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Nonparametric heteroskedasticity in persistent panel processes : an application to earnings dynamics
Botosaru, Irene; Sasaki, Yuya - In: Journal of econometrics 203 (2018) 2, pp. 283-296
Persistent link: https://www.econbiz.de/10011974674
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Jumps and betas : a new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235
Persistent link: https://www.econbiz.de/10008663039
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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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Heterogeneity in households' stock market beliefs : levels, dynamics, and epistemic uncertainty
Gaudecker, Hans-Martin von; Wogrolly, Axel - In: Journal of econometrics 231 (2022) 1, pp. 232-247
Persistent link: https://www.econbiz.de/10013441983
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Knowing factors or factor loadings, or neither? : evaluating estimators of large covariance matrices with noisy and asynchronous data
Dai, Chaoxing; Lu, Kun; Xiu, Dacheng - In: Journal of econometrics 208 (2019) 1, pp. 43-79
Persistent link: https://www.econbiz.de/10012139780
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High dimensional minimum variance portfolio estimation under statistical factor models
Ding, Yi; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 222 (2021) 1,2, pp. 502-515
Persistent link: https://www.econbiz.de/10012619723
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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
Chang, Jinyuan; Guo, Bin; Yao, Qiwei - In: Journal of econometrics 189 (2015) 2, pp. 297-312
Persistent link: https://www.econbiz.de/10011504536
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Estimation of random coefficients logit demand models with interactive fixed effects
Moon, Hyungsik Roger; Shum, Matthew; Weidner, Martin - In: Journal of econometrics 206 (2018) 2, pp. 613-644
Persistent link: https://www.econbiz.de/10012110420
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Bayesian analysis of static and dynamic factor models : an ex-post approach towards the rotation problem
Aßmann, Christian; Boysen-Hogrefe, Jens; Pape, Markus - In: Journal of econometrics 192 (2016) 1, pp. 190-206
Persistent link: https://www.econbiz.de/10011617144
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042