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Volume 162; Issue 2
Main
Journal of Econometrics
Volume 162; Issue 2
Journal of Econometrics
Volume 162; Issue 2
1
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Ole E. Barndorff-Nielsen
,
Peter Reinhard Hansen
,
Asger Lunde
,
Neil Shephard
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 907 KB
Your tags:
english, 2011
2
Estimating features of a distribution from binomial data
Arthur Lewbel
,
Daniel McFadden
,
Oliver Linton
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 510 KB
Your tags:
english, 2011
3
A martingale approach for testing diffusion models based on infinitesimal operator
Zhaogang Song
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 515 KB
Your tags:
english, 2011
4
A bootstrap-assisted spectral test of white noise under unknown dependence
Xiaofeng Shao
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 330 KB
Your tags:
english, 2011
5
Nonparametric model validations for hidden Markov models with applications in financial econometrics
Zhibiao Zhao
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 407 KB
Your tags:
english, 2011
6
Estimation of fractional integration under temporal aggregation
Uwe Hassler
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 306 KB
Your tags:
english, 2011
7
Fourth order pseudo maximum likelihood methods
Alberto Holly
,
Alain Monfort
,
Michael Rockinger
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 423 KB
Your tags:
english, 2011
8
Estimating structural changes in regression quantiles
Tatsushi Oka
,
Zhongjun Qu
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 744 KB
Your tags:
english, 2011
9
A new class of asymptotically efficient estimators for moment condition models
Yanqin Fan
,
Matthew Gentry
,
Tong Li
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 330 KB
Your tags:
english, 2011
10
Generalized runs tests for the IID hypothesis
Jin Seo Cho
,
Halbert White
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 480 KB
Your tags:
english, 2011
11
Modeling frailty-correlated defaults using many macroeconomic covariates
Siem Jan Koopman
,
André Lucas
,
Bernd Schwaab
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 798 KB
Your tags:
english, 2011
12
Integrated variance forecasting: Model based vs. reduced form
Natalia Sizova
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 933 KB
Your tags:
english, 2011
13
Regression with imputed covariates: A generalized missing-indicator approach
Valentino Dardanoni
,
Salvatore Modica
,
Franco Peracchi
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 278 KB
Your tags:
english, 2011
14
Bayesian inference in a correlated random coefficients model: Modeling causal effect heterogeneity with an application to heterogeneous returns to schooling
Mingliang Li
,
Justin L. Tobias
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 446 KB
Your tags:
english, 2011
15
Bayesian estimation of an extended local scale stochastic volatility model
Philippe J. Deschamps
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 1.75 MB
Your tags:
english, 2011
16
Stick-breaking autoregressive processes
J.E. Griffin
,
M.F.J. Steel
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 704 KB
Your tags:
english, 2011
17
Editorial Board
Journal:
Journal of Econometrics
Year:
2011
Language:
english
File:
PDF, 99 KB
Your tags:
english, 2011
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