J Econometrics


Journal of Econometrics, 231(2)



Special Issue: The Econometrics of Macroeconomic and Financial Data

Edited by Atsushi Inoue, Lutz Kilian, Andrew Patton

Editorial for special issue in honor of Francis X. Diebold
Atsushi Inoue, Lutz Kilian, Andrew Patton [Google Scholar]

Conditional rotation between forecasting models
Yinchu Zhu, Allan Timmermann [Google Scholar]

From zero to hero: Realized partial (co)variances
Tim Bollerslev, Marcelo C. Medeiros, Andrew J. Patton, Rogier Quaedvlieg [Google Scholar]

Testing for parameter instability and structural change in persistent predictive regressions
Torben G. Andersen, Rasmus T. Varneskov [Google Scholar]

Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
Ben Gardner, Chiara Scotti, Clara Vega [Google Scholar]

Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds
Jens H.E. Christensen, Mark M. Spiegel [Google Scholar]

Approximate maximum likelihood for complex structural models
Veronika Czellar, David T. Frazier, Eric Renault [Google Scholar]

Joint Bayesian inference about impulse responses in VAR models
Atsushi Inoue, Lutz Kilian [Google Scholar]

SVARs with occasionally-binding constraints
S. Bora─čan Aruoba, Marko Mlikota, Frank Schorfheide, Sergio Villalvazo [Google Scholar]

Nowcasting with large Bayesian vector autoregressions
Jacopo Cimadomo, Domenico Giannone, Michele Lenza, Francesca Monti, Andrej Sokol [Google Scholar]

Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
Francis X. Diebold, Glenn D. Rudebusch [Google Scholar]