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Publisher: Cambridge University Press   (Total: 373 journals)

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Showing 1 - 200 of 373 Journals sorted alphabetically
Acta Neuropsychiatrica     Hybrid Journal   (Followers: 4, SJR: 0.733, CiteScore: 2)
Acta Numerica     Hybrid Journal   (Followers: 3, SJR: 6.709, CiteScore: 10)
Advances in Animal Biosciences     Full-text available via subscription   (Followers: 11)
Advances in Applied Mathematics and Mechanics     Full-text available via subscription   (SJR: 0.441, CiteScore: 1)
Aeronautical J., The     Hybrid Journal   (Followers: 4)
Africa     Hybrid Journal   (Followers: 20, SJR: 0.582, CiteScore: 1)
African Studies Review     Full-text available via subscription   (Followers: 19, SJR: 0.437, CiteScore: 1)
Ageing & Society     Hybrid Journal   (Followers: 40, SJR: 0.756, CiteScore: 2)
Agricultural and Resource Economics Review     Open Access   (Followers: 5, SJR: 0.414, CiteScore: 1)
AI EDAM     Hybrid Journal   (Followers: 1, SJR: 0.375, CiteScore: 1)
AJS Review     Full-text available via subscription   (Followers: 2, SJR: 0.128, CiteScore: 0)
American Political Science Review     Hybrid Journal   (Followers: 288, SJR: 5.587, CiteScore: 4)
Anatolian Studies     Full-text available via subscription   (Followers: 4, SJR: 0.528, CiteScore: 1)
Ancient Mesoamerica     Hybrid Journal   (Followers: 10, SJR: 0.478, CiteScore: 1)
Anglo-Saxon England     Hybrid Journal   (Followers: 34, SJR: 0.1, CiteScore: 0)
animal     Hybrid Journal   (Followers: 3, SJR: 0.842, CiteScore: 2)
Animal Health Research Reviews     Hybrid Journal   (Followers: 3, SJR: 0.69, CiteScore: 2)
Animal Science     Full-text available via subscription   (Followers: 9)
Annals of Actuarial Science     Full-text available via subscription   (Followers: 1)
Annual of the British School at Athens     Full-text available via subscription   (Followers: 16, SJR: 0.177, CiteScore: 0)
Annual Review of Applied Linguistics     Hybrid Journal   (Followers: 38, SJR: 3.223, CiteScore: 4)
Antarctic Science     Hybrid Journal   (Followers: 1, SJR: 0.643, CiteScore: 1)
Antichthon     Full-text available via subscription   (Followers: 1, SJR: 0.101, CiteScore: 0)
Antiquaries J., The     Full-text available via subscription   (Followers: 9, SJR: 0.106, CiteScore: 0)
Antiquity     Hybrid Journal   (Followers: 31)
ANZIAM J.     Open Access   (Followers: 1, SJR: 0.216, CiteScore: 0)
Applied Psycholinguistics     Hybrid Journal   (Followers: 22, SJR: 0.945, CiteScore: 2)
APSIPA Transactions on Signal and Information Processing     Open Access   (Followers: 9, SJR: 0.404, CiteScore: 2)
Arabic Sciences and Philosophy     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Arbor Clinical Nutrition Updates     Full-text available via subscription   (Followers: 3)
Archaeological Dialogues     Hybrid Journal   (Followers: 39, SJR: 0.898, CiteScore: 1)
Archaeological Reports     Full-text available via subscription   (Followers: 5, SJR: 0.128, CiteScore: 0)
arq: Architectural Research Quarterly     Hybrid Journal   (Followers: 8, SJR: 0.123, CiteScore: 0)
Asian J. of Comparative Law     Hybrid Journal   (Followers: 11, SJR: 0.129, CiteScore: 0)
Asian J. of Intl. Law     Hybrid Journal   (Followers: 15, SJR: 0.135, CiteScore: 0)
Asian J. of Law and Society     Hybrid Journal   (Followers: 7, SJR: 0.195, CiteScore: 0)
Astin Bulletin     Full-text available via subscription   (Followers: 1, SJR: 0.878, CiteScore: 1)
Australasian J. of Organisational Psychology     Hybrid Journal   (Followers: 9, SJR: 0.154, CiteScore: 1)
Australasian J. of Special Education     Full-text available via subscription   (Followers: 8, SJR: 0.187, CiteScore: 0)
