Volume 131; Issue 1-2

Journal of Econometrics

Volume 131; Issue 1-2
1

The econometrics of macroeconomics, finance, and the interface

F.X. Diebold, R.F. Engle, C. Favero, G.M. Gallo, F. Schorfheide
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 100 KB
english, 2006
3

Consistent ranking of volatility models

Peter Reinhard Hansen, Asger Lunde
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 334 KB
english, 2006
4

Volatility puzzles: a simple framework for gauging return-volatility regressions

Tim Bollerslev, Hao Zhou
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 304 KB
english, 2006
5

Breaks and persistency: macroeconomic causes of stock market volatility

A. Beltratti, C. Morana
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 395 KB
english, 2006
6

Volatility comovement: a multifrequency approach

Laurent E. Calvet, Adlai J. Fisher, Samuel B. Thompson
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 389 KB
english, 2006
8

Option valuation with conditional skewness

Peter Christoffersen, Steve Heston, Kris Jacobs
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 373 KB
english, 2006
10

A joint econometric model of macroeconomic and term-structure dynamics

Peter Hördahl, Oreste Tristani, David Vestin
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 696 KB
english, 2006
11

Regime switching for dynamic correlations

Denis Pelletier
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 446 KB
english, 2006
12

Multivariate Jacobi process with application to smooth transitions

Christian Gourieroux, Joann Jasiak
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 455 KB
english, 2006
13

Evaluating latent and observed factors in macroeconomics and finance

Jushan Bai, Serena Ng
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 349 KB
english, 2006
15

A time series model for an exchange rate in a target zone with applications

Stefan Lundbergh, Timo Teräsvirta
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 478 KB
english, 2006
16

A multiple indicators model for volatility using intra-daily data

Robert F. Engle, Giampiero M. Gallo
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 905 KB
english, 2006
18

What does the yield curve tell us about GDP growth?

Andrew Ang, Monika Piazzesi, Min Wei
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 497 KB
english, 2006
19

Term structure of risk under alternative econometric specifications

Massimo Guidolin, Allan Timmermann
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 510 KB
english, 2006
20

Editorial Board

Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 118 KB
english, 2006
21

Author index to volume 131

Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 107 KB
english, 2006