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There are 28144 results for: content related to: A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices

  1. Generalized dynamic semi-parametric factor models for high-dimensional non-stationary time series

    The Econometrics Journal

    Volume 17, Issue 2, June 2014, Pages: S101–S131, Song Song, Wolfgang K. Härdle and Ya'acov Ritov

    Version of Record online : 14 MAY 2014, DOI: 10.1111/ectj.12024

  2. Pairwise-comparison estimation with non-parametric controls

    The Econometrics Journal

    Volume 16, Issue 3, October 2013, Pages: 340–372, Koen Jochmans

    Version of Record online : 22 NOV 2013, DOI: 10.1111/ectj.12008

  3. Multivariate variance targeting in the BEKK–GARCH model

    The Econometrics Journal

    Volume 17, Issue 1, February 2014, Pages: 24–55, Rasmus S. Pedersen and Anders Rahbek

    Version of Record online : 21 JAN 2014, DOI: 10.1111/ectj.12019

  4. Non-parametric inference on the number of equilibria

    The Econometrics Journal

    Volume 18, Issue 1, February 2015, Pages: 1–39, Maximilian Kasy

    Version of Record online : 18 MAR 2015, DOI: 10.1111/ectj.12043

  5. Estimation of state-space models with endogenous Markov regime-switching parameters

    The Econometrics Journal

    Volume 17, Issue 1, February 2014, Pages: 56–82, Kyu H. Kang

    Version of Record online : 18 FEB 2014, DOI: 10.1111/ectj.12014

  6. Novel panel cointegration tests emending for cross-section dependence with N fixed

    The Econometrics Journal

    Volume 18, Issue 3, October 2015, Pages: 363–411, Kaddour Hadri, Eiji Kurozumi and Yao Rao

    Version of Record online : 19 NOV 2015, DOI: 10.1111/ectj.12054

  7. Weighted composite quantile regression estimation of DTARCH models

    The Econometrics Journal

    Volume 17, Issue 1, February 2014, Pages: 1–23, Jiancheng Jiang, Xuejun Jiang and Xinyuan Song

    Version of Record online : 18 FEB 2014, DOI: 10.1111/ectj.12023

  8. Maximum score estimation with nonparametrically generated regressors

    The Econometrics Journal

    Volume 17, Issue 3, October 2014, Pages: 271–300, Le-Yu Chen, Sokbae Lee and Myung Jae Sung

    Version of Record online : 14 OCT 2014, DOI: 10.1111/ectj.12034

  9. A class of indirect inference estimators: higher-order asymptotics and approximate bias correction

    The Econometrics Journal

    Volume 18, Issue 2, June 2015, Pages: 200–241, Stelios Arvanitis and Antonis Demos

    Version of Record online : 29 JUN 2015, DOI: 10.1111/ectj.12045

  10. Testing for structural change under non-stationary variances

    The Econometrics Journal

    Volume 18, Issue 2, June 2015, Pages: 274–305, Ke-Li Xu

    Version of Record online : 24 JUN 2015, DOI: 10.1111/ectj.12049

  11. Specification tests for nonlinear dynamic models

    The Econometrics Journal

    Volume 18, Issue 1, February 2015, Pages: 67–94, Igor L. Kheifets

    Version of Record online : 16 MAR 2015, DOI: 10.1111/ectj.12040

  12. Common breaks in time trends for large panel data with a factor structure

    The Econometrics Journal

    Volume 17, Issue 3, October 2014, Pages: 301–337, Dukpa Kim

    Version of Record online : 25 SEP 2014, DOI: 10.1111/ectj.12033

  13. Specification testing in nonstationary time series models

    The Econometrics Journal

    Volume 18, Issue 1, February 2015, Pages: 117–136, Jia Chen, Jiti Gao, Degui Li and Zhengyan Lin

    Version of Record online : 18 MAR 2015, DOI: 10.1111/ectj.12044

  14. Non-standard rates of convergence of criterion-function-based set estimators for binary response models

    The Econometrics Journal

    Volume 18, Issue 2, June 2015, Pages: 172–199, Jason R. Blevins

    Version of Record online : 24 JUN 2015, DOI: 10.1111/ectj.12048

  15. Nonparametric tests of conditional treatment effects with an application to single-sex schooling on academic achievements

    The Econometrics Journal

    Volume 18, Issue 3, October 2015, Pages: 307–346, Minsu Chang, Sokbae Lee and Yoon-Jae Whang

    Version of Record online : 20 NOV 2015, DOI: 10.1111/ectj.12050

  16. Identification-robust inference for endogeneity parameters in linear structural models

    The Econometrics Journal

    Volume 17, Issue 1, February 2014, Pages: 165–187, Firmin Doko Tchatoka and Jean-Marie Dufour

    Version of Record online : 18 FEB 2014, DOI: 10.1111/ectj.12021

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    Generalized dynamic factor models and volatilities: recovering the market volatility shocks

    The Econometrics Journal

    Volume 19, Issue 1, February 2016, Pages: C33–C60, Matteo Barigozzi and Marc Hallin

    Version of Record online : 3 NOV 2015, DOI: 10.1111/ectj.12047

  18. Likelihood-based dynamic factor analysis for measurement and forecasting

    The Econometrics Journal

    Volume 18, Issue 2, June 2015, Pages: C1–C21, Borus Jungbacker and Siem Jan Koopman

    Version of Record online : 16 JUN 2014, DOI: 10.1111/ectj.12029

  19. Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions

    The Econometrics Journal

    Volume 18, Issue 1, February 2015, Pages: 95–116, Wei-Ming Lee, Yu-Chin Hsu and Chung-Ming Kuan

    Version of Record online : 16 MAR 2015, DOI: 10.1111/ectj.12041

  20. Asymptotics for threshold regression under general conditions

    The Econometrics Journal

    Volume 16, Issue 3, October 2013, Pages: 430–462, Ping Yu and Yongqiang Zhao

    Version of Record online : 22 NOV 2013, DOI: 10.1111/ectj.12012