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Content
July 2018, Volume 36, Issue 3
- 471-482 Stockouts and Restocking: Monitoring the Retailer from the Supplier’s Perspective
by Peter Stüttgen & Peter Boatwright & Joseph B. Kadane - 483-492 On Estimation of Hurst Parameter Under Noisy Observations
by Guangying Liu & Bing-Yi Jing - 493-504 Unit Root Inference in Generally Trending and Cross-Correlated Fixed-T Panels
by Donald Robertson & Vasilis Sarafidis & Joakim Westerlund - 505-515 Eliciting Subjective Survival Curves: Lessons from Partial Identification
by L. Bissonnette & J. de Bresser - 516-522 Scanner Data Price Indexes: Addressing Some Unresolved Issues
by Daniel Melser - 523-537 Practical Kolmogorov–Smirnov Testing by Minimum Distance Applied to Measure Top Income Shares in Korea
by Jin Seo Cho & Myung-Ho Park & Peter C. B. Phillips
April 2018, Volume 36, Issue 2
- 181-195 Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
by Dong Hwan Oh & Andrew J. Patton - 196-211 Restrictions on Risk Prices in Dynamic Term Structure Models
by Michael D. Bauer - 212-226 Single-Index-Based CoVaR With Very High-Dimensional Covariates
by Yan Fan & Wolfgang Karl Härdle & Weining Wang & Lixing Zhu - 227-238 Micro-Level Estimation of Optimal Consumption Choice With Intertemporal Nonseparability in Preferences and Measurement Errors
by Wayne-Roy Gayle & Natalia Khorunzhina - 239-252 The Changing Transmission of Uncertainty Shocks in the U.S
by Haroon Mumtaz & Konstantinos Theodoridis - 253-266 Bayesian Inference for Assessing Effects of Email Marketing Campaigns
by Jiexing Wu & Kate J. Li & Jun S. Liu - 267-277 A Bayesian Approach to Modeling Time-Varying Cointegration and Cointegrating Rank
by Chew Lian Chua & Sarantis Tsiaplias - 278-287 Bayesian Factor Model Shrinkage for Linear IV Regression With Many Instruments
by P. Richard Hahn & Jingyu He & Hedibert Lopes - 288-308 Simultaneous Equation Systems With Heteroscedasticity: Identification, Estimation, and Stock Price Elasticities
by George Milunovich & Minxian Yang - 309-320 On the Use of GLS Demeaning in Panel Unit Root Testing
by Joakim Westerlund - 321-333 Measuring Nonlinear Granger Causality in Mean
by Xiaojun Song & Abderrahim Taamouti - 334-345 Estimation of Conditional Ranks and Tests of Exogeneity in Nonparametric Nonseparable Models
by Frédérique Fève & Jean-Pierre Florens & Ingrid Van Keilegom - 346-358 Goodness-of-Fit Testing for the Newcomb-Benford Law With Application to the Detection of Customs Fraud
by Lucio Barabesi & Andrea Cerasa & Andrea Cerioli & Domenico Perrotta - 359-369 Covariance Matrix Estimation via Network Structure
by Wei Lan & Zheng Fang & Hansheng Wang & Chih-Ling Tsai
January 2018, Volume 36, Issue 1
- 1-10 Simple Estimators for Invertible Index Models
by Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud - 11-15 Discussion of “Simple Estimators for Invertible Index Models” by H. Ahn, H. Ichimura, J. Powell, and P. Ruud
by S. Khan & E. Tamer - 16-17 Comment on “Simple Estimators for Invertible Index Models”
by Jack Porter - 18-21 A Comment on “Simple Estimators for Invertible Index Models”
by Andres Aradillas-Lopez - 22-23 Rejoinder for “Simple Estimators for Invertible Index Models”
by Hyungtaik Ahn & Hidehiko Ichimura & James L. Powell & Paul A. Ruud - 24-46 Adaptive Elastic Net GMM Estimation With Many Invalid Moment Conditions: Simultaneous Model and Moment Selection
by Mehmet Caner & Xu Han & Yoonseok Lee - 47-61 Pseudo Panel Data Models With Cohort Interactive Effects
by Artūras Juodis - 62-74 Max-Linear Competing Factor Models
by Qiurong Cui & Zhengjun Zhang - 75-87 Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
by Lancelot F. James & Gernot Müller & Zhiyuan Zhang - 88-100 Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
