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Content
2023, Volume 234, Issue 2
- 691-713 Synthetic Learner: Model-free inference on treatments over time
by Viviano, Davide & Bradic, Jelena
- 714-731 Estimation and inference of treatment effects with L2-boosting in high-dimensional settings
by Kueck, Jannis & Luo, Ye & Spindler, Martin & Wang, Zigan
- 732-757 Multiple treatments with strategic substitutes
by Balat, Jorge F. & Han, Sukjin
- 758-776 Regression-adjusted estimation of quantile treatment effects under covariate-adaptive randomizations
by Jiang, Liang & Phillips, Peter C.B. & Tao, Yubo & Zhang, Yichong
2023, Volume 234, Issue 1
- 3-27 State-domain change point detection for nonlinear time series regression
by Cui, Yan & Yang, Jun & Zhou, Zhou
- 28-52 Improved marginal likelihood estimation via power posteriors and importance sampling
by Li, Yong & Wang, Nianling & Yu, Jun
- 53-81 Bias reduction in spot volatility estimation from options
by Todorov, Viktor & Zhang, Yang
- 82-105 Maximum likelihood estimation of stochastic frontier models with endogeneity
by Centorrino, Samuele & Pérez-Urdiales, María
- 106-127 Irregular identification of structural models with nonparametric unobserved heterogeneity
by Escanciano, Juan Carlos
- 128-150 Vector copulas
by Fan, Yanqin & Henry, Marc
- 151-177 Most powerful test against a sequence of high dimensional local alternatives
by He, Yi & Jaidee, Sombut & Gao, Jiti
- 178-204 Conditional asymmetry in Power ARCH(∞) models
by Royer, Julien
- 205-226 Quantile regression with censoring and sample selection
by Chen, Songnian & Wang, Qian
- 227-250 A new robust inference for predictive quantile regression
by Cai, Zongwu & Chen, Haiqiang & Liao, Xiaosai
- 251-275 Quasi score-driven models
by Blasques, F. & Francq, Christian & Laurent, Sébastien
- 276-300 Structural inference in sparse high-dimensional vector autoregressions
by Krampe, J. & Paparoditis, E. & Trenkler, C.
- 301-326 Identification of unobserved distribution factors and preferences in the collective household model
by Hubner, Stefan
- 327-352 Finite-sample corrected inference for two-step GMM in time series
by Hwang, Jungbin & Valdés, Gonzalo
- 353-370 PELVE: Probability Equivalent Level of VaR and ES
by Li, Hengxin & Wang, Ruodu
2023, Volume 233, Issue 2
- 340-374 It ain’t where you’re from, it’s where you’re at: Hiring origins, firm heterogeneity, and wages
by Di Addario, Sabrina & Kline, Patrick & Saggio, Raffaele & Sølvsten, Mikkel
- 375-395 Do firm effects drift? Evidence from Washington administrative data
by Lachowska, Marta & Mas, Alexandre & Saggio, Raffaele & Woodbury, Stephen A.
- 396-423 Firm pay dynamics
by Engbom, Niklas & Moser, Christian & Sauermann, Jan
- 424-442 Establishment age and wages
by Schmieder, Johannes F.
- 443-467 Twisting the demand curve: Digitalization and the older workforce
by Barth, Erling & Davis, James C. & Freeman, Richard B. & McElheran, Kristina
- 468-506 Social connections and the sorting of workers to firms
by Eliason, Marcus & Hensvik, Lena & Kramarz, Francis & Skans, Oskar Nordström
- 507-523 Gender differences in sorting on wages and risk
by Lavetti, Kurt & Schmutte, Ian M.
- 524-543 Cyclical labor market sorting
by Crane, Leland D. & Hyatt, Henry R. & Murray, Seth M.
- 544-567 Employer policies and the immigrant–native earnings gap
by Dostie, Benoit & Li, Jiang & Card, David & Parent, Daniel
- 568-595 The determinants of displaced workers’ wages: Sorting, matching, selection, and the Hartz reforms
by Woodcock, Simon D.