Australian J. of Environmental Education     Full-text available via subscription   (Followers: 8, SJR: 0.403, CiteScore: 1)
Australian J. of Indigenous Education, The     Full-text available via subscription   (Followers: 10, SJR: 0.26, CiteScore: 1)
Australian J. of Rehabilitation Counseling     Full-text available via subscription   (Followers: 4, SJR: 0.144, CiteScore: 0)
Austrian History Yearbook     Full-text available via subscription   (Followers: 9, SJR: 0.161, CiteScore: 0)
Behavioral and Brain Sciences     Hybrid Journal   (Followers: 36, SJR: 0.595, CiteScore: 1)
Behaviour Change     Full-text available via subscription   (Followers: 13, SJR: 0.508, CiteScore: 1)
Behavioural and Cognitive Psychotherapy     Hybrid Journal   (Followers: 157, SJR: 0.976, CiteScore: 2)
Bilingualism: Language and Cognition     Hybrid Journal   (Followers: 39, SJR: 1.446, CiteScore: 2)
Biofilms     Full-text available via subscription   (Followers: 1)
Bird Conservation Intl.     Hybrid Journal   (Followers: 25, SJR: 0.581, CiteScore: 1)
BJPsych Advances     Full-text available via subscription   (Followers: 55, SJR: 0.275, CiteScore: 0)
BJPsych Intl.     Open Access   (Followers: 2)
BJPsych Open     Open Access   (Followers: 1)
Brain Impairment     Full-text available via subscription   (Followers: 2, SJR: 0.321, CiteScore: 1)
Breast Cancer Online     Full-text available via subscription   (Followers: 3)
Britannia     Full-text available via subscription   (Followers: 8, SJR: 0.111, CiteScore: 0)
British Actuarial J.     Full-text available via subscription  
British Catholic History     Hybrid Journal   (Followers: 1, SJR: 0.133, CiteScore: 1)
British J. for the History of Science     Hybrid Journal   (Followers: 24, SJR: 0.235, CiteScore: 0)
British J. of Anaesthetic and Recovery Nursing     Full-text available via subscription   (Followers: 8)
British J. of Music Education     Hybrid Journal   (Followers: 24, SJR: 0.564, CiteScore: 1)
British J. Of Nutrition     Hybrid Journal   (Followers: 82, SJR: 1.612, CiteScore: 4)
British J. of Political Science     Hybrid Journal   (Followers: 189, SJR: 4.661, CiteScore: 4)
British J. of Psychiatry     Hybrid Journal   (Followers: 203, SJR: 2.844, CiteScore: 3)
Bulletin of Entomological Research     Hybrid Journal   (Followers: 12, SJR: 0.805, CiteScore: 2)
Bulletin of Symbolic Logic     Full-text available via subscription   (Followers: 2, SJR: 0.555, CiteScore: 1)
Bulletin of the Australian Mathematical Society     Full-text available via subscription   (Followers: 1, SJR: 0.44, CiteScore: 0)
Bulletin of the School of Oriental and African Studies     Hybrid Journal   (Followers: 21, SJR: 0.146, CiteScore: 0)
Business and Human Rights J.     Full-text available via subscription   (Followers: 4, SJR: 0.536, CiteScore: 1)
Business Ethics Quarterly     Full-text available via subscription   (Followers: 14, SJR: 1.098, CiteScore: 2)
Business History Review     Hybrid Journal   (Followers: 15, SJR: 0.347, CiteScore: 1)
Cambridge Archaeological J.     Hybrid Journal   (Followers: 136, SJR: 1.121, CiteScore: 1)
Cambridge Classical J.     Full-text available via subscription   (Followers: 20, SJR: 0.101, CiteScore: 0)
Cambridge J. of Postcolonial Literary Inquiry     Hybrid Journal   (Followers: 7)
Cambridge Law J.     Hybrid Journal   (Followers: 183, SJR: 0.213, CiteScore: 0)
Cambridge Opera J.     Hybrid Journal   (Followers: 4, SJR: 0.14, CiteScore: 0)
Cambridge Quarterly of Healthcare Ethics     Hybrid Journal   (Followers: 11, SJR: 0.299, CiteScore: 1)
Camden Fifth Series     Full-text available via subscription   (Followers: 3)
Canadian Entomologist     Hybrid Journal   (Followers: 5, SJR: 0.482, CiteScore: 1)
Canadian J. of Emergency Medicine     Hybrid Journal   (Followers: 13, SJR: 0.624, CiteScore: 1)
