@article{econhot_econhot-reading-01, title = {Identification in Parametric Models}, author = {Thomas J. Rothenberg}, journal = {Econometrica}, year = {1971}, volume = {39}, number = {3}, pages = {577}, doi = {10.2307/1913267}, url = {https://doi.org/10.2307/1913267} } @article{econhot_econhot-reading-04, title = {Estimation and Confidence Regions for Parameter Sets in Econometric Models}, author = {Victor Chernozhukov and Han Hong and Elie Tamer}, journal = {Econometrica}, year = {2007}, volume = {75}, number = {5}, pages = {1243-1284}, doi = {10.1111/j.1468-0262.2007.00794.x}, url = {https://doi.org/10.1111/j.1468-0262.2007.00794.x} } @article{econhot_econhot-reading-05, title = {Large Sample Properties of Generalized Method of Moments Estimators}, author = {Lars Peter Hansen}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {4}, pages = {1029}, doi = {10.2307/1912775}, url = {https://doi.org/10.2307/1912775} } @article{econhot_econhot-reading-07, title = {Root-N-Consistent Semiparametric Regression}, author = {P. M. Robinson}, journal = {Econometrica}, year = {1988}, volume = {56}, number = {4}, pages = {931}, doi = {10.2307/1912705}, url = {https://doi.org/10.2307/1912705} } @article{econhot_econhot-reading-08, title = {The Asymptotic Variance of Semiparametric Estimators}, author = {Whitney K. Newey}, journal = {Econometrica}, year = {1994}, volume = {62}, number = {6}, pages = {1349}, doi = {10.2307/2951752}, url = {https://doi.org/10.2307/2951752} } @article{econhot_econhot-reading-09, title = {A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity}, author = {Halbert White}, journal = {Econometrica}, year = {1980}, volume = {48}, number = {4}, pages = {817}, doi = {10.2307/1912934}, url = {https://doi.org/10.2307/1912934} } @article{econhot_econhot-reading-10, title = {A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix}, author = {Whitney K. Newey and Kenneth D. West}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {3}, pages = {703}, doi = {10.2307/1913610}, url = {https://doi.org/10.2307/1913610} } @article{econhot_econhot-reading-11, title = {Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation}, author = {Donald W. K. Andrews}, journal = {Econometrica}, year = {1991}, volume = {59}, number = {3}, pages = {817}, doi = {10.2307/2938229}, url = {https://doi.org/10.2307/2938229} } @article{econhot_econhot-reading-12, title = {Instrumental Variables Regression with Weak Instruments}, author = {Douglas Staiger and James H. Stock}, journal = {Econometrica}, year = {1997}, volume = {65}, number = {3}, pages = {557}, doi = {10.2307/2171753}, url = {https://doi.org/10.2307/2171753} } @article{econhot_econhot-reading-21, title = {Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation}, author = {Robert F. Engle}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {4}, pages = {987}, doi = {10.2307/1912773}, url = {https://doi.org/10.2307/1912773} } @article{econhot_econhot-reading-23, title = {Generalized autoregressive conditional heteroskedasticity}, author = {Tim Bollerslev}, journal = {Journal of Econometrics}, year = {1986}, volume = {31}, number = {3}, pages = {307-327}, doi = {10.1016/0304-4076(86)90063-1}, url = {https://doi.org/10.1016/0304-4076(86)90063-1} } @article{econhot_econhot-reading-41, title = {Determining the Number of Factors in Approximate Factor Models}, author = {Jushan Bai and Serena Ng}, journal = {Econometrica}, year = {2002}, volume = {70}, number = {1}, pages = {191-221}, doi = {10.1111/1468-0262.00273}, url = {https://doi.org/10.1111/1468-0262.00273} } @article{econhot_econhot-reading-42, title = {Inferential Theory for Factor Models of Large Dimensions}, author = {Jushan Bai}, journal = {Econometrica}, year = {2003}, volume = {71}, number = {1}, pages = {135-171}, doi = {10.1111/1468-0262.00392}, url = {https://doi.org/10.1111/1468-0262.00392} } @article{econhot_econhot-reading-44, title = {Comparing Predictive Accuracy}, author = {Francis X. Diebold and Roberto S. Mariano}, journal = {Journal of Business \& Economic Statistics}, year = {1995}, volume = {13}, number = {3}, pages = {253-263}, doi = {10.1080/07350015.1995.10524599}, url = {https://doi.org/10.1080/07350015.1995.10524599} } @article{econhot_econhot-reading-45, title = {Tests of Conditional Predictive Ability}, author = {Raffaella Giacomini and Halbert White}, journal = {Econometrica}, year = {2006}, volume = {74}, number = {6}, pages = {1545-1578}, doi = {10.1111/j.1468-0262.2006.00718.x}, url = {https://doi.org/10.1111/j.1468-0262.2006.00718.x} } @article{econhot_econhot-reading-48, title = {Risk, Return, and Equilibrium: Empirical Tests}, author = {Eugene F. Fama and James D. MacBeth}, journal = {Journal of Political Economy}, year = {1973}, volume = {81}, number = {3}, pages = {607-636}, doi = {10.1086/260061}, url = {https://doi.org/10.1086/260061} } @article{econhot_econhot-reading-49, title = {Implications of Security Market Data for Models of Dynamic Economies}, author = {Lars Peter Hansen and Ravi Jagannathan}, journal = {Journal of Political Economy}, year = {1991}, volume = {99}, number = {2}, pages = {225-262}, doi = {10.1086/261749}, url = {https://doi.org/10.1086/261749} } @article{econhot_econhot-reading-50, title = {Common risk factors in the returns on stocks and bonds}, author = {Eugene F. Fama and Kenneth R. French}, journal = {Journal of Financial Economics}, year = {1993}, volume = {33}, number = {1}, pages = {3-56}, doi = {10.1016/0304-405x(93)90023-5}, url = {https://doi.org/10.1016/0304-405x(93)90023-5} } @article{econhot_econhot-reading-51, title = {Characteristics are covariances: A unified model of risk and return}, author = {Bryan T. Kelly and Seth Pruitt and Yinan Su}, journal = {Journal of Financial Economics}, year = {2019}, volume = {134}, number = {3}, pages = {501-524}, doi = {10.1016/j.jfineco.2019.05.001}, url = {https://doi.org/10.1016/j.jfineco.2019.05.001} } @article{econhot_econhot-reading-52, title = {Modeling and Forecasting Realized Volatility}, author = {Torben G. Andersen and Tim Bollerslev and Francis X. Diebold and Paul Labys}, journal = {Econometrica}, year = {2003}, volume = {71}, number = {2}, pages = {579-625}, doi = {10.1111/1468-0262.00418}, url = {https://doi.org/10.1111/1468-0262.00418} } @article{econhot_econhot-reading-53, title = {Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models}, author = {Ole E. Barndorff-Nielsen and Neil Shephard}, journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology}, year = {2002}, volume = {64}, number = {2}, pages = {253-280}, doi = {10.1111/1467-9868.00336}, url = {https://doi.org/10.1111/1467-9868.00336} } @article{econhot_econhot-reading-54, title = {A Tale of Two Time Scales}, author = {Lan Zhang and Per A Mykland and Yacine Aït-Sahalia}, journal = {Journal of the American Statistical Association}, year = {2005}, volume = {100}, number = {472}, pages = {1394-1411}, doi = {10.1198/016214505000000169}, url = {https://doi.org/10.1198/016214505000000169} } @article{econhot_econhot-reading-55, title = {Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise}, author = {Ole E. Barndorff-Nielsen and Peter Reinhard Hansen and Asger Lunde and Neil Shephard}, journal = {Econometrica}, year = {2008}, volume = {76}, number = {6}, pages = {1481-1536}, doi = {10.3982/ecta6495}, url = {https://doi.org/10.3982/ecta6495} } @article{econhot_econhot-reading-56, title = {CAViaR}, author = {Robert F Engle and Simone Manganelli}, journal = {Journal of Business \& Economic Statistics}, year = {2004}, volume = {22}, number = {4}, pages = {367-381}, doi = {10.1198/073500104000000370}, url = {https://doi.org/10.1198/073500104000000370} } @article{econhot_econhot-reading-57, title = {Coherent Measures of Risk}, author = {Philippe Artzner and Freddy Delbaen and Jean‐Marc Eber and David Heath}, journal = {Mathematical Finance}, year = {1999}, volume = {9}, number = {3}, pages = {203-228}, doi = {10.1111/1467-9965.00068}, url = {https://doi.org/10.1111/1467-9965.00068} } @article{econhot_econhot-reading-58, title = {Dynamic Conditional Correlation}, author = {Robert Engle}, journal = {Journal of Business \& Economic Statistics}, year = {2002}, volume = {20}, number = {3}, pages = {339-350}, doi = {10.1198/073500102288618487}, url = {https://doi.org/10.1198/073500102288618487} } @article{econhot_econhot-reading-59, title = {Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?}, author = {John Y. Campbell and Samuel B. Thompson}, journal = {Review of Financial Studies}, year = {2008}, volume = {21}, number = {4}, pages = {1509-1531}, doi = {10.1093/rfs/hhm055}, url = {https://doi.org/10.1093/rfs/hhm055} } @article{econhot_econhot-reading-60, title = {A Comprehensive Look at The Empirical Performance of Equity Premium Prediction}, author = {Ivo Welch and Amit Goyal}, journal = {Review of Financial Studies}, year = {2008}, volume = {21}, number = {4}, pages = {1455-1508}, doi = {10.1093/rfs/hhm014}, url = {https://doi.org/10.1093/rfs/hhm014} } @article{econhot_econhot-reading-61, title = {Regression Shrinkage and Selection Via the Lasso}, author = {Robert Tibshirani}, journal = {Journal of the Royal Statistical Society Series B: Statistical Methodology}, year = {1996}, volume = {58}, number = {1}, pages = {267-288}, doi = {10.1111/j.2517-6161.1996.tb02080.x}, url = {https://doi.org/10.1111/j.2517-6161.1996.tb02080.x} } @article{econhot_econhot-cited-69effc81b19f2395, title = {lmerTest Package: Tests in Linear Mixed Effects Models}, author = {Alexandra Kuznetsova and Per B. Brockhoff and Rune Haubo Bojesen Christensen}, journal = {Journal of Statistical Software}, year = {2017}, volume = {82}, number = {13}, doi = {10.18637/jss.v082.i13}, url = {https://doi.org/10.18637/jss.v082.i13} } @article{econhot_econhot-cited-d8088c1d9a97f3fa, title = {Comparing the Areas under Two or More Correlated Receiver Operating Characteristic Curves: A Nonparametric Approach}, author = {Elizabeth R. DeLong and David M. DeLong and Daniel L. Clarke‐Pearson}, journal = {Biometrics}, year = {1988}, volume = {44}, number = {3}, pages = {837}, doi = {10.2307/2531595}, url = {https://doi.org/10.2307/2531595} } @article{econhot_econhot-cited-8490278941bb971b, title = {Bounds testing approaches to the analysis of level relationships}, author = {M. Hashem Pesaran and Yongcheol Shin and Richard J. Smith}, journal = {Journal of Applied Econometrics}, year = {2001}, volume = {16}, number = {3}, pages = {289-326}, doi = {10.1002/jae.616}, url = {https://doi.org/10.1002/jae.616} } @article{econhot_econhot-cited-c948aaaa22441548, title = {Specification Tests in Econometrics}, author = {Jerry A. Hausman}, journal = {Econometrica}, year = {1978}, volume = {46}, number = {6}, pages = {1251}, doi = {10.2307/1913827}, url = {https://doi.org/10.2307/1913827} } @article{econhot_econhot-cited-3d6d8038bff54ac3, title = {Bootstrap Methods: Another Look at the Jackknife}, author = {Bradley Efron}, journal = {The Annals of Statistics}, year = {1979}, volume = {7}, number = {1}, doi = {10.1214/aos/1176344552}, url = {https://doi.org/10.1214/aos/1176344552} } @article{econhot_econhot-cited-4a32a5f36235cbc7, title = {Nonparametric Tests Against Trend}, author = {Henry B. Mann}, journal = {Econometrica}, year = {1945}, volume = {13}, number = {3}, pages = {245}, doi = {10.2307/1907187}, url = {https://doi.org/10.2307/1907187} } @article{econhot_econhot-cited-61af635c361ce8ae, title = {Estimates of the Regression Coefficient Based on Kendall's Tau}, author = {Pranab Kumar Sen}, journal = {Journal of the American Statistical Association}, year = {1968}, volume = {63}, number = {324}, pages = {1379-1389}, doi = {10.1080/01621459.1968.10480934}, url = {https://doi.org/10.1080/01621459.1968.10480934} } @article{econhot_econhot-cited-19836606bf51d117, title = {Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches}, author = {Mitchell A. Petersen}, journal = {Review of Financial Studies}, year = {2008}, volume = {22}, number = {1}, pages = {435-480}, doi = {10.1093/rfs/hhn053}, url = {https://doi.org/10.1093/rfs/hhn053} } @article{econhot_econhot-cited-05341b7d84ccbfb3, title = {Robust Locally Weighted Regression and Smoothing Scatterplots}, author = {William S. Cleveland}, journal = {Journal of the American Statistical Association}, year = {1979}, volume = {74}, number = {368}, pages = {829-836}, doi = {10.1080/01621459.1979.10481038}, url = {https://doi.org/10.1080/01621459.1979.10481038} } @article{econhot_econhot-cited-ae61d95ff862a3a1, title = {Illiquidity and stock returns: cross-section and time-series effects}, author = {Yakov Amihud}, journal = {Journal of Financial Markets}, year = {2002}, volume = {5}, number = {1}, pages = {31-56}, doi = {10.1016/s1386-4181(01)00024-6}, url = {https://doi.org/10.1016/s1386-4181(01)00024-6} } @article{econhot_econhot-cited-109d8e9516234dcf, title = {Conditional Heteroskedasticity in Asset Returns: A New Approach}, author = {Daniel B. Nelson}, journal = {Econometrica}, year = {1991}, volume = {59}, number = {2}, pages = {347}, doi = {10.2307/2938260}, url = {https://doi.org/10.2307/2938260} } @article{econhot_econhot-cited-4f5e401d1f73cdaa, title = {Inference and missing data}, author = {Donald B. Rubin}, journal = {Biometrika}, year = {1976}, volume = {63}, number = {3}, pages = {581-592}, doi = {10.1093/biomet/63.3.581}, url = {https://doi.org/10.1093/biomet/63.3.581} } @article{econhot_econhot-cited-c143ba546c801528, title = {How to do Xtabond2: An Introduction to Difference and System GMM in Stata}, author = {David Malin Roodman}, journal = {The Stata Journal Promoting communications on statistics and Stata}, year = {2009}, volume = {9}, number = {1}, pages = {86-136}, doi = {10.1177/1536867x0900900106}, url = {https://doi.org/10.1177/1536867x0900900106} } @article{econhot_econhot-cited-b98450f6cf9d916c, title = {Least angle regression}, author = {Bradley Efron and Trevor Hastie and Iain M. Johnstone and Robert John Tibshirani}, journal = {The Annals of Statistics}, year = {2004}, volume = {32}, number = {2}, doi = {10.1214/009053604000000067}, url = {https://doi.org/10.1214/009053604000000067} } @article{econhot_econhot-cited-bbce99f3b7284757, title = {Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties}, author = {Jianqing Fan and Runze Li}, journal = {Journal of the American Statistical Association}, year = {2001}, volume = {96}, number = {456}, pages = {1348-1360}, doi = {10.1198/016214501753382273}, url = {https://doi.org/10.1198/016214501753382273} } @article{econhot_econhot-cited-c871b31c8f0d7e5b, title = {A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options}, author = {Steven L. Heston}, journal = {Review of Financial Studies}, year = {1993}, volume = {6}, number = {2}, pages = {327-343}, doi = {10.1093/rfs/6.2.327}, url = {https://doi.org/10.1093/rfs/6.2.327} } @article{econhot_econhot-cited-4ae0c51b282a631a, title = {On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks}, author = {Lawrence R. Glosten and Ravi Jagannathan and David Edward Runkle}, journal = {The Journal of Finance}, year = {1993}, volume = {48}, number = {5}, pages = {1779-1801}, doi = {10.1111/j.1540-6261.1993.tb05128.x}, url = {https://doi.org/10.1111/j.1540-6261.1993.tb05128.x} } @article{econhot_econhot-cited-aea3e1ae192eef7d, title = {A five-factor asset pricing model}, author = {Eugene F. Fama and Kenneth R. French}, journal = {Journal of Financial Economics}, year = {2014}, volume = {116}, number = {1}, pages = {1-22}, doi = {10.1016/j.jfineco.2014.10.010}, url = {https://doi.org/10.1016/j.jfineco.2014.10.010} } @article{econhot_econhot-cited-f607f444b55d60b2, title = {An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias}, author = {Arnold Zellner}, journal = {Journal of the American Statistical Association}, year = {1962}, volume = {57}, number = {298}, pages = {348-368}, doi = {10.1080/01621459.1962.10480664}, url = {https://doi.org/10.1080/01621459.1962.10480664} } @article{econhot_econhot-cited-2b972a1afc2fad9c, title = {Fast Stable Restricted Maximum Likelihood and Marginal Likelihood Estimation of Semiparametric Generalized Linear Models}, author = {Simon N. Wood}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {2010}, volume = {73}, number = {1}, pages = {3-36}, doi = {10.1111/j.1467-9868.2010.00749.x}, url = {https://doi.org/10.1111/j.1467-9868.2010.00749.x} } @article{econhot_econhot-cited-6530550bbac5105f, title = {Model Selection and Estimation in Regression with Grouped Variables}, author = {Ming Yuan and Yi Lin}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {2005}, volume = {68}, number = {1}, pages = {49-67}, doi = {10.1111/j.1467-9868.2005.00532.x}, url = {https://doi.org/10.1111/j.1467-9868.2005.00532.x} } @article{econhot_econhot-cited-38a2839fd413f9d1, title = {Robust Estimation of a Location Parameter}, author = {Peter J. Huber}, journal = {The Annals of Mathematical Statistics}, year = {1964}, volume = {35}, number = {1}, pages = {73-101}, doi = {10.1214/aoms/1177703732}, url = {https://doi.org/10.1214/aoms/1177703732} } @article{econhot_econhot-cited-624b7d28bf1e3707, title = {Additive logistic regression: a statistical view of boosting (With discussion and a rejoinder by the authors)}, author = {Jerome H. Friedman and Trevor Hastie and Robert John Tibshirani}, journal = {The Annals of Statistics}, year = {2000}, volume = {28}, number = {2}, doi = {10.1214/aos/1016218223}, url = {https://doi.org/10.1214/aos/1016218223} } @article{econhot_econhot-cited-75948341b96cb324, title = {Tests of Equality Between Sets of Coefficients in Two Linear Regressions}, author = {Gregory C. Chow}, journal = {Econometrica}, year = {1960}, volume = {28}, number = {3}, pages = {591}, doi = {10.2307/1910133}, url = {https://doi.org/10.2307/1910133} } @article{econhot_econhot-cited-6424a774af51fb59, title = {Bootstrap Methods for Standard Errors, Confidence Intervals, and Other Measures of Statistical Accuracy}, author = {Bradley Efron and Robert John Tibshirani}, journal = {Statistical Science}, year = {1986}, volume = {1}, number = {1}, doi = {10.1214/ss/1177013815}, url = {https://doi.org/10.1214/ss/1177013815} } @article{econhot_econhot-cited-af9fda2bf3af019f, title = {Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses}, author = {Quang Vuong}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {2}, pages = {307}, doi = {10.2307/1912557}, url = {https://doi.org/10.2307/1912557} } @article{econhot_econhot-cited-f199fa6b69c68286, title = {A finite sample correction for the variance of linear efficient two-step GMM estimators}, author = {Frank A. G. Windmeijer}, journal = {Journal of Econometrics}, year = {2004}, volume = {126}, number = {1}, pages = {25-51}, doi = {10.1016/j.jeconom.2004.02.005}, url = {https://doi.org/10.1016/j.jeconom.2004.02.005} } @article{econhot_econhot-cited-f7b3a85dbb269b7d, title = {Better to give than to receive: Predictive directional measurement of volatility spillovers}, author = {Francis X. Diebold and Kamil Yılmaz}, journal = {International Journal of Forecasting}, year = {2011}, volume = {28}, number = {1}, pages = {57-66}, doi = {10.1016/j.ijforecast.2011.02.006}, url = {https://doi.org/10.1016/j.ijforecast.2011.02.006} } @article{econhot_econhot-cited-9aad7990370d5c59, title = {Proportional hazards tests and diagnostics based on weighted residuals}, author = {Patricia M. Grambsch and Terry M. Therneau}, journal = {Biometrika}, year = {1994}, volume = {81}, number = {3}, pages = {515-526}, doi = {10.1093/biomet/81.3.515}, url = {https://doi.org/10.1093/biomet/81.3.515} } @article{econhot_econhot-cited-ba6ce59eb4604a0d, title = {A Simple Test for Heteroscedasticity and Random Coefficient Variation}, author = {Trevor Breusch and Adrian Rodney Pagan}, journal = {Econometrica}, year = {1979}, volume = {47}, number = {5}, pages = {1287}, doi = {10.2307/1911963}, url = {https://doi.org/10.2307/1911963} } @article{econhot_econhot-cited-cc15accba82d6583, title = {Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting}, author = {William S. Cleveland and Susan J. Devlin}, journal = {Journal of the American Statistical Association}, year = {1988}, volume = {83}, number = {403}, pages = {596-610}, doi = {10.1080/01621459.1988.10478639}, url = {https://doi.org/10.1080/01621459.1988.10478639} } @article{econhot_econhot-cited-f373f23031a91147, title = {The Combination of Estimates from Different Experiments}, author = {William G. Cochran}, journal = {Biometrics}, year = {1954}, volume = {10}, number = {1}, pages = {101}, doi = {10.2307/3001666}, url = {https://doi.org/10.2307/3001666} } @article{econhot_econhot-cited-d78b803528a92770, title = {Techniques for Testing the Constancy of Regression Relationships Over Time}, author = {R. L. Brown and James Durbin and Jessica Evans}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1975}, volume = {37}, number = {2}, pages = {149-163}, doi = {10.1111/j.2517-6161.1975.tb01532.x}, url = {https://doi.org/10.1111/j.2517-6161.1975.tb01532.x} } @article{econhot_econhot-cited-3f1bab93aafe0a58, title = {A Note on the Theme of Too Many Instruments *}, author = {David Malin Roodman}, journal = {Oxford Bulletin of Economics and Statistics}, year = {2009}, volume = {71}, number = {1}, pages = {135-158}, doi = {10.1111/j.1468-0084.2008.00542.x}, url = {https://doi.org/10.1111/j.1468-0084.2008.00542.x} } @article{econhot_econhot-cited-360563550e26f9fa, title = {An Introduction to Kernel and Nearest-Neighbor Nonparametric Regression}, author = {Naomi Altman}, journal = {The American Statistician}, year = {1992}, volume = {46}, number = {3}, pages = {175-185}, doi = {10.1080/00031305.1992.10475879}, url = {https://doi.org/10.1080/00031305.1992.10475879} } @article{econhot_econhot-cited-d5a7d66812aee22a, title = {Recent Developments in the Econometrics of Program Evaluation}, author = {Guido W. Imbens and Jeffrey M. Wooldridge}, journal = {Journal of Economic Literature}, year = {2009}, volume = {47}, number = {1}, pages = {5-86}, doi = {10.1257/jel.47.1.5}, url = {https://doi.org/10.1257/jel.47.1.5} } @article{econhot_econhot-cited-aac8b835c06c7ecc, title = {The Cross‐Section of Volatility and Expected Returns}, author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang}, journal = {The Journal of Finance}, year = {2006}, volume = {61}, number = {1}, pages = {259-299}, doi = {10.1111/j.1540-6261.2006.00836.x}, url = {https://doi.org/10.1111/j.1540-6261.2006.00836.x} } @article{econhot_econhot-cited-cd5a134c7c7971fc, title = {Bias reduction of maximum likelihood estimates}, author = {David R. Firth}, journal = {Biometrika}, year = {1993}, volume = {80}, number = {1}, pages = {27-38}, doi = {10.1093/biomet/80.1.27}, url = {https://doi.org/10.1093/biomet/80.1.27} } @article{econhot_econhot-cited-f8be8bbfe30031c1, title = {Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach}, author = {Frank R. Smets and Rafael Wouters}, journal = {American Economic Review}, year = {2007}, volume = {97}, number = {3}, pages = {586-606}, doi = {10.1257/aer.97.3.586}, url = {https://doi.org/10.1257/aer.97.3.586} } @article{econhot_econhot-cited-31aefb4b9444eb17, title = {On the network topology of variance decompositions: Measuring the connectedness of financial firms}, author = {Francis X. Diebold and Kamil Yılmaz}, journal = {Journal of Econometrics}, year = {2014}, volume = {182}, number = {1}, pages = {119-134}, doi = {10.1016/j.jeconom.2014.04.012}, url = {https://doi.org/10.1016/j.jeconom.2014.04.012} } @article{econhot_econhot-cited-5ab296d950b83cf5, title = {Remarks on Some Nonparametric Estimates of a Density Function}, author = {Murray Rosenblatt}, journal = {The Annals of Mathematical Statistics}, year = {1956}, volume = {27}, number = {3}, pages = {832-837}, doi = {10.1214/aoms/1177728190}, url = {https://doi.org/10.1214/aoms/1177728190} } @article{econhot_econhot-cited-c50f0fc91b3c5a9d, title = {Multivariate Simultaneous Generalized ARCH}, author = {Robert F. Engle and Kenneth F. Kroner}, journal = {Econometric Theory}, year = {1995}, volume = {11}, number = {1}, pages = {122-150}, doi = {10.1017/s0266466600009063}, url = {https://doi.org/10.1017/s0266466600009063} } @article{econhot_econhot-cited-566ddb9d3dbe1f11, title = {Regression Models for Ordinal Data}, author = {Peter J McCullagh}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1980}, volume = {42}, number = {2}, pages = {109-127}, doi = {10.1111/j.2517-6161.1980.tb01109.x}, url = {https://doi.org/10.1111/j.2517-6161.1980.tb01109.x} } @article{econhot_econhot-cited-2cf11224a6c052f7, title = {THE LASSO METHOD FOR VARIABLE SELECTION IN THE COX MODEL}, author = {Robert John Tibshirani}, journal = {Statistics in Medicine}, year = {1997}, volume = {16}, number = {4}, pages = {385-395}, doi = {10.1002/(sici)1097-0258(19970228)16:4<385::aid-sim380>3.0.co;2-3}, url = {https://doi.org/10.1002/(sici)1097-0258(19970228)16:4\%3C385::aid-sim380\%3E3.0.co;2-3} } @article{econhot_econhot-cited-03b1d2a7ae609a64, title = {ARCH modeling in finance}, author = {Tim Bollerslev and Ray Yeutien Chou and Kenneth F. Kroner}, journal = {Journal of Econometrics}, year = {1992}, volume = {52}, number = {1-2}, pages = {5-59}, doi = {10.1016/0304-4076(92)90064-x}, url = {https://doi.org/10.1016/0304-4076(92)90064-x} } @article{econhot_econhot-cited-c789057453e94e14, title = {Efficient tests for normality, homoscedasticity and serial independence of regression residuals}, author = {Carlos M. Jarque and Anil Kumar Bera}, journal = {Economics Letters}, year = {1980}, volume = {6}, number = {3}, pages = {255-259}, doi = {10.1016/0165-1765(80)90024-5}, url = {https://doi.org/10.1016/0165-1765(80)90024-5} } @article{econhot_econhot-cited-83e7d2e83b42776d, title = {Expected stock returns and volatility}, author = {Kenneth R. French and G. William Schwert and Robert F. Stambaugh}, journal = {Journal of Financial Economics}, year = {1987}, volume = {19}, number = {1}, pages = {3-29}, doi = {10.1016/0304-405x(87)90026-2}, url = {https://doi.org/10.1016/0304-405x(87)90026-2} } @article{econhot_econhot-cited-d3d70dd24cbeae54, title = {Bootstrap-Based Improvements for Inference with Clustered Errors}, author = {A. Colin Cameron and Jonah B. Gelbach and Douglas L. Miller}, journal = {The Review of Economics and Statistics}, year = {2008}, volume = {90}, number = {3}, pages = {414-427}, doi = {10.1162/rest.90.3.414}, url = {https://doi.org/10.1162/rest.90.3.414} } @article{econhot_econhot-cited-90cdef2a06687d06, title = {Approximate Inference in Generalized Linear Mixed Models}, author = {N. E. Breslow and David G Clayton}, journal = {Journal of the American Statistical Association}, year = {1993}, volume = {88}, number = {421}, pages = {9-25}, doi = {10.1080/01621459.1993.10594284}, url = {https://doi.org/10.1080/01621459.1993.10594284} } @article{econhot_econhot-cited-957c5eeaceada325, title = {Bayesian model averaging: a tutorial (with comments by M. Clyde, David Draper and E. I. George, and a rejoinder by the authors}, author = {Jennifer A. Hoeting and David Madigan and Adrian E. Raftery and Chris T. Volinsky}, journal = {Statistical Science}, year = {1999}, volume = {14}, number = {4}, doi = {10.1214/ss/1009212519}, url = {https://doi.org/10.1214/ss/1009212519} } @article{econhot_econhot-cited-da766239d2f4936d, title = {Maximum Likelihood Estimation of Misspecified Models}, author = {Halbert White}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {1}, pages = {1}, doi = {10.2307/1912526}, url = {https://doi.org/10.2307/1912526} } @article{econhot_econhot-cited-6b0e8a7f4e2a7fab, title = {Unbiased Recursive Partitioning: A Conditional Inference Framework}, author = {Torsten Hothorn and Kurt Hornik and Achim Zeileis}, journal = {Journal of Computational and Graphical Statistics}, year = {2006}, volume = {15}, number = {3}, pages = {651-674}, doi = {10.1198/106186006x133933}, url = {https://doi.org/10.1198/106186006x133933} } @article{econhot_econhot-cited-da2c4081b20aadcb, title = {The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors}, author = {John Y. Campbell and Robert J. Shiller}, journal = {Review of Financial Studies}, year = {1988}, volume = {1}, number = {3}, pages = {195-228}, doi = {10.1093/rfs/1.3.195}, url = {https://doi.org/10.1093/rfs/1.3.195} } @article{econhot_econhot-cited-08cddac5aab69f23, title = {Matching As An Econometric Evaluation Estimator}, author = {James J. Heckman and Hidehiko Ichimura and Petra Todd}, journal = {The Review of Economic Studies}, year = {1998}, volume = {65}, number = {2}, pages = {261-294}, doi = {10.1111/1467-937x.00044}, url = {https://doi.org/10.1111/1467-937x.00044} } @article{econhot_econhot-cited-6e727877cbcaeef7, title = {Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test}, author = {Andrew W. Lo and A. Craig MacKinlay}, journal = {Review of Financial Studies}, year = {1988}, volume = {1}, number = {1}, pages = {41-66}, doi = {10.1093/rfs/1.1.41}, url = {https://doi.org/10.1093/rfs/1.1.41} } @article{econhot_econhot-cited-33571acd947545c7, title = {Conditional value-at-risk for general loss distributions}, author = {Ralph Tyrrell Rockafellar and Stan Uryasev}, journal = {Journal of Banking \& Finance}, year = {2002}, volume = {26}, number = {7}, pages = {1443-1471}, doi = {10.1016/s0378-4266(02)00271-6}, url = {https://doi.org/10.1016/s0378-4266(02)00271-6} } @article{econhot_econhot-cited-429b0a7af4230dae, title = {Some Methods for Strengthening the Common χ 2 Tests}, author = {William G. Cochran}, journal = {Biometrics}, year = {1954}, volume = {10}, number = {4}, pages = {417}, doi = {10.2307/3001616}, url = {https://doi.org/10.2307/3001616} } @article{econhot_econhot-cited-aa7857f3cd0c4451, title = {Regression Shrinkage and Selection via The Lasso: A Retrospective}, author = {Robert John Tibshirani}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {2011}, volume = {73}, number = {3}, pages = {273-282}, doi = {10.1111/j.1467-9868.2011.00771.x}, url = {https://doi.org/10.1111/j.1467-9868.2011.00771.x} } @article{econhot_econhot-cited-03f277f5c32f80b8, title = {Measuring and Testing the Impact of News on Volatility}, author = {Robert F. Engle and Victor Ng}, journal = {The Journal of Finance}, year = {1993}, volume = {48}, number = {5}, pages = {1749-1778}, doi = {10.1111/j.1540-6261.1993.tb05127.x}, url = {https://doi.org/10.1111/j.1540-6261.1993.tb05127.x} } @article{econhot_econhot-cited-c63756e95db800ff, title = {Rank Transformations as a Bridge between Parametric and Nonparametric Statistics}, author = {William Jay Conover and Ronald L. Iman}, journal = {The American Statistician}, year = {1981}, volume = {35}, number = {3}, pages = {124-129}, doi = {10.1080/00031305.1981.10479327}, url = {https://doi.org/10.1080/00031305.1981.10479327} } @article{econhot_econhot-cited-0aa9b4ea9dbc059f, title = {An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area}, author = {Frank R. Smets and Raf Wouters}, journal = {Journal of the European Economic Association}, year = {2003}, volume = {1}, number = {5}, pages = {1123-1175}, doi = {10.1162/154247603770383415}, url = {https://doi.org/10.1162/154247603770383415} } @article{econhot_econhot-cited-a5ed644d4190f223, title = {Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model}, author = {Tim Bollerslev}, journal = {The Review of Economics and Statistics}, year = {1990}, volume = {72}, number = {3}, pages = {498}, doi = {10.2307/2109358}, url = {https://doi.org/10.2307/2109358} } @article{econhot_econhot-cited-1d61577e5a46c86a, title = {Least Median of Squares Regression}, author = {Peter J. Rousseeuw}, journal = {Journal of the American Statistical Association}, year = {1984}, volume = {79}, number = {388}, pages = {871-880}, doi = {10.1080/01621459.1984.10477105}, url = {https://doi.org/10.1080/01621459.1984.10477105} } @article{econhot_econhot-cited-cb434fbf3ab15598, title = {The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses}, author = {Samuel Stanley Wilks}, journal = {The Annals of Mathematical Statistics}, year = {1938}, volume = {9}, number = {1}, pages = {60-62}, doi = {10.1214/aoms/1177732360}, url = {https://doi.org/10.1214/aoms/1177732360} } @article{econhot_econhot-cited-011bb67502225f43, title = {Why Does Stock Market Volatility Change Over Time?