- 596-611 The persistence of wages
by Carneiro, Anabela & Portugal, Pedro & Raposo, Pedro & Rodrigues, Paulo M.M.
- 612-632 Union membership density and wages: The role of worker, firm, and job-title heterogeneity
by Addison, John T. & Portugal, Pedro & de Almeida Vilares, Hugo
- 633-660 Unequal use of social insurance benefits: The role of employers
by Bana, Sarah & Bedard, Kelly & Rossin-Slater, Maya & Stearns, Jenna
- 661-688 Internal labor markets: A worker flow approach
by Huitfeldt, Ingrid & Kostøl, Andreas R. & Nimczik, Jan & Weber, Andrea
- 689-714 Estimation of spillover effects with matched data or longitudinal network data
by Braun, Martin & Verdier, Valentin
2023, Volume 233, Issue 1
- 1-21 Multi-dimensional latent group structures with heterogeneous distributions
by Leng, Xuan & Chen, Heng & Wang, Wendun
- 22-44 Canonical correlation-based model selection for the multilevel factors
by Choi, In & Lin, Rui & Shin, Yongcheol
- 45-65 Estimation of panel group structure models with structural breaks in group memberships and coefficients
by Lumsdaine, Robin L. & Okui, Ryo & Wang, Wendun
- 66-87 Shrinkage estimation of network spillovers with factor structured errors
by Higgins, Ayden & Martellosio, Federico
- 88-112 A test for Kronecker Product Structure covariance matrix
by Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles
- 113-131 Factor-based imputation of missing values and covariances in panel data of large dimensions
by Cahan, Ercument & Bai, Jushan & Ng, Serena
- 132-154 Group fused Lasso for large factor models with multiple structural breaks
by Ma, Chenchen & Tu, Yundong
- 155-183 High-dimensional VARs with common factors
by Miao, Ke & Phillips, Peter C.B. & Su, Liangjun
- 184-208 Treatment effects in interactive fixed effects models with a small number of time periods
by Callaway, Brantly & Karami, Sonia
- 209-236 Quasi-maximum likelihood estimation of break point in high-dimensional factor models
by Duan, Jiangtao & Bai, Jushan & Han, Xu
- 237-250 Information criteria for latent factor models: A study on factor pervasiveness and adaptivity
by Guo, Xiao & Chen, Yu & Tang, Cheng Yong
- 251-270 Identifying latent factors based on high-frequency data
by Sun, Yucheng & Xu, Wen & Zhang, Chuanhai
- 271-301 Large dimensional latent factor modeling with missing observations and applications to causal inference
by Xiong, Ruoxuan & Pelger, Markus
- 302-331 Testing for structural changes in large dimensional factor models via discrete Fourier transform
by Fu, Zhonghao & Hong, Yongmiao & Wang, Xia
2023, Volume 232, Issue 2
- 272-299 Cluster-robust inference: A guide to empirical practice
by MacKinnon, James G. & Nielsen, Morten Ørregaard & Webb, Matthew D.
- 300-319 Fully modified least squares cointegrating parameter estimation in multicointegrated systems
by Kheifets, Igor L. & Phillips, Peter C.B.
