TOC: J Econometrics


Journal of Econometrics, 147(1)

 ARC: Connections: ELMAR: TOC

Arrow Doodadareas: methods: journals

Journal of Econometrics 

Relevant ARCategory: Marketing Journals 

Econometric modelling in finance and risk management: An overview
Jiti Gao, Michael McAleer and David E. Allen [Publisher] [Google Scholar]

Correlation testing in time series, spatial and cross-sectional data
P.M. Robinson [Publisher] [Google Scholar]

Out of sample forecasts of quadratic variation?
Yacine Aït-Sahalia and Loriano Mancini [Publisher] [Google Scholar]

Realized volatility forecasting and option pricing?
Federico M. Bandi, Jeffrey R. Russell and Chen Yang [Publisher] [Google Scholar]

Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error?
Ilze Kalnina and Oliver Linton [Publisher] [Google Scholar]

Nonlinear models for strongly dependent processes with financial applications
Richard T. Baillie and George Kapetanios [Publisher] [Google Scholar]

Econometric estimation in long-range dependent volatility models: Theory and practice
Isabel Casas and Jiti Gao [Publisher] [Google Scholar]

Testing for a change in persistence in the presence of non-stationary volatility?
Giuseppe Cavaliere and A.M. Robert Taylor [Publisher] [Google Scholar]

A complete asymptotic series for the autocovariance function of a long memory process
Offer Lieberman and Peter C.B. Phillips [Publisher] [Google Scholar]

A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries
Michael McAleer and Marcelo C. Medeiros [Publisher] [Google Scholar]

Nonparametric estimation of conditional VaR and expected shortfall
Zongwu Cai and Xian Wang [Publisher] [Google Scholar]

Specification testing in discretized diffusion models: Theory and practice
Jiti Gao and Isabel Casas [Publisher] [Google Scholar]

Fiscal policy and asset markets: A semiparametric analysis?
Dennis W. Jansen, Qi Li, Zijun Wang and Jian Yang [Publisher] [Google Scholar]

Testing for multivariate volatility functions using minimum volume sets and inverse regression
Wolfgang Polonik and Qiwei Yao [Publisher] [Google Scholar]

Finite sample properties of the QMLE for the Log-ACD model: Application to Australian stocks
David Allen, Felix Chan, Michael McAleer and Shelton Peiris [Publisher] [Google Scholar]

High dimensional covariance matrix estimation using a factor model?
Jianqing Fan, Yingying Fan and Jinchi Lv [Publisher] [Google Scholar]

Dynamic quantile models
C. Gourieroux and J. Jasiak [Publisher] [Google Scholar]