}, author = {G. William Schwert}, journal = {The Journal of Finance}, year = {1989}, volume = {44}, number = {5}, pages = {1115-1153}, doi = {10.1111/j.1540-6261.1989.tb02647.x}, url = {https://doi.org/10.1111/j.1540-6261.1989.tb02647.x} } @article{econhot_econhot-cited-110dd3e4a7f1a453, title = {A test for independence based on the correlation dimension}, author = {W. A. Broock and J. A. Scheinkman and W. Davis Dechert and Blake D. LeBaron}, journal = {Econometric Reviews}, year = {1996}, volume = {15}, number = {3}, pages = {197-235}, doi = {10.1080/07474939608800353}, url = {https://doi.org/10.1080/07474939608800353} } @article{econhot_econhot-cited-be25e3242e46a83a, title = {Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {885}, doi = {10.2307/2527343}, url = {https://doi.org/10.2307/2527343} } @article{econhot_econhot-cited-da8ebbfcc37fe617, title = {A survey of cross-validation procedures for model selection}, author = {Sylvain Arlot and Alain Celisse}, journal = {Statistics Surveys}, year = {2010}, volume = {4}, number = {none}, doi = {10.1214/09-ss054}, url = {https://doi.org/10.1214/09-ss054} } @article{econhot_econhot-cited-69d9ba5594af64ab, title = {Better Bootstrap Confidence Intervals}, author = {Bradley Efron}, journal = {Journal of the American Statistical Association}, year = {1987}, volume = {82}, number = {397}, pages = {171-185}, doi = {10.1080/01621459.1987.10478410}, url = {https://doi.org/10.1080/01621459.1987.10478410} } @article{econhot_econhot-cited-6167db0eb5a56ff7, title = {Estimation and inference in two-stage, semi-parametric models of production processes}, author = {Léopold Simar and Paul W. Wilson}, journal = {Journal of Econometrics}, year = {2005}, volume = {136}, number = {1}, pages = {31-64}, doi = {10.1016/j.jeconom.2005.07.009}, url = {https://doi.org/10.1016/j.jeconom.2005.07.009} } @article{econhot_econhot-cited-58a9b735f7a3546f, title = {Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis}, author = {James B. Ramsey}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1969}, volume = {31}, number = {2}, pages = {350-371}, doi = {10.1111/j.2517-6161.1969.tb00796.x}, url = {https://doi.org/10.1111/j.2517-6161.1969.tb00796.x} } @article{econhot_econhot-cited-fa8a01bab41d90ce, title = {Automatic Lag Selection in Covariance Matrix Estimation}, author = {Whitney K. Newey and Kenneth D. West}, journal = {The Review of Economic Studies}, year = {1994}, volume = {61}, number = {4}, pages = {631-653}, doi = {10.2307/2297912}, url = {https://doi.org/10.2307/2297912} } @article{econhot_econhot-cited-f7a60551c13a429f, title = {Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances}, author = {Tim Bollerslev and Jeffrey M. Wooldridge}, journal = {Econometric Reviews}, year = {1992}, volume = {11}, number = {2}, pages = {143-172}, doi = {10.1080/07474939208800229}, url = {https://doi.org/10.1080/07474939208800229} } @article{econhot_econhot-cited-8a6b9b9c052aa94a, title = {On the Kolmogorov-Smirnov Test for Normality with Mean and Variance Unknown}, author = {Hubert W. Lilliefors}, journal = {Journal of the American Statistical Association}, year = {1967}, volume = {62}, number = {318}, pages = {399}, doi = {10.2307/2283970}, url = {https://doi.org/10.2307/2283970} } @article{econhot_econhot-cited-0a3c91143ffcc9fc, title = {Approximate is Better than “Exact” for Interval Estimation of Binomial Proportions}, author = {Alan Agresti and Brent A. Coull}, journal = {The American Statistician}, year = {1998}, volume = {52}, number = {2}, pages = {119-126}, doi = {10.1080/00031305.1998.10480550}, url = {https://doi.org/10.1080/00031305.1998.10480550} } @article{econhot_econhot-cited-a156f1367e101a5b, title = {Robust Inference With Multiway Clustering}, author = {A. Colin Cameron and Jonah B. Gelbach and Douglas L. Miller}, journal = {Journal of Business and Economic Statistics}, year = {2011}, volume = {29}, number = {2}, pages = {238-249}, doi = {10.1198/jbes.2010.07136}, url = {https://doi.org/10.1198/jbes.2010.07136} } @article{econhot_econhot-cited-2ae0e50370f24b5d, title = {L-Moments: Analysis and Estimation of Distributions Using Linear Combinations of Order Statistics}, author = {J. R. M. Hosking}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1990}, volume = {52}, number = {1}, pages = {105-124}, doi = {10.1111/j.2517-6161.1990.tb01775.x}, url = {https://doi.org/10.1111/j.2517-6161.1990.tb01775.x} } @article{econhot_econhot-cited-efb71214992a6edf, title = {Size and Book‐to‐Market Factors in Earnings and Returns}, author = {Eugene F. Fama and Kenneth R. French}, journal = {The Journal of Finance}, year = {1995}, volume = {50}, number = {1}, pages = {131-155}, doi = {10.1111/j.1540-6261.1995.tb05169.x}, url = {https://doi.org/10.1111/j.1540-6261.1995.tb05169.x} } @article{econhot_econhot-cited-59e981ec3021f390, title = {A Simple General Approach to Inference About the Tail of a Distribution}, author = {Bruce M. Hill}, journal = {The Annals of Statistics}, year = {1975}, volume = {3}, number = {5}, doi = {10.1214/aos/1176343247}, url = {https://doi.org/10.1214/aos/1176343247} } @article{econhot_econhot-cited-3e3e0ef842020f83, title = {Extension of Multiple Range Tests to Group Means with Unequal Numbers of Replications}, author = {Clyde Young Kramer}, journal = {Biometrics}, year = {1956}, volume = {12}, number = {3}, pages = {307}, doi = {10.2307/3001469}, url = {https://doi.org/10.2307/3001469} } @article{econhot_econhot-cited-3db2c14e103d34a1, title = {Inflation dynamics: A structural econometric analysis}, author = {Jordi Gaĺı and Mark L. Gertler}, journal = {Journal of Monetary Economics}, year = {1999}, volume = {44}, number = {2}, pages = {195-222}, doi = {10.1016/s0304-3932(99)00023-9}, url = {https://doi.org/10.1016/s0304-3932(99)00023-9} } @article{econhot_econhot-cited-4062083d79631ad0, title = {Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets}, author = {Francis X. Diebold and Kamil Yılmaz}, journal = {The Economic Journal}, year = {2008}, volume = {119}, number = {534}, pages = {158-171}, doi = {10.1111/j.1468-0297.2008.02208.x}, url = {https://doi.org/10.1111/j.1468-0297.2008.02208.x} } @article{econhot_econhot-cited-56e69d51fd433a8f, title = {Beta Regression for Modelling Rates and Proportions}, author = {Silvia L. P. Ferrari and Francisco Cribari‐Neto}, journal = {Journal of Applied Statistics}, year = {2004}, volume = {31}, number = {7}, pages = {799-815}, doi = {10.1080/0266476042000214501}, url = {https://doi.org/10.1080/0266476042000214501} } @article{econhot_econhot-cited-e915624571a2da0f, title = {A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory}, author = {Richard W. Roll}, journal = {Journal of Financial Economics}, year = {1977}, volume = {4}, number = {2}, pages = {129-176}, doi = {10.1016/0304-405x(77)90009-5}, url = {https://doi.org/10.1016/0304-405x(77)90009-5} } @article{econhot_econhot-cited-e7a4353006a12399, title = {Estimating the Value of Political Connections}, author = {Raymond J. Fisman}, journal = {American Economic Review}, year = {2001}, volume = {91}, number = {4}, pages = {1095-1102}, doi = {10.1257/aer.91.4.1095}, url = {https://doi.org/10.1257/aer.91.4.1095} } @article{econhot_econhot-cited-368b0a9bddd2d496, title = {Inferring Trade Direction from Intraday Data}, author = {Charles M.C. Lee and Mark J. Ready}, journal = {The Journal of Finance}, year = {1991}, volume = {46}, number = {2}, pages = {733-746}, doi = {10.1111/j.1540-6261.1991.tb02683.x}, url = {https://doi.org/10.1111/j.1540-6261.1991.tb02683.x} } @article{econhot_econhot-cited-b95575759194b987, title = {Partial residuals for the proportional hazards regression model}, author = {David Schoenfeld}, journal = {Biometrika}, year = {1982}, volume = {69}, number = {1}, pages = {239-241}, doi = {10.1093/biomet/69.1.239}, url = {https://doi.org/10.1093/biomet/69.1.239} } @article{econhot_econhot-cited-6007465e609e6dc3, title = {A Test for Normality of Observations and Regression Residuals}, author = {Carlos M. Jarque and Anil Kumar Bera}, journal = {International Statistical Review}, year = {1987}, volume = {55}, number = {2}, pages = {163}, doi = {10.2307/1403192}, url = {https://doi.org/10.2307/1403192} } @article{econhot_econhot-cited-64485a8544c32c09, title = {A Leisurely Look at the Bootstrap, the Jackknife, and Cross-Validation}, author = {Bradley Efron and Gail D. Gong}, journal = {The American Statistician}, year = {1983}, volume = {37}, number = {1}, pages = {36-48}, doi = {10.1080/00031305.1983.10483087}, url = {https://doi.org/10.1080/00031305.1983.10483087} } @article{econhot_econhot-cited-f46af5bca7eaa633, title = {Conditional Skewness in Asset Pricing Tests}, author = {Campbell R. Harvey and Akhtar R. Siddique}, journal = {The Journal of Finance}, year = {2000}, volume = {55}, number = {3}, pages = {1263-1295}, doi = {10.1111/0022-1082.00247}, url = {https://doi.org/10.1111/0022-1082.00247} } @article{econhot_econhot-cited-35aa2858dd519fb0, title = {Labor Market Institutions and the Distribution of Wages, 1973-1992: A Semiparametric Approach}, author = {John DiNardo and Nicole M. Fortin and Thomas Lemieux}, journal = {Econometrica}, year = {1996}, volume = {64}, number = {5}, pages = {1001}, doi = {10.2307/2171954}, url = {https://doi.org/10.2307/2171954} } @article{econhot_econhot-cited-eb24384a28c5f6d8, title = {On estimating the expected return on the market}, author = {Robert C. Merton}, journal = {Journal of Financial Economics}, year = {1980}, volume = {8}, number = {4}, pages = {323-361}, doi = {10.1016/0304-405x(80)90007-0}, url = {https://doi.org/10.1016/0304-405x(80)90007-0} } @article{econhot_econhot-cited-f73ec79e7fd493e8, title = {Robust Tests for the Equality of Variances}, author = {Morton B. Brown and Alan B. Forsythe}, journal = {Journal of the American Statistical Association}, year = {1974}, volume = {69}, number = {346}, pages = {364-367}, doi = {10.1080/01621459.1974.10482955}, url = {https://doi.org/10.1080/01621459.1974.10482955} } @article{econhot_econhot-cited-89380ddeaae5fa3f, title = {R2 around the world: New theory and new tests☆}, author = {L JIN and S MYERS}, journal = {Journal of Financial Economics}, year = {2005}, volume = {79}, number = {2}, pages = {257-292}, doi = {10.1016/j.jfineco.2004.11.003}, url = {https://doi.org/10.1016/j.jfineco.2004.11.003} } @article{econhot_econhot-cited-b90ad73d316f393c, title = {Risk measurement when shares are subject to infrequent trading}, author = {Elroy Dimson}, journal = {Journal of Financial Economics}, year = {1979}, volume = {7}, number = {2}, pages = {197-226}, doi = {10.1016/0304-405x(79)90013-8}, url = {https://doi.org/10.1016/0304-405x(79)90013-8} } @article{econhot_econhot-cited-155d09276d92cef1, title = {Detecting long-run abnormal stock returns: The empirical power and specification of test statistics}, author = {Brad M. Barber and John D. Lyon}, journal = {Journal of Financial Economics}, year = {1997}, volume = {43}, number = {3}, pages = {341-372}, doi = {10.1016/s0304-405x(96)00890-2}, url = {https://doi.org/10.1016/s0304-405x(96)00890-2} } @article{econhot_econhot-cited-05cf6442cfb213f0, title = {Estimating betas from nonsynchronous data}, author = {Myron S. Scholes and Joseph T. Williams}, journal = {Journal of Financial Economics}, year = {1977}, volume = {5}, number = {3}, pages = {309-327}, doi = {10.1016/0304-405x(77)90041-1}, url = {https://doi.org/10.1016/0304-405x(77)90041-1} } @article{econhot_econhot-cited-1f1e2c804437b0d9, title = {A Method for Minimizing the Impact of Distributional Assumptions in Econometric Models for Duration Data}, author = {James J. Heckman and Burton H. Singer}, journal = {Econometrica}, year = {1984}, volume = {52}, number = {2}, pages = {271}, doi = {10.2307/1911491}, url = {https://doi.org/10.2307/1911491} } @article{econhot_econhot-cited-579528eb64e0c230, title = {Smoothing reference centile curves: The lms method and penalized likelihood}, author = {Tim James Cole and P. J. Green}, journal = {Statistics in Medicine}, year = {1992}, volume = {11}, number = {10}, pages = {1305-1319}, doi = {10.1002/sim.4780111005}, url = {https://doi.org/10.1002/sim.4780111005} } @article{econhot_econhot-cited-f1def8aaccb81be2, title = {Nonparametric Statistics}, author = {Sidney Siegel}, journal = {The American Statistician}, year = {1957}, volume = {11}, number = {3}, pages = {13-19}, doi = {10.1080/00031305.1957.10501091}, url = {https://doi.org/10.1080/00031305.1957.10501091} } @article{econhot_econhot-cited-e2b570fb23fd289c, title = {Estimation of Regression Coefficients When Some Regressors are not Always Observed}, author = {James M. Robins and Andrea G. Rotnitzky and Lue Ping Zhao}, journal = {Journal of the American Statistical Association}, year = {1994}, volume = {89}, number = {427}, pages = {846-866}, doi = {10.1080/01621459.1994.10476818}, url = {https://doi.org/10.1080/01621459.1994.10476818} } @article{econhot_econhot-cited-4adcff821bbb0632, title = {Estimation of the Mean of a Multivariate Normal Distribution}, author = {Charles Michael Stein}, journal = {The Annals of Statistics}, year = {1981}, volume = {9}, number = {6}, doi = {10.1214/aos/1176345632}, url = {https://doi.org/10.1214/aos/1176345632} } @article{econhot_econhot-cited-44157f7d68082921, title = {Evidence of Predictable Behavior of Security Returns}, author = {Narasimhan Jegadeesh}, journal = {The Journal of Finance}, year = {1990}, volume = {45}, number = {3}, pages = {881-898}, doi = {10.1111/j.1540-6261.1990.tb05110.x}, url = {https://doi.org/10.1111/j.1540-6261.1990.tb05110.x} } @article{econhot_econhot-cited-1fd1eccf9601d0bb, title = {Generalized reduced rank tests using the singular value decomposition}, author = {Frank R. Kleibergen and Richard Paap}, journal = {Journal of Econometrics}, year = {2005}, volume = {133}, number = {1}, pages = {97-126}, doi = {10.1016/j.jeconom.2005.02.011}, url = {https://doi.org/10.1016/j.jeconom.2005.02.011} } @article{econhot_econhot-cited-30176303a44981ca, title = {Flexible regression models with cubic splines}, author = {Sylvain Durrleman and Richard M Simon}, journal = {Statistics in Medicine}, year = {1989}, volume = {8}, number = {5}, pages = {551-561}, doi = {10.1002/sim.4780080504}, url = {https://doi.org/10.1002/sim.4780080504} } @article{econhot_econhot-cited-de79b4edc5281c09, title = {Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models}, author = {Arthur Lewbel}, journal = {Journal of Business and Economic Statistics}, year = {2012}, volume = {30}, number = {1}, pages = {67-80}, doi = {10.1080/07350015.2012.643126}, url = {https://doi.org/10.1080/07350015.2012.643126} } @article{econhot_econhot-cited-5cb33de04a840652, title = {Consistent Estimates Based on Partially Consistent Observations}, author = {Jerzy Neyman and Elizabeth L. Scott}, journal = {Econometrica}, year = {1948}, volume = {16}, number = {1}, pages = {1}, doi = {10.2307/1914288}, url = {https://doi.org/10.2307/1914288} } @article{econhot_econhot-cited-8bc8b8059ac10171, title = {An Illustration of a Pitfall in Estimating the Effects of Aggregate Variables on Micro Units}, author = {Brent R. Moulton}, journal = {The Review of Economics and Statistics}, year = {1990}, volume = {72}, number = {2}, pages = {334}, doi = {10.2307/2109724}, url = {https://doi.org/10.2307/2109724} } @article{econhot_econhot-cited-05479f662e26c9dd, title = {Relative Importance for Linear Regression in R : The Package relaimpo}, author = {Ulrike Grömping}, journal = {Journal of Statistical Software}, year = {2006}, volume = {17}, number = {1}, doi = {10.18637/jss.v017.i01}, url = {https://doi.org/10.18637/jss.v017.i01} } @article{econhot_econhot-cited-c6e6dab6bce042b4, title = {Chi-Square Tests with One Degree of Freedom; Extensions of the Mantel-Haenszel Procedure}, author = {Nathan Mantel}, journal = {Journal of the American Statistical Association}, year = {1963}, volume = {58}, number = {303}, pages = {690-700}, doi = {10.1080/01621459.1963.10500879}, url = {https://doi.org/10.1080/01621459.1963.10500879} } @article{econhot_econhot-cited-67d15226c66d510e, title = {A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return}, author = {Tim Bollerslev}, journal = {The Review of Economics and Statistics}, year = {1987}, volume = {69}, number = {3}, pages = {542}, doi = {10.2307/1925546}, url = {https://doi.org/10.2307/1925546} } @article{econhot_econhot-cited-1cc07895a297ed92, title = {A Simple Approximate Long-Memory Model of Realized Volatility}, author = {Fulvio Corsi}, journal = {Journal of Financial Econometrics}, year = {2008}, volume = {7}, number = {2}, pages = {174-196}, doi = {10.1093/jjfinec/nbp001}, url = {https://doi.org/10.1093/jjfinec/nbp001} } @article{econhot_econhot-cited-971b045057345c46, title = {Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests under Nonstandard Conditions}, author = {Steven G. Self and Kung‐Yee Liang}, journal = {Journal of the American Statistical Association}, year = {1987}, volume = {82}, number = {398}, pages = {605-610}, doi = {10.1080/01621459.1987.10478472}, url = {https://doi.org/10.1080/01621459.1987.10478472} } @article{econhot_econhot-cited-b7c229b96d2c2903, title = {The Robust Inference for the Cox Proportional Hazards Model}, author = {Danyu Y. Lin and L. J. Wei}, journal = {Journal of the American Statistical Association}, year = {1989}, volume = {84}, number = {408}, pages = {1074-1078}, doi = {10.1080/01621459.1989.10478874}, url = {https://doi.org/10.1080/01621459.1989.10478874} } @article{econhot_econhot-cited-6bce0c74d213e737, title = {The Collinearity Problem in Linear Regression. The Partial Least Squares (PLS) Approach to Generalized Inverses}, author = {Svante Wold and Axel Ruhe and Herman Wold and William Jackson Dunn}, journal = {SIAM Journal on Scientific and Statistical Computing}, year = {1984}, volume = {5}, number = {3}, pages = {735-743}, doi = {10.1137/0905052}, url = {https://doi.org/10.1137/0905052} } @article{econhot_econhot-cited-b5c7385dae5319ba, title = {Discriminatory Analysis. Nonparametric Discrimination: Consistency Properties}, author = {Evelyn Fix and J. L. Hodges}, journal = {International Statistical Review}, year = {1989}, volume = {57}, number = {3}, pages = {238}, doi = {10.2307/1403797}, url = {https://doi.org/10.2307/1403797} } @article{econhot_econhot-cited-6c6e51e5457b4c6b, title = {Testing the pecking order theory of capital structure}, author = {Murray Z. Frank and Vidhan K. Goyal}, journal = {Journal of Financial Economics}, year = {2002}, volume = {67}, number = {2}, pages = {217-248}, doi = {10.1016/s0304-405x(02)00252-0}, url = {https://doi.org/10.1016/s0304-405x(02)00252-0} } @article{econhot_econhot-cited-be7313c36a8ad686, title = {Simultaneous analysis of Lasso and Dantzig selector}, author = {Peter J. Bickel and Ya’acov Ritov and Alexandre B. Tsybakov}, journal = {The Annals of