The Econometrics Journal

Journal of Financial Econometrics

When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall Get access

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Causal models for longitudinal and panel data: a survey Get access

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A Structural Break in the Aggregate Earnings–Returns Relation Get access

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Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach Get access

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Royal Economic Society Annual Conference 2023 Special Session on Weak Identification

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The 2023 Denis Sargan Econometrics Prize

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Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness Get access

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The maximally selected likelihood ratio test in random coefficient models Get access

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Finite Lag Estimation of Non-Markovian Processes Get access

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Large Sample Estimators of the Stochastic Discount Factor Get access

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Tractable Bayesian estimation of smooth transition vector autoregressive models Get access

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The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach Get access

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A Multicountry Model of the Term Structures of Interest Rates with a GVAR Get access

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Jump Clustering, Information Flows, and Stock Price Efficiency Get access

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Empirical Asset Pricing with Score-Driven Conditional Betas Get access

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COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement Get access

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Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns

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Local projection inference in high dimensions Get access

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