- 320-345 High dimensional semiparametric moment restriction models
by Dong, Chaohua & Gao, Jiti & Linton, Oliver
- 346-366 Second-order refinements for t-ratios with many instruments
by Matsushita, Yukitoshi & Otsu, Taisuke
- 367-388 Smoothed quantile regression with large-scale inference
by He, Xuming & Pan, Xiaoou & Tan, Kean Ming & Zhou, Wen-Xin
- 389-415 Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process
by Wang, Xiaohu & Xiao, Weilin & Yu, Jun
- 416-444 A discrete-time hedging framework with multiple factors and fat tails: On what matters
by Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François
- 445-468 Estimating the variance of a combined forecast: Bootstrap-based approach
by Hounyo, Ulrich & Lahiri, Kajal
- 469-489 When bias contributes to variance: True limit theory in functional coefficient cointegrating regression
by Phillips, Peter C.B. & Wang, Ying
- 490-500 Relaxing conditional independence in an endogenous binary response model
by Carlson, Alyssa
- 501-520 Scalable inference for a full multivariate stochastic volatility model
by Dellaportas, Petros & Titsias, Michalis K. & Petrova, Katerina & Plataniotis, Anastasios
- 521-543 A simple joint model for returns, volatility and volatility of volatility
by Ding, Yashuang (Dexter)
- 544-564 Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
by Chen, Xin & Yang, Dan & Xu, Yan & Xia, Yin & Wang, Dong & Shen, Haipeng
- 565-575 Why randomize? Minimax optimality under permutation invariance
by Bai, Yuehao
- 576-597 Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares
by Botosaru, Irene & Muris, Chris & Pendakur, Krishna
2023, Volume 232, Issue 1
- 1-17 Time series analysis of COVID-19 infection curve: A change-point perspective
by Jiang, Feiyu & Zhao, Zifeng & Shao, Xiaofeng
- 18-34 Nowcasting the output gap
by Berger, Tino & Morley, James & Wong, Benjamin
- 35-51 Time varying Markov process with partially observed aggregate data: An application to coronavirus
by Gourieroux, C. & Jasiak, J.
- 52-69 Nowcasting in a pandemic using non-parametric mixed frequency VARs
by Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef
- 70-86 How to go viral: A COVID-19 model with endogenously time-varying parameters
by Ho, Paul & Lubik, Thomas A. & Matthes, Christian
- 87-108 Nonparametric comparison of epidemic time trends: The case of COVID-19
by Khismatullina, Marina & Vogt, Michael
- 109-131 Who should get vaccinated? Individualized allocation of vaccines over SIR network
by Kitagawa, Toru & Wang, Guanyi
- 132-147 Sparse spatio-temporal autoregressions by profiling and bagging
by Ma, Yingying & Guo, Shaojun & Wang, Hansheng
- 148-167 Efficient closed-form estimation of large spatial autoregressions
by Gupta, Abhimanyu
- 168-190 Spatial econometrics for misaligned data
by Pouliot, Guillaume Allaire
- 191-213 A spatial panel quantile model with unobserved heterogeneity
by Ando, Tomohiro & Li, Kunpeng & Lu, Lina
- 214-243 Estimation of spatial sample selection models: A partial maximum likelihood approach
by Rabovič, Renata & Čížek, Pavel
- 244-269 Higher-order least squares inference for spatial autoregressions
by Rossi, Francesca & Robinson, Peter M.
2022, Volume 231, Issue 2
- 329-347 Conditional rotation between forecasting models
by Zhu, Yinchu & Timmermann, Allan
- 348-360 From zero to hero: Realized partial (co)variances
by Bollerslev, Tim & Medeiros, Marcelo C. & Patton, Andrew J. & Quaedvlieg, Rogier
- 361-386 Testing for parameter instability and structural change in persistent predictive regressions
by Andersen, Torben G. & Varneskov, Rasmus T.
- 387-409 Words speak as loudly as actions: Central bank communication and the response of equity prices to macroeconomic announcements
by Gardner, Ben & Scotti, Chiara & Vega, Clara
- 410-431 Monetary reforms and inflation expectations in Japan: Evidence from inflation-indexed bonds
by Christensen, Jens H.E. & Spiegel, Mark M.
- 432-456 Approximate maximum likelihood for complex structural models
by Czellar, Veronika & Frazier, David T. & Renault, Eric
- 457-476 Joint Bayesian inference about impulse responses in VAR models
by Inoue, Atsushi & Kilian, Lutz
- 477-499 SVARs with occasionally-binding constraints
by Aruoba, S. Borağan & Mlikota, Marko & Schorfheide, Frank & Villalvazo, Sergio
- 500-519 Nowcasting with large Bayesian vector autoregressions
by Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej
- 520-534 Probability assessments of an ice-free Arctic: Comparing statistical and climate model projections
by Diebold, Francis X. & Rudebusch, Glenn D.