Canadian J. of Law & Jurisprudence     Full-text available via subscription   (Followers: 11, SJR: 0.237, CiteScore: 0)
Canadian J. of Law and Society     Hybrid Journal   (Followers: 20, SJR: 0.259, CiteScore: 1)
Canadian J. of Neurological Sciences     Full-text available via subscription   (SJR: 0.549, CiteScore: 1)
Canadian J. of Political Science/Revue canadienne de science politique     Full-text available via subscription   (Followers: 23, SJR: 0.385, CiteScore: 1)
Canadian J. on Aging     Hybrid Journal   (Followers: 11, SJR: 0.426, CiteScore: 1)
Canadian Yearbook of Intl. Law / Annuaire canadien de droit international     Full-text available via subscription   (Followers: 2)
Cardiology in the Young     Hybrid Journal   (Followers: 33, SJR: 0.372, CiteScore: 1)
Central European History     Full-text available via subscription   (Followers: 32, SJR: 0.159, CiteScore: 0)
Children Australia     Partially Free   (Followers: 2, SJR: 0.255, CiteScore: 0)
China Quarterly     Hybrid Journal   (Followers: 51, SJR: 2.289, CiteScore: 3)
Chinese J. of Agricultural Biotechnology     Full-text available via subscription   (Followers: 4)
Church History: Studies in Christianity and Culture     Full-text available via subscription   (Followers: 70, SJR: 0.106, CiteScore: 0)
Classical Quarterly     Full-text available via subscription   (Followers: 33, SJR: 0.204, CiteScore: 0)
Classical Review     Full-text available via subscription   (Followers: 27)
CNS Spectrums     Hybrid Journal   (Followers: 3, SJR: 1.391, CiteScore: 3)
Cognitive Behaviour Therapist     Hybrid Journal   (Followers: 13)
Combinatorics, Probability and Computing     Hybrid Journal   (Followers: 4, SJR: 0.839, CiteScore: 1)
Communications in Computational Physics     Full-text available via subscription   (Followers: 2, SJR: 1.048, CiteScore: 2)
Comparative Studies in Society and History     Full-text available via subscription   (Followers: 47, SJR: 0.585, CiteScore: 1)
Compositio Mathematica     Full-text available via subscription   (Followers: 1, SJR: 3.139, CiteScore: 1)
Contemporary European History     Hybrid Journal   (Followers: 26, SJR: 0.263, CiteScore: 1)
Continuity and Change     Hybrid Journal   (Followers: 12, SJR: 0.107, CiteScore: 0)
Dance Research J.     Full-text available via subscription   (Followers: 10, SJR: 0.211, CiteScore: 0)
Development and Psychopathology     Hybrid Journal   (Followers: 9, SJR: 2.068, CiteScore: 4)
Dialogue Canadian Philosophical Review/Revue canadienne de philosophie     Full-text available via subscription   (Followers: 4, SJR: 0.156, CiteScore: 0)
Diamond Light Source Proceedings     Full-text available via subscription   (Followers: 1)
Disaster Medicine and Public Health Preparedness     Hybrid Journal   (Followers: 13, SJR: 0.471, CiteScore: 1)
Du Bois Review: Social Science Research on Race     Full-text available via subscription   (Followers: 9, SJR: 0.561, CiteScore: 1)
Early China     Hybrid Journal   (Followers: 3)
Early Music History     Hybrid Journal   (Followers: 9, SJR: 0.101, CiteScore: 0)
Earth and Environmental Science Transactions of the Royal Society of Edinburgh     Hybrid Journal   (Followers: 5)
East Asian J. on Applied Mathematics     Full-text available via subscription   (SJR: 0.418, CiteScore: 1)
Ecclesiastical Law J.     Full-text available via subscription   (Followers: 6, SJR: 0.114, CiteScore: 0)
Econometric Theory     Hybrid Journal   (Followers: 17, SJR: 2.915, CiteScore: 1)
Economics and Philosophy     Hybrid Journal   (Followers: 14, SJR: 0.622, CiteScore: 1)
Edinburgh J. of Botany     Hybrid Journal   (SJR: 0.283, CiteScore: 1)
Eighteenth-Century Music     Hybrid Journal   (Followers: 12, SJR: 0.113, CiteScore: 0)
English Language and Linguistics     Hybrid Journal   (Followers: 24, SJR: 0.52, CiteScore: 1)
