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There are 1020 results for: content related to: A comprehensive look at financial volatility prediction by economic variables

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

    Journal of Applied Econometrics

    Cem Ertur and Antonio Musolesi

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

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    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

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    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

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

    Journal of Applied Econometrics

    Worapree Maneesoonthorn, Catherine S. Forbes and Gael M. Martin

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

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    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

  6. 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

  7. 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

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    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

  9. 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

  10. 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

  11. 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

  12. Sequential Monte Carlo Methods for Estimating Dynamic Microeconomic Models

    Journal of Applied Econometrics

    Volume 31, Issue 5, August 2016, Pages: 773–804, Jason R. Blevins

    Version of Record online : 16 JUN 2015, DOI: 10.1002/jae.2470

  13. Identifying the Independent Sources of Consumption Variation

    Journal of Applied Econometrics

    Volume 31, Issue 2, March 2016, Pages: 420–449, Matteo Barigozzi and Alessio Moneta

    Version of Record online : 16 FEB 2015, DOI: 10.1002/jae.2441

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    Panel Data Models with Grouped Factor Structure Under Unknown Group Membership

    Journal of Applied Econometrics

    Volume 31, Issue 1, January/February 2016, Pages: 163–191, Tomohiro Ando and Jushan Bai

    Version of Record online : 21 MAY 2015, DOI: 10.1002/jae.2467

  15. Empirical Tests of the Pollution Haven Hypothesis When Environmental Regulation is Endogenous

    Journal of Applied Econometrics

    Volume 31, Issue 4, June/July 2016, Pages: 652–677, Daniel L. Millimet and Jayjit Roy

    Version of Record online : 24 FEB 2015, DOI: 10.1002/jae.2451

  16. 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

  17. GMM with Multiple Missing Variables

    Journal of Applied Econometrics

    Volume 31, Issue 4, June/July 2016, Pages: 678–706, Saraswata Chaudhuri and David K. Guilkey

    Version of Record online : 4 FEB 2015, DOI: 10.1002/jae.2444

  18. Factor-Based Identification-Robust Interference in IV Regressions

    Journal of Applied Econometrics

    Volume 31, Issue 5, August 2016, Pages: 821–842, Georges Kapetanios, Lynda Khalaf and Massimiliano Marcellino

    Version of Record online : 17 APR 2015, DOI: 10.1002/jae.2466

  19. Identification and Estimation of Distributional Impacts of Interventions Using Changes in Inequality Measures

    Journal of Applied Econometrics

    Volume 31, Issue 3, April/May 2016, Pages: 457–486, Sergio Firpo and Cristine Pinto

    Version of Record online : 24 FEB 2015, DOI: 10.1002/jae.2448

  20. Optimal Portfolio Choice Under Decision-Based Model Combinations

    Journal of Applied Econometrics

    Volume 31, Issue 7, November/December 2016, Pages: 1312–1332, Davide Pettenuzzo and Francesco Ravazzolo

    Version of Record online : 18 JAN 2016, DOI: 10.1002/jae.2502