Journal of Econometrics

January 2019

Green Open Access

Volume 208, Issue 1

Pages 1-322

 

Robust covariance estimation for approximate factor models

 Jianqing Fan, Weichen Wang, Yiqiao Zhong

 Pages 5-22

Link to preprint

 

Large-dimensional factor modeling based on high-frequency observations

Markus Pelger

Pages 23-42

Link to preprint

 

Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data

Chaoxing Dai, Kun Lu, Dacheng Xiu

Pages 43-79

Link to preprint

 

Estimating the integrated volatility with tick observations

 Jean Jacod, Yingying Li, Xinghua Zheng

 Pages 80-100

Link to preprint


 

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times

Per A. Mykland, Lan Zhang, Dachuan Chen

Pages 101-119

Link to preprint

 

The scale of predictability

F.M. Bandi, B. Perron, A. Tamoni, C. Tebaldi

Pages 120-140

Link to preprint

 

A unified test for predictability of asset returns regardless of properties of predicting variables

    Xiaohui Liu, Bingduo Yang, Zongwu Cai, Liang Peng

    Pages 141-159

Green copy not found

 

Semiparametric estimation of the bidÐask spread in extended roll models

    Xiaohong Chen, Oliver Linton, Stefan Schneeberger, Yanping Yi

    Pages 160-178

Link to preprint

 

Optimum thresholding using mean and conditional mean squared error

    JosŽ E. Figueroa-L—pez, Cecilia Mancini

    Pages 179-210

Link to preprint


 

Banded spatio-temporal autoregressions

    Zhaoxing Gao, Yingying Ma, Hansheng Wang, Qiwei Yao

    Pages 211-230

Link to preprint

 

Factor models for matrix-valued high-dimensional time series

    Dong Wang, Xialu Liu, Rong Chen

    Pages 231-248

Link to Preprint

 

Daily price limits and destructive market behavior

    Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang, Wei Xiong

    Pages 249-264

Link to preprint

 

Climate risks and market efficiency

    Harrison Hong, Frank Weikai Li, Jiangmin Xu

    Pages 265-281

Link to preprint

 

Tail event driven networks of SIFIs

    Cathy Yi-Hsuan Chen, Wolfgang Karl HŠrdle, Yarema Okhrin

    Pages 282-298

Link to preprint

 

Mark to market value at risk

    Yu Chen, Zhicheng Wang, Zhengjun Zhang

    Pages 299-321

Green copy not found