The Econometrics Journal

Journal of Financial Econometrics

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

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A spatial analysis of contagion in sovereign credit default swaps Get access

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Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation

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Marginal Effects for Probit and Tobit with Endogeneity

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

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A general diagnostic of the normal approximation in GMM models Get access

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Assessing Tail Risk via a Generalized Conditional Autoregressive Expectile Model Get access

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

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

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

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

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Moran’s I Lasso for models with spatially correlated data

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Gaussian Inference in Predictive Regressions for Stock Returns Get access

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Domain Stabilization for Model-Free Option Implied Moment Estimation Get access

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Serial Dependence Robust Bootstrap Test for Cross-Sectional Correlation Get access

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A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap Get access

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Cross-fitted empirical likelihood on semiparametric models Get access

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Jump Risk Implicit in Options Market Get access

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