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]