by Xiangjin B. Chen & Jiti Gao & Degui Li & Param Silvapulle - 101-114 A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
by Roberto Casarin & Domenico Sartore & Marco Tronzano - 115-130 Confidence Bands for ROC Curves With Serially Dependent Data
by Kajal Lahiri & Liu Yang - 131-145 Combined Density Nowcasting in an Uncertain Economic Environment
by Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk - 146-159 Robust Inference for Inverse Stochastic Dominance
by Francesco Andreoli - 160-172 Semiparametric Spatial Autoregressive Models With Endogenous Regressors: With an Application to Crime Data
by Tadao Hoshino - 173-180 Integrated-Quantile-Based Estimation for First-Price Auction Models
by Yao Luo & Yuanyuan Wan
October 2017, Volume 35, Issue 4
- 1-1 Editorial Board EOV
by The Editors - 499-512 Risk Measure Inference
by Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes - 513-527 The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility
by Philip L. H. Yu & W. K. Li & F. C. Ng - 528-542 Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates
by Ke Zhu & Wai Keung Li & Philip L. H. Yu - 543-558 Estimation of Some Nonlinear Panel Data Models With Both Time-Varying and Time-Invariant Explanatory Variables
by Bo E. Honoré & Michaela Kesina - 559-571 Root- Consistent Estimation of a Panel Data Binary Response Model With Unknown Correlated Random Effects
by Songnian Chen & Jichun Si & Hanghui Zhang & Yahong Zhou - 572-584 Specification Test for Spatial Autoregressive Models
by Liangjun Su & Xi Qu - 585-597 A Class of Non-Gaussian State Space Models With Exact Likelihood Inference
by Drew D. Creal - 598-610 Parameter Estimation Robust to Low-Frequency Contamination
by Adam McCloskey & Jonathan B. Hill - 611-625 Multivariate Seasonal Adjustment, Economic Identities, and Seasonal Taxonomy
by Tucker McElroy - 642-645 Editorial Collaborators
by The Editors
July 2017, Volume 35, Issue 3
- 349-358 Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy
by Pedro H. C. Sant’Anna - 359-370 LM Test of Neglected Correlated Random Effects and Its Application
by Jinyong Hahn & Hyungsik Roger Moon & Connan Snider - 371-388 An Adaptive Functional Autoregressive Forecast Model to Predict Electricity Price Curves
by Ying Chen & Bo Li - 389-406 Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets
by Michael P. Clements & Ana Beatriz Galvão - 407-419 Vector Autoregressions and Macroeconomic Modeling: An Error Taxonomy
by D. S. Poskitt & Wenying Yao - 420-433 Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
by Michael P. Clements - 434-451 Diffusion Indexes With Sparse Loadings
by Johannes Tang Kristensen - 452-469 Identifying Structural Models of Committee Decisions With Heterogeneous Tastes and Ideological Bias
by Yonghong An & Xun Tang - 470-485 Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts
by Fabian Krüger & Todd E. Clark & Francesco Ravazzolo - 486-498 Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices
by Tao Zou & Song Xi Chen
April 2017, Volume 35, Issue 2
- 159-161 Guest Editors’ Introduction: Regime Switching and Threshold Models
by Kung-Sik Chan & Bruce E. Hansen & Allan Timmermann - 162-182 Autoregressive Moving Average Infinite Hidden Markov-Switching Models
by Luc Bauwens & Jean-François Carpantier & Arnaud Dufays - 183-201 Forecasting Macroeconomic Variables Under Model Instability
by Davide Pettenuzzo & Allan Timmermann - 202-217 Inferring the Predictability Induced by a Persistent Regressor in a Predictive Threshold Model
by Jesùs Gonzalo & Jean-Yves Pitarakis - 218-227 Testing for Threshold Diffusion
by Fei Su & Kung-Sik Chan - 228-240 Regression Kink With an Unknown Threshold
by Bruce E. Hansen - 241-249 Is There a Jump in the Transition?
