TOC: J Econometrics

Introduction

Journal of Econometrics, 194(2)

Financial Statistics and Risk Management: An Overview
Rong Chen, Per Mykland, Qiwei Yao [Publisher] [Google Scholar]

Increased correlation among asset classes: Are volatility or jumps to blame, or both?
Yacine Aït-Sahalia, Dacheng Xiu [Publisher] [Google Scholar]

Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Donggyu Kim, Yazhen Wang [Publisher] [Google Scholar]

Copula structured M4 processes with application to high-frequency financial data
Zhengjun Zhang, Bin Zhu [Publisher] [Google Scholar]

Between data cleaning and inference: Pre-averaging and robust estimators of the efficient price
Per A. Mykland, Lan Zhang [Publisher] [Google Scholar]

Convolutional autoregressive models for functional time series
Xialu Liu, Han Xiao, Rong Chen [Publisher] [Google Scholar]

Testing super-diagonal structure in high dimensional covariance matrices
Jing He, Song Xi Chen [Publisher] [Google Scholar]

Robust inference of risks of large portfolios
Jianqing Fan, Fang Han, Han Liu, Byron Vickers [Publisher] [Google Scholar]

Semiparametric dynamic portfolio choice with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton, Zudi Lu [Publisher] [Google Scholar]

Asymptotics for parametric GARCH-in-Mean models
Christian Conrad, Enno Mammen [Publisher] [Google Scholar]

Tail dependence measure for examining financial extreme co-movements
Alexandru V. Asimit, Russell Gerrard, Yanxi Hou, Liang Peng [Publisher] [Google Scholar]

Local-momentum autoregression and the modeling of interest rate term structure
Jin-Chuan Duan [Publisher] [Google Scholar]

On consistency of minimum description length model selection for piecewise autoregressions
Richard A. Davis, Stacey A. Hancock, Yi-Ching Yao [Publisher] [Google Scholar]

Generalized Yule–Walker estimation for spatio-temporal models with unknown diagonal coefficients
Baojun Dou, Maria Lucia Parrella, Qiwei Yao [Publisher] [Google Scholar]