Journal of Business & Economic Statistics, Volume 34, Issue 4 (2016)

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Journal of Business & Economic Statistics, Volume 34, Issue 4 (2016)

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Special Issue on Big Data

Introductions

Introduction
Special Issue on Big Data
Jushan Bai, Jianqing Fan & Ruey Tsay
Pages: 487-488
Published online: 15 Sep 2016
CitationforSpecial Issue on Big Data | Full Text | PDF (43.7 KB)
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Original Articles

Article
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
Jianqing Fan, Alex Furger & Dacheng Xiu
Pages: 489-503
Published online: 15 Sep 2016
AbstractforIncorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data | Full Text | References | PDF (582.5 KB)
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Article
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice
Asger Lunde, Neil Shephard & Kevin Sheppard
Pages: 504-518
Published online: 15 Sep 2016
AbstractforEconometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice | Full Text | References | PDF (687.5 KB)
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Article
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
Jianqing Fan, Michael B. Imerman & Wei Dai
Pages: 519-535
Published online: 15 Sep 2016
AbstractforWhat Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? | Full Text | References | PDF (406.2 KB) | Supplemental
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Article
Default Correlations and Large-Portfolio Credit Analysis
Jin-Chuan Duan & Weimin Miao
Pages: 536-546
Published online: 15 Sep 2016
AbstractforDefault Correlations and Large-Portfolio Credit Analysis | Full Text | References | PDF (669 KB) | Supplemental
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Article
Distillation of News Flow Into Analysis of Stock Reactions
Junni L. Zhang, Wolfgang K. Härdle, Cathy Y. Chen & Elisabeth Bommes
Pages: 547-563
Published online: 15 Sep 2016
AbstractforDistillation of News Flow Into Analysis of Stock Reactions | Full Text | References | PDF (879.8 KB) | Supplemental
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Article
Modeling Multivariate Volatilities via Latent Common Factors
Weiming Li, Jing Gao, Kunpeng Li & Qiwei Yao
Pages: 564-573
Published online: 15 Sep 2016
AbstractforModeling Multivariate Volatilities via Latent Common Factors | Full Text | References | PDF (710.2 KB)
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Article
FRED-MD: A Monthly Database for Macroeconomic Research
Michael W. McCracken & Serena Ng
Pages: 574-589
Published online: 15 Sep 2016
AbstractforFRED-MD: A Monthly Database for Macroeconomic Research | Full Text | References | PDF (474.9 KB)
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Article
Inference in High-Dimensional Panel Models With an Application to Gun Control
Alexandre Belloni, Victor Chernozhukov, Christian Hansen & Damian Kozbur
Pages: 590-605
Published online: 15 Sep 2016
AbstractforInference in High-Dimensional Panel Models With an Application to Gun Control | Full Text | References | PDF (275.1 KB) | Supplemental
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Article
Post-Selection Inference for Generalized Linear Models With Many Controls
Alexandre Belloni, Victor Chernozhukov & Ying Wei
Pages: 606-619
Published online: 15 Sep 2016
AbstractforPost-Selection Inference for Generalized Linear Models With Many Controls | Full Text | References | PDF (925.8 KB) | Supplemental
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Article
Estimation and Inference of FAVAR Models
Jushan Bai, Kunpeng Li & Lina Lu
Pages: 620-641
Published online: 15 Sep 2016
AbstractforEstimation and Inference of FAVAR Models | Full Text | References | PDF (398.5 KB) | Supplemental
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Article
Bayesian Analysis of Spatial Panel Autoregressive Models With Time-Varying Endogenous Spatial Weight Matrices, Common Factors, and Random Coefficients
Xiaoyi Han & Lung-Fei Lee
Pages: 642-660
Published online: 15 Sep 2016
AbstractforBayesian Analysis of Spatial Panel Autoregressive Models With Time-Varying Endogenous Spatial Weight Matrices, Common Factors, and Random Coefficients | Full Text | References | PDF (1,000.2 KB)
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Article
A Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation
Matt Taddy, Matt Gardner, Liyun Chen & David Draper
Pages: 661-672
Published online: 15 Sep 2016
AbstractforA Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation | Full Text | References | PDF (393.4 KB)
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Article
Some Methods for Analyzing Big Dependent Data
Ruey S. Tsay
Pages: 673-688
Published online: 15 Sep 2016
AbstractforSome Methods for Analyzing Big Dependent Data | Full Text | References | PDF (1.4 MB)
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List of Reviewers

Editorial Collaborators
Pages: 689-692
Published online: 15 Sep 2016
First Page PreviewforEditorial Collaborators | Full Text | PDF (52.3 KB)
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Miscellaneous

Editorial Board EOV
Page: ebi
Published online: 15 Sep 2016
CitationforEditorial Board EOV | Full Text | PDF (41.6 KB)
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