Asai, Manabu; Chang, Chia-Lin; McAleer, Michael Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers. (English) Zbl 07491160 J. Econom. 227, No. 1, 285-304 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Asai} et al., J. Econom. 227, No. 1, 285--304 (2022; Zbl 07491160) Full Text: DOI
Wang, Guochang; Zhu, Ke; Li, Guodong; Li, Wai Keung Hybrid quantile estimation for asymmetric power GARCH models. (English) Zbl 07491159 J. Econom. 227, No. 1, 264-284 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{G. Wang} et al., J. Econom. 227, No. 1, 264--284 (2022; Zbl 07491159) Full Text: DOI arXiv
Cavaliere, Giuseppe; Nielsen, Heino Bohn; Pedersen, Rasmus Søndergaard; Rahbek, Anders Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (English) Zbl 07491158 J. Econom. 227, No. 1, 241-263 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{G. Cavaliere} et al., J. Econom. 227, No. 1, 241--263 (2022; Zbl 07491158) Full Text: DOI Link
Zhang, Xingfa; Zhang, Rongmao; Li, Yuan; Ling, Shiqing LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise. (English) Zbl 07491157 J. Econom. 227, No. 1, 228-240 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{X. Zhang} et al., J. Econom. 227, No. 1, 228--240 (2022; Zbl 07491157) Full Text: DOI
Hafner, Christian M.; Herwartz, Helmut; Maxand, Simone Identification of structural multivariate GARCH models. (English) Zbl 07491156 J. Econom. 227, No. 1, 212-227 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. M. Hafner} et al., J. Econom. 227, No. 1, 212--227 (2022; Zbl 07491156) Full Text: DOI
Zhang, Congshan; Li, Jia; Bollerslev, Tim Occupation density estimation for noisy high-frequency data. (English) Zbl 07491155 J. Econom. 227, No. 1, 189-211 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Zhang} et al., J. Econom. 227, No. 1, 189--211 (2022; Zbl 07491155) Full Text: DOI
Wang, Christina Dan; Chen, Zhao; Lian, Yimin; Chen, Min Asset selection based on high frequency Sharpe ratio. (English) Zbl 07491154 J. Econom. 227, No. 1, 168-188 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. D. Wang} et al., J. Econom. 227, No. 1, 168--188 (2022; Zbl 07491154) Full Text: DOI
So, Mike K. P.; Chan, Thomas W. C.; Chu, Amanda M. Y. Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management. (English) Zbl 07491153 J. Econom. 227, No. 1, 151-167 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. K. P. So} et al., J. Econom. 227, No. 1, 151--167 (2022; Zbl 07491153) Full Text: DOI
Bandi, Federico M.; Renò, Roberto \(\beta\) in the tails. (English) Zbl 07491152 J. Econom. 227, No. 1, 134-150 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. M. Bandi} and \textit{R. Renò}, J. Econom. 227, No. 1, 134--150 (2022; Zbl 07491152) Full Text: DOI
Cai, Zongwu; Fang, Ying; Xu, Qiuhua Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (English) Zbl 07491151 J. Econom. 227, No. 1, 114-133 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{Z. Cai} et al., J. Econom. 227, No. 1, 114--133 (2022; Zbl 07491151) Full Text: DOI Link
Demetrescu, Matei; Georgiev, Iliyan; Rodrigues, Paulo M. M.; Taylor, A. M. Robert Testing for episodic predictability in stock returns. (English) Zbl 07491150 J. Econom. 227, No. 1, 85-113 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{M. Demetrescu} et al., J. Econom. 227, No. 1, 85--113 (2022; Zbl 07491150) Full Text: DOI
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc A time-varying parameter model for local explosions. (English) Zbl 07491149 J. Econom. 227, No. 1, 65-84 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{F. Blasques} et al., J. Econom. 227, No. 1, 65--84 (2022; Zbl 07491149) Full Text: DOI Link
Francq, Christian; Zakoïan, Jean-Michel Testing the existence of moments for GARCH processes. (English) Zbl 07491148 J. Econom. 227, No. 1, 47-64 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{C. Francq} and \textit{J.-M. Zakoïan}, J. Econom. 227, No. 1, 47--64 (2022; Zbl 07491148) Full Text: DOI Link
Lieberman, Offer; Phillips, Peter C. B. Understanding temporal aggregation effects on kurtosis in financial indices. (English) Zbl 07491147 J. Econom. 227, No. 1, 25-46 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{O. Lieberman} and \textit{P. C. B. Phillips}, J. Econom. 227, No. 1, 25--46 (2022; Zbl 07491147) Full Text: DOI
Wan, Phyllis; Davis, Richard A. Goodness-of-fit testing for time series models via distance covariance. (English) Zbl 07491146 J. Econom. 227, No. 1, 4-24 (2022). MSC: 62-XX 91-XX PDFBibTeX XMLCite \textit{P. Wan} and \textit{R. A. Davis}, J. Econom. 227, No. 1, 4--24 (2022; Zbl 07491146) Full Text: DOI arXiv
Andersen, Torben G. (ed.); Chang, Chia-Lin (ed.); Ling, Shiqing (ed.) Editorial. Overview: Time series analysis of higher moments and distributions of financial data. (English) Zbl 1481.00035 J. Econom. 227, No. 1, 1-3 (2022). MSC: 00B25 62-06 62M10 62P05 91-06 PDFBibTeX XMLCite \textit{T. G. Andersen} (ed.) et al., J. Econom. 227, No. 1, 1--3 (2022; Zbl 1481.00035) Full Text: DOI