Works matching IS 13684221 AND DT 2009 AND VI 12

Results: 41

Royal Economic Society Annual Conference 2008 Special Issue on Financial Econometrics.

Published in:

2009

By:

Jianqing Fan;
Smith, Richard J.

Publication type:

Editorial

An arbitrage-free generalized Nelson–Siegel term structure model.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. C33, doi. 10.1111/j.1368-423X.2008.00267.x

By:

Christensen, Jens H. E.;
Diebold, Francis X.;
Rudebusch, Glenn D.

Publication type:

Article

Stationarity of a family of GARCH processes.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. 436, doi. 10.1111/j.1368-423X.2009.00294.x

By:

Ji-Chun Liu

Publication type:

Article

The econometrics of mean-variance efficiency tests: a survey.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. C65, doi. 10.1111/j.1368-423X.2009.00295.x

By:

Sentana, Enrique

Publication type:

Article

Identification of peer effects using group size variation.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. 397, doi. 10.1111/j.1368-423X.2009.00296.x

By:

Davezies, Laurent;
D'Haultfoeuille, Xavier;
Fougère, Denis

Publication type:

Article

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. 414, doi. 10.1111/j.1368-423X.2009.00297.x

By:

Demetrescu, Matei;
Lütkepohl, Helmut;
Saikkonen, Pentti

Publication type:

Article

Realized kernels in practice: trades and quotes.

Published in:

Econometrics Journal, 2009, v. 12, n. 3, p. C1, doi. 10.1111/j.1368-423X.2008.00275.x

By:

Barndorff-Nielsen, O. E.;
Hansen, P.Reinhard;
Lunde, A.;
Shephard, N.

Publication type:

Article

Errata.

Published in:: 2009
Publication type:: Correction Notice

Index to The Econometrics Journal Volume 12.

Published in:: Econometrics Journal, 2009, v. 12, n. 3, p. 449, doi. 10.1111/j.1368-423X.2009.00305.x
Publication type:: Article

Non-parametric regression with a latent time series.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 187, doi. 10.1111/j.1368-423X.2009.00278.x

By:

LINTON, OLIVER;
NIELSEN, JENS PERCH;
NIELSEN, SØREN FEODOR

Publication type:

Article

Looking for skewness in financial time series.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 310, doi. 10.1111/j.1368-423X.2009.00281.x

By:

GRIGOLETTO, MATTEO;
LISI, FRANCESCO

Publication type:

Article

The empirical process of autoregressive residuals.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 367, doi. 10.1111/j.1368-423X.2009.00282.x

By:

ENGLER, ERIC;
NIELSEN, BENT

Publication type:

Article

Bayesian estimation of a random effects heteroscedastic probit model.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 324, doi. 10.1111/j.1368-423X.2009.00283.x

By:

YUANYUAN GU;
FIEBIG, DENZIL G.;
CRIPPS, EDWARD;
KOHN, ROBERT

Publication type:

Article

Multivariate stochastic volatility, leverage and news impact surfaces.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 292, doi. 10.1111/j.1368-423X.2009.00284.x

By:

ASAI, MANABU;
MCALEER, MICHAEL

Publication type:

Article

Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 208, doi. 10.1111/j.1368-423X.2009.00286.x

By:

BRAVO, FRANCESCO

Publication type:

Article

Panel unit root tests in the presence of cross-sectional dependence: finite sample performance and an application.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 340, doi. 10.1111/j.1368-423X.2009.00287.x

By:

DE SILVA, S.;
HADRI, K.;
TREMAYNE, A. R.

Publication type:

Article

On skewness and kurtosis of econometric estimators.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 232, doi. 10.1111/j.1368-423X.2009.00289.x

By:

BAO, YONG;
ULLAH, AMAN

Publication type:

Article

Multi-tail generalized elliptical distributions for asset returns.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 272, doi. 10.1111/j.1368-423X.2009.00290.x

By:

KRING, SEBASTIAN;
RACHEV, SVETLOZAR T.;
HÖCHSTÖTTER, MARKUS;
FABOZZI, FRANK J.;
BIANCHI, MICHELE LEONARDO

Publication type:

Article

A note on non-parametric estimation with predicted variables.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 382, doi. 10.1111/j.1368-423X.2009.00291.x

By:

SPERLICH, STEFAN

Publication type:

Article

Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models.

Published in:

Econometrics Journal, 2009, v. 12, n. 2, p. 248, doi. 10.1111/j.1368-423X.2009.00292.x

By:

ČÍŽEK, P.;
HÄRDLE, W.;
SPOKOINY, V.

Publication type:

Article

Two-step series estimation of sample selection models.

Published in:

Econometrics Journal, 2009, v. 12, p. S217, doi. 10.1111/j.1368-423X.2008.00263.x

By:

NEWEY, WHITNEY K.

