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