C51 - Model Construction and Estimation

Contributing journals to this collection:
Review of Finance, European Review of Agriculture Economics, The World Bank Economic Review, Journal of Economic Geography, Cambridge Journal of Regions, Economy and Society, American Law and Economics Review, Industrial and Corporate Change, CESifo Economic Studies, The Review of Financial Studies, Contributions to Political Economy, Journal of Financial Econometrics, Journal of Law, Economics, and Organization, Journal of African Economies, Socio-Economic Review, Oxford Economic Papers, The World Bank Research Observer, Oxford Review of Economic Policy, Cambridge Journal of Economics, Journal of Competition Law and Economics, and Review of Environmental Economics and Policy

Citations 21-30 of 56 total displayed.

Past content

Articles
The Stability of Factor Models of Interest Rates

Francesco Audrino, Giovanni Barone-Adesi, and Antonietta Mira
J. Financial Econometrics 2005; 3: 422-441. [Abstract] [Full text] [PDF]  

Articles
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aït-Sahalia, Per A. Mykland, and Lan Zhang
Rev. Financ. Stud. 2005; 18: 351-416. [Abstract] [Full text] [PDF]  

The 2004 Hicks Lecture
Separating uncertainty from heterogeneity in life cycle earnings

Flavio Cunha, James Heckman, and Salvador Navarro
Oxf. Econ. Pap. 2005; 57: 191-261. [Abstract] [Full text] [PDF]  

Articles
Identification of Factor Models for Forecasting Returns

Manfred Deistler and Eva Hamann
J. Financial Econometrics 2005; 3: 256-281. [Abstract] [Full text] [PDF]  

Articles
The Present and Future of Financial Risk Management

Carol Alexander
J. Financial Econometrics 2005; 3: 3-25. [Abstract] [Full text] [PDF]  

Articles
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

Yongmiao Hong and Haitao Li
Rev. Financ. Stud. 2005; 18: 37-84. [Abstract] [Full text] [PDF]  

Articles
Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk

Eric Jacquier, Alex Kane, and Alan J. Marcus
J. Financial Econometrics 2005; 3: 37-55. [Abstract] [Full text] [PDF]  

Articles
Non-linear inflationary dynamics: evidence from the UK

Michael Arghyrou, Christopher Martin, and Costas Milas
Oxf. Econ. Pap. 2005; 57: 51-69. [Abstract] [Full text] [PDF]  

Articles
A New Approach to Markov-Switching GARCH Models

Markus Haas, Stefan Mittnik, and Marc S. Paolella
J. Financial Econometrics 2004; 2: 493-530. [Abstract] [Full text] [PDF]  

Articles
Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach

Peter de Goeij and Wessel Marquering
J. Financial Econometrics 2004; 2: 531-564. [Abstract] [Full text] [PDF]  

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