English Profile J.     Hybrid Journal   (Followers: 2)
English Today     Hybrid Journal   (Followers: 10, SJR: 0.279, CiteScore: 0)
Enterprise & Society : The Intl. J. of Business History     Hybrid Journal   (Followers: 17, SJR: 0.245, CiteScore: 1)
Environment and Development Economics     Hybrid Journal   (Followers: 35, SJR: 0.617, CiteScore: 1)
Environmental Conservation     Hybrid Journal   (Followers: 60, SJR: 1.028, CiteScore: 2)
Environmental Practice     Full-text available via subscription   (Followers: 3, SJR: 0.145, CiteScore: 0)
Epidemiology & Infection     Hybrid Journal   (Followers: 16, SJR: 1.128, CiteScore: 2)
Epidemiology and Psychiatric Sciences     Hybrid Journal   (Followers: 3, SJR: 1.494, CiteScore: 2)
Episteme     Hybrid Journal   (Followers: 12, SJR: 0.756, CiteScore: 1)
Equine and Comparative Exercise Physiology     Full-text available via subscription   (Followers: 8)
Ergodic Theory and Dynamical Systems     Hybrid Journal   (Followers: 2, SJR: 1.193, CiteScore: 1)
Ethics & Intl. Affairs     Full-text available via subscription   (Followers: 14, SJR: 0.557, CiteScore: 1)
European Constitutional Law Review (EuConst)     Full-text available via subscription   (Followers: 35, SJR: 1.009, CiteScore: 1)
European J. of Applied Mathematics     Hybrid Journal   (SJR: 0.52, CiteScore: 1)
European J. of Sociology     Hybrid Journal   (Followers: 34, SJR: 0.643, CiteScore: 1)
European Political Science Review     Hybrid Journal   (Followers: 25, SJR: 1.816, CiteScore: 2)
European Review     Hybrid Journal   (Followers: 17, SJR: 0.131, CiteScore: 0)
Experimental Agriculture     Hybrid Journal   (Followers: 13, SJR: 0.542, CiteScore: 1)
Expert Reviews in Molecular Medicine     Hybrid Journal   (Followers: 1, SJR: 1.647, CiteScore: 4)
Fetal and Maternal Medicine Review     Hybrid Journal   (Followers: 4)
Financial History Review     Full-text available via subscription   (Followers: 15, SJR: 0.238, CiteScore: 1)
Foreign Policy Bulletin     Hybrid Journal   (Followers: 6)
Forum of Mathematics, Pi     Open Access   (Followers: 1)
Forum of Mathematics, Sigma     Open Access   (Followers: 1)
Genetics Research     Hybrid Journal   (Followers: 4, SJR: 0.483, CiteScore: 1)
Geological Magazine     Hybrid Journal   (Followers: 16, SJR: 0.966, CiteScore: 2)
Glasgow Mathematical J.     Full-text available via subscription   (Followers: 1, SJR: 0.604, CiteScore: 0)
Global Constitutionalism     Hybrid Journal   (Followers: 17)
Global Mental Health     Open Access   (Followers: 8)
Government and Opposition     Full-text available via subscription   (Followers: 21, SJR: 0.965, CiteScore: 2)
Greece & Rome     Partially Free   (Followers: 24, SJR: 0.113, CiteScore: 0)
Hague J. on the Rule of Law     Full-text available via subscription   (Followers: 14, SJR: 0.271, CiteScore: 1)
Harvard Theological Review     Full-text available via subscription   (Followers: 68, SJR: 0.165, CiteScore: 0)
Health Economics, Policy and Law     Hybrid Journal   (Followers: 25, SJR: 0.745, CiteScore: 1)
Hegel Bulletin     Full-text available via subscription   (Followers: 2)
High Power Laser Science and Engineering     Open Access   (Followers: 3, SJR: 0.901, CiteScore: 3)
Historical J.     Hybrid Journal   (Followers: 35, SJR: 0.247, CiteScore: 1)
History in Africa     Full-text available via subscription   (Followers: 9)
Horizons     Partially Free   (Followers: 1, SJR: 0.129, CiteScore: 0)
Industrial and Organizational Psychology     Hybrid Journal   (Followers: 22, SJR: 0.916, CiteScore: 1)
Infection Control and Hospital Epidemiology     Full-text available via subscription   (Followers: 37, SJR: 1.97, CiteScore: 3)
Intl. & Comparative Law Quarterly     Full-text available via subscription   (Followers: 222, SJR: 0.369, CiteScore: 1)
