
Subject Areas on Research

"Arbitrage Pricing Theory as a Restricted Nonlinear Regression Model: NLITSUR Estimates"

"Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data"

"Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution"

"Weaker MSE Criteria and Tests for Linear Restrictions in Regression Models with Nonspherical Disturbances"

A Dynamic Model of Demand for Houses and Neighborhoods

A Unique costly contemplation representation

A discretetime model for daily S & P500 returns and realized variations: Jumps and leverage effects

A heteroscedasticityconsistent covariance matrix estimator for time series regressions

A practical guide to compact infinite dimensional parameter spaces

A reduced form framework for modeling volatility of speculative prices based on realized variation measures

A waveletbased spectral method for extracting selfsimilarity measures in timevarying twodimensional rainfall maps

ARCH modeling in finance. A review of the theory and empirical evidence

Ability sorting and the returns to college major

Activity signature functions for highfrequency data analysis

Adaptive estimation of continuoustime regression models using highfrequency data

Affirmative action in higher education: How do admission and financial aid rules affect future earnings?

Alternative models for stock price dynamics

An Empirical Analysis of Life Cycle Fertility and Female Labor Supply

An instrumental variable randomcoefficients model for binary outcomes.

Another look at the identification at infinity of sample selection models

Anticipating regret: Why fewer options may be better

Approximating HighDimensional Dynamic Models: Sieve Value Function Iteration

Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates

Asymptotic Inference about Predictive Accuracy Using High Frequency Data

Automatic inference of the contemporaneous causal order of a system of equations

Bayesian Analysis of Financial Event Study Data

Bayesian Analysis of Latent Threshold Dynamic Models

Bayesian Forecasting of Many CountValued Time Series

Bayesian analysis of concurrent time series with application to regional IBM revenue data

Bayesian dynamic factor models and portfolio allocation

Bayesian estimation of manufacturing effects in a fuel economy model

Bayesian forecasting and portfolio decisions using dynamic dependent factor models

Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models

Bayesian inference on periodicities and component spectral structure in time series

Bayesian input in Stein estimation and a new minimax empirical Bayes estimator

Bayesian models for nonlinear autoregressions

Bayesian statistics two: Proceedings of the second Valencia international meeting on Bayesian statistics

Bootstrap inference in partially identified models defined by moment inequalities: Coverage of the identified set

Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): The GARCHNIG model

COMPARISON of INFERENTIAL METHODS in PARTIALLY IDENTIFIED MODELS in TERMS of ERROR in COVERAGE PROBABILITY

Calibrating ensemble forecasting models with sparse data in the social sciences

Can speculative trading explain the volumevolatility relation?

Cointegration and longrun asset allocation

Collinearity and the use of latent root regression for combining GNP forecasts

Combining Economic Forecasts

Combining economic forecasts

Combining forecasts: A philosophical basis and some current issues

Combining forecasts: A review and annotated bibliography

Comment

Comment

Comment

Comment

Comment [2] (multiple letters)

Comment [6] (multiple letters)

Comment on "Commitment vs. Flexibility"

Comment on: Limit of Random Measures associated with the increments of a Brownian Semimartingale

Common Persistence in Conditional Variances

Common factors in conditional distributions for bivariate time series

Comparing Possibly Misspecified Forecasts

Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter

Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity

Conditional quantile processes based on series or many regressors

Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities

Consumption Dynamics During Recessions

Continuoustime models, realized volatilities, and testable distributional implications for daily stock returns

Correcting the errors: Volatility forecast evaluation using highfrequency data and realized volatilities

Correction to automatic blocklength selection for the dependent bootstrap by D. Politis and H. White

Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions

Dan Nelson Remembered.

Databased ranking of realised volatility estimators

Demand fluctuations in the readymix concrete industry

Diagnostic testing and evaluation of maximum likelihood models

Diagnostic verification of probability forecasts

Distortions of Asymptotic Confidence Size in Locally Misspecified Moment Inequality Models

Does anything beat 5minute RV? A comparison of realized measures across multiple asset classes

Dynamic Bayesian predictive synthesis in time series forecasting

Dynamic MixtureAverse Preferences

Dynamic Preference for Flexibility

Dynamic estimation of volatility risk premia and investor risk aversion from optionimplied and realized volatilities

Dynamic factor volatility modeling: A bayesian latent threshold approach

Dynamic semiparametric models for expected shortfall (and ValueatRisk)

EFFICIENT ESTIMATION of INTEGRATED VOLATILITY FUNCTIONALS under GENERAL VOLATILITY DYNAMICS

ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION

Econometric GNP forecasts: Incremental information relative to naive extrapolation

