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Subject Areas on Research
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"Arbitrage Pricing Theory as a Restricted Nonlinear Regression Model: NLITSUR Estimates"
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"Goodness of Fit for Seemingly Unrelated Regressions, Glahn's R²y-x and Hooper's r²"
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"Statistical Properties of GMM Estimates of Structural Parameters Using Financial Market Data"
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"Using Conditional Moments of Asset Returns to Infer the Volatility of Intertemporal Marginal Rates of Substitution"
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"Weaker MSE Criteria and Tests for Linear Restrictions in Regression Models with Nonspherical Disturbances"
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A Dynamic Model of Demand for Houses and Neighborhoods
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A Unique costly contemplation representation
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A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects
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A heteroscedasticity-consistent covariance matrix estimator for time series regressions
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A practical guide to compact infinite dimensional parameter spaces
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A reduced form framework for modeling volatility of speculative prices based on realized variation measures
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A wavelet-based spectral method for extracting self-similarity measures in time-varying two-dimensional rainfall maps
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ARCH modeling in finance. A review of the theory and empirical evidence
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Ability sorting and the returns to college major
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Activity signature functions for high-frequency data analysis
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Adaptive estimation of continuous-time regression models using high-frequency data
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Affirmative action in higher education: How do admission and financial aid rules affect future earnings?
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Alternative models for stock price dynamics
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An Empirical Analysis of Life Cycle Fertility and Female Labor Supply
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An Empirical Analysis of Life Cycle Fertility and Female Labor Supply.
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An instrumental variable random-coefficients model for binary outcomes.
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Another look at the identification at infinity of sample selection models
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Anticipating regret: Why fewer options may be better
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Approximating High-Dimensional Dynamic Models: Sieve Value Function Iteration
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Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
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Automatic inference of the contemporaneous causal order of a system of equations
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Bayesian Analysis of Financial Event Study Data
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Bayesian Forecasting of Many Count-Valued Time Series
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Bayesian analysis of concurrent time series with application to regional IBM revenue data
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Bayesian analysis of latent threshold dynamic models
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Bayesian dynamic factor models and portfolio allocation
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Bayesian estimation of manufacturing effects in a fuel economy model
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Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models
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Bayesian inference on periodicities and component spectral structure in time series
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Bayesian input in Stein estimation and a new minimax empirical Bayes estimator
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Bayesian models for non-linear autoregressions
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Bayesian statistics two: Proceedings of the second Valencia international meeting on Bayesian statistics
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Boundary Limit Theory for Functional Local to Unity Regression
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Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): The GARCH-NIG model
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Can speculative trading explain the volume-volatility relation?
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Cointegration and long-run asset allocation
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Collinearity and the use of latent root regression for combining GNP forecasts
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Combining Economic Forecasts
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Combining economic forecasts
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Combining forecasts: A philosophical basis and some current issues
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Combining forecasts: A review and annotated bibliography
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Comment
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Comment
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Comment
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Comment [2] (multiple letters)
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Comment [6] (multiple letters)
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Comment on "Commitment vs. Flexibility"
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Common Persistence in Conditional Variances
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Common factors in conditional distributions for bivariate time series
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Comparing Possibly Misspecified Forecasts
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Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter
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Conditional choice probability estimation of dynamic discrete choice models with unobserved heterogeneity
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Conditional quantile processes based on series or many regressors
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Confidence sets for partially identified parameters that satisfy a finite number of moment inequalities
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Consumption Dynamics During Recessions
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Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns
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Correcting the errors: Volatility forecast evaluation using high-frequency data and realized volatilities
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Correction to automatic block-length selection for the dependent bootstrap by D. Politis and H. White
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Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions
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Dan Nelson Remembered.
