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1
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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2
The econometrics of unobservables : applications of measurement error models in empirical industrial organization and labor economics
Hu, Yingyao
- In:
Journal of econometrics
200
(
2017
)
2
,
pp. 154-168
Persistent link: https://www.econbiz.de/10011917160
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3
Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav
;
Hansen, Lars Peter
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 67-90
Persistent link: https://www.econbiz.de/10010506087
Saved in:
4
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
5
Distributional properties of portfolio weights
Okhrin, Yarema
;
Schmid, Wolfgang
- In:
Journal of econometrics
134
(
2006
)
1
,
pp. 235-256
Persistent link: https://www.econbiz.de/10003368426
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6
Residual risk revisited
Lehmann, Bruce Neal
- In:
Journal of econometrics
45
(
1990
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10001332079
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7
Large-dimensional factor modeling based on high-frequency observations
Pelger, Markus
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 23-42
Persistent link: https://www.econbiz.de/10012139775
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8
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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9
High-dimensional test for alpha in linear factor pricing models with sparse alternatives
Feng, Long
;
Lan, Wei
;
Liu, Binghui
;
Ma, Yanyuan
- In:
Journal of econometrics
229
(
2022
)
1
,
pp. 152-175
Persistent link: https://www.econbiz.de/10013441842
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10
Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds
Beaulieu, Marie-Claude
;
Dufour, Jean-Marie
;
Khalaf, Lynda
; …
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10014332237
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