Statistics}, year = {2009}, volume = {37}, number = {4}, doi = {10.1214/08-aos620}, url = {https://doi.org/10.1214/08-aos620} } @article{econhot_econhot-cited-afad07a870ac92c6, title = {The Influence Curve and its Role in Robust Estimation}, author = {Frank R. Hampel}, journal = {Journal of the American Statistical Association}, year = {1974}, volume = {69}, number = {346}, pages = {383-393}, doi = {10.1080/01621459.1974.10482962}, url = {https://doi.org/10.1080/01621459.1974.10482962} } @article{econhot_econhot-cited-9540a6472b09af2d, title = {A solution to the problem of separation in logistic regression}, author = {Georg Heinze and MICHAEL SCHEMPER}, journal = {Statistics in Medicine}, year = {2002}, volume = {21}, number = {16}, pages = {2409-2419}, doi = {10.1002/sim.1047}, url = {https://doi.org/10.1002/sim.1047} } @article{econhot_econhot-cited-3af172139fe35abf, title = {The external wealth of nations mark II: Revised and extended estimates of foreign assets and liabilities, 1970–2004}, author = {Philip R. Lane and Gian Maria Milesi‐Ferretti}, journal = {Journal of International Economics}, year = {2007}, volume = {73}, number = {2}, pages = {223-250}, doi = {10.1016/j.jinteco.2007.02.003}, url = {https://doi.org/10.1016/j.jinteco.2007.02.003} } @article{econhot_econhot-cited-3f05ee5d33d1c233, title = {Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model}, author = {Robert F. Engle and David M. Lilien and Russell P. Robins}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {2}, pages = {391}, doi = {10.2307/1913242}, url = {https://doi.org/10.2307/1913242} } @article{econhot_econhot-cited-9c831a51bacde387, title = {A Test of the Efficiency of a Given Portfolio}, author = {Michael R. Gibbons and Stephen A. Ross and Jay A. Shanken}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {5}, pages = {1121}, doi = {10.2307/1913625}, url = {https://doi.org/10.2307/1913625} } @article{econhot_econhot-cited-14971fc2f63d1aa1, title = {Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems}, author = {David A. Harville}, journal = {Journal of the American Statistical Association}, year = {1977}, volume = {72}, number = {358}, pages = {320-338}, doi = {10.1080/01621459.1977.10480998}, url = {https://doi.org/10.1080/01621459.1977.10480998} } @article{econhot_econhot-cited-61b141290b58ee07, title = {INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE‐EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS}, author = {Sudipta Basu}, journal = {The Journal of Finance}, year = {1977}, volume = {32}, number = {3}, pages = {663-682}, doi = {10.1111/j.1540-6261.1977.tb01979.x}, url = {https://doi.org/10.1111/j.1540-6261.1977.tb01979.x} } @article{econhot_econhot-cited-9de219037e25d7e4, title = {Estimating Trade Flows: Trading Partners and Trading Volumes *}, author = {Elhanan Helpman and Marc J.. Auteur du texte Melitz and Yona Rubinstein}, journal = {The Quarterly Journal of Economics}, year = {2008}, volume = {123}, number = {2}, pages = {441-487}, doi = {10.1162/qjec.2008.123.2.441}, url = {https://doi.org/10.1162/qjec.2008.123.2.441} } @article{econhot_econhot-cited-d112abd87b317a52, title = {Estimating regression models with unknown break‐points}, author = {Vito M. R. Muggeo}, journal = {Statistics in Medicine}, year = {2003}, volume = {22}, number = {19}, pages = {3055-3071}, doi = {10.1002/sim.1545}, url = {https://doi.org/10.1002/sim.1545} } @article{econhot_econhot-cited-cb9bda8255a7a4a5, title = {Instrumental Variables and the Search for Identification: From Supply and Demand to Natural Experiments}, author = {Joshua D. Angrist and Alan B Krueger}, journal = {The Journal of Economic Perspectives}, year = {2001}, volume = {15}, number = {4}, pages = {69-85}, doi = {10.1257/jep.15.4.69}, url = {https://doi.org/10.1257/jep.15.4.69} } @article{econhot_econhot-cited-db2a8315907f9a44, title = {Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options}, author = {David S. Bates}, journal = {Review of Financial Studies}, year = {1996}, volume = {9}, number = {1}, pages = {69-107}, doi = {10.1093/rfs/9.1.69}, url = {https://doi.org/10.1093/rfs/9.1.69} } @article{econhot_econhot-cited-6d162168e03d2e61, title = {An improved Bonferroni procedure for multiple tests of significance}, author = {Robert John Simes}, journal = {Biometrika}, year = {1986}, volume = {73}, number = {3}, pages = {751-754}, doi = {10.1093/biomet/73.3.751}, url = {https://doi.org/10.1093/biomet/73.3.751} } @article{econhot_econhot-cited-464e40ea70ccc558, title = {Robust Regression: Asymptotics, Conjectures and Monte Carlo}, author = {Peter J. Huber}, journal = {The Annals of Statistics}, year = {1973}, volume = {1}, number = {5}, doi = {10.1214/aos/1176342503}, url = {https://doi.org/10.1214/aos/1176342503} } @article{econhot_econhot-cited-9403f02f73aebe3a, title = {The distribution of realized stock return volatility}, author = {Torben Gustav Andersen}, journal = {Journal of Financial Economics}, year = {2001}, volume = {61}, number = {1}, pages = {43-76}, doi = {10.1016/s0304-405x(01)00055-1}, url = {https://doi.org/10.1016/s0304-405x(01)00055-1} } @article{econhot_econhot-cited-17e8a334cdfcdf94, title = {What are the effects of monetary policy on output? Results from an agnostic identification procedure}, author = {Harald Uhlig}, journal = {Journal of Monetary Economics}, year = {2005}, volume = {52}, number = {2}, pages = {381-419}, doi = {10.1016/j.jmoneco.2004.05.007}, url = {https://doi.org/10.1016/j.jmoneco.2004.05.007} } @article{econhot_econhot-cited-e01ec118300c20e5, title = {Measuring and testing dependence by correlation of distances}, author = {Gábor J. Székely and Maria L. Rizzo and Nail K. Bakirov}, journal = {The Annals of Statistics}, year = {2007}, volume = {35}, number = {6}, doi = {10.1214/009053607000000505}, url = {https://doi.org/10.1214/009053607000000505} } @article{econhot_econhot-cited-e71a773cb9ac4adb, title = {Bootstrap confidence intervals}, author = {Thomas J. DiCiccio and Bradley Efron}, journal = {Statistical Science}, year = {1996}, volume = {11}, number = {3}, doi = {10.1214/ss/1032280214}, url = {https://doi.org/10.1214/ss/1032280214} } @article{econhot_econhot-cited-225753d0057717c5, title = {Fractionally integrated generalized autoregressive conditional heteroskedasticity}, author = {Richard T. Baillie and Tim Bollerslev and Hans Ole Mikkelsen}, journal = {Journal of Econometrics}, year = {1996}, volume = {74}, number = {1}, pages = {3-30}, doi = {10.1016/s0304-4076(95)01749-6}, url = {https://doi.org/10.1016/s0304-4076(95)01749-6} } @article{econhot_econhot-cited-ca13ea77684ee5f4, title = {Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models}, author = {Sang‐Joon Kim and Neil Shepherd and Siddhartha Chib}, journal = {The Review of Economic Studies}, year = {1998}, volume = {65}, number = {3}, pages = {361-393}, doi = {10.1111/1467-937x.00050}, url = {https://doi.org/10.1111/1467-937x.00050} } @article{econhot_econhot-cited-8b2cb43c44e21b17, title = {The positive false discovery rate: a Bayesian interpretation and the q-value}, author = {John D. Storey}, journal = {The Annals of Statistics}, year = {2003}, volume = {31}, number = {6}, doi = {10.1214/aos/1074290335}, url = {https://doi.org/10.1214/aos/1074290335} } @article{econhot_econhot-cited-ea1b506458e0425b, title = {Econometric Issues in the Analysis of Regressions with Generated Regressors}, author = {Adrian Pagan}, journal = {International Economic Review}, year = {1984}, volume = {25}, number = {1}, pages = {221}, doi = {10.2307/2648877}, url = {https://doi.org/10.2307/2648877} } @article{econhot_econhot-cited-0c6b639f209223bc, title = {Efficient Inference in a Random Coefficient Regression Model}, author = {P. A. V. B. Swamy}, journal = {Econometrica}, year = {1970}, volume = {38}, number = {2}, pages = {311}, doi = {10.2307/1913012}, url = {https://doi.org/10.2307/1913012} } @article{econhot_econhot-cited-80d9b6296dfca0ed, title = {Women as Policy Makers: Evidence from a Randomized Policy Experiment in India}, author = {Raghabendra Chattopadhyay and Esther Duflo}, journal = {Econometrica}, year = {2004}, volume = {72}, number = {5}, pages = {1409-1443}, doi = {10.1111/j.1468-0262.2004.00539.x}, url = {https://doi.org/10.1111/j.1468-0262.2004.00539.x} } @article{econhot_econhot-cited-4e35cb8694692367, title = {The Distribution of Realized Exchange Rate Volatility}, author = {Torben Gustav Andersen and Tim Bollerslev and Francis X. Diebold and Paul Labys}, journal = {Journal of the American Statistical Association}, year = {2001}, volume = {96}, number = {453}, pages = {42-55}, doi = {10.1198/016214501750332965}, url = {https://doi.org/10.1198/016214501750332965} } @article{econhot_econhot-cited-9ad894cff2d37eab, title = {Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis}, author = {Lars Peter Hansen and Robert J. Hodrick}, journal = {Journal of Political Economy}, year = {1980}, volume = {88}, number = {5}, pages = {829-853}, doi = {10.1086/260910}, url = {https://doi.org/10.1086/260910} } @article{econhot_econhot-cited-6bd93011c375b3b4, title = {Exact and superlative index numbers}, author = {Walter E. Diewert}, journal = {Journal of Econometrics}, year = {1976}, volume = {4}, number = {2}, pages = {115-145}, doi = {10.1016/0304-4076(76)90009-9}, url = {https://doi.org/10.1016/0304-4076(76)90009-9} } @article{econhot_econhot-cited-33d54a47bee88649, title = {What is an Oil Shock?}, author = {James Douglas Hamilton}, journal = {Journal of Econometrics}, year = {2000}, volume = {113}, number = {2}, pages = {363-398}, doi = {10.1016/s0304-4076(02)00207-5}, url = {https://doi.org/10.1016/s0304-4076(02)00207-5} } @article{econhot_econhot-cited-a8f66aa76bc4b22d, title = {Robust regression using iteratively reweighted least-squares}, author = {Paul W. Holland and Roy E. Welsch}, journal = {Communication in Statistics- Theory and Methods}, year = {1977}, volume = {6}, number = {9}, pages = {813-827}, doi = {10.1080/03610927708827533}, url = {https://doi.org/10.1080/03610927708827533} } @article{econhot_econhot-cited-e6eb362b746897a8, title = {The Macroeconomic Effects of Tax Changes: Estimates Based on a New Measure of Fiscal Shocks}, author = {Christina Romer and David Romer}, journal = {American Economic Review}, year = {2010}, volume = {100}, number = {3}, pages = {763-801}, doi = {10.1257/aer.100.3.763}, url = {https://doi.org/10.1257/aer.100.3.763} } @article{econhot_econhot-cited-d56f17cefd4b54e8, title = {Power and Bipower Variation with Stochastic Volatility and Jumps}, author = {Ole Eiler Barndorff-Nielsen}, journal = {Journal of Financial Econometrics}, year = {2004}, volume = {2}, number = {1}, pages = {1-37}, doi = {10.1093/jjfinec/nbh001}, url = {https://doi.org/10.1093/jjfinec/nbh001} } @article{econhot_econhot-cited-ecfb83b9e971fe7a, title = {Projection Pursuit Regression}, author = {Jerome H. Friedman and Werner Stuetzle}, journal = {Journal of the American Statistical Association}, year = {1981}, volume = {76}, number = {376}, pages = {817-823}, doi = {10.1080/01621459.1981.10477729}, url = {https://doi.org/10.1080/01621459.1981.10477729} } @article{econhot_econhot-cited-c2b8ccf4797e3107, title = {Revisiting Event-Study Designs: Robust and Efficient Estimation}, author = {Kirill Borusyak and Xavier Jaravel and Jann Spiess}, journal = {The Review of Economic Studies}, year = {2024}, volume = {91}, number = {6}, pages = {3253-3285}, doi = {10.1093/restud/rdae007}, url = {https://doi.org/10.1093/restud/rdae007} } @article{econhot_econhot-cited-7917b3ae62e2e1d8, title = {Stable and Efficient Multiple Smoothing Parameter Estimation for Generalized Additive Models}, author = {Simon N. Wood}, journal = {Journal of the American Statistical Association}, year = {2004}, volume = {99}, number = {467}, pages = {673-686}, doi = {10.1198/016214504000000980}, url = {https://doi.org/10.1198/016214504000000980} } @article{econhot_econhot-cited-db5a939739c700b5, title = {Tests for Linear Trends in Proportions and Frequencies}, author = {P. Armitage}, journal = {Biometrics}, year = {1955}, volume = {11}, number = {3}, pages = {375}, doi = {10.2307/3001775}, url = {https://doi.org/10.2307/3001775} } @article{econhot_econhot-cited-898f010ef5805719, title = {Table for Estimating the Goodness of Fit of Empirical Distributions}, author = {N. Smirnov}, journal = {The Annals of Mathematical Statistics}, year = {1948}, volume = {19}, number = {2}, pages = {279-281}, doi = {10.1214/aoms/1177730256}, url = {https://doi.org/10.1214/aoms/1177730256} } @article{econhot_econhot-cited-b9d36f7c65434ecb, title = {The Dip Test of Unimodality}, author = {John A. Hartigan and Pamela M. Hartigan}, journal = {The Annals of Statistics}, year = {1985}, volume = {13}, number = {1}, doi = {10.1214/aos/1176346577}, url = {https://doi.org/10.1214/aos/1176346577} } @article{econhot_econhot-cited-45236af1bc838323, title = {Bayes Estimates for the Linear Model}, author = {D. V. Lindley and A. F. M. Smith}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1972}, volume = {34}, number = {1}, pages = {1-18}, doi = {10.1111/j.2517-6161.1972.tb00885.x}, url = {https://doi.org/10.1111/j.2517-6161.1972.tb00885.x} } @article{econhot_econhot-cited-54396edf0ebc909d, title = {Empirical likelihood ratio confidence intervals for a single functional}, author = {Art B. Owen}, journal = {Biometrika}, year = {1988}, volume = {75}, number = {2}, pages = {237-249}, doi = {10.1093/biomet/75.2.237}, url = {https://doi.org/10.1093/biomet/75.2.237} } @article{econhot_econhot-cited-6322747fb8670f0e, title = {Giving According to GARP: An Experimental Test of the Consistency of Preferences for Altruism}, author = {James Andreoni and John H. Miller}, journal = {Econometrica}, year = {2002}, volume = {70}, number = {2}, pages = {737-753}, doi = {10.1111/1468-0262.00302}, url = {https://doi.org/10.1111/1468-0262.00302} } @article{econhot_econhot-cited-288ef27f8e1fdab0, title = {Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices}, author = {Joseph S. Chen and Harrison G. Hong and Jeremy C. Stein}, journal = {Journal of Financial Economics}, year = {2001}, volume = {61}, number = {3}, pages = {345-381}, doi = {10.1016/s0304-405x(01)00066-6}, url = {https://doi.org/10.1016/s0304-405x(01)00066-6} } @article{econhot_econhot-cited-c45ac3aaa0b32674, title = {Multicollinearity in Regression Analysis: The Problem Revisited}, author = {Donald E. Farrar and Robert R. Glauber}, journal = {The Review of Economics and Statistics}, year = {1967}, volume = {49}, number = {1}, pages = {92}, doi = {10.2307/1937887}, url = {https://doi.org/10.2307/1937887} } @article{econhot_econhot-cited-f6380fce11782c97, title = {Correlations in Price Changes and Volatility across International Stock Markets}, author = {Yasushi Hamao and Ronald W. Masulis and Victor Ng}, journal = {Review of Financial Studies}, year = {1990}, volume = {3}, number = {2}, pages = {281-307}, doi = {10.1093/rfs/3.2.281}, url = {https://doi.org/10.1093/rfs/3.2.281} } @article{econhot_econhot-cited-daf9f6adddd83766, title = {Quasi-likelihood functions, generalized linear models, and the Gauss—Newton method}, author = {R. W. M. Wedderburn}, journal = {Biometrika}, year = {1974}, volume = {61}, number = {3}, pages = {439-447}, doi = {10.1093/biomet/61.3.439}, url = {https://doi.org/10.1093/biomet/61.3.439} } @article{econhot_econhot-cited-87e5ece326c18aba, title = {TheRPackagegeepackfor Generalized Estimating Equations}, author = {Ulrich Halekoh and Søren Højsgaard and Jun Yan}, journal = {Journal of Statistical Software}, year = {2006}, volume = {15}, number = {2}, doi = {10.18637/jss.v015.i02}, url = {https://doi.org/10.18637/jss.v015.i02} } @article{econhot_econhot-cited-b756db1ec8c57174, title = {Estimating the Return to Schooling: Progress on Some Persistent Econometric Problems}, author = {David Card}, journal = {Econometrica}, year = {2001}, volume = {69}, number = {5}, pages = {1127-1160}, doi = {10.1111/1468-0262.00237}, url = {https://doi.org/10.1111/1468-0262.00237} } @article{econhot_econhot-cited-ff6a0faad9e9df22, title = {Improved Methods for Tests of Long‐Run Abnormal Stock Returns}, author = {John D. Lyon and Brad M. Barber and Chih‐Ling Tsai}, journal = {The Journal of Finance}, year = {1999}, volume = {54}, number = {1}, pages = {165-201}, doi = {10.1111/0022-1082.00101}, url = {https://doi.org/10.1111/0022-1082.00101} } @article{econhot_econhot-cited-4a1f271bd00db318, title = {Testing for Common Trends}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of the American Statistical Association}, year = {1988}, volume = {83}, number = {404}, pages = {1097-1107}, doi = {10.1080/01621459.1988.10478707}, url = {https://doi.org/10.1080/01621459.1988.10478707} } @article{econhot_econhot-cited-41d2be0a4ef3447a, title = {Recent developments in DEA}, author = {Lawrence M. Seiford and Robert Thrall}, journal = {Journal of Econometrics}, year = {1990}, volume = {46}, number = {1-2}, pages = {7-38}, doi = {10.1016/0304-4076(90)90045-u}, url = {https://doi.org/10.1016/0304-4076(90)90045-u} } @article{econhot_econhot-cited-89e89c37b2a93b20, title = {Hypothesis Testing with Efficient Method of Moments Estimation}, author = {Whitney K. Newey and Kenneth D. West}, journal = {International Economic Review}, year = {1987}, volume = {28}, number = {3}, pages = {777}, doi = {10.2307/2526578}, url = {https://doi.org/10.2307/2526578} } @article{econhot_econhot-cited-838ccaef52a3e2ce, title = {An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy}, author = {Julio J. Rotemberg and Michael Woodford}, journal = {NBER Macroeconomics Annual}, year = {1997}, volume = {12}, pages = {297-346}, doi = {10.1086/654340}, url = {https://doi.org/10.1086/654340} } @article{econhot_econhot-cited-5077c82247e3b7c3, title = {Goodness of fit tests for the multiple logistic regression model}, author = {David W. Hosmer and Stanley Lemesbow}, journal = {Communication in Statistics- Theory and Methods}, year = {1980}, volume = {9}, number = {10}, pages = {1043-1069}, doi = {10.1080/03610928008827941}, url = {https://doi.org/10.1080/03610928008827941} } @article{econhot_econhot-cited-4059cbb662c5f451, title = {Autoregressive conditional heteroskedasticity and changes in regime}, author = {James Douglas Hamilton and Raúl Susmel}, journal = {Journal of Econometrics}, year = {1994}, volume = {64}, number = {1-2}, pages = {307-333}, doi = {10.1016/0304-4076(94)90067-1}, url = {https://doi.org/10.1016/0304-4076(94)90067-1} } @article{econhot_econhot-cited-d45eb0c93d9c6a40, title = {Interval estimation for the difference between independent proportions: comparison of eleven methods}, author = {Robert Gordon Newcombe}, journal = {Statistics in Medicine}, year = {1998}, volume = {17}, number = {8}, pages = {873-890}, doi = {10.1002/(sici)1097-0258(19980430)17:8<873::aid-sim779>3.0.co;2-i}, url = {https://doi.org/10.1002/(sici)1097-0258(19980430)17:8\%3C873::aid-sim779\%3E3.0.co;2-i} } @article{econhot_econhot-cited-f834655db452eb81, title = {Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data}, author = {Robert F. Engle and Jeffrey R. Russell}, journal = {Econometrica}, year = {1998}, volume = {66}, number = {5}, pages = {1127}, doi = {10.2307/2999632}, url = {https://doi.org/10.2307/2999632} } @article{econhot_econhot-cited-9de34f718aeee0ab, title = {Assessing Proportionality in the Proportional Odds Model for Ordinal Logistic Regression}, author = {Rollin Brant}, journal = {Biometrics}, year = {1990}, volume = {46}, number = {4}, pages = {1171}, doi = {10.2307/2532457}, url = {https://doi.org/10.2307/2532457} } @article{econhot_econhot-cited-aa7cb164eedf008c, title = {A COMPARISON OF GOODNESS-OF-FIT TESTS FOR THE LOGISTIC REGRESSION MODEL}, author = {D. W. Hosmer and Trina A. Hosmer and Saskia le Cessie and Stanley A. Lemeshow}, journal = {Statistics in Medicine}, year = {1997}, volume = {16}, number = {9}, pages = {965-980}, doi = {10.1002/(sici)1097-0258(19970515)16:9<965::aid-sim509>3.0.co;2-o}, url = {https://doi.org/10.1002/(sici)1097-0258(19970515)16:9\%3C965::aid-sim509\%3E3.0.co;2-o} } @article{econhot_econhot-cited-0e86b941e586d10c, title = {The jump-risk premia implicit in options: evidence from an integrated time-series study}, author = {Jun Min Pan}, journal = {Journal of Financial Economics}, year = {2002}, volume = {63}, number = {1}, pages = {3-50}, doi = {10.1016/s0304-405x(01)00088-5}, url = {https://doi.org/10.1016/s0304-405x(01)00088-5} } @article{econhot_econhot-cited-ae8aad641c50ef13, title = {Predicting returns in the stock and bond markets}, author = {Donald B. Keim and Robert F. Stambaugh}, journal = {Journal of Financial Economics}, year = {1986}, volume = {17}, number = {2}, pages = {357-390}, doi = {10.1016/0304-405x(86)90070-x}, url = {https://doi.org/10.1016/0304-405x(86)90070-x} } @article{econhot_econhot-cited-bf31aa5cc0723cda, title = {Some heteroskedasticity-consistent covariance matrix estimators with improved finite sample properties}, author = {James G. MacKinnon and Halbert White}, journal = {Journal of Econometrics}, year = {1985}, volume = {29}, number = {3}, pages = {305-325}, doi = {10.1016/0304-4076(85)90158-7}, url = {https://doi.org/10.1016/0304-4076(85)90158-7} } @article{econhot_econhot-cited-cc164ee3ffea78bd, title = {Several Tests for Model Specification in the Presence of Alternative Hypotheses}, author = {Russell Davidson and James G. MacKinnon}, journal = {Econometrica}, year = {1981}, volume = {49}, number = {3}, pages = {781}, doi = {10.2307/1911522}, url = {https://doi.org/10.2307/1911522} } @article{econhot_econhot-cited-c15f621b80ad62f8, title = {Consistent Nonparametric Regression}, author = {Charles J. Stone}, journal = {The Annals of Statistics}, year = {1977}, volume = {5}, number = {4}, doi = {10.1214/aos/1176343886}, url = {https://doi.org/10.1214/aos/1176343886} } @article{econhot_econhot-cited-be4866137f3b3e2f, title = {Forecasting the Term Structure of Government Bond Yields}, author = {Francis X. Diebold and Canlin Li}, journal = {Journal of Econometrics}, year = {2003}, volume = {130}, number = {2}, pages = {337-364}, doi = {10.1016/j.jeconom.2005.03.005}, url = {https://doi.org/10.1016/j.jeconom.2005.03.005} } @article{econhot_econhot-cited-cc32ce2c301abdbf, title = {Detecting Multicollinearity in Regression Analysis}, author = {Noora Shrestha}, journal = {American Journal of Applied Mathematics and Statistics}, year = {2020}, volume = {8}, number = {2}, pages = {39-42}, doi = {10.12691/ajams-8-2-1}, url = {https://doi.org/10.12691/ajams-8-2-1} } @article{econhot_econhot-cited-9a6f68a7e72da314, title = {A Biometrics Invited Paper. The Analysis and Selection of Variables in Linear Regression}, author = {Ronald Raymond Hocking}, journal = {Biometrics}, year = {1976}, volume = {32}, number = {1}, pages = {1}, doi = {10.2307/2529336}, url = {https://doi.org/10.2307/2529336} } @article{econhot_econhot-cited-786f8646e533a7a6, title = {A forecast comparison of volatility models: does anything beat a GARCH(1,1)?}, author = {Peter Reinhard Hansen and Asger Lunde}, journal = {Journal of Applied Econometrics}, year = {2005}, volume = {20}, number = {7}, pages = {873-889}, doi = {10.1002/jae.800}, url = {https://doi.org/10.1002/jae.800} } @article{econhot_econhot-cited-c7da0ab456463d07, title = {Asymptotically distribution‐free methods for the analysis of covariance structures}, author = {Michael W. Browne}, journal = {British Journal of Mathematical and Statistical Psychology}, year = {1984}, volume = {37}, number = {1}, pages = {62-83}, doi = {10.1111/j.2044-8317.1984.tb00789.x}, url = {https://doi.org/10.1111/j.2044-8317.1984.tb00789.x} } @article{econhot_econhot-cited-048eb6f245d2b341, title = {A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables}, author = {Andrew Ang and Monika Piazzesi}, journal = {Journal of Monetary Economics}, year = {2003}, volume = {50}, number = {4}, pages = {745-787}, doi = {10.1016/s0304-3932(03)00032-1}, url = {https://doi.org/10.1016/s0304-3932(03)00032-1} } @article{econhot_econhot-cited-20e1ceda0e739a55, title = {Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach}, author = {Alexander J. McNeil and Rüdiger Frey}, journal = {Journal of Empirical Finance}, year = {2000}, volume = {7}, number = {3-4}, pages = {271-300}, doi = {10.1016/s0927-5398(00)00012-8}, url = {https://doi.org/10.1016/s0927-5398(00)00012-8} } @article{econhot_econhot-cited-2e635d9635d3cdc0, title = {Cem: Coarsened Exact Matching in Stata}, author = {Matthew Blackwell and Stefano Maria Iacus and Gary King and Giuseppe Porro}, journal = {The Stata Journal Promoting communications on statistics and Stata}, year = {2009}, volume = {9}, number = {4}, pages = {524-546}, doi = {10.1177/1536867x0900900402}, url = {https://doi.org/10.1177/1536867x0900900402} } @article{econhot_econhot-cited-2fbd9da687545eb0, title = {Jackknife, Bootstrap and Other Resampling Methods in Regression Analysis}, author = {C. F. Jeff Wu}, journal = {The Annals of Statistics}, year = {1986}, volume = {14}, number = {4}, doi = {10.1214/aos/1176350142}, url = {https://doi.org/10.1214/aos/1176350142} } @article{econhot_econhot-cited-4d9e05034c5a2265, title = {The Term Structure as a Predictor of Real Economic Activity}, author = {Arturo Estrella and Gikas A. Hardouvelis}, journal = {The Journal of Finance}, year = {1991}, volume = {46}, number = {2}, pages = {555-576}, doi = {10.1111/j.1540-6261.1991.tb02674.x}, url = {https://doi.org/10.1111/j.1540-6261.1991.tb02674.x} } @article{econhot_econhot-cited-83d193d9100b7532, title = {Evidence on the Characteristics of Cross Sectional Variation in Stock Returns}, author = {Kent Daniel and Sheridan D. Titman}, journal = {The Journal of Finance}, year = {1997}, volume = {52}, number = {1}, pages = {1-33}, doi = {10.1111/j.1540-6261.1997.tb03806.x}, url = {https://doi.org/10.1111/j.1540-6261.1997.tb03806.x} } @article{econhot_econhot-cited-b090f9e287e2d968, title = {Empirical Likelihood and General Estimating Equations}, author = {Qin Jin and Jerry F. Lawless}, journal = {The Annals of Statistics}, year = {1994}, volume = {22}, number = {1}, doi = {10.1214/aos/1176325370}, url = {https://doi.org/10.1214/aos/1176325370} } @article{econhot_econhot-cited-110fdd0924630476, title = {Emerging equity market volatility}, author = {Geert Bekaert and Campbell R. Harvey}, journal = {Journal of Financial Economics}, year = {1997}, volume = {43}, number = {1}, pages = {29-77}, doi = {10.1016/s0304-405x(96)00889-6}, url = {https://doi.org/10.1016/s0304-405x(96)00889-6} } @article{econhot_econhot-cited-1094c43588056a3d, title = {Improved estimation of the covariance matrix of stock returns with an application to portfolio selection}, author = {Olivier Ledoit and Michael Wolf}, journal = {Journal of Empirical Finance}, year = {2003}, volume = {10}, number = {5}, pages = {603-621}, doi = {10.1016/s0927-5398(03)00007-0}, url = {https://doi.org/10.1016/s0927-5398(03)00007-0} } @article{econhot_econhot-cited-78a6715eea6ecd04, title = {Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy}, author = {David E. Rapach and Jack Strauss and Guofu Zhou}, journal = {Review of Financial Studies}, year = {2009}, volume = {23}, number = {2}, pages = {821-862}, doi = {10.1093/rfs/hhp063}, url = {https://doi.org/10.1093/rfs/hhp063} } @article{econhot_econhot-cited-bf454b880ba90279, title = {Ridge Estimators in Logistic Regression}, author = {Saskia le Cessie and Hans C. van Houwelingen}, journal = {Journal of the Royal Statistical Society Series C (Applied Statistics)}, year = {1992}, volume = {41}, number = {1}, pages = {191}, doi = {10.2307/2347628}, url = {https://doi.org/10.2307/2347628} } @article{econhot_econhot-cited-0651426a6e46a66f, title = {On the Estimation of Beta-Pricing Models}, author = {Jay A. Shanken}, journal = {Review of Financial Studies}, year = {1992}, volume = {5}, number = {1}, pages = {1-33}, doi = {10.1093/rfs/5.1.1}, url = {https://doi.org/10.1093/rfs/5.1.1} } @article{econhot_econhot-cited-0b5a7c8a1ef790e3, title = {Identifying Government Spending Shocks: It's all in the Timing*}, author = {Valerie Ramey}, journal = {The Quarterly Journal of Economics}, year = {2011}, volume = {126}, number = {1}, pages = {1-50}, doi = {10.1093/qje/qjq008}, url = {https://doi.org/10.1093/qje/qjq008} } @article{econhot_econhot-cited-23711fc4d58c22e2, title = {Sequential Tests of Statistical Hypotheses}, author = {A. Wald}, journal = {The Annals of Mathematical Statistics}, year = {1945}, volume = {16}, number = {2}, pages = {117-186}, doi = {10.1214/aoms/1177731118}, url = {https://doi.org/10.1214/aoms/1177731118} } @article{econhot_econhot-cited-8aff2f0ae39b43fa, title = {Linear Model Selection by Cross-validation}, author = {Jun Shao}, journal = {Journal of the American Statistical Association}, year = {1993}, volume = {88}, number = {422}, pages = {486-494}, doi = {10.1080/01621459.1993.10476299}, url = {https://doi.org/10.1080/01621459.1993.10476299} } @article{econhot_econhot-cited-7e9da9ea53890627, title = {Estimating the components of the bid/ask spread}, author = {Lawrence R. Glosten and LAWRENCE E. HARRIS}, journal = {Journal of Financial Economics}, year = {1988}, volume = {21}, number = {1}, pages = {123-142}, doi = {10.1016/0304-405x(88)90034-7}, url = {https://doi.org/10.1016/0304-405x(88)90034-7} } @article{econhot_econhot-cited-a95e48bacb478993, title = {A Test of Goodness of Fit}, author = {T. W. Anderson and Donald A. Darling}, journal = {Journal of the American Statistical Association}, year = {1954}, volume = {49}, number = {268}, pages = {765-769}, doi = {10.1080/01621459.1954.10501232}, url = {https://doi.org/10.1080/01621459.1954.10501232} } @article{econhot_econhot-cited-5a49c51a4cb47881, title = {High Breakdown-Point and High Efficiency Robust Estimates for Regression}, author = {Vı́ctor J. Yohai}, journal = {The Annals of Statistics}, year = {1987}, volume = {15}, number = {2}, doi = {10.1214/aos/1176350366}, url = {https://doi.org/10.1214/aos/1176350366} } @article{econhot_econhot-cited-3ccc062c9e95f840, title = {Random group effects and the precision of regression estimates}, author = {Brent R. Moulton}, journal = {Journal of Econometrics}, year = {1986}, volume = {32}, number = {3}, pages = {385-397}, doi = {10.1016/0304-4076(86)90021-7}, url = {https://doi.org/10.1016/0304-4076(86)90021-7} } @article{econhot_econhot-cited-8eeb73ed30e63c7b, title = {Global optimization of statistical functions with simulated annealing}, author = {William L. Goffe and Gary D. Ferrier and John Rogers}, journal = {Journal of Econometrics}, year = {1994}, volume = {60}, number = {1-2}, pages = {65-99}, doi = {10.1016/0304-4076(94)90038-8}, url = {https://doi.org/10.1016/0304-4076(94)90038-8} } @article{econhot_econhot-cited-e062a8b8c9c1b3b2, title = {Sample Criteria for Testing Outlying Observations}, author = {Frank E. Grubbs}, journal = {The Annals of Mathematical Statistics}, year = {1950}, volume = {21}, number = {1}, pages = {27-58}, doi = {10.1214/aoms/1177729885}, url = {https://doi.org/10.1214/aoms/1177729885} } @article{econhot_econhot-cited-87d672b9dbf74f64, title = {An Econometric Analysis of Residential Electric Appliance Holdings and Consumption}, author = {Jeffrey A. Dubin and Daniel L. McFadden}, journal = {Econometrica}, year = {1984}, volume = {52}, number = {2}, pages = {345}, doi = {10.2307/1911493}, url = {https://doi.org/10.2307/1911493} } @article{econhot_econhot-cited-32d90dacb1ec854e, title = {Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets}, author = {James Joshua Claus and Jacob K. Kandathil Thomas}, journal = {The Journal of Finance}, year = {2001}, volume = {56}, number = {5}, pages = {1629-1666}, doi = {10.1111/0022-1082.00384}, url = {https://doi.org/10.1111/0022-1082.00384} } @article{econhot_econhot-cited-e00d863c9323d12a, title = {On the coherence of expected shortfall}, author = {Carlo Acerbi and Dirk Tasche}, journal = {Journal of Banking \& Finance}, year = {2002}, volume = {26}, number = {7}, pages = {1487-1503}, doi = {10.1016/s0378-4266(02)00283-2}, url = {https://doi.org/10.1016/s0378-4266(02)00283-2} } @article{econhot_econhot-cited-49cfeb7709d1d61f, title = {Transmission of Volatility between Stock Markets}, author = {Mervyn A. King and Sushil B. Wadhwani}, journal = {Review of Financial Studies}, year = {1990}, volume = {3}, number = {1}, pages = {5-33}, doi = {10.1093/rfs/3.1.5}, url = {https://doi.org/10.1093/rfs/3.1.5} } @article{econhot_econhot-cited-9a79f7eb333e387c, title = {A Suggestion for Using Powerful and Informative Tests of Normality}, author = {Ralph B. D’Agostino and Albert J. Belanger and Ralph B. D’Agostino}, journal = {The American Statistician}, year = {1990}, volume = {44}, number = {4}, pages = {316-321}, doi = {10.1080/00031305.1990.10475751}, url = {https://doi.org/10.1080/00031305.1990.10475751} } @article{econhot_econhot-cited-d61b9df15ffb2644, title = {Exploratory latent structure analysis using both identifiable and unidentifiable models}, author = {Leo A. Goodman}, journal = {Biometrika}, year = {1974}, volume = {61}, number = {2}, pages = {215-231}, doi = {10.1093/biomet/61.2.215}, url = {https://doi.org/10.1093/biomet/61.2.215} } @article{econhot_econhot-cited-977e1b44a866ddfb, title = {Does Academic Research Destroy Stock Return Predictability?