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Data-based ranking of realised volatility estimators
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Demand fluctuations in the ready-mix concrete industry
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Diagnostic testing and evaluation of maximum likelihood models
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Diagnostic verification of probability forecasts
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Discussion of Tamer and Arradillas-Lopez
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Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
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Dynamic Bayesian predictive synthesis in time series forecasting
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Dynamic Mixture-Averse Preferences
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Dynamic Preference for Flexibility
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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
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Dynamic factor volatility modeling: A bayesian latent threshold approach
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Dynamic semiparametric models for expected shortfall (and Value-at-Risk)
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ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
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Econometric GNP forecasts: Incremental information relative to naive extrapolation
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Editor's Introduction
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Editor's introduction
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Editor’s report
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Editor’s report
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Efficient bayesian learning in non‐linear dynamic models
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Empirical model particularities and belief in the natural rate hypothesis
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Equilibrium in a Production Economy with an Income Tax
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Equity trading volume and volatility: Latent information arrivals and common long-run dependencies
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Erratum: Estimating stochastic volatility diffusion using conditional moments of integrated volatility (Journal of Econometircs (2002) 109 (33-65) PII: S0304407601001415)
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Estimating stochastic volatility diffusion using conditional moments of integrated volatility
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Estimation of Seemingly Unrelated Tobit Regressions via the EM Algorithm
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Estimation of jump tails
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Estimation of multivariate models for time series of possibly different lengths
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Estimation of stochastic volatility models with diagnostics
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Evaluating quantile forecasts in the M5 uncertainty competition
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Exact Bayesian moment based inference for the distribution of the small-time movements of an Itô semimartingale
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Explaining cross-racial differences in teenage labor force participation: Results from a two-sided matching model
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Exploiting the errors: A simple approach for improved volatility forecasting
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Extraneous expert information
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Extremal Quantile Regressions for Selection Models and the Black-White Wage Gap
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Farms, Families, and Markets: New Evidence on Completeness of Markets in Agricultural Settings.
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Financial econometrics: Past developments and future challenges
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Finite mixture distributions, sequential likelihood and the EM algorithm
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Forecast rationality tests based on multi-horizon bounds
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Forecasting: theory and practice
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Fractionally integrated generalized autoregressive conditional heteroskedasticity
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From zero to hero: Realized partial (co)variances
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Frontiers of financial econometrics and financial engineering
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Generalized Instrumental Variable Models
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Generalized Jump Regressions for Local Moments
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Generalized autoregressive conditional heteroskedasticity
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Goodness of fit for seemingly unrelated regressions. Glahn's R2
y.x and Hooper's r̄2
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Gradients in spatial response surfaces with application to urban land values
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Habit persistence and teen sex: Could increased access to contraception have unintended consequences for teen pregnancies?
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Hailfinder: A Bayesian system for forecasting severe weather
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Health and wages: evidence on men and women in urban Brazil.
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High-dimensional copula-based distributions with mixed frequency data
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High-dimensional linear models with many endogenous variables
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High-dimensional multivariate realized volatility estimation
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IDENTIFICATION AND INFERENCE ON REGRESSIONS WITH MISSING COVARIATE DATA
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Identification and inference in linear stochastic discount factor models with excess returns
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Identification and inference on regressions with missing covariate data
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Identification of Treatment Effects Under Conditional Partial Independence
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Identification of Treatment Effects Under Conditional Partial Independence
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Identification of first-price auctions with non-separable unobserved heterogeneity
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Identifying dynamic discrete choice models off short panels
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Improved Estimation of a Disturbance Variance
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Improved estimation of the disturbance variance in a linear regression model
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Inference in High-Dimensional Panel Models With an Application to Gun Control