by Young-Joo Kim & Myung Hwan Seo - 250-264 Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
by Laurent Callot & Mehmet Caner & Anders Bredahl Kock & Juan Andres Riquelme - 265-287 Status Traps
by Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan - 288-305 A New Class of Bivariate Threshold Cointegration Models
by Biqing Cai & Jiti Gao & Dag Tjøstheim - 306-317 On Mixture Double Autoregressive Time Series Models
by Guodong Li & Qianqian Zhu & Zhao Liu & Wai Keung Li - 318-333 Inference for Heavy-Tailed and Multiple-Threshold Double Autoregressive Models
by Yaxing Yang & Shiqing Ling - 334-345 Threshold Estimation via Group Orthogonal Greedy Algorithm
by Ngai Hang Chan & Ching-Kang Ing & Yuanbo Li & Chun Yip Yau
January 2017, Volume 35, Issue 1
- 1-16 Unobserved Heterogeneity in Income Dynamics: An Empirical Bayes Perspective
by Jiaying Gu & Roger Koenker - 17-28 The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling
by Joshua C. C. Chan - 29-39 Uniform Test for Predictive Regression With AR Errors
by Chenxue Li & Deyuan Li & Liang Peng - 40-52 Semiparametric Estimation of Risk–Return Relationships
by Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom - 53-69 Bootstrap Prediction Intervals for Factor Models
by Sílvia Gonçalves & Benoit Perron & Antoine Djogbenou - 70-85 Confidence Corridors for Multivariate Generalized Quantile Regression
by Shih-Kang Chao & Katharina Proksch & Holger Dette & Wolfgang Karl Härdle - 86-97 Efficient Augmented Inverse Probability Weighted Estimation in Missing Data Problems
by Jing Qin & Biao Zhang & Denis H.Y. Leung - 98-109 Nonparametric Inference for Time-Varying Coefficient Quantile Regression
by Weichi Wu & Zhou Zhou - 110-129 Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - 130-138 Estimating Spatial Autocorrelation With Sampled Network Data
by Jing Zhou & Yundong Tu & Yuxin Chen & Hansheng Wang - 139-154 Modeling Dependence in High Dimensions With Factor Copulas
by Dong Hwan Oh & Andrew J. Patton
October 2016, Volume 34, Issue 4
- 1-1 Editorial Board EOV
by The Editors - 487-488 Special Issue on Big Data
by Jushan Bai & Jianqing Fan & Ruey Tsay - 489-503 Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
by Jianqing Fan & Alex Furger & Dacheng Xiu - 504-518 Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
by Asger Lunde & Neil Shephard & Kevin Sheppard - 519-535 What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
by Jianqing Fan & Michael B. Imerman & Wei Dai - 536-546 Default Correlations and Large-Portfolio Credit Analysis
by Jin-Chuan Duan & Weimin Miao - 564-573 Modeling Multivariate Volatilities via Latent Common Factors
by Weiming Li & Jing Gao & Kunpeng Li & Qiwei Yao - 574-589 FRED-MD: A Monthly Database for Macroeconomic Research
by Michael W. McCracken & Serena Ng - 590-605 Inference in High-Dimensional Panel Models With an Application to Gun Control
by Alexandre Belloni & Victor Chernozhukov & Christian Hansen & Damian Kozbur - 606-619 Post-Selection Inference for Generalized Linear Models With Many Controls
by Alexandre Belloni & Victor Chernozhukov & Ying Wei - 620-641 Estimation and Inference of FAVAR Models
by Jushan Bai & Kunpeng Li & Lina Lu - 642-660 Bayesian Analysis of Spatial Panel Autoregressive Models With Time-Varying Endogenous Spatial Weight Matrices, Common Factors, and Random Coefficients
by Xiaoyi Han & Lung-Fei Lee - 661-672 A Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation
