TOC: J Econometrics


Journal of Econometrics, 183(2)

Mutual excitation in Eurozone sovereign CDS
Yacine Aït-Sahalia, Roger J.A. Laeven, Loriana Pelizzon [Publisher] [Google Scholar]

Time-varying jump tails
Tim Bollerslev, Viktor Todorov [Publisher] [Google Scholar]

The VIX, the variance premium and stock market volatility
Geert Bekaert, Marie Hoerova [Publisher] [Google Scholar]

The nonlinear price dynamics of U.S. equity ETFs
Gunduz Caginalp, Mark DeSantis, Akin Sayrak [Publisher] [Google Scholar]

Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
David Blake, Tristan Caulfield, Christos Ioannidis, Ian Tonks [Publisher] [Google Scholar]

Minimum distance estimation of the errors-in-variables model using linear cumulant equations
Timothy Erickson, Colin Huan Jiang, Toni M. Whited [Publisher] [Google Scholar]

Does the information content of payout initiations and omissions influence firm risks?
Henk von Eije, Abhinav Goyal, Cal B. Muckley [Publisher] [Google Scholar]

Methods for multicountry studies of corporate governance: Evidence from the BRIKT countries
Bernard Black, Antonio Gledson de Carvalho, Vikramaditya Khanna, Woochan Kim, Burcin Yurtoglu [Publisher] [Google Scholar]

Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US
Alok Bhargava [Publisher] [Google Scholar]