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Inference in ordered response games with complete information
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Inference in successive sampling discovery models
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Inference on an extended Roy model, with an application to schooling decisions in France
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Inference theory for volatility functional dependencies
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Intersection Bounds: Estimation and Inference
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Intertemporal Preferences and Labor Supply
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Intertemporal Preferences and Labor Supply
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Introduction to: Reflections on the probability space induced by moment conditions with implications for Bayesian inference
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Isotone equilibrium in games of incomplete information
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Judgmental aggregation strategies depend on whether the self is involved
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Jump Regressions
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Jump tails, extreme dependencies, and the distribution of stock returns
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Jumps and betas: A new framework for disentangling and estimating systematic risks
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Learning From Coworkers
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Leverage and volatility feedback effects in high-frequency data
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Linear constraints and the efficiency of combined forecasts
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Long-term equity anticipation securities and stock market volatility dynamics
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Market efficiency, asset returns, and the size of the risk premium in global equity markets
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Measuring the dynamic efficiency costs of regulators' preferences: Municipal water utilities in the Arid West
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Methods for national population forecasting: A review. Land, Kenneth, Journal of the American Statistical Association 81 (1986) 888-901
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Mixed-scale jump regressions with bootstrap inference
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Modeling Dependence in High Dimensions With Factor Copulas
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Modeling Heteroskedasticity in Daily Exchange Rates
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Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions
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Modeling and forecasting of Brazilian reservoir inflows via dynamic linear models
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Modeling and forecasting realized volatility
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Modeling and pricing long memory in stock market volatility
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Modeling college major choices using elicited measures of expectations and counterfactuals
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Modelling the Persistence of Conditional Variances and 'Reply'
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Multiple Imputation of Missing or Faulty Values Under Linear Constraints
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Multivariate leverage effects and realized semicovariance GARCH models
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New directions in nonlinear structural estimation: Bayes and Frequentist
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News Notes
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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
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Noninformative priors and Bayesian testing for the AR(1) model
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Nonlinear Dynamic Structures
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Nonparametric estimation of structural models for high-frequency currency market data
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Nonparametric identification and estimation in a Roy model with common nonpecuniary returns
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Nonstationary Spatial Modeling through Normalized Distance-Weighted Sums of Stationary Processes
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Notes on financial econometrics
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Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
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Occupation density estimation for noisy high-frequency data
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On seeking a best performance measure or a best forecasting method
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On the Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process
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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
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Optimal combinations of realised volatility estimators
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Paralyzed by Fear: Rigid and Discrete Pricing Under Demand Uncertainty
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Partial identification and testable restrictions in multi-unit auctions
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Periodic autoregressive conditional heteroscedasticity
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Point optimal testing with roots that are functionally local to unity
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Population forecasting: Guest editors' introduction
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Post-Selection Inference for Generalized Linear Models With Many Controls
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Posterior inference in curved exponential families under increasing dimensions
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Predictability of output growth and inflation: A multi-horizon survey approach
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Predicting childlessness for recent cohorts of American women.
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Predicting the efficacy of future training programs using past experiences at other locations
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Prediction in dynamic models with time-dependent conditional variances
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Preference for Flexibility and Random Choice
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Probabilistic forecasting of heterogeneous consumer transaction–sales time series
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Probability forecasting
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Program Evaluation and Causal Inference With High-Dimensional Data
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Projecting the future size and health status of the U.S. elderly population.