by Matt Taddy & Matt Gardner & Liyun Chen & David Draper - 673-688 Some Methods for Analyzing Big Dependent Data
by Ruey S. Tsay - 689-692 Editorial Collaborators
by The Editors
July 2016, Volume 34, Issue 3
- 313-338 In-Sample Inference and Forecasting in Misspecified Factor Models
by Marine Carrasco & Barbara Rossi - 339-341 Comment
by James H. Stock - 342-344 Comment
by Domenico Giannone - 345-347 Comment
by Xu Cheng & Bruce E. Hansen - 348-353 Comment
by Norman R. Swanson - 353-356 Rejoinder: In-Sample Inference and Forecasting in Misspecified Factor Models
by Marine Carrasco & Barbara Rossi - 357-367 Maximum-Entropy Prior Uncertainty and Correlation of Statistical Economic Data
by João D. F. Rodrigues - 368-374 A Statistical Model for Social Network Labeling
by Danyang Huang & Jun Yin & Tao Shi & Hansheng Wang - 375-390 Common Drifting Volatility in Large Bayesian VARs
by Andrea Carriero & Todd E. Clark & Massimiliano Marcellino - 391-405 The Risk of a Mortality Catastrophe
by Daniel Bauer & Florian Kramer - 406-415 Using the Bootstrap to Test for Symmetry Under Unknown Dependence
by Zacharias Psaradakis - 416-434 Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence
by Michael S. Smith & Shaun P. Vahey - 435-456 Testing Hypotheses in Nonparametric Models of Production
by Alois Kneip & Léopold Simar & Paul W. Wilson - 457-471 Measuring Social Tension from Income Class Segregation
by Yoonseok Lee & Donggyun Shin - 472-485 Unspanned Macroeconomic Factors in the Yield Curve
by Laura Coroneo & Domenico Giannone & Michele Modugno
April 2016, Volume 34, Issue 2
- 161-175 Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances
by Sermin Gungor & Richard Luger - 176-184 Identification of the Direction of a Causal Effect by Instrumental Variables
by Brendan Kline - 185-196 Weak Identification in Fuzzy Regression Discontinuity Designs
by Donna Feir & Thomas Lemieux & Vadim Marmer - 197-212 Sample Selection and Treatment Effect Estimation of Lender of Last Resort Policies
by Angela Vossmeyer - 213-226 Detecting Variance Change-Points for Blocked Time Series and Dependent Panel Data
by Minya Xu & Ping-Shou Zhong & Wei Wang - 227-239 Identification of Unknown Common Factors: Leaders and Followers
by Jason Parker & Donggyu Sul - 240-253 A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
by Bertrand Candelon & Sessi Tokpavi - 254-268 Modeling the Dependence of Conditional Correlations on Market Volatility
by Luc Bauwens & Edoardo Otranto - 269-287 Exponential GARCH Modeling With Realized Measures of Volatility
by Peter Reinhard Hansen & Zhuo Huang - 288-301 Efficient Estimation of Data Combination Models by the Method of Auxiliary-to-Study Tilting (AST)
by Bryan S. Graham & Cristine Campos de Xavier Pinto & Daniel Egel - 302-311 Treatment Effects With Unobserved Heterogeneity: A Set Identification Approach
by Sung Jae Jun & Yoonseok Lee & Youngki Shin
January 2016, Volume 34, Issue 1
- 1-22 Flat-Top Realized Kernel Estimation of Quadratic Covariation With Nonsynchronous and Noisy Asset Prices
by Rasmus Tangsgaard Varneskov - 23-41 Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
by Eric Hillebrand & Marcelo C. Medeiros - 42-52 Single-Variable Threshold Effects in Ordered Response Models With an Application to Estimating the Income-Happiness Gradient
by Andrew Hodge & Sriram Shankar - 53-61 Temporal Disaggregation: Methods, Information Loss, and Diagnostics
by Duk B. Jun & Jihwan Moon & Sungho Park - 62-67 Are Overall Journal Rankings a Good Mapping for Article Quality in Specialty Fields?
