Journal of Econometrics

 

Volume 212, Issue 1,

Pages 1-358 (September 2019)

 

 

 

Unified inference for nonlinear factor models from panels with fixed and large time span

    Torben G. Andersen, Nicola Fusari, Viktor Todorov, Rasmus T. Varneskov

    Pages 4-25

Link to preprint

 

 

Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices

    Martin M. Andreasen, Jens H.E. Christensen, Glenn D. Rudebusch

    Pages 26-46

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Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty

    Andrii Babii, Xi Chen, Eric Ghysels

    Pages 47-77

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Rank regularized estimation of approximate factor models

    Jushan Bai, Serena Ng

    Pages 78-96

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Bayesian nonparametric sparse VAR models

    Monica Billio, Roberto Casarin, Luca Rossini

    Pages 97-115

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High-dimensional multivariate realized volatility estimation

    Tim Bollerslev, Nour Meddahi, Serge Nyawa

    Pages 116-136

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Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors

    Andrea Carriero, Todd E. Clark, Massimiliano Marcellino

    Pages 137-154

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A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables

    Jia Chen, Degui Li, Oliver Linton

    Pages 155-176

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Generalized high-dimensional trace regression via nuclear norm regularization

    Jianqing Fan, Wenyan Gong, Ziwei Zhu

    Pages 177-202

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Monitoring banking system connectedness with big data

    Galina Hale, Jose A. Lopez

    Pages 203-220

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Large-scale portfolio allocation under transaction costs and model uncertainty

    Nikolaus Hautsch, Stefan Voigt

    Pages 221-240

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Adaptive hierarchical priors for high-dimensional vector autoregressions

    Dimitris Korobilis, Davide Pettenuzzo

    Pages 241-271

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Combining statistical intervals and market prices: The worst case state price distribution

    Per Aslak Mykland

    Pages 272-285

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A quasi-Bayesian local likelihood approach to time varying parameter VAR models

    Katerina Petrova

    Pages 286-306

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Extreme canonical correlations and high-dimensional cointegration analysis

    Alexei Onatski, Chen Wang

    Pages 307-322

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Variable selection in panel models with breaks

    Simon C. Smith, Allan Timmermann, Yinchu Zhu

    Pages 323-344

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Network quantile autoregression

    Xuening Zhu, Weining Wang, Hansheng Wang, Wolfgang Karl Härdle

    Pages 345-358

Link to preprint