Journal of Econometrics

March 2019

Green Open Access

Volume 209, Issue 1

Pages 1-144

Quantile regression for duration models with time-varying regressors

Songnian Chen

Pages 1-17

Green copy not available

Nearly weighted risk minimal unbiased estimation

Ulrich K. Müller, Yulong Wang

Pages 18-34

Link to preprint

Model averaging based on leave-subject-out cross-validation for vector autoregressions

Jun Liao, Xianpeng Zong, Xinyu Zhang, Guohua Zou

Pages 35-60

Green copy not available

Structured volatility matrix estimation for non-synchronized high-frequency financial data

Jianqing Fan, Donggyu Kim

Pages 61-78

Green copy not available

New results on the identification of stochastic bargaining models

Antonio Merlo, Xun Tang

Pages 79-93

Link to preprint

The bivariate probit model, maximum likelihood estimation, pseudo true parameters and partial identification

Chuhui Li, D.S. Poskitt, Xueyan Zhao

Pages 94-113

Link to preprint

Bayesian estimation of dynamic asset pricing models with informative observations

Andras Fulop, Junye Li

Pages 114-138

Green copy not available