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Properties of optimal forecasts under asymmetric loss and nonlinearity
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Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models
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Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
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REFERENCE ANALYSIS OF THE DYNAMIC LINEAR MODEL
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Random serial dictatorship and the core from random endowments in house allocation problems
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Rank Tests at Jump Events
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Realized Beta: Persistence and Predictability
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Realized Laplace transforms for estimation of jump diffusive volatility models
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Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
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Realized Semicovariances
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Realized Semicovariances
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Realized jumps on financial markets and predicting credit spreads
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Realized volatility forecasting and market microstructure noise
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Reference analysis of the DLM
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Regime shifts, risk premiums in the term structure, and the business cycle
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Rejoinder
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Remarks on my term at JBES
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Reply
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Reply
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Representing preferences with a unique subjective state space: A corrigendum
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Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation
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Research Design Meets Market Design: Using Centralized Assignment for Impact Evaluation
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Risk Independence and Multiattributed Utility Functions
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Risk Preferences and the Macroeconomic Announcement Premium
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Risk, jumps, and diversification
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Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models
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Salvaging Falsified Instrumental Variable Models
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Screening probability forecasts: contrasts between choosing and combining
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Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
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Semiparametric Estimation of Long-Memory Volatility Dependencies
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Set identification via quantile restrictions in short panels
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Simple robust averages of forecasts: Some empirical results
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Simple versus complex methods
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Simulation methods for Lévy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models
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Solutions: Derivation of the OLS Estimator Without Using Calculus
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Solving nonlinear dynamic models on parallel computers
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Solving the Stochastic Growth Model by Policy-Function Iteration
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Solving the Stochastic Growth Model by Using Quadrature Methods and Value Function Iterations
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Some causal lessons from macroeconomics
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Some new asymptotic theory for least squares series: Pointwise and uniform results
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Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain
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Spatial Modeling of House Prices Using Normalized Distance-Weighted Sums of Stationary Processes
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Spatially disaggregated real estate indices
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Spatio-temporal modeling of residential sales data
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Statistical analyses of freeway traffic flows
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Statistical and measurement issues in assessing the welfare status of aged individuals and populations
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Stock return and cash flow predictability: The role of volatility risk
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Subjective intervention in formal models
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Sufficient Conditions for Extracting Least Cost Resources First
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TRYGVE HAAVELMO'S EXPERIMENTAL METHODOLOGY and SCENARIO ANALYSIS in A COINTEGRATED VECTOR AUTOREGRESSION
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Testing for Unobserved Heterogeneity via k-means Clustering
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Testing target-zone models using efficient method of moments
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The Accuracy of Extrapolation (Time Series) Methods: Results of a Forecasting Competition
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The Effective Sample Size
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The Effects of Combining Forecasts and the Improvement of the Overall Forecasting Process
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The Elite Illusion: Achievement Effects at Boston and New York Exam Schools
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The M5 uncertainty competition: Results, findings and conclusions
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The Price Variability-Volume Relationship on Speculative Markets
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The Realized Laplace Transform of Volatility
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The Relative Contribution of Jumps to Total Price Variance
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The distributional impacts of minimum wage increases when both labor supply and labor demand are endogenous
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The effect of nonstationarity on combined forecasts
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The exhaustion and depletion of natural resources.
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The fine structure of equity-index option dynamics
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The journal of business & economic statistics: The first 10 years and a look ahead
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The message in daily exchange rates: A conditional-variance tale
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The profitability of currency speculation
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The relative efficiency of method of moments estimators
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The role of statistics in accounting, marketing, finance, and production
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The use of probability elicitation in the high-level nuclear waste regulation program
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Time Series Approach to the Evolution of Networks: Prediction and Estimation
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Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads
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Time-varying jump tails
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Trade Liberalization and Labor Market Dynamics
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Uncertainty about processes that shift over time: Modeling and analysis
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Understanding Cryptocurrencies
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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
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Variation and efficiency of high-frequency betas
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Volatility activity: Specification and estimation
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Volatility forecast comparison using imperfect volatility proxies
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Volatility forecasting with range-based EGARCH models
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Volatility jumps
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Volatility puzzles: A simple framework for gauging return-volatility regressions
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Volume, volatility, and leverage: A dynamic analysis
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Weaker MSE criteria and tests for linear restrictions in regression models with non-spherical disturbances
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Which moments to match?
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Why do some combinations perform better than others?
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Keywords of People
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Collard-Wexler, Allan,
Professor of Economics,
Economics
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Federspiel, Jerome Jeffrey,
Assistant Professor of Obstetrics and Gynecology,
Obstetrics and Gynecology, Maternal Fetal Medicine
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Wang, Zhenxuan,
Student,
Nicholas School of the Environment