Publication type:

Article

Large-sample inference on spatial dependence.

Published in:

Econometrics Journal, 2009, v. 12, p. S68, doi. 10.1111/j.1368-423X.2008.00264.x

By:

ROBINSON, P. M.

Publication type:

Article

Invalidity of the bootstrap and the m out of n bootstrap for confidence interval endpoints defined by moment inequalities.

Published in:

Econometrics Journal, 2009, v. 12, p. S172, doi. 10.1111/j.1368-423X.2008.00265.x

By:

ANDREWS, DONALD W. K.;
HAN, SUKJIN

Publication type:

Article

Goodness-of-fit tests for functional data.

Published in:

Econometrics Journal, 2009, v. 12, p. S1, doi. 10.1111/j.1368-423X.2008.00266.x

By:

BUGNI, FEDERICO A.;
HALL, PETER;
HOROWITZ, JOEL L.;
NEUMANN, GEORGE R.

Publication type:

Article

A note on adapting propensity score matching and selection models to choice based samples.

Published in:

Econometrics Journal, 2009, v. 12, p. S230, doi. 10.1111/j.1368-423X.2008.00269.x

By:

HECKMAN, JAMES J.;
TODD, PETRA E.

Publication type:

Article

Editorial.

Published in:

2009

By:

Smith, Richard J.

Publication type:

Editorial

Copula-based nonlinear quantile autoregression.

Published in:

Econometrics Journal, 2009, v. 12, p. S50, doi. 10.1111/j.1368-423X.2008.00274.x

By:

XIAOHONG CHEN;
KOENKER, ROGER;
XIAO, ZHIJIE

Publication type:

Article

Efficient GMM with nearly-weak instruments.

Published in:

Econometrics Journal, 2009, v. 12, p. S135, doi. 10.1111/j.1368-423X.2009.00279.x

By:

ANTOINE, BERTILLE;
RENAULT, ERIC

Publication type:

Article

Distribution-free specification tests for dynamic linear models.

Published in:

Econometrics Journal, 2009, v. 12, p. S105, doi. 10.1111/j.1368-423X.2009.00280.x

By:

DELGADO, MIGUEL A.;
HIDALGO, JAVIER;
VELASCO, CARLOS

Publication type:

Article

Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form.

Published in:

Econometrics Journal, 2009, v. 12, p. S19, doi. 10.1111/j.1368-423X.2009.00285.x

By:

COUDIN, ELISE;
DUFOUR, JEAN-MARIE

Publication type:

Article

Semiparametric cointegrating rank selection.

Published in:

Econometrics Journal, 2009, v. 12, p. S83, doi. 10.1111/j.1368-423X.2008.00270.x

By:

XU CHENG;
PHILLIPS, PETER C. B.

Publication type:

Article

Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student- t innovations.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 105, doi. 10.1111/j.1368-423X.2008.00253.x

By:

Ardia, David

Publication type:

Article

Determining the number of factors in a multivariate error correction–volatility factor model.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 45, doi. 10.1111/j.1368-423X.2008.00259.x

By:

Qiaoling Li;
Jiazhu Pan

Publication type:

Article

On the impact of error cross-sectional dependence in short dynamic panel estimation.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 62, doi. 10.1111/j.1368-423X.2008.00260.x

By:

Sarafidis, Vasilis;
Robertson, Donald

Publication type:

Article

Testing for volatility interactions in the Constant Conditional Correlation GARCH model.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 147, doi. 10.1111/j.1368-423X.2008.00261.x

By:

Nakatani, Tomoaki;
Teräsvirta, Timo

Publication type:

Article

Assessing the magnitude of the concentration parameter in a simultaneous equations model.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 26, doi. 10.1111/j.1368-423X.2008.00268.x

By:

Poskitt, D. S.;
Skeels, C. L.

Publication type:

Article

Identification and estimation of local average derivatives in non-separable models without monotonicity.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 1, doi. 10.1111/j.1368-423X.2008.00273.x

By:

Hoderlein, Stefan;
Mammen, Enno

Publication type:

Article

EM algorithms for ordered probit models with endogenous regressors.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 164, doi. 10.1111/j.1368-423X.2008.00272.x

By:

Kawakatsu, Hiroyuki;
Largey, Ann G.

Publication type:

Article

Causality and forecasting in temporally aggregated multivariate GARCH processes.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 127, doi. 10.1111/j.1368-423X.2008.00276.x

By:

Hafner, Christian M.

Publication type:

Article

Value at Risk with time varying variance, skewness and kurtosis—the NIG-ACD model.

Published in:

Econometrics Journal, 2009, v. 12, n. 1, p. 82, doi. 10.1111/j.1368-423X.2008.00277.x

By:

Wilhelmsson, Anders

Publication type:

Article