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INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs

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Cluster-robust inference: A guide to empirical practice
—James G. MacKinnon, Morten Ørregaard Nielsen, Matthew D. Webb []

Fully modified least squares cointegrating parameter estimation in multicointegrated systems
—Igor L. Kheifets, Peter C.B. Phillips []

High dimensional semiparametric moment restriction models
—Chaohua Dong, Jiti Gao, Oliver Linton []

Second-order refinements for t-ratios with many instruments
—Yukitoshi Matsushita, Taisuke Otsu []

Smoothed quantile regression with large-scale inference
—Xuming He, Xiaoou Pan, Kean Ming Tan, Wen-Xin Zhou []

Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
—Xiaohu Wang, Weilin Xiao, Jun Yu []

A discrete-time hedging framework with multiple factors and fat tails: On what matters
—Maciej Augustyniak, Alexandru Badescu, Jean-François Bégin []

Estimating the variance of a combined forecast: Bootstrap-based approach
—Ulrich Hounyo, Kajal Lahiri []

When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
—Peter C.B. Phillips, Ying Wang []

Relaxing conditional independence in an endogenous binary response model
—Alyssa Carlson []

Scalable inference for a full multivariate stochastic volatility model
—Petros Dellaportas, Michalis K. Titsias, Katerina Petrova, Anastasios Plataniotis []

A simple joint model for returns, volatility and volatility of volatility
—Yashuang (Dexter) Ding []

Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
—Xin Chen, Dan Yang, Yan Xu, Yin Xia, Dong Wang, Haipeng Shen []

Why randomize? Minimax optimality under permutation invariance
—Yuehao Bai []

Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares
—Irene Botosaru, Chris Muris, Krishna Pendakur []