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
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
Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty
Andrii Babii, Xi Chen, Eric Ghysels
Pages 47-77
Rank regularized estimation of approximate factor models
Jushan Bai, Serena Ng
Pages 78-96
Bayesian nonparametric sparse VAR models
Monica Billio, Roberto Casarin, Luca Rossini
Pages 97-115
High-dimensional multivariate realized volatility estimation
Tim Bollerslev, Nour Meddahi, Serge Nyawa
Pages 116-136
Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
Andrea Carriero, Todd E. Clark, Massimiliano Marcellino
Pages 137-154
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Jia Chen, Degui Li, Oliver Linton
Pages 155-176
Generalized high-dimensional trace regression via nuclear norm regularization
Jianqing Fan, Wenyan Gong, Ziwei Zhu
Pages 177-202
Monitoring banking system connectedness with big data
Galina Hale, Jose A. Lopez
Pages 203-220
Large-scale portfolio allocation under transaction costs and model uncertainty
Nikolaus Hautsch, Stefan Voigt
Pages 221-240
Adaptive hierarchical priors for high-dimensional vector autoregressions
Dimitris Korobilis, Davide Pettenuzzo
Pages 241-271
Combining statistical intervals and market prices: The worst case state price distribution
Per Aslak Mykland
Pages 272-285
Link to preprint
A quasi-Bayesian local likelihood approach to time varying parameter VAR models
Katerina Petrova
Pages 286-306
Extreme canonical correlations and high-dimensional cointegration analysis
Alexei Onatski, Chen Wang
Pages 307-322
Variable selection in panel models with breaks
Simon C. Smith, Allan Timmermann, Yinchu Zhu
Pages 323-344
Network quantile autoregression
Xuening Zhu, Weining Wang, Hansheng Wang, Wolfgang Karl Härdle
Pages 345-358