2022, Volume 231, Issue 1
- 3-32 Maternal subjective expectations about the technology of skill formation predict investments in children one year later
by Cunha, Flávio & Elo, Irma & Culhane, Jennifer
- 33-57 Parental beliefs about returns to child health investments
by Biroli, Pietro & Boneva, Teodora & Raja, Akash & Rauh, Christopher
- 58-73 Self-perceptions about academic achievement: Evidence from Mexico City
by Bobba, Matteo & Frisancho, Veronica
- 74-97 Academic and non-academic investments at university: The role of expectations, preferences and constraints
by Delavande, Adeline & Del Bono, Emilia & Holford, Angus
- 98-122 The role of heterogeneous risk preferences, discount rates, and earnings expectations in college major choice
by Patnaik, Arpita & Venator, Joanna & Wiswall, Matthew & Zafar, Basit
- 123-147 Understanding migration aversion using elicited counterfactual choice probabilities
by Koşar, Gizem & Ransom, Tyler & van der Klaauw, Wilbert
- 148-164 Marriage, children, and labor supply: Beliefs and outcomes
by Gong, Yifan & Stinebrickner, Ralph & Stinebrickner, Todd
- 165-187 Beliefs about public debt and the demand for government spending
by Roth, Christopher & Settele, Sonja & Wohlfart, Johannes
- 188-212 Incentive-driven inattention
by Gaglianone, Wagner Piazza & Giacomini, Raffaella & Issler, João Victor & Skreta, Vasiliki
- 213-231 Dynamics and heterogeneity of subjective stock market expectations
by Heiss, Florian & Hurd, Michael & van Rooij, Maarten & Rossmann, Tobias & Winter, Joachim
- 232-247 Heterogeneity in households’ stock market beliefs
by von Gaudecker, Hans-Martin & Wogrolly, Axel
- 248-264 Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion
by Bellemare, Charles & Kröger, Sabine & Sossou, Kouamé Marius
- 265-281 Tail and center rounding of probabilistic expectations in the Health and Retirement Study
by Giustinelli, Pamela & Manski, Charles F. & Molinari, Francesca
- 282-303 Surveying business uncertainty
by Altig, David & Barrero, Jose Maria & Bloom, Nicholas & Davis, Steven J. & Meyer, Brent & Parker, Nicholas
- 304-326 Incentives, search engines, and the elicitation of subjective beliefs: Evidence from representative online survey experiments
by Grewenig, Elisabeth & Lergetporer, Philipp & Werner, Katharina & Woessmann, Ludger
2022, Volume 230, Issue 2
- 221-239 Predictive functional linear models with diverging number of semiparametric single-index interactions
by Liu, Yanghui & Li, Yehua & Carroll, Raymond J. & Wang, Naisyin
- 240-254 Global temperatures and greenhouse gases: A common features approach
by Chen, Li & Gao, Jiti & Vahid, Farshid
- 255-280 Nonparametric jump variation measures from options
by Todorov, Viktor
- 281-298 Markov switching panel with endogenous synchronization effects
by Agudze, Komla M. & Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco
- 299-317 Sampling properties of the Bayesian posterior mean with an application to WALS estimation
by De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco
- 318-338 Inference on covariance-mean regression
by Zou, Tao & Lan, Wei & Li, Runze & Tsai, Chih-Ling
- 339-362 Fast and accurate variational inference for models with many latent variables
by Loaiza-Maya, Rubén & Smith, Michael Stanley & Nott, David J. & Danaher, Peter J.