Intl. J. of Asian Studies     Hybrid Journal   (Followers: 12, SJR: 0.143, CiteScore: 0)
Intl. J. of Astrobiology     Hybrid Journal   (Followers: 2, SJR: 0.548, CiteScore: 1)
Intl. J. of Cultural Property     Full-text available via subscription   (Followers: 13, SJR: 0.253, CiteScore: 1)
Intl. J. of Disability Management Research     Full-text available via subscription   (Followers: 8, SJR: 0.105, CiteScore: 0)
Intl. J. of Law in Context     Hybrid Journal   (Followers: 16, SJR: 0.275, CiteScore: 1)
Intl. J. of Legal Information     Open Access   (Followers: 306)
Intl. J. of Microwave and Wireless Technologies     Hybrid Journal   (Followers: 8, SJR: 0.184, CiteScore: 1)
Intl. J. of Middle East Studies     Hybrid Journal   (Followers: 68, SJR: 0.434, CiteScore: 0)
Intl. J. of Technology Assessment in Health Care     Hybrid Journal   (Followers: 13, SJR: 0.714, CiteScore: 1)
Intl. J. of Tropical Insect Science     Hybrid Journal   (Followers: 1, SJR: 0.334, CiteScore: 1)
Intl. Labor and Working-Class History     Full-text available via subscription   (Followers: 12, SJR: 0.182, CiteScore: 0)
Intl. Organization     Full-text available via subscription   (Followers: 98, SJR: 8.527, CiteScore: 5)
Intl. Psychogeriatrics     Hybrid Journal   (Followers: 13, SJR: 1.048, CiteScore: 2)
Intl. Review of Social History     Full-text available via subscription   (Followers: 27, SJR: 0.315, CiteScore: 1)
Intl. Review of the Red Cross     Full-text available via subscription   (Followers: 12, SJR: 0.214, CiteScore: 0)
Intl. Theory: A J. of Intl. Politics, Law and Philosophy     Hybrid Journal   (Followers: 18, SJR: 2.293, CiteScore: 2)
Iraq     Full-text available via subscription   (Followers: 2)
Irish Historical Studies     Hybrid Journal   (Followers: 5, SJR: 0.103, CiteScore: 0)
Irish J. of Psychological Medicine     Hybrid Journal   (Followers: 2, SJR: 0.221, CiteScore: 0)
Israel Law Review     Hybrid Journal   (Followers: 2, SJR: 0.165, CiteScore: 0)
Itinerario     Full-text available via subscription   (Followers: 9, SJR: 0.158, CiteScore: 0)
J. of African History     Hybrid Journal   (Followers: 21, SJR: 0.348, CiteScore: 1)
J. of African Law     Full-text available via subscription   (Followers: 3, SJR: 0.113, CiteScore: 0)
J. of Agricultural and Applied Economics     Open Access   (Followers: 1, SJR: 0.263, CiteScore: 1)
J. of Agricultural Science     Full-text available via subscription   (Followers: 8, SJR: 0.563, CiteScore: 1)
J. of American Studies     Hybrid Journal   (Followers: 20, SJR: 0.164, CiteScore: 0)
J. of Anglican Studies     Hybrid Journal   (Followers: 6, SJR: 0.101, CiteScore: 0)
J. of Applied Animal Nutrition     Hybrid Journal   (Followers: 4)
J. of Asian Studies     Full-text available via subscription   (Followers: 38, SJR: 0.591, CiteScore: 1)
J. of Benefit-Cost Analysis     Hybrid Journal   (Followers: 3)
J. of Biosocial Science     Hybrid Journal   (Followers: 3, SJR: 0.48, CiteScore: 1)
J. of British Studies     Full-text available via subscription   (Followers: 32, SJR: 0.246, CiteScore: 0)
J. of Child Language     Hybrid Journal   (Followers: 21, SJR: 1.035, CiteScore: 2)
J. of Classics Teaching     Open Access  
J. of Dairy Research     Full-text available via subscription   (Followers: 8, SJR: 0.573, CiteScore: 1)
J. of Demographic Economics     Hybrid Journal   (Followers: 3, SJR: 1.227, CiteScore: 1)
J. of Developmental Origins of Health and Disease     Hybrid Journal   (Followers: 2, SJR: 0.843, CiteScore: 2)
J. of Diagnostic Radiography and Imaging     Hybrid Journal   (Followers: 4)
J. of East Asian Studies     Full-text available via subscription   (Followers: 12, SJR: 0.59, CiteScore: 1)
J. of Ecclesiastical History     Hybrid Journal   (Followers: 18, SJR: 0.138, CiteScore: 0)
