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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Semiparametric estimates and tests of base-independent equivalence scales
Pendakur, Krishna - In: Journal of econometrics 88 (1999) 1, pp. 1-40
Persistent link: https://www.econbiz.de/10001250281
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A multiple indicators model for volatility using intra-daily data
Engle, Robert F.; Gallo, Giampiero M. - In: Journal of econometrics 131 (2006) 1/2, pp. 3-27
Persistent link: https://www.econbiz.de/10003298558
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Predicting volatility: getting the most out of return data sampled at different frequencies
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen I. - In: Journal of econometrics 131 (2006) 1/2, pp. 59-95
Persistent link: https://www.econbiz.de/10003298564
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Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
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Adaptive dynamic Nelson–Siegel term structure model with applications
Chen, Ying; Niu, Linlin - In: Journal of econometrics 180 (2014) 1, pp. 98-115
Persistent link: https://www.econbiz.de/10010379478
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Detecting big structural breaks in large factor models
Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - In: Journal of econometrics 180 (2014) 1, pp. 30-48
Persistent link: https://www.econbiz.de/10010379487
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - In: Journal of econometrics 177 (2013) 2, pp. 185-198
Persistent link: https://www.econbiz.de/10010254877
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262
Persistent link: https://www.econbiz.de/10011504522