapetanios [] []
Econometric estimation in long-range dependent volatility models: Theory and practice
–Isabel Casas and Jiti Gao [] []
Testing for a change in persistence in the presence of non-stationary volatility?
–Giuseppe Cavaliere and A.M. Robert Taylor [] []
A complete asymptotic series for the autocovariance function of a long memory process
–Offer Lieberman and Peter C.B. Phillips [] []
A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
–Michael McAleer and Marcelo C. Medeiros [] []
Nonparametric estimation of conditional VaR and expected shortfall
–Zongwu Cai and Xian Wang [] []
Specification testing in discretized diffusion models: Theory and practice
–Jiti Gao and Isabel Casas [] []
Fiscal policy and asset markets: A semiparametric analysis?
–Dennis W. Jansen, Qi Li, Zijun Wang and Jian Yang [] []
Testing for multivariate volatility functions using minimum volume sets and inverse regression
–Wolfgang Polonik and Qiwei Yao [] []
Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
–David Allen, Felix Chan, Michael McAleer and Shelton Peiris [] []
High dimensional covariance matrix estimation using a factor model?
–Jianqing Fan, Yingying Fan and Jinchi Lv [] []
Dynamic quantile models
–C. Gourieroux and J. Jasiak [] []