- 363-387 Estimation and inference about tail features with tail censored data
by Wang, Yulong & Xiao, Zhijie
- 388-415 Estimation of varying coefficient models with measurement error
by Dong, Hao & Otsu, Taisuke & Taylor, Luke
- 416-431 Robust post-selection inference of high-dimensional mean regression with heavy-tailed asymmetric or heteroskedastic errors
by Han, Dongxiao & Huang, Jian & Lin, Yuanyuan & Shen, Guohao
- 432-452 GMM quantile regression
by Firpo, Sergio & Galvao, Antonio F. & Pinto, Cristine & Poirier, Alexandre & Sanroman, Graciela
- 453-482 Nonparametric inference for quantile cointegrations with stationary covariates
by Tu, Yundong & Liang, Han-Ying & Wang, Qiying
- 483-509 Testing for the presence of jump components in jump diffusion models
by Wang, Bin & Zheng, Xu
- 510-534 Local mispricing and microstructural noise: A parametric perspective
by Andersen, Torben G. & Archakov, Ilya & Cebiroglu, Gökhan & Hautsch, Nikolaus
- 535-558 How should parameter estimation be tailored to the objective?
by Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona
2022, Volume 230, Issue 1
- 3-19 Bayesian factor-adjusted sparse regression
by Fan, Jianqing & Jiang, Bai & Sun, Qiang
- 20-38 Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
by Ando, Tomohiro & Bai, Jushan & Li, Kunpeng
- 39-61 Parsimony inducing priors for large scale state–space models
by Lopes, Hedibert F. & McCulloch, Robert E. & Tsay, Ruey S.
- 62-82 Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity
by Norets, Andriy & Pelenis, Justinas
- 83-113 Posterior-based Wald-type statistics for hypothesis testing
by Liu, Xiaobin & Li, Yong & Yu, Jun & Zeng, Tao
- 114-130 Real-time Bayesian learning and bond return predictability
by Wan, Runqing & Fulop, Andras & Li, Junye
- 131-153 Bayesian nonparametric learning of how skill is distributed across the mutual fund industry
by Fisher, Mark & Jensen, Mark J.
- 154-182 Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models
by Petrova, Katerina
- 183-200 Factor investing: A Bayesian hierarchical approach
by Feng, Guanhao & He, Jingyu
- 201-220 Affine arbitrage-free yield net models with application to the euro debt crisis
by Hong, Zhiwu & Niu, Linlin & Zhang, Chen
2022, Volume 229, Issue 2
- 219-245 Semiparametric model averaging prediction for dichotomous response
by Fang, Fang & Li, Jialiang & Xia, Xiaochao
- 246-262 On improvability of model selection by model averaging
by Peng, Jingfu & Yang, Yuhong
- 263-275 Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect
by Hoshino, Tadao
- 276-298 A doubly corrected robust variance estimator for linear GMM
by Hwang, Jungbin & Kang, Byunghoon & Lee, Seojeong
- 299-321 Nonparametric estimation of the random coefficients model: An elastic net approach
by Heiss, Florian & Hetzenecker, Stephan & Osterhaus, Maximilian
- 322-349 On LASSO for predictive regression
by Lee, Ji Hyung & Shi, Zhentao & Gao, Zhan
- 350-362 Transformations and moment conditions for dynamic fixed effects logit models
by Kitazawa, Yoshitsugu
- 363-395 Testing the eigenvalue structure of spot and integrated covariance
by Dovonon, Prosper & Taamouti, Abderrahim & Williams, Julian
- 396-421 Spurious functional-coefficient regression models and robust inference with marginal integration
by Tu, Yundong & Wang, Ying
- 422-451 Volatility of volatility: Estimation and tests based on noisy high frequency data with jumps
by Li, Yingying & Liu, Guangying & Zhang, Zhiyuan
2022, Volume 229, Issue 1
- 1-18 Asymptotic properties of correlation-based principal component analysis
by Choi, Jungjun & Yang, Xiye
- 19-54 An incidental parameters free inference approach for panels with common shocks
by Juodis, Artūras & Sarafidis, Vasilis
- 55-79 Estimation and inference in heterogeneous spatial panels with a multifactor error structure
by Chen, Jia & Shin, Yongcheol & Zheng, Chaowen