}, author = {R. David McLean and Jeffrey Pontiff}, journal = {The Journal of Finance}, year = {2015}, volume = {71}, number = {1}, pages = {5-32}, doi = {10.1111/jofi.12365}, url = {https://doi.org/10.1111/jofi.12365} } @article{econhot_econhot-cited-d02864a577d9b222, title = {Estimating the Technology of Cognitive and Noncognitive Skill Formation}, author = {Flávio Cunha and James J. Heckman and Susanne M. Schennach}, journal = {Econometrica}, year = {2010}, volume = {78}, number = {3}, pages = {883-931}, doi = {10.3982/ecta6551}, url = {https://doi.org/10.3982/ecta6551} } @article{econhot_econhot-cited-a852f591fe9c2a33, title = {How Active Is Your Fund Manager? A New Measure That Predicts Performance}, author = {Martijn Cremers and Antti Petäjistö}, journal = {Review of Financial Studies}, year = {2009}, volume = {22}, number = {9}, pages = {3329-3365}, doi = {10.1093/rfs/hhp057}, url = {https://doi.org/10.1093/rfs/hhp057} } @article{econhot_econhot-cited-6a22f35f66835cf9, title = {Estimating Optimal Transformations for Multiple Regression and Correlation}, author = {Leo Breiman and Jerome H. Friedman}, journal = {Journal of the American Statistical Association}, year = {1985}, volume = {80}, number = {391}, pages = {580-598}, doi = {10.1080/01621459.1985.10478157}, url = {https://doi.org/10.1080/01621459.1985.10478157} } @article{econhot_econhot-cited-b8a4fefb47a80454, title = {Bayesian Inference in Econometric Models Using Monte Carlo Integration}, author = {John F Geweke}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {6}, pages = {1317}, doi = {10.2307/1913710}, url = {https://doi.org/10.2307/1913710} } @article{econhot_econhot-cited-39fbc8f3ab48a747, title = {The Credibility Revolution in Empirical Economics: How Better Research Design is Taking the Con out of Econometrics}, author = {Joshua D. Angrist and Jörn‐Steffen Pischke}, journal = {The Journal of Economic Perspectives}, year = {2010}, volume = {24}, number = {2}, pages = {3-30}, doi = {10.1257/jep.24.2.3}, url = {https://doi.org/10.1257/jep.24.2.3} } @article{econhot_econhot-cited-7f0226813065e9ca, title = {Big Data: New Tricks for Econometrics}, author = {Hal R. Varian}, journal = {The Journal of Economic Perspectives}, year = {2014}, volume = {28}, number = {2}, pages = {3-28}, doi = {10.1257/jep.28.2.3}, url = {https://doi.org/10.1257/jep.28.2.3} } @article{econhot_econhot-cited-09522b49c8bb8268, title = {Geographically Weighted Regression}, author = {Chris Brunsdon and Stewart Fotheringham and Martin E. Charlton}, journal = {Journal of the Royal Statistical Society Series D (The Statistician)}, year = {1998}, volume = {47}, number = {3}, pages = {431-443}, doi = {10.1111/1467-9884.00145}, url = {https://doi.org/10.1111/1467-9884.00145} } @article{econhot_econhot-cited-848ed1e273ff1b54, title = {Bitcoin, gold and the dollar – A GARCH volatility analysis}, author = {Anne Haubo Dyhrberg}, journal = {Finance research letters}, year = {2015}, volume = {16}, pages = {85-92}, doi = {10.1016/j.frl.2015.10.008}, url = {https://doi.org/10.1016/j.frl.2015.10.008} } @article{econhot_econhot-cited-bf4973db192dec04, title = {The Impact of Jumps in Volatility and Returns}, author = {Bjørn Eraker and Michael Slater Johannes and Nicholas Polson}, journal = {The Journal of Finance}, year = {2003}, volume = {58}, number = {3}, pages = {1269-1300}, doi = {10.1111/1540-6261.00566}, url = {https://doi.org/10.1111/1540-6261.00566} } @article{econhot_econhot-cited-8cbf67eae80ea4d6, title = {Stock Price Distributions with Stochastic Volatility: An Analytic Approach}, author = {Elias M. Stein and Jeremy C. Stein}, journal = {Review of Financial Studies}, year = {1991}, volume = {4}, number = {4}, pages = {727-752}, doi = {10.1093/rfs/4.4.727}, url = {https://doi.org/10.1093/rfs/4.4.727} } @article{econhot_econhot-cited-75aa155cb9c55d86, title = {Analysis of Semiparametric Regression Models for Repeated Outcomes in the Presence of Missing Data}, author = {James M. Robins and Andrea G. Rotnitzky and Lue Ping Zhao}, journal = {Journal of the American Statistical Association}, year = {1995}, volume = {90}, number = {429}, pages = {106-121}, doi = {10.1080/01621459.1995.10476493}, url = {https://doi.org/10.1080/01621459.1995.10476493} } @article{econhot_econhot-cited-5a3c66e49ce70977, title = {Variance Inflation Factor: As a Condition for the Inclusion of Suppressor Variable(s) in Regression Analysis}, author = {OA Akinwande and Hussaini Garba Dikko and Samson Agboola}, journal = {Open Journal of Statistics}, year = {2015}, volume = {05}, number = {07}, pages = {754-767}, doi = {10.4236/ojs.2015.57075}, url = {https://doi.org/10.4236/ojs.2015.57075} } @article{econhot_econhot-cited-8096e54f82c703c7, title = {Implementing a Class of Permutation Tests: The coin Package}, author = {Torsten Hothorn and Kurt Hornik and Mark A. van de Wiel and Achim Zeileis}, journal = {Journal of Statistical Software}, year = {2008}, volume = {28}, number = {8}, doi = {10.18637/jss.v028.i08}, url = {https://doi.org/10.18637/jss.v028.i08} } @article{econhot_econhot-cited-fec33b9450ecf6fe, title = {Does financial development cause economic growth? Time-series evidence from 16 countries}, author = {Panicos O. Demetriades and Khaled Hussein}, journal = {Journal of Development Economics}, year = {1996}, volume = {51}, number = {2}, pages = {387-411}, doi = {10.1016/s0304-3878(96)00421-x}, url = {https://doi.org/10.1016/s0304-3878(96)00421-x} } @article{econhot_econhot-cited-bc7466d5ac13eb74, title = {High idiosyncratic volatility and low returns: International and further U.S. evidence}, author = {Andrew Ang and Robert J. Hodrick and Yuhang Xing and Xiaoyan Zhang}, journal = {Journal of Financial Economics}, year = {2008}, volume = {91}, number = {1}, pages = {1-23}, doi = {10.1016/j.jfineco.2007.12.005}, url = {https://doi.org/10.1016/j.jfineco.2007.12.005} } @article{econhot_econhot-cited-39b973828bd7625c, title = {Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model}, author = {J. Scott Long and Laurie H. Ervin}, journal = {The American Statistician}, year = {2000}, volume = {54}, number = {3}, pages = {217-224}, doi = {10.1080/00031305.2000.10474549}, url = {https://doi.org/10.1080/00031305.2000.10474549} } @article{econhot_econhot-cited-77f58681d67ebcd1, title = {Asymmetric Volatility and Risk in Equity Markets}, author = {Geert Bekaert and Guojun Wu}, journal = {Review of Financial Studies}, year = {2000}, volume = {13}, number = {1}, pages = {1-42}, doi = {10.1093/rfs/13.1.1}, url = {https://doi.org/10.1093/rfs/13.1.1} } @article{econhot_econhot-cited-7885c0e83fc85ef0, title = {Simulation and the Asymptotics of Optimization Estimators}, author = {Ariel Pakes and David Pollard}, journal = {Econometrica}, year = {1989}, volume = {57}, number = {5}, pages = {1027}, doi = {10.2307/1913622}, url = {https://doi.org/10.2307/1913622} } @article{econhot_econhot-cited-0d8f6adb4d6e4c83, title = {Post-'87 crash fears in the S\&P 500 futures option market}, author = {David S. Bates}, journal = {Journal of Econometrics}, year = {2000}, volume = {94}, number = {1-2}, pages = {181-238}, doi = {10.1016/s0304-4076(99)00021-4}, url = {https://doi.org/10.1016/s0304-4076(99)00021-4} } @article{econhot_econhot-cited-c574955779b1a370, title = {Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter?}, author = {Michael B. Clement}, journal = {Journal of Accounting and Economics}, year = {1999}, volume = {27}, number = {3}, pages = {285-303}, doi = {10.1016/s0165-4101(99)00013-0}, url = {https://doi.org/10.1016/s0165-4101(99)00013-0} } @article{econhot_econhot-cited-428ef52c52283158, title = {Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying}, author = {Martin Lettau and Sydney C. Ludvigson}, journal = {Journal of Political Economy}, year = {2001}, volume = {109}, number = {6}, pages = {1238-1287}, doi = {10.1086/323282}, url = {https://doi.org/10.1086/323282} } @article{econhot_econhot-cited-4c880f7f1e17c13f, title = {Empirical Likelihood Ratio Confidence Regions}, author = {Art B. Owen}, journal = {The Annals of Statistics}, year = {1990}, volume = {18}, number = {1}, doi = {10.1214/aos/1176347494}, url = {https://doi.org/10.1214/aos/1176347494} } @article{econhot_econhot-cited-9f6176f64d92cb75, title = {Evaluating Density Forecasts with Applications to Financial Risk Management}, author = {Francis X. Diebold and Todd A. Gunther and Anthony S. Tay}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {863}, doi = {10.2307/2527342}, url = {https://doi.org/10.2307/2527342} } @article{econhot_econhot-cited-d14a2d5a8248c62a, title = {Gaussian Semiparametric Estimation of Long Range Dependence}, author = {Peter M. Robinson}, journal = {The Annals of Statistics}, year = {1995}, volume = {23}, number = {5}, doi = {10.1214/aos/1176324317}, url = {https://doi.org/10.1214/aos/1176324317} } @article{econhot_econhot-cited-2ff315b9022f9b37, title = {Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement}, author = {Robert J. Hodrick}, journal = {Review of Financial Studies}, year = {1992}, volume = {5}, number = {3}, pages = {357-386}, doi = {10.1093/rfs/5.3.351}, url = {https://doi.org/10.1093/rfs/5.3.351} } @article{econhot_econhot-cited-23b588a72f83beba, title = {Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility}, author = {Torben Gustav Andersen and Tim Bollerslev and Francis X. Diebold}, journal = {The Review of Economics and Statistics}, year = {2007}, volume = {89}, number = {4}, pages = {701-720}, doi = {10.1162/rest.89.4.701}, url = {https://doi.org/10.1162/rest.89.4.701} } @article{econhot_econhot-cited-54ae24843ab4f384, title = {THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL}, author = {Lutz Kilian and Daniel Murphy}, journal = {Journal of Applied Econometrics}, year = {2013}, volume = {29}, number = {3}, pages = {454-478}, doi = {10.1002/jae.2322}, url = {https://doi.org/10.1002/jae.2322} } @article{econhot_econhot-cited-7fa92b8d208d1313, title = {The Jackknife Estimate of Variance}, author = {Bradley Efron and C. Michael Stein}, journal = {The Annals of Statistics}, year = {1981}, volume = {9}, number = {3}, doi = {10.1214/aos/1176345462}, url = {https://doi.org/10.1214/aos/1176345462} } @article{econhot_econhot-cited-7c1f875c3b848e16, title = {High Frequency Identification of Monetary Non-Neutrality: The Information Effect}, author = {Emi Nakamura and Jón Steinsson}, journal = {The Quarterly Journal of Economics}, year = {2013}, volume = {133}, number = {3}, pages = {1283-1330}, doi = {10.1093/qje/qjy004}, url = {https://doi.org/10.1093/qje/qjy004} } @article{econhot_econhot-cited-273f13a1e3c9d7cd, title = {PRACTITIONERS’ CORNER: Computing Robust Standard Errors for Within‐groups Estimators *}, author = {Manuel Arellano}, journal = {Oxford Bulletin of Economics and Statistics}, year = {1987}, volume = {49}, number = {4}, pages = {431-434}, doi = {10.1111/j.1468-0084.1987.mp49004006.x}, url = {https://doi.org/10.1111/j.1468-0084.1987.mp49004006.x} } @article{econhot_econhot-cited-60a7ccdf910609d2, title = {Cross-Validation of Regression Models}, author = {Richard R. Picard and R. Dennis Cook}, journal = {Journal of the American Statistical Association}, year = {1984}, volume = {79}, number = {387}, pages = {575-583}, doi = {10.1080/01621459.1984.10478083}, url = {https://doi.org/10.1080/01621459.1984.10478083} } @article{econhot_econhot-cited-23fa8886583a380f, title = {The horseshoe estimator for sparse signals}, author = {C. M. Carvalho and Nick Polson and James G. Scott}, journal = {Biometrika}, year = {2010}, volume = {97}, number = {2}, pages = {465-480}, doi = {10.1093/biomet/asq017}, url = {https://doi.org/10.1093/biomet/asq017} } @article{econhot_econhot-cited-44852bac24fa4b82, title = {Wald Criteria for Jointly Testing Equality and Inequality Restrictions}, author = {David A. Kodde and Franz C. Palm}, journal = {Econometrica}, year = {1986}, volume = {54}, number = {5}, pages = {1243}, doi = {10.2307/1912331}, url = {https://doi.org/10.2307/1912331} } @article{econhot_econhot-cited-f789535edcba8c24, title = {The changing time-series properties of earnings, cash flows and accruals: Has financial reporting become more conservative?}, author = {Dan Givoly and Carla K. Hayn}, journal = {Journal of Accounting and Economics}, year = {2000}, volume = {29}, number = {3}, pages = {287-320}, doi = {10.1016/s0165-4101(00)00024-0}, url = {https://doi.org/10.1016/s0165-4101(00)00024-0} } @article{econhot_econhot-cited-71e5e8a2a8de8462, title = {Transition Modeling and Econometric Convergence Tests}, author = {Peter C.B. Phillips and Donggyu Sul}, journal = {Econometrica}, year = {2007}, volume = {75}, number = {6}, pages = {1771-1855}, doi = {10.1111/j.1468-0262.2007.00811.x}, url = {https://doi.org/10.1111/j.1468-0262.2007.00811.x} } @article{econhot_econhot-cited-45981715b6dbf755, title = {Simple formulas for standard errors that cluster by both firm and time}, author = {Samuel Brodsky Thompson}, journal = {Journal of Financial Economics}, year = {2010}, volume = {99}, number = {1}, pages = {1-10}, doi = {10.1016/j.jfineco.2010.08.016}, url = {https://doi.org/10.1016/j.jfineco.2010.08.016} } @article{econhot_econhot-cited-70cbcc110f434746, title = {Pseudo Maximum Likelihood Methods: Theory}, author = {Christian Gouriéroux and Alain Monfort and Alain Trognon}, journal = {Econometrica}, year = {1984}, volume = {52}, number = {3}, pages = {681}, doi = {10.2307/1913471}, url = {https://doi.org/10.2307/1913471} } @article{econhot_econhot-cited-76ac8df0a4cb1476, title = {A New Estimate of Transaction Costs}, author = {David A. Lesmond and Joseph P. Ogden and CHARLES A. TRZCINKA}, journal = {Review of Financial Studies}, year = {1999}, volume = {12}, number = {5}, pages = {1113-1141}, doi = {10.1093/rfs/12.5.1113}, url = {https://doi.org/10.1093/rfs/12.5.1113} } @article{econhot_econhot-cited-130dcca9c595390f, title = {Bayesian Variable Selection in Linear Regression}, author = {Toby J. Mitchell and John J. Beauchamp}, journal = {Journal of the American Statistical Association}, year = {1988}, volume = {83}, number = {404}, pages = {1023-1032}, doi = {10.1080/01621459.1988.10478694}, url = {https://doi.org/10.1080/01621459.1988.10478694} } @article{econhot_econhot-cited-8a5bb9c63c95e528, title = {Economic Links and Predictable Returns}, author = {Lauren H. Cohen and Andrea Frazzini}, journal = {The Journal of Finance}, year = {2008}, volume = {63}, number = {4}, pages = {1977-2011}, doi = {10.1111/j.1540-6261.2008.01379.x}, url = {https://doi.org/10.1111/j.1540-6261.2008.01379.x} } @article{econhot_econhot-cited-4c622c215a1e7505, title = {Oil prices, US stock return, and the dependence between their quantiles}, author = {Nicholas Sim and Hongtao Zhou}, journal = {Journal of Banking \& Finance}, year = {2015}, volume = {55}, pages = {1-8}, doi = {10.1016/j.jbankfin.2015.01.013}, url = {https://doi.org/10.1016/j.jbankfin.2015.01.013} } @article{econhot_econhot-cited-e146d85ea2c8049f, title = {Socioeconomic inequalities in health: Measurement, computation, and statistical inference}, author = {Nanak Kakwani and Adam Robert Wagstaff and Eddy K.A. van Doorslaer}, journal = {Journal of Econometrics}, year = {1997}, volume = {77}, number = {1}, pages = {87-103}, doi = {10.1016/s0304-4076(96)01807-6}, url = {https://doi.org/10.1016/s0304-4076(96)01807-6} } @article{econhot_econhot-cited-fbc449577289d1b6, title = {On closed testing procedures with special reference to ordered analysis of variance}, author = {Ruth Marcus and Eric Peritz and K. R. Gabriel}, journal = {Biometrika}, year = {1976}, volume = {63}, number = {3}, pages = {655-660}, doi = {10.1093/biomet/63.3.655}, url = {https://doi.org/10.1093/biomet/63.3.655} } @article{econhot_econhot-cited-1b269334871af800, title = {Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation}, author = {Ole Eiler Barndorff-Nielsen}, journal = {Journal of Financial Econometrics}, year = {2005}, volume = {4}, number = {1}, pages = {1-30}, doi = {10.1093/jjfinec/nbi022}, url = {https://doi.org/10.1093/jjfinec/nbi022} } @article{econhot_econhot-cited-5293f9058c534e3a, title = {The Present-Value Relation: Tests Based on Implied Variance Bounds}, author = {Stephen F. LeRoy and Richard Dudley Porter}, journal = {Econometrica}, year = {1981}, volume = {49}, number = {3}, pages = {555}, doi = {10.2307/1911512}, url = {https://doi.org/10.2307/1911512} } @article{econhot_econhot-cited-cd1c4a24606e320f, title = {Testing for Linear and Nonlinear Granger Causality in the Stock Price‐Volume Relation}, author = {Craig Hiemstra and Jonathan D. Jones}, journal = {The Journal of Finance}, year = {1994}, volume = {49}, number = {5}, pages = {1639-1664}, doi = {10.1111/j.1540-6261.1994.tb04776.x}, url = {https://doi.org/10.1111/j.1540-6261.1994.tb04776.x} } @article{econhot_econhot-cited-04608753c286579b, title = {Returns to Scale in U.S. Production: Estimates and Implications}, author = {Susanto Basu and John G. Fernald}, journal = {Journal of Political Economy}, year = {1997}, volume = {105}, number = {2}, pages = {249-283}, doi = {10.1086/262073}, url = {https://doi.org/10.1086/262073} } @article{econhot_econhot-cited-1dd658668fe81035, title = {Housing Market Spillovers: Evidence from an Estimated DSGE Model}, author = {Matteo M. Iacoviello and Stefano Neri}, journal = {American Economic Journal Macroeconomics}, year = {2010}, volume = {2}, number = {2}, pages = {125-164}, doi = {10.1257/mac.2.2.125}, url = {https://doi.org/10.1257/mac.2.2.125} } @article{econhot_econhot-cited-ad67ac1cf333c119, title = {Bayesian Analysis of Stochastic Volatility Models}, author = {Éric Jacquier and Nicholas G. Polson and Peter E. Rossi}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {1}, pages = {69-87}, doi = {10.1198/073500102753410408}, url = {https://doi.org/10.1198/073500102753410408} } @article{econhot_econhot-cited-d4ec18542655f8c9, title = {Estimating the Returns to Schooling: Some Econometric Problems}, author = {Zvi Griliches}, journal = {Econometrica}, year = {1977}, volume = {45}, number = {1}, pages = {1}, doi = {10.2307/1913285}, url = {https://doi.org/10.2307/1913285} } @article{econhot_econhot-cited-9b553f920448fe32, title = {Application of Least Squares Regression to Relationships Containing Auto-Correlated Error Terms}, author = {Donald B. Cochrane and Guy H. Orcutt}, journal = {Journal of the American Statistical Association}, year = {1949}, volume = {44}, number = {245}, pages = {32-61}, doi = {10.1080/01621459.1949.10483290}, url = {https://doi.org/10.1080/01621459.1949.10483290} } @article{econhot_econhot-cited-976c2ff4c7b858e3, title = {Stock Return Predictability: Is it There?