J Econometrics
Introduction
Journal of Econometrics, 237(2B)
INTEREST CATEGORY: MARKETING RESEARCH
POSTING TYPE: TOCs
Time-Varying Parameters in Econometrics: The editor’s foreword
—F. Blasques, A.C. Harvey, S.J. Koopman, A. Lucas []
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
—Abdelhakim Aknouche, Christian Francq []
Dynamic conditional eigenvalue GARCH
—Simon Hetland, Rasmus Søndergaard Pedersen, Anders Rahbek []
Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects
—P. Gorgi, S.J. Koopman []
A dynamic conditional score model for the log correlation matrix
—Christian M. Hafner, Linqi Wang []
Semiparametric modeling of multiple quantiles
—Leopoldo Catania, Alessandra Luati []
Dynamic clustering of multivariate panel data
—Igor Custodio João, André Lucas, Julia Schaumburg, Bernd Schwaab []
Score-driven models for realized volatility
—Andrew Harvey, Dario Palumbo []