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subject:"Volatility"
isPartOf:"Journal of applied econometrics"
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ECONIS (ZBW)
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1
Approximating grouped fixed effects estimation via fuzzy clustering regression
Lewis, Daniel J.
;
Melcangi, Davide
;
Pilossoph, Laura
; …
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 1077-1084
Persistent link: https://www.econbiz.de/10014474404
Saved in:
2
Short T dynamic panel data models with individual, time and interactive effects
Hayakawa, Kazuhiko
;
Pesaran, M. Hashem
;
Smith, L. Vanessa
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 940-967
Persistent link: https://www.econbiz.de/10014432201
Saved in:
3
The role of precautionary and speculative demand in the global market for crude oil
Cross, Jamie
;
Bao Hoang Nguyen
;
Trung Duc Tran
- In:
Journal of applied econometrics
37
(
2022
)
5
,
pp. 882-895
Persistent link: https://www.econbiz.de/10013464638
Saved in:
4
Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
Baltagi, Badi H.
;
Egger, Peter
;
Kesina, Michaela
- In:
Journal of applied econometrics
37
(
2022
)
7
,
pp. 1356-1378
Persistent link: https://www.econbiz.de/10013473983
Saved in:
5
Panel data nowcasting : the case of price-earnings ratios
Babii, Andrii
;
Ball, Ryan T.
;
Ghysels, Eric
;
Striaukas, …
- In:
Journal of applied econometrics
39
(
2024
)
2
,
pp. 292-307
Persistent link: https://www.econbiz.de/10014517329
Saved in:
6
Identifying exchange rate effects and spillovers of US monetary policy shocks in the presence of time-varying instrument relevance
Liao, Wenting
;
Ma, Jun
;
Zhang, Chengsi
- In:
Journal of applied econometrics
38
(
2023
)
7
,
pp. 989-1006
Persistent link: https://www.econbiz.de/10014474382
Saved in:
7
Oil prices in the real economy
Shu, Haicheng
;
Spencer, Peter D.
- In:
Journal of applied econometrics
38
(
2023
)
6
,
pp. 878-897
Persistent link: https://www.econbiz.de/10014432198
Saved in:
8
New evidence on the importance of instruction time for student achievement on international assessments
Bietenbeck, Jan
;
Collins, Matthew
- In:
Journal of applied econometrics
38
(
2023
)
3
,
pp. 423-431
Persistent link: https://www.econbiz.de/10014287998
Saved in:
9
Global financial uncertainty
Caggiano, Giovanni
;
Castelnuovo, Efrem
- In:
Journal of applied econometrics
38
(
2023
)
3
,
pp. 432-449
Persistent link: https://www.econbiz.de/10014288000
Saved in:
10
Information gains from using short-dated options for measuring and forecasting volatility
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 368-391
Persistent link: https://www.econbiz.de/10013165240
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11
Commodity prices and inflation risk
Garratt, Anthony
;
Petrella, Ivan
- In:
Journal of applied econometrics
37
(
2022
)
2
,
pp. 392-414
Persistent link: https://www.econbiz.de/10013165243
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12
Common factors of commodity prices
Delle Chiaie, Simona
;
Ferrara, Laurent
;
Giannone, Domenico
- In:
Journal of applied econometrics
37
(
2022
)
3
,
pp. 461-476
Persistent link: https://www.econbiz.de/10013186690
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13
Penalized quantile regression with semiparametric correlated effects : an application with heterogeneous preferences
Harding, Matthew C.
;
Lamarche, Carlos
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 342-358
Persistent link: https://www.econbiz.de/10011689797
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14
Spotting the danger zone : forecasting financial crises with classification tree ensembles and many predictors
Ward, Felix
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 359-378
Persistent link: https://www.econbiz.de/10011690208
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15
Transitions at different moments in time : a spatial probit approach
Elhorst, J. Paul
;
Heijnen, Pim
;
Samarina, Anna
;
Jacobs, Jan
- In:
Journal of applied econometrics
32
(
2017
)
2
,
pp. 422-439
Persistent link: https://www.econbiz.de/10011690252
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16
Weak and strong cross-sectional dependence : a panel data analysis of international technology diffusion
Ertur, Kamil C.
