Journal of Business & Economic Statistics, Volume 38, Issue 2 (2020)

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Journal of Business & Economic Statistics, Volume 38, Issue 2 (2020)

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Original Articles

Article
Testing for an Omitted Multiplicative Long-Term Component in GARCH Models
Christian Conrad & Melanie Schienle
Pages: 229-242
Published online: 07 Sep 2018
AbstractforTesting for an Omitted Multiplicative Long-Term Component in GARCH Models | Full Text | References | PDF (907.4 KB) | EPUB | Supplemental
  • 978 Views
  • 10 CrossRef citations
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Article
A Stochastic Frontier Model with Endogenous Treatment Status and Mediator
Yi-Ting Chen, Yu-Chin Hsu & Hung-Jen Wang
Pages: 243-256
Published online: 05 Nov 2018
AbstractforA Stochastic Frontier Model with Endogenous Treatment Status and Mediator | Full Text | References | PDF (890.6 KB) | EPUB | Supplemental
  • 1110 Views
  • 8 CrossRef citations
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Article
Flexible Mixture-Amount Models Using Multivariate Gaussian Processes
Aiste Ruseckaite, Dennis Fok & Peter Goos
Pages: 257-271
Published online: 29 Oct 2018
AbstractforFlexible Mixture-Amount Models Using Multivariate Gaussian Processes | Full Text | References | PDF (1.4 MB) | EPUB | Supplemental
  • 464 Views
  • 3 CrossRef citations
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Article
Dynamic Effects of Credit Shocks in a Data-Rich Environment
Jean Boivin, Marc P. Giannoni & Dalibor Stevanović
Pages: 272-284
Published online: 10 Oct 2018
AbstractforDynamic Effects of Credit Shocks in a Data-Rich Environment | Full Text | References | PDF (1.8 MB) | EPUB | Supplemental
  • 1130 Views
  • 5 CrossRef citations
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Article
Markov-Switching Three-Pass Regression Filter
Pierre Guérin, Danilo Leiva-Leon & Massimiliano Marcellino
Pages: 285-302
Published online: 16 Oct 2018
AbstractforMarkov-Switching Three-Pass Regression Filter | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 1229 Views
  • 38 CrossRef citations
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Article
Identification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching
Bryan S. Graham, Guido W. Imbens & Geert Ridder
Pages: 303-316
Published online: 23 Oct 2018
AbstractforIdentification and Efficiency Bounds for the Average Match Function Under Conditionally Exogenous Matching | Full Text | References | PDF (646 KB) | EPUB
  • 449 Views
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Article
A Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing?
David A. Jaeger, Theodore J. Joyce & Robert Kaestner
Pages: 317-326
Published online: 16 Oct 2018
AbstractforA Cautionary Tale of Evaluating Identifying Assumptions: Did Reality TV Really Cause a Decline in Teenage Childbearing? | Full Text | References | PDF (661.7 KB) | EPUB
  • 2784 Views
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Article
Learning and Index Option Returns
Alejandro Bernales, Gonzalo Cortazar, Luka Salamunic & George Skiadopoulos
Pages: 327-339
Published online: 16 Oct 2018
AbstractforLearning and Index Option Returns | Full Text | References | PDF (845.5 KB) | EPUB | Supplemental
  • 606 Views
  • 2 CrossRef citations
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Article
Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
Marco Barassi, Lajos Horváth & Yuqian Zhao
Pages: 340-349
Published online: 16 Oct 2018
AbstractforChange‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models | Full Text | References | PDF (1.5 MB) | EPUB | Supplemental
  • 971 Views
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Article
Is a Normal Copula the Right Copula?
Dante Amengual & Enrique Sentana
Pages: 350-366
Published online: 05 Nov 2018
AbstractforIs a Normal Copula the Right Copula? | Full Text | References | PDF (2.6 MB) | EPUB | Supplemental
  • 794 Views
  • 6 CrossRef citations
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Article
A New Approach to Identifying the Real Effects of Uncertainty Shocks
Minchul Shin & Molin Zhong
Pages: 367-379
Published online: 09 Nov 2018
AbstractforA New Approach to Identifying the Real Effects of Uncertainty Shocks | Full Text | References | PDF (1.1 MB) | EPUB | Supplemental
  • 1542 Views
  • 28 CrossRef citations
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Article
Detecting Structural Differences in Tail Dependence of Financial Time Series
Carsten Bormann & Melanie Schienle
Pages: 380-392
Published online: 09 Nov 2018
AbstractforDetecting Structural Differences in Tail Dependence of Financial Time Series | Full Text | References | PDF (1.7 MB) | EPUB | Supplemental
  • 760 Views
  • 3 CrossRef citations
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Article
Words are the New Numbers: A Newsy Coincident Index of the Business Cycle
Leif Anders Thorsrud
Pages: 393-409
Published online: 05 Nov 2018
AbstractforWords are the New Numbers: A Newsy Coincident Index of the Business Cycle | Full Text | References | PDF (3.1 MB) | EPUB | Supplemental
  • 3876 Views
  • 73 CrossRef citations
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Article
The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
Jérôme Lahaye & Christopher Neely
Pages: 410-427
Published online: 09 Nov 2018
AbstractforThe Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited | Full Text | References | PDF (1.8 MB) | EPUB | Supplemental
  • 625 Views
  • 16 CrossRef citations
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Article
Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
M. Hashem Pesaran & Ida Johnsson
Pages: 428-442
Published online: 09 Nov 2018
AbstractforDouble-Question Survey Measures for the Analysis of Financial Bubbles and Crashes | Full Text | References | PDF (1.6 MB) | EPUB | Supplemental
  • 569 Views
  • 1 CrossRef citations
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Article
A Comparison of Two Quantile Models With Endogeneity
Kaspar Wüthrich
Pages: 443-456
Published online: 08 Feb 2019
AbstractforA Comparison of Two Quantile Models With Endogeneity | Full Text | References | PDF (700.7 KB) | EPUB | Supplemental
  • 1238 Views
  • 19 CrossRef citations
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Article
Earnings Dynamics and Measurement Error in Matched Survey and Administrative Data
Dean R. Hyslop & Wilbur Townsend
Pages: 457-469
Published online: 15 Nov 2018
AbstractforEarnings Dynamics and Measurement Error in Matched Survey and Administrative Data | Full Text | References | PDF (835.9 KB) | EPUB
  • 494 Views
  • 9 CrossRef citations
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Article
Real-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula
Rubén Loaiza-Maya & Michael Stanley Smith
Pages: 470-486
Published online: 11 Feb 2019
AbstractforReal-Time Macroeconomic Forecasting With a Heteroscedastic Inversion Copula | Full Text | References | PDF (1.9 MB) | EPUB | Supplemental
  • 889 Views
  • 7 CrossRef citations
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