J. of Economic History     Full-text available via subscription   (Followers: 45, SJR: 1.82, CiteScore: 2)

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Journal Cover
Econometric Theory
Journal Prestige (SJR): 2.915
Citation Impact (citeScore): 1
Number of Followers: 17  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 0266-4666 - ISSN (Online) 1469-4360
Published by Cambridge University Press Homepage  [373 journals]
  • ECT volume 35 issue 1 Cover and Front matter
    • PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S026646661900001X
      Issue No: Vol. 35, No. 1 (2019)
       
  • ECT volume 35 issue 1 Cover and Back matter
    • PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466619000021
      Issue No: Vol. 35, No. 1 (2019)
       
  • THE ET INTERVIEW: PROFESSOR MAX KING
    • Authors: Jiti Gao; Brett Inder
      Pages: 1 - 36
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000130
      Issue No: Vol. 35, No. 1 (2019)
       
  • QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES
    • Authors: Christian Francq; Le Quyen Thieu
      Pages: 37 - 72
      Abstract: The asymptotic distribution of the Gaussian quasi-maximum likelihood estimator (QMLE) is obtained for a wide class of asymmetric GARCH models with exogenous covariates. The true value of the parameter is not restricted to belong to the interior of the parameter space, which allows us to derive tests for the significance of the parameters. In particular, the relevance of the exogenous variables can be assessed. The results are obtained without assuming that the innovations are independent, which allows conditioning on different information sets. Monte Carlo experiments and applications to financial series illustrate the asymptotic results. In particular, an empirical study demonstrates that the realized volatility can be a helpful covariate for predicting squared returns.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466617000512
      Issue No: Vol. 35, No. 1 (2019)
       
  • ESTIMATION OF A SEMIPARAMETRIC TRANSFORMATION MODEL IN THE PRESENCE OF
           ENDOGENEITY
    • Authors: Anne Vanhems; Ingrid Van Keilegom
      Pages: 73 - 110
      Abstract: We consider a semiparametric transformation model, in which the regression function has an additive nonparametric structure and the transformation of the response is assumed to belong to some parametric family. We suppose that endogeneity is present in the explanatory variables. Using a control function approach, we show that the proposed model is identified under suitable assumptions, and propose a profile estimation method for the transformation. The proposed estimator is shown to be asymptotically normal under certain regularity conditions. A simulation study shows that the estimator behaves well in practice. Finally, we give an empirical example using the U.K. Family Expenditure Survey.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000026
      Issue No: Vol. 35, No. 1 (2019)
       
  • A SIMPLE ITERATIVE Z-ESTIMATOR FOR SEMIPARAMETRIC MODELS
    • Authors: David T. Frazier
      Pages: 111 - 141
      Abstract: We propose a new iterative estimation algorithm for use in semiparametric models where calculation of Z-estimators by conventional means is difficult or impossible. Unlike a Newton–Raphson approach, which makes use of the entire Hessian, this approach only uses curvature information associated with portions of the Hessian that are relatively easy to calculate. Consistency and asymptotic normality of estimators obtained from this algorithm are established under regularity conditions and an information dominance condition. Two specific examples, a quantile regression model with missing covariates and a GARCH-in-mean model with conditional mean of unknown functional form, demonstrate the applicability of the algorithm. This new approach can be interpreted as an extension of the maximization by parts estimation approach to semiparametric models.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000063
