Search Results

There are 1848 results for: content related to: MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES

  1. Inference on Self-Exciting Jumps in Prices and Volatility Using High-Frequency Measures

    Journal of Applied Econometrics

    Volume 32, Issue 3, April/May 2017, Pages: 504–532, Worapree Maneesoonthorn, Catherine S. Forbes and Gael M. Martin

    Version of Record online : 4 NOV 2016, DOI: 10.1002/jae.2547

  2. Identification of Spatial Durbin Panel Models

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 133–162, Lung-fei Lee and Jihai Yu

    Version of Record online : 20 FEB 2015, DOI: 10.1002/jae.2450

  3. A multilevel factor model: Identification, asymptotic theory and applications

    Journal of Applied Econometrics

    In Choi, Dukpa Kim, Yun Jung Kim and Noh-Sun Kwark

    Version of Record online : 16 JAN 2018, DOI: 10.1002/jae.2611

  4. Sequentially testing polynomial model hypotheses using power transforms of regressors

    Journal of Applied Econometrics

    Volume 33, Issue 1, January/February 2018, Pages: 141–159, Jin Seo Cho and Peter C. B. Phillips

    Version of Record online : 7 AUG 2017, DOI: 10.1002/jae.2589

  5. A Two-Stage Approach to Spatio-Temporal Analysis with Strong and Weak Cross-Sectional Dependence

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 249–280, Natalia Bailey, Sean Holly and M. Hashem Pesaran

    Version of Record online : 14 JUN 2015, DOI: 10.1002/jae.2468

  6. Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from A Robust Test

    Journal of Applied Econometrics

    Volume 30, Issue 6, September/October 2015, Pages: 924–947, Efrem Castelnuovo and Luca Fanelli

    Version of Record online : 12 OCT 2014, DOI: 10.1002/jae.2423

  7. Efficient estimation of Bayesian VARMAs with time-varying coefficients

    Journal of Applied Econometrics

    Volume 32, Issue 7, November/December 2017, Pages: 1277–1297, Joshua C.C. Chan and Eric Eisenstat

    Version of Record online : 7 JUN 2017, DOI: 10.1002/jae.2576

  8. Anticipating Long-Term Stock Market Volatility

    Journal of Applied Econometrics

    Volume 30, Issue 7, November/December 2015, Pages: 1090–1114, Christian Conrad and Karin Loch

    Version of Record online : 11 AUG 2014, DOI: 10.1002/jae.2404

  9. Bayesian Graphical Models for STructural Vector Autoregressive Processes

    Journal of Applied Econometrics

    Volume 31, Issue 2, March 2016, Pages: 357–386, Daniel Felix Ahelegbey, Monica Billio and Roberto Casarin

    Version of Record online : 11 FEB 2015, DOI: 10.1002/jae.2443

  10. FIRM HETEROGENEITY, PERSISTENT AND TRANSIENT TECHNICAL INEFFICIENCY: A GENERALIZED TRUE RANDOM-EFFECTS model

    Journal of Applied Econometrics

    Volume 29, Issue 1, January/February 2014, Pages: 110–132, Efthymios G. Tsionas and Subal C. Kumbhakar

    Version of Record online : 25 SEP 2012, DOI: 10.1002/jae.2300

  11. Purchasing Power Parity and the Taylor Rule

    Journal of Applied Econometrics

    Volume 30, Issue 6, September/October 2015, Pages: 874–903, Hyeongwoo Kim, Ippei Fujiwara, Bruce E. Hansen and Masao Ogaki

    Version of Record online : 3 APR 2014, DOI: 10.1002/jae.2391

  12. Exponent of Cross-Sectional Dependence: Estimation and Inference

    Journal of Applied Econometrics

    Volume 31, Issue 6, September/October 2016, Pages: 929–960, Natalia Bailey, George Kapetanios and M. Hashem Pesaran

    Version of Record online : 16 JUL 2015, DOI: 10.1002/jae.2476

  13. Firm-Level Productivity Spillovers in China's Chemical Industry: A Spatial Hausman-Taylor Approach

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 214–248, Badi H. Baltagi, Peter H. Egger and Michaela Kesina

    Version of Record online : 4 MAY 2015, DOI: 10.1002/jae.2460

  14. A Test of the Conditional Independence Assumption in Sample Selection Models

    Journal of Applied Econometrics

    Volume 30, Issue 7, November/December 2015, Pages: 1144–1168, Martin Huber and Blaise Melly

    Version of Record online : 12 JAN 2015, DOI: 10.1002/jae.2431

  15. Model selection with estimated factors and idiosyncratic components

    Journal of Applied Econometrics

    Volume 32, Issue 6, September/October 2017, Pages: 1087–1106, Jack Fosten

    Version of Record online : 9 APR 2017, DOI: 10.1002/jae.2567

  16. Weak and Strong Cross-Sectional Dependence: A Panel Data Analysis of International Technology Diffusion

    Journal of Applied Econometrics

    Volume 32, Issue 3, April/May 2017, Pages: 477–503, Cem Ertur and Antonio Musolesi

    Version of Record online : 21 JUL 2016, DOI: 10.1002/jae.2538

  17. Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

    Journal of Applied Econometrics

    Volume 30, Issue 2, March 2015, Pages: 263–290, Nikolaus Hautsch, Lada M. Kyj and Peter Malec

    Version of Record online : 27 NOV 2013, DOI: 10.1002/jae.2361

  18. Error Correction Testing in Panels with Common Stochastic Trends

    Journal of Applied Econometrics

    Volume 31, Issue 6, September/October 2016, Pages: 982–1004, Christian Gengenbach, Jean-Pierre Urbain and Joakim Westerlund

    Version of Record online : 14 JUL 2015, DOI: 10.1002/jae.2475

  19. Estimation of Dynamic Panel Data Models with Cross-Sectional Dependence: Using Cluster Dependence for Efficiency

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 85–105, Valentin Verdier

    Version of Record online : 22 SEP 2015, DOI: 10.1002/jae.2486

  20. EFFICIENT AGGREGATION OF PANEL QUALITATIVE SURVEY DATA

    Journal of Applied Econometrics

    Volume 28, Issue 4, June/July 2013, Pages: 580–603, James Mitchell, Richard J. Smith and Martin R. Weale

    Version of Record online : 17 MAY 2012, DOI: 10.1002/jae.2273