by Melody Lo & Yong Bao - 68-80 On a Threshold Double Autoregressive Model
by Dong Li & Shiqing Ling & Rongmao Zhang - 81-106 Forecasting With Nonspurious Factors in U.S. Macroeconomic Time Series
by Yohei Yamamoto - 107-117 Censored Quantile Instrumental Variable Estimates of the Price Elasticity of Expenditure on Medical Care
by Amanda Kowalski - 118-127 Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
by Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti - 128-138 Graphical Network Models for International Financial Flows
by P. Giudici & A. Spelta - 139-160 The Finite Sample Performance of Estimators for Mediation Analysis Under Sequential Conditional Independence
by Martin Huber & Michael Lechner & Giovanni Mellace
October 2015, Volume 33, Issue 4
- 459-473 Cross-Correlation Matrices for Tests of Independence and Causality Between Two Multivariate Time Series
by Michael W. Robbins & Thomas J. Fisher - 474-484 Identification and Inference With Many Invalid Instruments
by Michal Kolesár & Raj Chetty & John Friedman & Edward Glaeser & Guido W. Imbens - 485-505 Estimating Conditional Average Treatment Effects
by Jason Abrevaya & Yu-Chin Hsu & Robert P. Lieli - 506-522 A Covariate Selection Criterion for Estimation of Treatment Effects
by Xun Lu - 523-540 Bounds on Treatment Effects in the Presence of Sample Selection and Noncompliance: The Wage Effects of Job Corps
by Xuan Chen & Carlos A. Flores - 541-551 Adaptive Modeling Procedure Selection by Data Perturbation
by Yongli Zhang & Xiaotong Shen - 552-565 A New Pearson-Type QMLE for Conditionally Heteroscedastic Models
by Ke Zhu & Wai Keung Li - 566-578 Bayesian Inference in Regime-Switching ARMA Models With Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Regime Shifts
by Chang-Jin Kim & Jaeho Kim - 579-594 Estimating the Parameters of Stochastic Volatility Models Using Option Price Data
by A. S. Hurn & K. A. Lindsay & A. J. McClelland - 595-606 Simulation-Based Density Estimation for Time Series Using Covariate Data
by Yin Liao & John Stachurski
July 2015, Volume 33, Issue 3
- 307-322 Frequentist Evaluation of Small DSGE Models
by Gunnar Bårdsen & Luca Fanelli - 323-337 Decomposing the Composition Effect: The Role of Covariates in Determining Between-Group Differences in Economic Outcomes
by Christoph Rothe - 338-351 Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
by Christiane Baumeister & Lutz Kilian - 352-365 Modeling Bimodal Discrete Data Using Conway-Maxwell-Poisson Mixture Models
by Pragya Sur & Galit Shmueli & Smarajit Bose & Paromita Dubey - 366-380 Real-Time Forecasting With a Mixed-Frequency VAR
by Frank Schorfheide & Dongho Song - 381-392 Sparse and Stable Portfolio Selection With Parameter Uncertainty
by Jiahan Li - 393-402 Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
by Tae-Hwy Lee & Yundong Tu & Aman Ullah - 403-417 Minimum Distance Estimation of Possibly Noninvertible Moving Average Models
by Nikolay Gospodinov & Serena Ng - 418-429 Ambiguity in the Cross-Section of Expected Returns: An Empirical Assessment
by Julian Thimme & Clemens Völkert - 430-443 Rethinking the Univariate Approach to Panel Unit Root Testing: Using Covariates to Resolve the Incidental Trend Problem
by Joakim Westerlund - 444-457 Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors
by Yeonwoo Rho & Xiaofeng Shao
April 2015, Volume 33, Issue 2