      Issue No: Vol. 35, No. 1 (2019)
       
  • BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY
           ERRORS
    • Authors: Yeonwoo Rho; Xiaofeng Shao
      Pages: 142 - 166
      Abstract: In unit root testing, a piecewise locally stationary process is adopted to accommodate nonstationary errors that can have both smooth and abrupt changes in second- or higher-order properties. Under this framework, the limiting null distributions of the conventional unit root test statistics are derived and shown to contain a number of unknown parameters. To circumvent the difficulty of direct consistent estimation, we propose to use the dependent wild bootstrap to approximate the nonpivotal limiting null distributions and provide a rigorous theoretical justification for bootstrap consistency. The proposed method is compared through finite sample simulations with the recolored wild bootstrap procedure, which was developed for errors that follow a heteroscedastic linear process. Furthermore, a combination of autoregressive sieve recoloring with the dependent wild bootstrap is shown to perform well. The validity of the dependent wild bootstrap in a nonstationary setting is demonstrated for the first time, showing the possibility of extensions to other inference problems associated with locally stationary processes.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000038
      Issue No: Vol. 35, No. 1 (2019)
       
  • DYNAMIC ASSET CORRELATIONS BASED ON VINES
    • Authors: Benjamin Poignard; Jean-David Fermanian
      Pages: 167 - 197
      Abstract: We develop a new method for generating dynamics of conditional correlation matrices of asset returns. These correlation matrices are parameterized by a subset of their partial correlations, whose structure is described by a set of connected trees called “vine”. Partial correlation processes can be specified separately and arbitrarily, providing a new family of very flexible multivariate GARCH processes, called “vine-GARCH” processes. We estimate such models by quasi-maximum likelihood. We compare our models with DCC and GAS-type specifications through simulated experiments and we evaluate their empirical performances.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S026646661800004X
      Issue No: Vol. 35, No. 1 (2019)
       
  • ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL
           VASICEK MODEL
    • Authors: Weilin Xiao; Jun Yu
      Pages: 198 - 231
      Abstract: This article develops an asymptotic theory for estimators of two parameters in the drift function in the fractional Vasicek model when a continuous record of observations is available. The fractional Vasicek model with long-range dependence is assumed to be driven by a fractional Brownian motion with the Hurst parameter greater than or equal to one half. It is shown that, when the Hurst parameter is known, the asymptotic theory for the persistence parameter depends critically on its sign, corresponding asymptotically to the stationary case, the explosive case, and the null recurrent case. In all three cases, the least squares method is considered, and strong consistency and the asymptotic distribution are obtained. When the persistence parameter is positive, the estimation method of Hu and Nualart (2010) is also considered.
      PubDate: 2019-02-01T00:00:00.000Z
      DOI: 10.1017/S0266466618000051
      Issue No: Vol. 35, No. 1 (2019)
       
 
 
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