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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
Gallant, A. Ronald - In: Journal of econometrics 45 (1990) 1, pp. 141-179
Persistent link: https://www.econbiz.de/10001332076
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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Multivariate locationscale mixtures of normals and meanvarianceskewness portfolio allocation
Mencía, Javier; Sentana, Enrique - In: Journal of econometrics 153 (2009) 2, pp. 105-121
Persistent link: https://www.econbiz.de/10003920279
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Improved inference in the evaluation of mutual fund performance using panel bootstrap methods
Blake, David; Caulfield, Tristan; Ioannidis, Christos; … - In: Journal of econometrics 183 (2014) 2, pp. 202-210
Persistent link: https://www.econbiz.de/10010506059
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On the network topology of variance decompositions : measuring the connectedness of financial firms
Diebold, Francis X.; Yılmaz, Kamil - In: Journal of econometrics 182 (2014) 1, pp. 119-134
Persistent link: https://www.econbiz.de/10010497110
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What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica; Warusawitharana, Missaka - In: Journal of econometrics 186 (2015) 1, pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - In: Journal of econometrics 212 (2019) 1, pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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High-frequency factor models and regressions
Aït-Sahalia, Yacine; Kalnina, Ilze; Xiu, Dacheng - In: Journal of econometrics 216 (2020) 1, pp. 86-105
Persistent link: https://www.econbiz.de/10012439640
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Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of econometrics 217 (2020) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10012482765