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Nonparametric estimation and inference for conditional density based Granger causality measures

Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of econometrics 180 (2014) 2, pp. 251-264

Persistent link: https://www.econbiz.de/10010433362

Testing conditional independence via empirical likelihood

Su, Liangjun; White, Halbert - In: Journal of econometrics 182 (2014) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10010497148

Nonparametric IV estimation of local average treatment effects with covariates

Frölich, Markus - In: Journal of econometrics 139 (2007) 1, pp. 35-75

Persistent link: https://www.econbiz.de/10003516664

Valid inference for treatment effect parameters under irregular identification and many extreme propensity scores

Heiler, Phillip; Kazak, Ekaterina - In: Journal of econometrics 222 (2021) 2, pp. 1083-1108

Persistent link: https://www.econbiz.de/10012619820

Partial identification of the treatment effect distribution and its functionals

Firpo, Sérgio Pinheiro; Ridder, Geert - In: Journal of econometrics 213 (2019) 1, pp. 210-234

Persistent link: https://www.econbiz.de/10012304549

Design-based analysis in Difference-In-Differences settings with staggered adoption

Athey, Susan; Imbens, Guido - In: Journal of econometrics 226 (2022) 1, pp. 62-79

Persistent link: https://www.econbiz.de/10013440512

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808

Nonparametric specification tests for stochastic volatility models based on volatility density

Zu, Yang - In: Journal of econometrics 187 (2015) 1, pp. 323-344

Persistent link: https://www.econbiz.de/10011499459

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783