The Econometrics Journal

Journal of Financial Econometrics

Identifying structural vector autoregressions via non-Gaussianity of potentially dependent shocks Open Access

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Optimal Bandwidth Selection for Forecasting under Parameter Instability Get access

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Royal Economic Society Annual Conference 2024 Special Issue on Macroeconomic Policy Analysis Get access

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Time-varying shock transmission in non-Gaussian structural vector autoregressions Get access

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(Quantile) Spillover Indexes: Simulation-Based Evidence, Confidence Intervals and a Decomposition Open Access

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Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures Open Access

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Covariates hiding in the tails Get access

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Nonparametric estimation of Conditional Average Treatment Effects under high-dimensional confounding Get access

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Estimating fiscal multipliers by combining statistical identification with potentially endogenous proxies Get access

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A Stepwise Cauchy Combination Test for Multiple Testing Problems with Financial Applications Open Access

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Efficient Pricing and Model Calibration With Large Panels of Options Get access

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On the identifying content of instrument monotonicity Open Access

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Continuous difference-in-differences with double/debiased machine learning Get access

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M*-BVAR: Bayesian vector autoregression with macroeconomic stars Get access

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Royal Economic Society Annual Conference 2024 Sargan Lecture Get access

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Policy evaluation with sufficient macro statistics: a primer Get access

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Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks Get access

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Robust IV inference with clustering dependence Get access

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