Handbook of econometrics. Vol. 4

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Publication date: 10 April 2002

Published in: Handbooks in Economics (Search for Journal in Brave)

Applications of statistics to economics (62P20) Economic time series analysis (91B84) General reference works (handbooks, dictionaries, bibliographies, etc.) pertaining to statistics (62-00)

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Meta-analysis of independent datasets using constrained generalised method of moments ⋮ Finite-sample refinement of GMM approach to nonlinear models under heteroskedasticity of unknown form ⋮ Empirical Characteristic Function Estimation and Its Applications ⋮ Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification ⋮ ESTIMATORS FOR PERSISTENT AND POSSIBLY NONSTATIONARY DATA WITH CLASSICAL PROPERTIES ⋮ A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects ⋮ TESTING FOR TREATMENT DEPENDENCE OF EFFECTS OF A CONTINUOUS TREATMENT ⋮ Generalized moment estimation of stochastic differential equations ⋮ Evaluating financial time series models for irregularly spaced data: a spectral density approach ⋮ ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS ⋮ A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Level-based estimation of dynamic panel models ⋮ Bayesian estimation of generalized hyperbolic skewed student GARCH models ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ A spectral estimation of tempered stable stochastic volatility models and option pricing ⋮ Semi-parametric extensions of the Cairns-Blake-Dowd model: a one-dimensional kernel smoothing approach ⋮ Epistemic uncertainty quantification in deep learning classification by the delta method ⋮ Logistic regression analysis of two‐phase studies using generalized method of moments ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ On identifying structural VAR models via ARCH effects ⋮ Graphical modelling of multivariate time series ⋮ The story of GARCH: a personal odyssey ⋮ ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION ⋮ NEYMAN’S C(α) TEST FOR UNOBSERVED HETEROGENEITY ⋮ Exact testing in multivariate regression ⋮ Conditional VaR estimation using Pearson's type IV distribution ⋮ GARCH option pricing: A semiparametric approach ⋮ Weighted-average least squares estimation of generalized linear models ⋮ Exploring the dynamics of financial markets: from stock prices to strategy returns ⋮ Adaptive Cascade ⋮ Generalized method of moments for an extended gamma process ⋮ The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models ⋮ Evaluating volatility forecasts in option pricing in the context of a simulated options market ⋮ A conditional extreme value volatility estimator based on high-frequency returns ⋮ On some properties of Markov chain Monte Carlo simulation methods based on the particle filter ⋮ NONPARAMETRIC TESTS OF MOMENT CONDITION STABILITY ⋮ The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study ⋮ Three-factor profile analysis with GARCH innovations ⋮ Data-based ranking of realised volatility estimators ⋮ The use of GARCH models in VaR estimation ⋮ Patterns of macroeconomic indicators preceding the unemployment rise in Western Europe and the USA ⋮ ASYMPTOTIC THEORY FOR NONLINEAR QUANTILE REGRESSION UNDER WEAK DEPENDENCE ⋮ CAUSAL ANALYSIS AFTER HAAVELMO ⋮ On matricial measures of dependence in vector ARCH models with applications to diagnostic checking ⋮ Density estimation using inverse and reciprocal inverse Gaussian kernels ⋮ Semiparametric efficient estimation for the auxiliary outcome problem with the conditional mean model ⋮ Random cascades on wavelet trees and their use in analyzing and modeling natural images ⋮ Weighting Method for a Linear Mixed Model ⋮ Forecasting volatility in bitcoin market ⋮ The fine structure of volatility feedback. 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I: Multi-scale self-reflexivity ⋮ Evolutionary model of stock markets ⋮ Sample selection models for count data in R ⋮ SEMIPARAMETRIC ESTIMATION OF PARTIALLY LINEAR TRANSFORMATION MODELS UNDER CONDITIONAL QUANTILE RESTRICTION ⋮ Volatility forecast comparison using imperfect volatility proxies ⋮ Bayesian estimation of an extended local scale stochastic volatility model ⋮ Modelling dynamic portfolio risk using risk drivers of elliptical processes ⋮ Clustering heteroskedastic time series by model-based procedures ⋮ TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS ⋮ SMALL BANDWIDTH ASYMPTOTICS FOR DENSITY-WEIGHTED AVERAGE DERIVATIVES ⋮ NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000) ⋮ Semiparametrically efficient estimation of the average linear regression function ⋮ Quasi-maximum likelihood estimation of short panel data models with time-varying individual effects ⋮ Fitting High-Dimensional Copulae to Data ⋮ Deciding between GARCH and stochastic volatility via strong decision rules ⋮ The risk return relationship: evidence from index returns and realised variances ⋮ IDENTIFICATION IN DISCRETE MARKOV DECISION MODELS ⋮ Bayesian regression with nonparametric heteroskedasticity ⋮ Testing the stable Paretian assumption ⋮ ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS

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