TOC: J Econometrics

Introduction

Journal of Econometrics, 192(1)

Exploiting the errors: A simple approach for improved volatility forecasting
Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg [Publisher] [Google Scholar]

Bayesian semiparametric modeling of realized covariance matrices
Xin Jin, John M. Maheu [Publisher] [Google Scholar]

Efficiency of thin and thick markets
Li Gan, Qi Li [Publisher] [Google Scholar]

Root-T consistent density estimation in GARCH models
Aurore Delaigle, Alexander Meister, Jeroen Rombouts [Publisher] [Google Scholar]

Inference on co-integration parameters in heteroskedastic vector autoregressions
H. Peter Boswijk, Giuseppe Cavaliere, Anders Rahbek, A.M. Robert Taylor [Publisher] [Google Scholar]

Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
Seojeong Lee [Publisher] [Google Scholar]

Predictive quantile regression with persistent covariates: IVX-QR approach
Ji Hyung Lee [Publisher] [Google Scholar]

Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models
Yacine Aït-Sahalia, Joon Y. Park [Publisher] [Google Scholar]

Model averaging based on leave-subject-out cross-validation
Yan Gao, Xinyu Zhang, Shouyang Wang, Guohua Zou [Publisher] [Google Scholar]

Nonstationarity in time series of state densities
Yoosoon Chang, Chang Sik Kim, Joon Y. Park [Publisher] [Google Scholar]

A reexamination of stock return predictability
Yongok Choi, Stefan Jacewitz, Joon Y. Park [Publisher] [Google Scholar]

Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
Christian Aßmann, Jens Boysen-Hogrefe, Markus Pape [Publisher] [Google Scholar]

Testing for Granger causality with mixed frequency data
Eric Ghysels, Jonathan B. Hill, Kaiji Motegi [Publisher] [Google Scholar]

Bootstrap inference for instrumental variable models with many weak instruments
Wenjie Wang, Maximilien Kaffo [Publisher] [Google Scholar]

A dual approach to inference for partially identified econometric models
Hiroaki Kaido [Publisher] [Google Scholar]

Individual and time effects in nonlinear panel models with large N, T
Iván Fernández-Val, Martin Weidner [Publisher] [Google Scholar]

The effects of asymmetric volatility and jumps on the pricing of VIX derivatives
Yang-Ho Park [Publisher] [Google Scholar]