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Volume 131; Issue 1-2
Main
Journal of Econometrics
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
Your tags:
english, 2006
2
Predicting volatility: getting the most out of return data sampled at different frequencies
Eric Ghysels
,
Pedro Santa-Clara
,
Rossen Valkanov
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 401 KB
Your tags:
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
Your tags:
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
Your tags:
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
Your tags:
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
Your tags:
english, 2006
7
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
Ole E. Barndorff-Nielsen
,
Neil Shephard
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 687 KB
Your tags:
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
Your tags:
english, 2006
9
The macroeconomy and the yield curve: a dynamic latent factor approach
Francis X. Diebold
,
Glenn D. Rudebusch
,
S. Boragˇan Aruoba
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 412 KB
Your tags:
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
Your tags:
english, 2006
11
Regime switching for dynamic correlations
Denis Pelletier
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 446 KB
Your tags:
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
Your tags:
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
Your tags:
english, 2006
14
An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
Geetesh Bhardwaj
,
Norman R. Swanson
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 383 KB
Your tags:
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
Your tags:
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
Your tags:
english, 2006
17
Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
Andrea Carriero
,
Carlo A. Favero
,
Iryna Kaminska
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 646 KB
Your tags:
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
Your tags:
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
Your tags:
english, 2006
20
Editorial Board
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 118 KB
Your tags:
english, 2006
21
Author index to volume 131
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 107 KB
Your tags:
english, 2006
22
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Rohit Deo
,
Clifford Hurvich
,
Yi Lu
Journal:
Journal of Econometrics
Year:
2006
Language:
english
File:
PDF, 443 KB
Your tags:
english, 2006
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