- 167-178 Semiparametric Conditional Quantile Estimation Through Copula-Based Multivariate Models
by Hohsuk Noh & Anouar El Ghouch & Ingrid Van Keilegom - 179-191 Causal Pitfalls in the Decomposition of Wage Gaps
by Martin Huber - 192-202 Density-Tempered Marginalized Sequential Monte Carlo Samplers
by Jin-Chuan Duan & Andras Fulop - 203-220 A Combined Approach to the Inference of Conditional Factor Models
by Yan Li & Liangjun Su & Yuewu Xu - 221-240 Identification and Bayesian Estimation of Dynamic Factor Models
by Jushan Bai & Peng Wang - 241-254 Fractional Cointegration Rank Estimation
by Katarzyna Łasak & Carlos Velasco - 255-269 Interest Rates and Money in the Measurement of Monetary Policy
by Michael T. Belongia & Peter N. Ireland - 270-281 Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments
by Malte Knüppel - 282-295 A New Linear Estimator for Gaussian Dynamic Term Structure Models
by Antonio Diez de Los Rios - 296-306 Inference for Local Autocorrelations in Locally Stationary Models
by Zhibiao Zhao
January 2015, Volume 33, Issue 1
- 1-1 Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
by Francis X. Diebold - 9-11 Comment
by Atsushi Inoue - 12-13 Comment
by Jonathan H. Wright - 13-17 Comment
by Lutz Kilian - 17-21 Comment
by Peter Reinhard Hansen & Allan Timmermann - 22-24 Comment
by Andrew J. Patton - 24-24 Rejoinder
by Francis X. Diebold - 25-45 Booms, Busts, and Normal Times in the Housing Market
by Luca Agnello & Vitor Castro & Ricardo M. Sousa - 46-53 Testing Instantaneous Causality in Presence of Nonconstant Unconditional Covariance
by Quentin Giai Gianetto & Hamdi Raïssi - 54-67 Goodness of Fit: An Axiomatic Approach
by Frank A. Cowell & Russell Davidson & Emmanuel Flachaire - 68-75 Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
by Katja Ignatieva & Paulo Rodrigues & Norman Seeger - 76-86 Testing the Diagonality of a Large Covariance Matrix in a Regression Setting
by Wei Lan & Ronghua Luo & Chih-Ling Tsai & Hansheng Wang & Yunhong Yang - 87-101 Implied Volatility Spreads and Expected Market Returns
by Yigit Atilgan & Turan G. Bali & K. Ozgur Demirtas - 102-113 Flexible Modeling of Dependence in Volatility Processes
by Maria Kalli & Jim Griffin - 114-127 Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
by Siem Jan Koopman & André Lucas & Marcel Scharth - 128-143 Smooth Tests of Copula Specifications
by Juan Lin & Ximing Wu - 144-164 Forecasting the Distribution of Economic Variables in a Data-Rich Environment
by Sebastiano Manzan
October 2014, Volume 32, Issue 4
- 483-500 Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
by Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter - 500-504 Comment
by G. Kenny - 504-506 Comment
by Chiara Scotti - 506-509 Comment
by Kirstin Hubrich & Simone Manganelli - 510-514 Comment
by Barbara Rossi - 514-515 Rejoinder
by Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter - 516-536 Identification and Efficient Estimation of Simultaneous Equations Network Models
by Xiaodong Liu - 537-554 Testing the Martingale Hypothesis
by Peter C. B. Phillips & Sainan Jin - 555-575 Additive Nonparametric Regression in the Presence of Endogenous Regressors
by Deniz Ozabaci & Daniel J. Henderson & Liangjun Su - 576-592 A Varying-Coefficient Expectile Model for Estimating Value at Risk
by Shangyu Xie & Yong Zhou & Alan T. K. Wan - 593-605 A Realized Stochastic Volatility Model With Box-Cox Transformation
by Tingguo Zheng & Tao Song