- 80-102 Factor models with local factors — Determining the number of relevant factors
by Freyaldenhoven, Simon
- 103-126 Factor models with many assets: Strong factors, weak factors, and the two-pass procedure
by Anatolyev, Stanislav & Mikusheva, Anna
- 127-151 Functional time series approach to analyzing asset returns co-movements
by Saart, Patrick W. & Xia, Yingcun
- 152-175 High-dimensional test for alpha in linear factor pricing models with sparse alternatives
by Feng, Long & Lan, Wei & Liu, Binghui & Ma, Yanyuan
- 176-179 Kotlarski with a factor loading
by Lewbel, Arthur
- 180-200 Maximum likelihood estimation and inference for high dimensional generalized factor models with application to factor-augmented regressions
by Wang, Fa
- 201-217 Projected estimation for large-dimensional matrix factor models
by Yu, Long & He, Yong & Kong, Xinbing & Zhang, Xinsheng
2022, Volume 228, Issue 2
- 177-220 SONIC: SOcial Network analysis with Influencers and Communities
by Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl & Klochkov, Yegor
- 221-243 Measuring news sentiment
by Shapiro, Adam Hale & Sudhof, Moritz & Wilson, Daniel J.
- 244-258 An explainable attention network for fraud detection in claims management
by Farbmacher, Helmut & Löw, Leander & Spindler, Martin
- 259-277 Can we measure inflation expectations using Twitter?
by Angelico, Cristina & Marcucci, Juri & Miccoli, Marcello & Quarta, Filippo
- 278-301 Instrument-free identification and estimation of differentiated products models using cost data
by Byrne, David P. & Imai, Susumu & Jain, Neelam & Sarafidis, Vasilis
- 302-321 Infinite Markov pooling of predictive distributions
by Jin, Xin & Maheu, John M. & Yang, Qiao
- 322-341 Latent complementarity in bundles models
by Allen, Roy & Rehbeck, John
- 342-358 A stochastic dominance test under survey nonresponse with an application to comparing trust levels in Lebanese public institutions
by Fakih, Ali & Makdissi, Paul & Marrouch, Walid & Tabri, Rami V. & Yazbeck, Myra
- 359-378 Illuminating economic growth
by Hu, Yingyao & Yao, Jiaxiong
- 379-397 An integrated panel data approach to modelling economic growth
by Feng, Guohua & Gao, Jiti & Peng, Bin
2022, Volume 228, Issue 1
- 4-26 High-dimensional linear models with many endogenous variables
by Belloni, Alexandre & Hansen, Christian & Newey, Whitney
- 27-38 Nonparametric Bayes subject to overidentified moment conditions
by Gallant, A. Ronald
- 39-61 Estimation and inference for the counterfactual distribution and quantile functions in continuous treatment models
by Ai, Chunrong & Linton, Oliver & Zhang, Zheng
- 62-84 Bayesian estimation of long-run risk models using sequential Monte Carlo
by Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening
- 85-106 Constrained estimation using penalization and MCMC
by Gallant, A. Ronald & Hong, Han & Leung, Michael P. & Li, Jessie
- 107-126 Robust Bayesian inference in proxy SVARs
by Giacomini, Raffaella & Kitagawa, Toru & Read, Matthew
- 127-155 Copula-based time series with filtered nonstationarity
by Chen, Xiaohong & Xiao, Zhijie & Wang, Bo
- 156-175 Variation and efficiency of high-frequency betas
by Zhang, Congshan & Li, Jia & Todorov, Viktor & Tauchen, George
2022, Volume 227, Issue 2
- 305-324 Stationary vine copula models for multivariate time series
by Nagler, Thomas & Krüger, Daniel & Min, Aleksey
- 325-346 Maximum likelihood estimation for score-driven models
by Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André
- 347-370 Semiparametric testing with highly persistent predictors
by Werker, Bas J.M. & Zhou, Bo
- 371-407 Functional coefficient panel modeling with communal smoothing covariates
by Phillips, Peter C.B. & Wang, Ying
- 408-428 Simultaneous inference for time-varying models
by Karmakar, Sayar & Richter, Stefan & Wu, Wei Biao
- 429-460 Residual-augmented IVX predictive regression
by Demetrescu, Matei & Rodrigues, Paulo M.M.
