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
Large-dimensional factor modeling based on high-frequency observations
Markus Pelger
Pages 23-42
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
Estimating the integrated volatility with tick observations
Jean Jacod, Yingying Li, Xinghua Zheng
Pages 80-100
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
The scale of predictability
F.M. Bandi, B. Perron, A. Tamoni, C. Tebaldi
Pages 120-140
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
Optimum thresholding using mean and conditional mean squared error
JosŽ E. Figueroa-L—pez, Cecilia Mancini
Pages 179-210
Banded spatio-temporal autoregressions
Zhaoxing Gao, Yingying Ma, Hansheng Wang, Qiwei Yao
Pages 211-230
Factor models for matrix-valued high-dimensional time series
Dong Wang, Xialu Liu, Rong Chen
Pages 231-248
Daily price limits and destructive market behavior
Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang, Wei Xiong
Pages 249-264
Climate risks and market efficiency
Harrison Hong, Frank Weikai Li, Jiangmin Xu
Pages 265-281
Tail event driven networks of SIFIs
Cathy Yi-Hsuan Chen, Wolfgang Karl HŠrdle, Yarema Okhrin
Pages 282-298
Mark to market value at risk
Yu Chen, Zhicheng Wang, Zhengjun Zhang
Pages 299-321
Green copy not found