Econometrics and Statistics

Green Table of Contents

 

Volume 13

Pages 1-196 (January 2020)

 

 

Part A: Econometrics

 

 

        GMM estimation of affine term structure models

            Jaroslava Hlouskova, Leopold Sögner

            Pages 2-15

Link to preprint

 

 

Microeconometric dynamic panel data methods: Model specification and selection issues

    Jan F. Kiviet

    Pages 16-45

Link to preprint

 

Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity

    Yuta Kurose, Yasuhiro Omori

    Pages 46-68

Link to preprint

 

Constructing joint confidence bands for impulse response functions of VAR models – A review

    Helmut Lütkepohl, Anna Staszewska-Bystrova, Peter Winker

    Pages 69-83

Link to preprint

 

Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation

    Xiuping Mao, Veronika Czellar, Esther Ruiz, Helena Veiga

    Pages 84-105

Link to preprint

 

Variance swap payoffs, risk premia and extreme market conditions

    Jeroen V.K. Rombouts, Lars Stentoft, Francesco Violante

    Pages 106-124

Link to preprint

 

Part B: Statistics

 

    Quadratic regression for functional response models

        Hidetoshi Matsui

        Pages 125-136

Link to preprint

 

An extreme quantile estimator for the log-generalized Weibull-tail model

    Clément Albert, Anne Dutfoy, Laurent Gardes, Stéphane Girard

    Pages 137-174

Link to preprint

 

A general white noise test based on kernel lag-window estimates of the spectral density operator

    Vaidotas Characiejus, Gregory Rice

    Pages 175-196

Link to preprint