The Econometrics Journal

© Royal Economic Society

Cover image for Vol. 12 Issue 2

July 2009

Volume 12, Issue 2

Pages 187–395

  1. ORIGINAL ARTICLES

    1. Top of page
    2. ORIGINAL ARTICLES
    3. NOTES
    1. Non-parametric regression with a latent time series (pages 187–207)

      Oliver Linton, Jens Perch Nielsen and Søren Feodor Nielsen

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00278.x

    2. Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models (pages 208–231)

      Francesco Bravo

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00286.x

    3. On skewness and kurtosis of econometric estimators (pages 232–247)

      Yong Bao and Aman Ullah

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00289.x

    4. Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models (pages 248–271)

      P. Čížek, W. Härdle and V. Spokoiny

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00292.x

    5. Multi-tail generalized elliptical distributions for asset returns (pages 272–291)

      Sebastian Kring, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi and Michele Leonardo Bianchi

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00290.x

    6. Multivariate stochastic volatility, leverage and news impact surfaces (pages 292–309)

      Manabu Asai and Michael McAleer

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00284.x

    7. Looking for skewness in financial time series (pages 310–323)

      Matteo Grigoletto and Francesco Lisi

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00281.x

    8. Bayesian estimation of a random effects heteroscedastic probit model (pages 324–339)

      Yuanyuan Gu, Denzil G. Fiebig, Edward Cripps and Robert Kohn

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00283.x

    9. Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application (pages 340–366)

      S. De Silva, K. Hadri and A. R. Tremayne

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00287.x

  2. NOTES

    1. Top of page
    2. ORIGINAL ARTICLES
    3. NOTES
    1. The empirical process of autoregressive residuals (pages 367–381)

      Eric Engler and Bent Nielsen

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00282.x

    2. A note on non-parametric estimation with predicted variables (pages 382–395)

      Stefan Sperlich

      Article first published online: 21 JUL 2009 | DOI: 10.1111/j.1368-423X.2009.00291.x

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