;
Musolesi, Antonio
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 477-503
Persistent link: https://www.econbiz.de/10011690519
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17
Inference on self-exciting jumps in prices and volatility using high-frequency measures
Maneesoonthorn, Worapree
;
Forbes, Catherine Scipione
; …
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 504-532
Persistent link: https://www.econbiz.de/10011694633
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18
The millennium peak in club convergence : a new look at distributional changes in the wealth of nations
Krause, Melanie
- In:
Journal of applied econometrics
32
(
2017
)
3
,
pp. 621-642
Persistent link: https://www.econbiz.de/10011694772
Saved in:
19
Out‐of-sample return predictability : a quantile combination approach
Lima, Luiz Renato
;
Meng, Fanning
- In:
Journal of applied econometrics
32
(
2017
)
4
,
pp. 877-895
Persistent link: https://www.econbiz.de/10011862253
Saved in:
20
Model selection with estimated factors and idiosyncratic components
Fosten, Jack
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1087-1106
Persistent link: https://www.econbiz.de/10011862567
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21
Identifying relevant and irrelevant variables in sparse factor models
Kaufmann, Sylvia
;
Schumacher, Christian
- In:
Journal of applied econometrics
32
(
2017
)
6
,
pp. 1123-1144
Persistent link: https://www.econbiz.de/10011862569
Saved in:
22
Nonparametric methods and local‐time‐based estimation for dynamic power law distributions
Fernholz, Ricardo T.
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1244-1260
Persistent link: https://www.econbiz.de/10011862593
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23
Combining density forecasts using focused scoring rules
Opschoor, Anne
;
Dijk, Dick van
;
Wel, Michel van der
- In:
Journal of applied econometrics
32
(
2017
)
7
,
pp. 1298-1313
Persistent link: https://www.econbiz.de/10011862725
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24
Estimation of dynamic panel data models with cross-sectional dependence : using cluster dependence for efficiency
Verdier, Valentin
- In:
Journal of applied econometrics
31
(
2016
)
1
,
pp. 85-105
Persistent link: https://www.econbiz.de/10011642107
Saved in:
25
Identification of spatial durbin panel models
Lee, Lung-fei
;
Yu, Jihai
- In:
Journal of applied econometrics
31
(
2016
)
1
,
pp. 133-162
Persistent link: https://www.econbiz.de/10011642121
Saved in:
26
Panel data models with grouped factor structure under unknown group membership
Ando, Tomohiro
;
Bai, Jushan
- In:
Journal of applied econometrics
31
(
2016
)
1
,
pp. 163-191
Persistent link: https://www.econbiz.de/10011642138
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27
Firm-level productivity spillovers in China's chemical industry : a spatial Hausman-Taylor approach
Baltagi, Badi H.
;
Egger, Peter
;
Kesina, Michaela
- In:
Journal of applied econometrics
31
(
2016
)
1
,
pp. 214-248
Persistent link: https://www.econbiz.de/10011642147
Saved in:
28
Modelling technical efficiency in cross sectionally dependent stochastic frontier panels
Mastromarco, Camilla
;
Serlenga, Laura
;
Shin, Yongcheol
- In:
Journal of applied econometrics
31
(
2016
)
1
,
pp. 281-297
Persistent link: https://www.econbiz.de/10011642154
Saved in:
29
Simulation estimation of two-tiered dynamic panel tobit models with an application to the labour supply of married women : a comment
Xun, Zhou
;
Lubrano, Michel
- In:
Journal of applied econometrics
31
(
2016
)
4
,
pp. 756-761
Persistent link: https://www.econbiz.de/10011645217
Saved in:
30
Modelling inflation volatility
Eisenstat, Eric
;
Strachan, Rodney W.
- In:
Journal of applied econometrics
31
(
2016
)
5
,
pp. 805-820
Persistent link: https://www.econbiz.de/10011645234
Saved in:
31
Error correction testing in panels with common stochastic trends
Gengenbach, Christian
;
Urbain, Jean-Pierre
;
Westerlund, …
- In:
Journal of applied econometrics
31
(
2016
)
6
,
pp. 982-1004
Persistent link: https://www.econbiz.de/10011686171
Saved in:
32
On the importance of sectoral and regional shocks for price-setting
Beck, Günter W.
;
Hubrich, Kirstin
;
Marcellino, Massimiliano
- In:
Journal of applied econometrics
31
(
2016
)
7
,
pp. 1234-1253
Persistent link: https://www.econbiz.de/10011687460
Saved in:
33
The environmental Kuznets curve, cointegration and nonlinearity
Wagner, Martin
- In:
Journal of applied econometrics
30
(
2015
)
6
,
pp. 948-967
Persistent link: https://www.econbiz.de/10011431676
Saved in:
34
Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.
