J Econometrics
Introduction
Journal of Econometrics, 237(2C)
INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs
Predictive modeling of financial data
—Torben G. Andersen, Robert Taylor, Allan Timmermann, Dacheng Xiu []
Volatility measurement with pockets of extreme return persistence
—Torben G. Andersen, Yingying Li, Viktor Todorov, Bo Zhou []
Comparing forecasting performance in cross-sections
—Ritong Qu, Allan Timmermann, Yinchu Zhu []
CRPS learning
—Jonathan Berrisch, Florian Ziel []
Evaluating forecast performance with state dependence
—Florens Odendahl, Barbara Rossi, Tatevik Sekhposyan []
Extensions to IVX methods of inference for return predictability
—Matei Demetrescu, Iliyan Georgiev, Paulo M.M. Rodrigues, A.M. Robert Taylor []
Optimal model averaging based on forward-validation
—Xiaomeng Zhang, Xinyu Zhang []
Machine learning panel data regressions with heavy-tailed dependent data: Theory and application
—Andrii Babii, Ryan T. Ball, Eric Ghysels, Jonas Striaukas []
Transformed regression-based long-horizon predictability tests
—Matei Demetrescu, Paulo M.M. Rodrigues, A.M. Robert Taylor []
On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates
—Francis X. Diebold, Minchul Shin, Boyuan Zhang []
Uniform predictive inference for factor models with instrumental and idiosyncratic betas
—Mingmian Cheng, Yuan Liao, Xiye Yang []
A flexible predictive density combination for large financial data sets in regular and crisis periods
—Roberto Casarin, Stefano Grassi, Francesco Ravazzolo, Herman K. van Dijk []
Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach
—Rui Fan, Ji Hyung Lee, Youngki Shin []
Dynamic factor copula models with estimated cluster assignments
—Dong Hwan Oh, Andrew J. Patton []
A penalized two-pass regression to predict stock returns with time-varying risk premia
—Gaetan Bakalli, Stéphane Guerrier, Olivier Scaillet []
Taking stock of long-horizon predictability tests: Are factor returns predictable?
—Alexandros Kostakis, Tassos Magdalinos, Michalis P. Stamatogiannis []
Time-varying forecast combination for high-dimensional data
—Bin Chen, Kenwin Maung []
Are bond returns predictable with real-time macro data?
—Dashan Huang, Fuwei Jiang, Kunpeng Li, Guoshi Tong, Guofu Zhou []
Business-cycle consumption risk and asset prices
—Federico M. Bandi, Andrea Tamoni []
Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance
—Dennis Umlandt []