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Exploiting the errors: A simple approach for improved volatility forecasting
–Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg [] []

Bayesian semiparametric modeling of realized covariance matrices
–Xin Jin, John M. Maheu [] []

Efficiency of thin and thick markets
–Li Gan, Qi Li [] []

Root-T consistent density estimation in GARCH models
–Aurore Delaigle, Alexander Meister, Jeroen Rombouts [] []

Inference on co-integration parameters in heteroskedastic vector autoregressions
–H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, A.M. Robert Taylor [] []

Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
–Seojeong Lee [] []

Predictive quantile regression with persistent covariates: IVX-QR approach
–Ji Hyung Lee [] []

Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
–Yacine Aït-Sahalia, Joon Y. Park [] []

Model averaging based on leave-subject-out cross-validation
–Yan Gao, Xinyu Zhang, Shouyang Wang, Guohua Zou [] []

Nonstationarity in time series of state densities
–Yoosoon Chang, Chang Sik Kim, Joon Y. Park [] []

A reexamination of stock return predictability
–Yongok Choi, Stefan Jacewitz, Joon Y. Park [] []

Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
–Christian Aßmann, Jens Boysen-Hogrefe, Markus Pape [] []

Testing for Granger causality with mixed frequency data
–Eric Ghysels, Jonathan B. Hill, Kaiji Motegi [] []

Bootstrap inference for instrumental variable models with many weak instruments
–Wenjie Wang, Maximilien Kaffo [] []

A dual approach to inference for partially identified econometric models
–Hiroaki Kaido [] []

Individual and time effects in nonlinear panel models with large N, T
–Iván Fernández-Val, Martin Weidner [] []

The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
–Yang-Ho Park [] []

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