- 461-497 The drift burst hypothesis
by Christensen, Kim & Oomen, Roel & Renò, Roberto
- 498-505 Comment on “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors”
by Bognanni, Mark
2022, Volume 227, Issue 1
- 4-24 Goodness-of-fit testing for time series models via distance covariance
by Wan, Phyllis & Davis, Richard A.
- 25-46 Understanding temporal aggregation effects on kurtosis in financial indices
by Lieberman, Offer & Phillips, Peter C.B.
- 47-64 Testing the existence of moments for GARCH processes
by Francq, Christian & Zakoïan, Jean-Michel
- 65-84 A time-varying parameter model for local explosions
by Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc
- 85-113 Testing for episodic predictability in stock returns
by Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert
- 114-133 Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence
by Cai, Zongwu & Fang, Ying & Xu, Qiuhua
- 134-150 β in the tails
by Bandi, Federico M. & Renò, Roberto
- 151-167 Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management
by So, Mike K.P. & Chan, Thomas W.C. & Chu, Amanda M.Y.
- 168-188 Asset selection based on high frequency Sharpe ratio
by Wang, Christina Dan & Chen, Zhao & Lian, Yimin & Chen, Min
- 189-211 Occupation density estimation for noisy high-frequency data
by Zhang, Congshan & Li, Jia & Bollerslev, Tim
- 212-227 Identification of structural multivariate GARCH models
by Hafner, Christian M. & Herwartz, Helmut & Maxand, Simone
- 228-240 LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise
by Zhang, Xingfa & Zhang, Rongmao & Li, Yuan & Ling, Shiqing
- 241-263 Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
by Cavaliere, Giuseppe & Nielsen, Heino Bohn & Pedersen, Rasmus Søndergaard & Rahbek, Anders
- 264-284 Hybrid quantile estimation for asymmetric power GARCH models
by Wang, Guochang & Zhu, Ke & Li, Guodong & Li, Wai Keung
- 285-304 Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
by Asai, Manabu & Chang, Chia-Lin & McAleer, Michael
2022, Volume 226, Issue 2
- 205-223 Identification of semiparametric model coefficients, with an application to collective households
by Lewbel, Arthur & Lin, Xirong
- 224-247 Quantile regression methods for first-price auctions
by Gimenes, Nathalie & Guerre, Emmanuel
- 248-268 Inference on estimators defined by mathematical programming
by Hsieh, Yu-Wei & Shi, Xiaoxia & Shum, Matthew
- 269-294 Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors
by Hu, Yingyao & Schennach, Susanne & Shiu, Ji-Liang
- 295-320 Testing for risk aversion in first-price sealed-bid auctions
by Jun, Sung Jae & Zincenko, Federico
- 321-342 Sample selection models with monotone control functions
by Liu, Ruixuan & Yu, Zhengfei
- 343-367 Identification of dynamic games with unobserved heterogeneity and multiple equilibria
by Luo, Yao & Xiao, Ping & Xiao, Ruli
- 368-398 Estimating multinomial choice models with unobserved choice sets
by Lu, Zhentong
- 399-422 A wavelet method for panel models with jump discontinuities in the parameters
by Bada, O. & Kneip, A. & Liebl, D. & Mensinger, T. & Gualtieri, J. & Sickles, R.C.
- 423-450 A test of the selection on observables assumption using a discontinuously distributed covariate
by Khalil, Umair & Yıldız, Neşe
- 451-476 Inference in ordered response games with complete information
by Aradillas-López, Andrés & Rosen, Adam M.
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