;
Ravazzolo, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
4
,
pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
Saved in:
35
Effect of FDI and time on catching up : new insights from a conditional nonparametric frontier analysis
Mastromarco, Camilla
;
Simar, Léopold
- In:
Journal of applied econometrics
30
(
2015
)
5
,
pp. 826-847
Persistent link: https://www.econbiz.de/10011334175
Saved in:
36
Hedonic housing prices in Paris : an unbalanced spatial lag pseudo-panel model with nested random effects
Baltagi, Badi H.
;
Bresson, Georges
;
Etienne, Jean-Michel
- In:
Journal of applied econometrics
30
(
2015
)
3
,
pp. 509-528
Persistent link: https://www.econbiz.de/10011327569
Saved in:
37
Volatility of price indices for heterogeneous goods with applications to the fine art market
Bocart, Fabian Y. R.
;
Hafner, Christian M.
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 291-312
Persistent link: https://www.econbiz.de/10011327602
Saved in:
38
DSGE models in the frequency domain
Sala, Luca
- In:
Journal of applied econometrics
30
(
2015
)
2
,
pp. 219-240
Persistent link: https://www.econbiz.de/10011327619
Saved in:
39
Using OLS to estimate and test for structural changes in models with endogenous regressors
Perron, Pierre
;
Yamamoto, Yohei
- In:
Journal of applied econometrics
30
(
2015
)
1
,
pp. 119-144
Persistent link: https://www.econbiz.de/10011327644
Saved in:
40
The dynamics of real exchange rates : a reconsideration
Kaufmann, Hendrik
;
Heinen, Florian
;
Sibbertsen, Philipp
- In:
Journal of applied econometrics
29
(
2014
)
5
,
pp. 758-773
Persistent link: https://www.econbiz.de/10010414852
Saved in:
41
Is economic recovery a myth? : robust estimation of impulse responses
Teulings, Coen N.
;
Zubanov, Nick
- In:
Journal of applied econometrics
29
(
2014
)
3
,
pp. 497-514
Persistent link: https://www.econbiz.de/10010414882
Saved in:
42
The role of inventories and speculative trading in the global market for crude oil
Kilian, Lutz
;
Murphy, Daniel P.
- In:
Journal of applied econometrics
29
(
2014
)
3
,
pp. 454-478
Persistent link: https://www.econbiz.de/10010414884
Saved in:
43
The predictability of aggregate consumption growth in OECD countries : a panel data analysis
Everaert, Gerdie
;
Pozzi, Lorenzo
- In:
Journal of applied econometrics
29
(
2014
)
3
,
pp. 431-453
Persistent link: https://www.econbiz.de/10010414886
Saved in:
44
State dependence and heterogeneity in health using a bias-corrected fixed-effects estimator
Carro, Jesus M.
;
Traferri, Alejandra
- In:
Journal of applied econometrics
29
(
2014
)
2
,
pp. 181-207
Persistent link: https://www.econbiz.de/10010414902
Saved in:
45
How puzzling is the PPP puzzle? : an alternative half-life measure of convergence to PPP
Chortareas, Georgios E.
;
Kapetanios, George
- In:
Journal of applied econometrics
28
(
2013
)
3
,
pp. 435-457
Persistent link: https://www.econbiz.de/10009756501
Saved in:
46
Entry into pharmaceutical submarkets : a Bayesian panel probit analysis
Amisano, Gianni
;
Giorgetti, Maria Letizia
- In:
Journal of applied econometrics
28
(
2013
)
4
,
pp. 667-701
Persistent link: https://www.econbiz.de/10009757108
Saved in:
47
Panel probit with flexible correlated effects : quantifying technology spillovers in the presence of latent heterogeneity
Burda, Martin
;
Harding, Matthew C.
- In:
Journal of applied econometrics
28
(
2013
)
6
,
pp. 956-981
Persistent link: https://www.econbiz.de/10010351089
Saved in:
48
Modelling heterogeneity and dynamics in the volatility of individual wages
Hospido, Laura
- In:
Journal of applied econometrics
27
(
2012
)
3
,
pp. 386-414
Persistent link: https://www.econbiz.de/10009618608
Saved in:
49
Realized GARCH: a joint model for returns and realized measures of volatility
Hansen, Peter Reinhard
;
Huang, Zhuo
;
Shek, Howard Howan
- In:
Journal of applied econometrics
27
(
2012
)
6
,
pp. 877-906
Persistent link: https://www.econbiz.de/10010219741
Saved in:
50
Stochastic monotonicity in intergenerational mobility tables
Dardanoni, Valentino
;
Fiorini, Mario
;
Forcina, Antonio
- In:
Journal of applied econometrics
27
(
2012
)
1
,
pp. 85-107
Persistent link: https://www.econbiz.de/10009564833
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