Volume 24; Issue 5

Econometric Theory

Volume 24; Issue 5
4

NONPARAMETRIC ESTIMATION OF THE DIFFUSION COEFFICIENT OF STOCHASTIC VOLATILITY MODELS

Renò, Roberto
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 846 KB
english, 2008
5

NONPARAMETRIC ESTIMATION OF VARYING COEFFICIENT DYNAMIC PANEL DATA MODELS

Cai, Zongwu, Li, Qi
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 186 KB
english, 2008
6

THE A.R. BERGSTROM PRIZE IN ECONOMETRICS: 2007

Hall, V.B., Phillips, P.C.B.
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 35 KB
english, 2008
7

FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS

da Silva, Afonso Gonçalves, Robinson, Peter M.
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 412 KB
english, 2008
8

ESTIMATING PANEL DATA DURATION MODELS WITH CENSORED DATA

Lee, Sokbae
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 175 KB
english, 2008
10

NEAR-INTEGRATED RANDOM COEFFICIENT AUTOREGRESSIVE TIME SERIES

Aue, Alexander
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 214 KB
english, 2008
11

DETECTION OF FUNCTIONAL FORM MISSPECIFICATION IN COINTEGRATING RELATIONS

Kasparis, Ioannis
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 247 KB
english, 2008
12

ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

Gao, Feng, Song, Fengming
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 173 KB
english, 2008
14

REDUNDANCY OF MOMENT CONDITIONS AND THE EFFICIENCY OF OLS IN SUR MODELS

Qian, Hailong
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 65 KB
english, 2008
15

Nonparametric Estimation of Varying Coefficient Dynamic Panel Data Models

Zongwu Cai and Qi Li
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 1.82 MB
english, 2008
16

Back Matter

Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 895 KB
english, 2008
18

Estimation Risk in GARCH VaR and ES Estimates

Feng Gao and Fengming Song
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 1.73 MB
english, 2008
19

Estimating Panel Data Duration Models with Censored Data

Sokbae Lee
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 1.90 MB
english, 2008
21

Detection of Functional Form Misspecification in Cointegrating Relations

Ioannis Kasparis
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 2.60 MB
english, 2008
22

Near-Integrated Random Coefficient Autoregressive Time Series

Alexander Aue
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 2.01 MB
english, 2008
23

Nonparametric Estimation of the Diffusion Coefficient of Stochastic Volatility Models

Roberto Renò
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 2.59 MB
english, 2008
25

Fractional Cointegration in Stochastic Volatility Models

Afonso Gonçalves da Silva and Peter M. Robinson
Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 3.37 MB
english, 2008
26

Front Matter

Journal:
Econometric Theory
Year:
2008
Language:
english
File:
PDF, 640 KB
english, 2008