Editor's introduction

Editor's introduction

Editors' introduction

Editor’s report

Editor’s report

Efficient bayesian learning in non‐linear dynamic models

Empirical model particularities and belief in the natural rate hypothesis

Equilibrium in a Production Economy with an Income Tax

Equity trading volume and volatility: Latent information arrivals and common longrun dependencies

Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (3365) PII: S0304407601001415)

Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Estimation of jump tails

Estimation of multivariate models for time series of possibly different lengths

Estimation of seemingly unrelated tobit regressions via the em algorithm

Estimation of stochastic volatility models with diagnostics

Exact Bayesian moment based inference for the distribution of the smalltime movements of an Itô semimartingale

Explaining crossracial differences in teenage labor force participation: Results from a twosided matching model

Exploiting the errors: A simple approach for improved volatility forecasting

Extraneous expert information

Extremal quantile regressions for selection models and the black–white wage gap

Farms, Families, and Markets: New Evidence on Completeness of Markets in Agricultural Settings.

Financial econometrics: Past developments and future challenges

Finite mixture distributions, sequential likelihood and the EM algorithm

Forecast rationality tests based on multihorizon bounds

Forecasting life expectancy in an international context

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Frontiers of financial econometrics and financial engineering

Generalized Instrumental Variable Models

Generalized Jump Regressions for Local Moments

Generalized Method of Integrated Moments for HighFrequency Data

Generalized autoregressive conditional heteroskedasticity

Goodness of fit for seemingly unrelated regressions. Glahn's R^{2}
y.x and Hooper's r̄^{2}

Goodnessoffit tests for functional data

Gradients in spatial response surfaces with application to urban land values

Habit persistence and teen sex: Could increased access to contraception have unintended consequences for teen pregnancies?

Hailfinder: A Bayesian system for forecasting severe weather

Health and wages: evidence on men and women in urban Brazil.

Highdimensional copulabased distributions with mixed frequency data

Highdimensional multivariate realized volatility estimation

IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA

Identification and inference in linear stochastic discount factor models with excess returns

Identification and inference on regressions with missing covariate data

Identification of Treatment Effects Under Conditional Partial Independence

Identification of firstprice auctions with nonseparable unobserved heterogeneity

Identifying dynamic discrete choice models off short panels

Improved Estimation of a Disturbance Variance

Improved estimation of the disturbance variance in a linear regression model

Inference in HighDimensional Panel Models With an Application to Gun Control

Inference in successive sampling discovery models

Inference on an extended Roy model, with an application to schooling decisions in France

Inference theory for volatility functional dependencies

Intersection Bounds: Estimation and Inference

Intertemporal Preferences and Labor Supply

Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference

Irregular leadership changes in 2014: Forecasts using ensemble, splitpopulation duration models

Isotone equilibrium in games of incomplete information

Judgmental aggregation strategies depend on whether the self is involved

Jump Regressions

Jump tails, extreme dependencies, and the distribution of stock returns

Jumps and betas: A new framework for disentangling and estimating systematic risks

Leverage and volatility feedback effects in highfrequency data

Linear constraints and the efficiency of combined forecasts

Longterm equity anticipation securities and stock market volatility dynamics

Market efficiency, asset returns, and the size of the risk premium in global equity markets

Measuring the dynamic efficiency costs of regulators' preferences: Municipal water utilities in the Arid West

Methods for measuring expectations and uncertainty in Markovswitching models

Mixedscale jump regressions with bootstrap inference

Modeling Dependence in High Dimensions With Factor Copulas

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Modeling and forecasting of Brazilian reservoir inflows via dynamic linear models

Modeling and forecasting realized volatility

Modeling and pricing long memory in stock market volatility

Modeling college major choices using elicited measures of expectations and counterfactuals

Modeling heteroscedasticity in daily foreignexchange rates

Modelling the persistence of conditional variances

Multiple Imputation of Missing or Faulty Values Under Linear Constraints

Multivariate leverage effects and realized semicovariance GARCH models

News Notes

Noarbitrage semimartingale restrictions for continuoustime volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications

Nonlinear Dynamic Structures

Nonparametric estimation of structural models for highfrequency currency market data

Nonparametric identification and estimation in a Roy model with common nonpecuniary returns

Nonstationary Spatial Modeling through Normalized DistanceWeighted Sums of Stationary Processes

Notes on financial econometrics

Numerical Techniques for Maximum Likelihood Estimation of ContinuousTime Diffusion Processes: Comment

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

Occupation density estimation for noisy highfrequency data

On seeking a best performance measure or a best forecasting method

On the OutofSample Importance of Skewness and Asymmetric Dependence for Asset Allocation

Optimal combinations of realised volatility estimators

Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty

Partial identification and testable restrictions in multiunit auctions

Periodic autoregressive conditional heteroscedasticity

Population forecasting: Guest editors' introduction

PostSelection Inference for Generalized Linear Models With Many Controls

Posterior inference in curved exponential families under increasing dimensions

Predictability of output growth and inflation: A multihorizon survey approach

Predicting childlessness for recent cohorts of American women.

Predicting the efficacy of future training programs using past experiences at other locations

Prediction in dynamic models with timedependent conditional variances

Preference for Flexibility and Random Choice

Probabilistic forecasting of heterogeneous consumer transaction–sales time series

Probability forecasting

Program Evaluation and Causal Inference With HighDimensional Data

Projecting the future size and health status of the U.S. elderly population.

Properties of optimal forecasts under asymmetric loss and nonlinearity

Quasimaximum likelihood estimation and inference in dynamic models with timevarying covariances

REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL

Random serial dictatorship and the core from random endowments in house allocation problems

Rank Tests at Jump Events

Realized Beta: Persistence and Predictability

Realized Laplace transforms for estimation of jump diffusive volatility models

Realized Semicovariances

Realized jumps on financial markets and predicting credit spreads

Realized volatility forecasting and market microstructure noise

Reference analysis of the DLM

Regime shifts, risk premiums in the term structure, and the business cycle

Rejoinder

Remarks on my term at JBES

Reply

Reply

Representing preferences with a unique subjective state space: A corrigendum

Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation

Risk Independence and Multiattributed Utility Functions

Risk Preferences and the Macroeconomic Announcement Premium

Risk, jumps, and diversification

Robust estimation and inference for jumps in noisy high frequency data: A localtocontinuity theory for the preaveraging method

Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models

Salvaging Falsified Instrumental Variable Models

Screening probability forecasts: contrasts between choosing and combining

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

Semiparametric Estimation of LongMemory Volatility Dependencies

Set identification via quantile restrictions in short panels

Simple robust averages of forecasts: Some empirical results

Simple versus complex methods

Simulation methods for Lévydriven continuoustime autoregressive moving average (CARMA) stochastic volatility models

Solutions: Derivation of the OLS Estimator Without Using Calculus

Solving nonlinear dynamic models on parallel computers

Solving the stochastic growth model by policyfunction iteration

Solving the stochastic growth model by using quadrature methods and valuefunction iterations

Some causal lessons from macroeconomics

Some new asymptotic theory for least squares series: Pointwise and uniform results

Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain

Spatial Modeling of House Prices Using Normalized DistanceWeighted Sums of Stationary Processes

Spatially disaggregated real estate indices

Spatiotemporal modeling of residential sales data

Specification test for missing functional data

Specification tests for partially identified models defined by moment inequalities

Statistical analyses of freeway traffic flows

Statistical and measurement issues in assessing the welfare status of aged individuals and populations

Stock return and cash flow predictability: The role of volatility risk

Subjective intervention in formal models

Sufficient Conditions for Extracting Least Cost Resources First

TRYGVE HAAVELMO'S EXPERIMENTAL METHODOLOGY and SCENARIO ANALYSIS in A COINTEGRATED VECTOR AUTOREGRESSION

Testing continuity of a density via gorder statistics in the regression discontinuity design

Testing for jumps in noisy high frequency data

Testing targetzone models using efficient method of moments

The Effective Sample Size

The Effects of Combining Forecasts and the Improvement of the Overall Forecasting Process

The Price VariabilityVolume Relationship on Speculative Markets

The Realized Laplace Transform of Volatility

The Relative Contribution of Jumps to Total Price Variance

The accuracy of extrapolation (time series) methods: Results of a forecasting competition

The distributional impacts of minimum wage increases when both labor supply and labor demand are endogenous

The effect of nonstationarity on combined forecasts

The exhaustion and depletion of natural resources.

The fine structure of equityindex option dynamics

The journal of business & economic statistics: The first 10 years and a look ahead

The message in daily exchange rates: A conditionalvariance tale

The profitability of currency speculation

The relative efficiency of method of moments estimators

The role of statistics in accounting, marketing, finance, and production

The use of probability elicitation in the highlevel nuclear waste regulation program

TimeVarying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Timevarying jump tails

Trade Liberalization and Labor Market Dynamics

Uncertainty about processes that shift over time: Modeling and analysis

Understanding Cryptocurrencies

Uniform nonparametric inference for time series

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Variation and efficiency of highfrequency betas

Volatility activity: Specification and estimation

Volatility forecast comparison using imperfect volatility proxies

Volatility forecasting with rangebased EGARCH models

Volatility jumps

Volatility puzzles: A simple framework for gauging returnvolatility regressions

Volume, volatility, and leverage: A dynamic analysis

Weaker MSE criteria and tests for linear restrictions in regression models with nonspherical disturbances

Which moments to match?

Why do some combinations perform better than others?

noninformative priors and bayesian testing for the ar(1) model

Keywords of People