}, author = {Andrew Ang and Geert Bekaert}, journal = {Review of Financial Studies}, year = {2006}, volume = {20}, number = {3}, pages = {651-707}, doi = {10.1093/rfs/hhl021}, url = {https://doi.org/10.1093/rfs/hhl021} } @article{econhot_econhot-cited-079be6585caa5ecd, title = {Parameter Orthogonality and Approximate Conditional Inference}, author = {David Roxbee Cox and Nancy M. Reid}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1987}, volume = {49}, number = {1}, pages = {1-18}, doi = {10.1111/j.2517-6161.1987.tb01422.x}, url = {https://doi.org/10.1111/j.2517-6161.1987.tb01422.x} } @article{econhot_econhot-cited-aefc60443692f7ae, title = {The demand for deductibles in private health insurance}, author = {Wynand P.M.M. van de Ven and Bernard M. S. van Praag}, journal = {Journal of Econometrics}, year = {1981}, volume = {17}, number = {2}, pages = {229-252}, doi = {10.1016/0304-4076(81)90028-2}, url = {https://doi.org/10.1016/0304-4076(81)90028-2} } @article{econhot_econhot-cited-0b14807578754c2e, title = {Investing for the Long Run when Returns Are Predictable}, author = {Nicholas C. Barberis}, journal = {The Journal of Finance}, year = {2000}, volume = {55}, number = {1}, pages = {225-264}, doi = {10.1111/0022-1082.00205}, url = {https://doi.org/10.1111/0022-1082.00205} } @article{econhot_econhot-cited-8d8157d8f21e5ba3, title = {Nonparametric estimates of standard error: The jackknife, the bootstrap and other methods}, author = {Bradley Efron}, journal = {Biometrika}, year = {1981}, volume = {68}, number = {3}, pages = {589-599}, doi = {10.1093/biomet/68.3.589}, url = {https://doi.org/10.1093/biomet/68.3.589} } @article{econhot_econhot-cited-43c58725547e7bcc, title = {A Kenward-Roger Approximation and Parametric Bootstrap Methods for Tests in Linear Mixed Models - The R Package pbkrtest}, author = {Ulrich Halekoh and Søren Højsgaard}, journal = {Journal of Statistical Software}, year = {2014}, volume = {59}, number = {9}, doi = {10.18637/jss.v059.i09}, url = {https://doi.org/10.18637/jss.v059.i09} } @article{econhot_econhot-cited-346fe5d114533f6c, title = {Liquidity and stock returns: An alternative test}, author = {Vinay T. Datar and Narayan Y. Naik and Robert C. Radcliffe}, journal = {Journal of Financial Markets}, year = {1998}, volume = {1}, number = {2}, pages = {203-219}, doi = {10.1016/s1386-4181(97)00004-9}, url = {https://doi.org/10.1016/s1386-4181(97)00004-9} } @article{econhot_econhot-cited-eef90b63d9fb480b, title = {Improvements on Cross-Validation: The 632+ Bootstrap Method}, author = {Bradley Efron and Robert John Tibshirani}, journal = {Journal of the American Statistical Association}, year = {1997}, volume = {92}, number = {438}, pages = {548-560}, doi = {10.1080/01621459.1997.10474007}, url = {https://doi.org/10.1080/01621459.1997.10474007} } @article{econhot_econhot-cited-d518ccbeba88a35e, title = {Multiple regimes and cross‐country growth behaviour}, author = {Steven N. Durlauf and Paul A. Johnson}, journal = {Journal of Applied Econometrics}, year = {1995}, volume = {10}, number = {4}, pages = {365-384}, doi = {10.1002/jae.3950100404}, url = {https://doi.org/10.1002/jae.3950100404} } @article{econhot_econhot-cited-2a523fb0c9016cea, title = {Smoothing Parameter and Model Selection for General Smooth Models}, author = {Simon N. Wood and Natalya Pya and Benjamin Säfken}, journal = {Journal of the American Statistical Association}, year = {2016}, volume = {111}, number = {516}, pages = {1548-1563}, doi = {10.1080/01621459.2016.1180986}, url = {https://doi.org/10.1080/01621459.2016.1180986} } @article{econhot_econhot-cited-3024816eb8acb552, title = {Intraday periodicity and volatility persistence in financial markets}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {Journal of Empirical Finance}, year = {1997}, volume = {4}, number = {2-3}, pages = {115-158}, doi = {10.1016/s0927-5398(97)00004-2}, url = {https://doi.org/10.1016/s0927-5398(97)00004-2} } @article{econhot_econhot-cited-b36fef473cf4cec8, title = {Goodness-of-fit tests for copulas: A review and a power study}, author = {Christian Genest and Bruno Rémillard and David Beaudoin}, journal = {Insurance Mathematics and Economics}, year = {2007}, volume = {44}, number = {2}, pages = {199-213}, doi = {10.1016/j.insmatheco.2007.10.005}, url = {https://doi.org/10.1016/j.insmatheco.2007.10.005} } @article{econhot_econhot-cited-cfdf85075e3fc039, title = {Estimation and Inference in Two-Step Econometric Models}, author = {Kevin Murphy and Robert Topel}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {1}, pages = {88-97}, doi = {10.1198/073500102753410417}, url = {https://doi.org/10.1198/073500102753410417} } @article{econhot_econhot-cited-1df8ee826b1707b1, title = {What are the effects of fiscal policy shocks?}, author = {Andrew Mountford and Harald Uhlig}, journal = {Journal of Applied Econometrics}, year = {2009}, volume = {24}, number = {6}, pages = {960-992}, doi = {10.1002/jae.1079}, url = {https://doi.org/10.1002/jae.1079} } @article{econhot_econhot-cited-32a13769a0c0f40c, title = {Asymptotic Properties of Non-Linear Least Squares Estimators}, author = {Robert I. Jennrich}, journal = {The Annals of Mathematical Statistics}, year = {1969}, volume = {40}, number = {2}, pages = {633-643}, doi = {10.1214/aoms/1177697731}, url = {https://doi.org/10.1214/aoms/1177697731} } @article{econhot_econhot-cited-6fac1eda14289877, title = {Forecasting Volatility in Financial Markets: A Review}, author = {Ser‐Huang Poon and Clive W. J. Granger}, journal = {Journal of Economic Literature}, year = {2003}, volume = {41}, number = {2}, pages = {478-539}, doi = {10.1257/002205103765762743}, url = {https://doi.org/10.1257/002205103765762743} } @article{econhot_econhot-cited-81b6a89daad4b87d, title = {Alternative Tests of Independence between Stochastic Regressors and Disturbances}, author = {De-Min Wu}, journal = {Econometrica}, year = {1973}, volume = {41}, number = {4}, pages = {733}, doi = {10.2307/1914093}, url = {https://doi.org/10.2307/1914093} } @article{econhot_econhot-cited-349ce0ab0b1892b3, title = {The Dog That Did Not Bark: A Defense of Return Predictability}, author = {John H. Cochrane}, journal = {Review of Financial Studies}, year = {2007}, volume = {21}, number = {4}, pages = {1533-1575}, doi = {10.1093/rfs/hhm046}, url = {https://doi.org/10.1093/rfs/hhm046} } @article{econhot_econhot-cited-d09b8dc9b27e061b, title = {Econometric Computing with HC and HAC Covariance Matrix Estimators}, author = {Achim Zeileis}, journal = {Journal of Statistical Software}, year = {2004}, volume = {11}, number = {10}, doi = {10.18637/jss.v011.i10}, url = {https://doi.org/10.18637/jss.v011.i10} } @article{econhot_econhot-cited-1fce0cf08c507ee7, title = {Estimation of Variance and Covariance Components}, author = {Charles Henderson}, journal = {Biometrics}, year = {1953}, volume = {9}, number = {2}, pages = {226}, doi = {10.2307/3001853}, url = {https://doi.org/10.2307/3001853} } @article{econhot_econhot-cited-d2d697835c2e303d, title = {Implied Volatility Functions: Empirical Tests}, author = {Bernard Dumas and Jeff Fleming and Robert E. Whaley}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {6}, pages = {2059-2106}, doi = {10.1111/0022-1082.00083}, url = {https://doi.org/10.1111/0022-1082.00083} } @article{econhot_econhot-cited-9cb17cd78808a2d7, title = {Volatility forecast comparison using imperfect volatility proxies}, author = {Andrew J. Patton}, journal = {Journal of Econometrics}, year = {2010}, volume = {160}, number = {1}, pages = {246-256}, doi = {10.1016/j.jeconom.2010.03.034}, url = {https://doi.org/10.1016/j.jeconom.2010.03.034} } @article{econhot_econhot-cited-c53ce6683f114dce, title = {Bayesian Analysis of DSGE Models}, author = {Sungbae An and Frank Schorfheide}, journal = {Econometric Reviews}, year = {2007}, volume = {26}, number = {2-4}, pages = {113-172}, doi = {10.1080/07474930701220071}, url = {https://doi.org/10.1080/07474930701220071} } @article{econhot_econhot-cited-e5bf821674fb0841, title = {Bayesian Model Averaging for Linear Regression Models}, author = {Adrian E. Raftery and David Madigan and Jennifer A. Hoeting}, journal = {Journal of the American Statistical Association}, year = {1997}, volume = {92}, number = {437}, pages = {179-191}, doi = {10.1080/01621459.1997.10473615}, url = {https://doi.org/10.1080/01621459.1997.10473615} } @article{econhot_econhot-cited-b721b40191dc1176, title = {Alternative models for conditional stock volatility}, author = {Adrian Pagan and G. William Schwert}, journal = {Journal of Econometrics}, year = {1990}, volume = {45}, number = {1-2}, pages = {267-290}, doi = {10.1016/0304-4076(90)90101-x}, url = {https://doi.org/10.1016/0304-4076(90)90101-x} } @article{econhot_econhot-cited-a99756ad931480db, title = {Logistic Regression Diagnostics}, author = {Daryl Pregibon}, journal = {The Annals of Statistics}, year = {1981}, volume = {9}, number = {4}, doi = {10.1214/aos/1176345513}, url = {https://doi.org/10.1214/aos/1176345513} } @article{econhot_econhot-cited-4827a501f7b5f7b4, title = {Likelihood of a model and information criteria}, author = {Hirotugu Akaike}, journal = {Journal of Econometrics}, year = {1981}, volume = {16}, number = {1}, pages = {3-14}, doi = {10.1016/0304-4076(81)90071-3}, url = {https://doi.org/10.1016/0304-4076(81)90071-3} } @article{econhot_econhot-cited-bac126563abfdc7b, title = {Contingency Tables Involving Small Numbers and the χ2 Test}, author = {Frank Yates}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1934}, volume = {1}, number = {2}, pages = {217-235}, doi = {10.2307/2983604}, url = {https://doi.org/10.2307/2983604} } @article{econhot_econhot-cited-a9b93f4082461e1a, title = {The option pricing model and the risk factor of stock}, author = {Dan Galai and Ronald W. Masulis}, journal = {Journal of Financial Economics}, year = {1976}, volume = {3}, number = {1-2}, pages = {53-81}, doi = {10.1016/0304-405x(76)90020-9}, url = {https://doi.org/10.1016/0304-405x(76)90020-9} } @article{econhot_econhot-cited-a21d9f54bc2f29f6, title = {A skeptical appraisal of asset pricing tests☆}, author = {Jonathan W. Lewellen and Stefan Nagel and Jay A. Shanken}, journal = {Journal of Financial Economics}, year = {2009}, volume = {96}, number = {2}, pages = {175-194}, doi = {10.1016/j.jfineco.2009.09.001}, url = {https://doi.org/10.1016/j.jfineco.2009.09.001} } @article{econhot_econhot-cited-06520a841353d95e, title = {The Probability Approach in Econometrics}, author = {Trygve Haavelmo}, journal = {Econometrica}, year = {1944}, volume = {12}, pages = {iii}, doi = {10.2307/1906935}, url = {https://doi.org/10.2307/1906935} } @article{econhot_econhot-cited-61988532efeb137b, title = {Additive Regression and Other Nonparametric Models}, author = {Charles J. Stone}, journal = {The Annals of Statistics}, year = {1985}, volume = {13}, number = {2}, doi = {10.1214/aos/1176349548}, url = {https://doi.org/10.1214/aos/1176349548} } @article{econhot_econhot-cited-f545bf4f328671f7, title = {Estimates of Location Based on Rank Tests}, author = {J. L. Hodges and Erich L. Lehmann}, journal = {The Annals of Mathematical Statistics}, year = {1963}, volume = {34}, number = {2}, pages = {598-611}, doi = {10.1214/aoms/1177704172}, url = {https://doi.org/10.1214/aoms/1177704172} } @article{econhot_econhot-cited-cbb27cc959986aa6, title = {Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1}, author = {Michael John Brennan and Tarun Chordia and Avanidhar Subrahmanyam}, journal = {Journal of Financial Economics}, year = {1998}, volume = {49}, number = {3}, pages = {345-373}, doi = {10.1016/s0304-405x(98)00028-2}, url = {https://doi.org/10.1016/s0304-405x(98)00028-2} } @article{econhot_econhot-cited-a2c59d4adaf0da33, title = {Equity Volatility and Corporate Bond Yields}, author = {John Y. Campbell and Glen B. Taksler}, journal = {The Journal of Finance}, year = {2003}, volume = {58}, number = {6}, pages = {2321-2350}, doi = {10.1046/j.1540-6261.2003.00607.x}, url = {https://doi.org/10.1046/j.1540-6261.2003.00607.x} } @article{econhot_econhot-cited-3028ff22496dbf53, title = {Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion}, author = {Clifford M. Hurvich and Jeffrey S. Simonoff and Chih‐Ling Tsai}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1998}, volume = {60}, number = {2}, pages = {271-293}, doi = {10.1111/1467-9868.00125}, url = {https://doi.org/10.1111/1467-9868.00125} } @article{econhot_econhot-cited-e8a87da88b946c45, title = {Statistical predictor identification}, author = {Hirotugu Akaike}, journal = {Annals of the Institute of Statistical Mathematics}, year = {1970}, volume = {22}, number = {1}, pages = {203-217}, doi = {10.1007/bf02506337}, url = {https://doi.org/10.1007/bf02506337} } @article{econhot_econhot-cited-fd1638d3f829c341, title = {Selection of important variables and determination of functional form for continuous predictors in multivariable model building}, author = {Willi Sauerbrei and Patrick J Royston and Harald Binder}, journal = {Statistics in Medicine}, year = {2007}, volume = {26}, number = {30}, pages = {5512-5528}, doi = {10.1002/sim.3148}, url = {https://doi.org/10.1002/sim.3148} } @article{econhot_econhot-cited-5438eac875af32d8, title = {Cluster-Sample Methods in Applied Econometrics}, author = {Jeffrey M. Wooldridge}, journal = {American Economic Review}, year = {2003}, volume = {93}, number = {2}, pages = {133-138}, doi = {10.1257/000282803321946930}, url = {https://doi.org/10.1257/000282803321946930} } @article{econhot_econhot-cited-3be2a3b55ccbcefc, title = {Modeling and pricing long memory in stock market volatility}, author = {Tim Bollerslev and Hans Ole Mikkelsen}, journal = {Journal of Econometrics}, year = {1996}, volume = {73}, number = {1}, pages = {151-184}, doi = {10.1016/0304-4076(95)01736-4}, url = {https://doi.org/10.1016/0304-4076(95)01736-4} } @article{econhot_econhot-cited-4b24f89e77651f07, title = {Generalized Least Squares for Trend Estimation of Summarized Dose–response Data}, author = {Nicola Orsini and Rino Bellocco and Sander Greenland}, journal = {The Stata Journal Promoting communications on statistics and Stata}, year = {2006}, volume = {6}, number = {1}, pages = {40-57}, doi = {10.1177/1536867x0600600103}, url = {https://doi.org/10.1177/1536867x0600600103} } @article{econhot_econhot-cited-934703b199025917, title = {Minimum Wage Effects Across State Borders: Estimates Using Contiguous Counties}, author = {Arindrajit Dubé and T. William Lester and Michael R. Reich}, journal = {The Review of Economics and Statistics}, year = {2010}, volume = {92}, number = {4}, pages = {945-964}, doi = {10.1162/rest\_a\_00039}, url = {https://doi.org/10.1162/rest\_a\_00039} } @article{econhot_econhot-cited-dc969c21eba447ba, title = {A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices}, author = {Shane A. Corwin and Paul Harvey Schultz}, journal = {The Journal of Finance}, year = {2012}, volume = {67}, number = {2}, pages = {719-760}, doi = {10.1111/j.1540-6261.2012.01729.x}, url = {https://doi.org/10.1111/j.1540-6261.2012.01729.x} } @article{econhot_econhot-cited-d823c163a2b71072, title = {Realized Variance and Market Microstructure Noise}, author = {Peter Reinhard Hansen and Asger Lunde}, journal = {Journal of Business and Economic Statistics}, year = {2006}, volume = {24}, number = {2}, pages = {127-161}, doi = {10.1198/073500106000000071}, url = {https://doi.org/10.1198/073500106000000071} } @article{econhot_econhot-cited-0be41c92d314f045, title = {Predicting U.S. Recessions: Financial Variables as Leading Indicators}, author = {Arturo Estrella and Frederic S. Mishkin}, journal = {The Review of Economics and Statistics}, year = {1998}, volume = {80}, number = {1}, pages = {45-61}, doi = {10.1162/003465398557320}, url = {https://doi.org/10.1162/003465398557320} } @article{econhot_econhot-cited-aab6ba80f43f46f9, title = {A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations}, author = {Yiu‐Kuen Tse and Albert K. C. Tsui}, journal = {Journal of Business and Economic Statistics}, year = {2002}, volume = {20}, number = {3}, pages = {351-362}, doi = {10.1198/073500102288618496}, url = {https://doi.org/10.1198/073500102288618496} } @article{econhot_econhot-cited-0e7c0b78319ba17b, title = {The impact of growth, energy and financial development on the environment in China: A cointegration analysis}, author = {Abdul Jalil and Mete Feridun}, journal = {Energy Economics}, year = {2010}, volume = {33}, number = {2}, pages = {284-291}, doi = {10.1016/j.eneco.2010.10.003}, url = {https://doi.org/10.1016/j.eneco.2010.10.003} } @article{econhot_econhot-cited-5f64883f813c7dbe, title = {GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics}, author = {Robert F. Engle}, journal = {The Journal of Economic Perspectives}, year = {2001}, volume = {15}, number = {4}, pages = {157-168}, doi = {10.1257/jep.15.4.157}, url = {https://doi.org/10.1257/jep.15.4.157} } @article{econhot_econhot-cited-ef60848034d5dc28, title = {Range‐Based Estimation of Stochastic Volatility Models}, author = {Sassan Alizadeh and Michael W. Brandt and Francis X. Diebold}, journal = {The Journal of Finance}, year = {2002}, volume = {57}, number = {3}, pages = {1047-1091}, doi = {10.1111/1540-6261.00454}, url = {https://doi.org/10.1111/1540-6261.00454} } @article{econhot_econhot-cited-c69fddc86d591bea, title = {Semiparametric least squares (SLS) and weighted SLS estimation of single-index models}, author = {Hidehiko Ichimura}, journal = {Journal of Econometrics}, year = {1993}, volume = {58}, number = {1-2}, pages = {71-120}, doi = {10.1016/0304-4076(93)90114-k}, url = {https://doi.org/10.1016/0304-4076(93)90114-k} } @article{econhot_econhot-cited-c0c81ad6c57e6c70, title = {Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies}, author = {Torben Gustav Andersen and Tim Bollerslev}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {1}, pages = {219-265}, doi = {10.1111/0022-1082.85732}, url = {https://doi.org/10.1111/0022-1082.85732} } @article{econhot_econhot-cited-d26f1caf3fb896f3, title = {International Business Cycles: World, Region, and Country-Specific Factors}, author = {M. Ayhan Köse and Christopher Mark Otrok and Charles H. Whiteman}, journal = {American Economic Review}, year = {2003}, volume = {93}, number = {4}, pages = {1216-1239}, doi = {10.1257/000282803769206278}, url = {https://doi.org/10.1257/000282803769206278} } @article{econhot_econhot-cited-00efa407052352c3, title = {The Estimation of Choice Probabilities from Choice Based Samples}, author = {Charles F. Manski and Steven R. Lerman}, journal = {Econometrica}, year = {1977}, volume = {45}, number = {8}, pages = {1977}, doi = {10.2307/1914121}, url = {https://doi.org/10.2307/1914121} } @article{econhot_econhot-cited-8e57eec091ef9214, title = {NOTES ON BIAS IN ESTIMATION}, author = {M. H. Quenouille}, journal = {Biometrika}, year = {1956}, volume = {43}, number = {3-4}, pages = {353-360}, doi = {10.1093/biomet/43.3-4.353}, url = {https://doi.org/10.1093/biomet/43.3-4.353} } @article{econhot_econhot-cited-ba9deb13c98f0d26, title = {A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion}, author = {Robert E. Kass and Larry Wasserman}, journal = {Journal of the American Statistical Association}, year = {1995}, volume = {90}, number = {431}, pages = {928-934}, doi = {10.1080/01621459.1995.10476592}, url = {https://doi.org/10.1080/01621459.1995.10476592} } @article{econhot_econhot-cited-0ddac83c2dc6d3b9, title = {A semiparametric estimation procedure of dependence parameters in multivariate families of distributions}, author = {Christian Genest and Kilani Ghoudi and Louis‐Paul Rivest}, journal = {Biometrika}, year = {1995}, volume = {82}, number = {3}, pages = {543-552}, doi = {10.1093/biomet/82.3.543}, url = {https://doi.org/10.1093/biomet/82.3.543} } @article{econhot_econhot-cited-fde70591eaa85afe, title = {An R-squared measure of goodness of fit for some common nonlinear regression models}, author = {A. Colin Cameron and Frank A. G. Windmeijer}, journal = {Journal of Econometrics}, year = {1997}, volume = {77}, number = {2}, pages = {329-342}, doi = {10.1016/s0304-4076(96)01818-0}, url = {https://doi.org/10.1016/s0304-4076(96)01818-0} } @article{econhot_econhot-cited-384b5b618ab69084, title = {Finite-Sample Properties of Some Alternative GMM Estimators}, author = {Lars Peter Hansen and J.B. Heaton and Amir Yaron}, journal = {Journal of Business and Economic Statistics}, year = {1996}, volume = {14}, number = {3}, pages = {262-280}, doi = {10.1080/07350015.1996.10524656}, url = {https://doi.org/10.1080/07350015.1996.10524656} } @article{econhot_econhot-cited-edbe913cbb1b8da1, title = {Does peer ability affect student achievement?}, author = {Eric Alan Hanushek and John F. Kain and Jacob M. Markman and Steven G. Rivkin}, journal = {Journal of Applied Econometrics}, year = {2003}, volume = {18}, number = {5}, pages = {527-544}, doi = {10.1002/jae.741}, url = {https://doi.org/10.1002/jae.741} } @article{econhot_econhot-cited-f640de97a7e9cc09, title = {Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices}, author = {Bjørn Eraker}, journal = {The Journal of Finance}, year = {2004}, volume = {59}, number = {3}, pages = {1367-1403}, doi = {10.1111/j.1540-6261.2004.00666.x}, url = {https://doi.org/10.1111/j.1540-6261.2004.00666.x} } @article{econhot_econhot-cited-976ab5670c514905, title = {Detrending, stylized facts and the business cycle}, author = {Andrew C. Harvey and Albert Jaeger}, journal = {Journal of Applied Econometrics}, year = {1993}, volume = {8}, number = {3}, pages = {231-247}, doi = {10.1002/jae.3950080302}, url = {https://doi.org/10.1002/jae.3950080302} } @article{econhot_econhot-cited-5fdb4243a3273e0d, title = {Efficient Intra-Household Allocations: A General Characterization and Empirical Tests}, author = {Martin Browning and Pierre André Chiappori}, journal = {Econometrica}, year = {1998}, volume = {66}, number = {6}, pages = {1241}, doi = {10.2307/2999616}, url = {https://doi.org/10.2307/2999616} } @article{econhot_econhot-cited-bc4a714d93bfa258, title = {Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables}, author = {James Durbin}, journal = {Econometrica}, year = {1970}, volume = {38}, number = {3}, pages = {410}, doi = {10.2307/1909547}, url = {https://doi.org/10.2307/1909547} } @article{econhot_econhot-cited-10b4e9d46c5975e5, title = {Design-adaptive Nonparametric Regression}, author = {Jianqing Fan}, journal = {Journal of the American Statistical Association}, year = {1992}, volume = {87}, number = {420}, pages = {998-1004}, doi = {10.1080/01621459.1992.10476255}, url = {https://doi.org/10.1080/01621459.1992.10476255} } @article{econhot_econhot-cited-8c1a58f92e2b0dc3, title = {Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data}, author = {Joel Hasbrouck}, journal = {The Journal of Finance}, year = {2009}, volume = {64}, number = {3}, pages = {1445-1477}, doi = {10.1111/j.1540-6261.2009.01469.x}, url = {https://doi.org/10.1111/j.1540-6261.2009.01469.x} } @article{econhot_econhot-cited-ed8897ee22087f7c, title = {The relation between implied and realized volatility}, author = {Bent Jesper Christensen and Nagpurnanand R. Prabhala}, journal = {Journal of Financial Economics}, year = {1998}, volume = {50}, number = {2}, pages = {125-150}, doi = {10.1016/s0304-405x(98)00034-8}, url = {https://doi.org/10.1016/s0304-405x(98)00034-8} } @article{econhot_econhot-cited-a6bb9329d6b35ddc, title = {THE GARCH OPTION PRICING MODEL}, author = {Jin‐Chuan Duan}, journal = {Mathematical Finance}, year = {1995}, volume = {5}, number = {1}, pages = {13-32}, doi = {10.1111/j.1467-9965.1995.tb00099.x}, url = {https://doi.org/10.1111/j.1467-9965.1995.tb00099.x} } @article{econhot_econhot-cited-832c55495c5a00e3, title = {The Causal Impact of Media in Financial Markets}, author = {Joseph Engelberg and Christopher A. Parsons}, journal = {The Journal of Finance}, year = {2011}, volume = {66}, number = {1}, pages = {67-97}, doi = {10.1111/j.1540-6261.2010.01626.x}, url = {https://doi.org/10.1111/j.1540-6261.2010.01626.x} } @article{econhot_econhot-cited-b8d4dbb96367feb9, title = {Best Subsets Logistic Regression}, author = {David W. Hosmer and Borko D. Jovanovic and Stanley A. Lemeshow}, journal = {Biometrics}, year = {1989}, volume = {45}, number = {4}, pages = {1265}, doi = {10.2307/2531779}, url = {https://doi.org/10.2307/2531779} } @article{econhot_econhot-cited-2a8548da4b3acda5, title = {Large Bayesian vector auto regressions}, author = {Marta Bańbura and Domenico Giannone and Lucrezia Reichlin}, journal = {Journal of Applied Econometrics}, year = {2009}, volume = {25}, number = {1}, pages = {71-92}, doi = {10.1002/jae.1137}, url = {https://doi.org/10.1002/jae.1137} } @article{econhot_econhot-cited-4ff8d120635cffea, title = {The Mann-Whitney U: A Test for Assessing Whether Two Independent Samples Come from the Same Distribution}, author = {Nadim Nachar}, journal = {Tutorials in Quantitative Methods for Psychology}, year = {2008}, volume = {4}, number = {1}, pages = {13-20}, doi = {10.20982/tqmp.04.1.p013}, url = {https://doi.org/10.20982/tqmp.04.1.p013} } @article{econhot_econhot-cited-fbe95f7dd5b310b0, title = {The Nonparametric Approach to Demand Analysis}, author = {Hal R. Varian}, journal = {Econometrica}, year = {1982}, volume = {50}, number = {4}, pages = {945}, doi = {10.2307/1912771}, url = {https://doi.org/10.2307/1912771} } @article{econhot_econhot-cited-64b8ad89ba39347a, title = {Heuristics of instability and stabilization in model selection}, author = {Leo Breiman}, journal = {The Annals of Statistics}, year = {1996}, volume = {24}, number = {6}, doi = {10.1214/aos/1032181158}, url = {https://doi.org/10.1214/aos/1032181158} } @article{econhot_econhot-cited-215b15d5431fcf99, title = {Accounting valuation, market expectation, and cross-sectional stock returns}, author = {Richard M. Frankel and Charles M.C. Lee}, journal = {Journal of Accounting and Economics}, year = {1998}, volume = {25}, number = {3}, pages = {283-319}, doi = {10.1016/s0165-4101(98)00026-3}, url = {https://doi.org/10.1016/s0165-4101(98)00026-3} } @article{econhot_econhot-cited-713478bc0dfb4633, title = {Investor Sentiment Aligned: A Powerful Predictor of Stock Returns}, author = {Dashan Huang and Fuwei Jiang and Jun Tu and Guofu Zhou}, journal = {Review of Financial Studies}, year = {2014}, volume = {28}, number = {3}, pages = {791-837}, doi = {10.1093/rfs/hhu080}, url = {https://doi.org/10.1093/rfs/hhu080} } @article{econhot_econhot-cited-a11bf2a6e030e667, title = {Data-Snooping Biases in Tests of Financial Asset Pricing Models}, author = {Andrew W. Lo and A. Craig MacKinlay}, journal = {Review of Financial Studies}, year = {1990}, volume = {3}, number = {3}, pages = {431-467}, doi = {10.1093/rfs/3.3.431}, url = {https://doi.org/10.1093/rfs/3.3.431} } @article{econhot_econhot-cited-8ec770fb0a531aee, title = {A simple method of sample size calculation for linear and logistic regression}, author = {F. Hsieh and Daniel A. Bloch and Michael D. Larsen}, journal = {Statistics in Medicine}, year = {1998}, volume = {17}, number = {14}, pages = {1623-1634}, doi = {10.1002/(sici)1097-0258(19980730)17:14<1623::aid-sim871>3.0.co;2-s}, url = {https://doi.org/10.1002/(sici)1097-0258(19980730)17:14\%3C1623::aid-sim871\%3E3.0.co;2-s} } @article{econhot_econhot-cited-9fe76eb59bac74f0, title = {Convergence in international output}, author = {Andrew B. Bernard and Steven N. Durlauf}, journal = {Journal of Applied Econometrics}, year = {1995}, volume = {10}, number = {2}, pages = {97-108}, doi = {10.1002/jae.3950100202}, url = {https://doi.org/10.1002/jae.3950100202} } @article{econhot_econhot-cited-ff6a4815e1cdf9f6, title = {Mixtures of g Priors for Bayesian Variable Selection}, author = {Feng Liang and Rui Paulo and Germán Molina and Merlise A. Clyde and Jim O Berger}, journal = {Journal of the American Statistical Association}, year = {2008}, volume = {103}, number = {481}, pages = {410-423}, doi = {10.1198/016214507000001337}, url = {https://doi.org/10.1198/016214507000001337} } @article{econhot_econhot-cited-b90834278821c3af, title = {Variable Importance Assessment in Regression: Linear Regression versus Random Forest}, author = {Ulrike Grömping}, journal = {The American Statistician}, year = {2009}, volume = {63}, number = {4}, pages = {308-319}, doi = {10.1198/tast.2009.08199}, url = {https://doi.org/10.1198/tast.2009.08199} } @article{econhot_econhot-cited-33e6eb0e6cde146c, title = {Efficient Estimation of a System of Regression Equations when Disturbances are Both Serially and Contemporaneously Correlated}, author = {Richard W. Parks}, journal = {Journal of the American Statistical Association}, year = {1967}, volume = {62}, number = {318}, pages = {500-509}, doi = {10.1080/01621459.1967.10482923}, url = {https://doi.org/10.1080/01621459.1967.10482923} } @article{econhot_econhot-cited-b53291d44db15222, title = {Tests of the Hypothesis That a Linear Regression System Obeys Two Separate Regimes}, author = {Richard E. Quandt}, journal = {Journal of the American Statistical Association}, year = {1960}, volume = {55}, number = {290}, pages = {324-330}, doi = {10.1080/01621459.1960.10482067}, url = {https://doi.org/10.1080/01621459.1960.10482067} } @article{econhot_econhot-cited-e0c8971221469245, title = {Stock Market Volatility and Macroeconomic Fundamentals}, author = {Robert F. Engle and Éric Ghysels and Bumjean Sohn}, journal = {The Review of Economics and Statistics}, year = {2012}, volume = {95}, number = {3}, pages = {776-797}, doi = {10.1162/rest\_a\_00300}, url = {https://doi.org/10.1162/rest\_a\_00300} } @article{econhot_econhot-cited-f44ac19c1ff02a43, title = {Foundations of Technical Analysis: Computational Algorithms, Statistical Inference, and Empirical Implementation}, author = {Andrew W. Lo and Harry Mamaysky and Jiang Wang}, journal = {The Journal of Finance}, year = {2000}, volume = {55}, number = {4}, pages = {1705-1765}, doi = {10.1111/0022-1082.00265}, url = {https://doi.org/10.1111/0022-1082.00265} } @article{econhot_econhot-cited-942362ea535f3d02, title = {Some Aspects of the Spline Smoothing Approach to Non-Parametric Regression Curve Fitting}, author = {B. W. Silverman}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1985}, volume = {47}, number = {1}, pages = {1-21}, doi = {10.1111/j.2517-6161.1985.tb01327.x}, url = {https://doi.org/10.1111/j.2517-6161.1985.tb01327.x} } @article{econhot_econhot-cited-f57d7e174b98fb5a, title = {Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices}, author = {Yacine Aı̈t-Sahalia and Andrew W. Lo}, journal = {The Journal of Finance}, year = {1998}, volume = {53}, number = {2}, pages = {499-547}, doi = {10.1111/0022-1082.215228}, url = {https://doi.org/10.1111/0022-1082.215228} } @article{econhot_econhot-cited-cb8aeb1e63849bb5, title = {Permutation tests for multi-factorial analysis of variance}, author = {Marti Jane Anderson and Cajo J. F. ter Braak}, journal = {Journal of Statistical Computation and Simulation}, year = {2003}, volume = {73}, number = {2}, pages = {85-113}, doi = {10.1080/00949650215733}, url = {https://doi.org/10.1080/00949650215733} } @article{econhot_econhot-cited-7883f6875e6b2ca1, title = {An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator}, author = {Donald W. K. Andrews and J. Christopher Monahan}, journal = {Econometrica}, year = {1992}, volume = {60}, number = {4}, pages = {953}, doi = {10.2307/2951574}, url = {https://doi.org/10.2307/2951574} } @article{econhot_econhot-cited-a9794bb9dfb1aafc, title = {Persistence in Variance, Structural Change, and the GARCH Model}, author = {Christopher G. Lamoureux and William D. Lastrapes}, journal = {Journal of Business and Economic Statistics}, year = {1990}, volume = {8}, number = {2}, pages = {225-234}, doi = {10.1080/07350015.1990.10509794}, url = {https://doi.org/10.1080/07350015.1990.10509794} } @article{econhot_econhot-cited-8b7822411a46d9e5, title = {Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets}, author = {Gary Chamberlain and Michael Rothschild}, journal = {Econometrica}, year = {1983}, volume = {51}, number = {5}, pages = {1281}, doi = {10.2307/1912275}, url = {https://doi.org/10.2307/1912275} } @article{econhot_econhot-cited-9801fc77c34f67a1, title = {Stationarity and Persistence in the GARCH(1,1) Model}, author = {Daniel B. Nelson}, journal = {Econometric Theory}, year = {1990}, volume = {6}, number = {3}, pages = {318-334}, doi = {10.1017/s0266466600005296}, url = {https://doi.org/10.1017/s0266466600005296} } @article{econhot_econhot-cited-6f216d3e971be802, title = {Macro Factors in Bond Risk Premia}, author = {Sydney C. Ludvigson and Serena Ng}, journal = {Review of Financial Studies}, year = {2009}, volume = {22}, number = {12}, pages = {5027-5067}, doi = {10.1093/rfs/hhp081}, url = {https://doi.org/10.1093/rfs/hhp081} } @article{econhot_econhot-cited-76e82b7cc1da4936, title = {Common factors in prices, order flows, and liquidity}, author = {Joel Hasbrouck}, journal = {Journal of Financial Economics}, year = {2001}, volume = {59}, number = {3}, pages = {383-411}, doi = {10.1016/s0304-405x(00)00091-x}, url = {https://doi.org/10.1016/s0304-405x(00)00091-x} } @article{econhot_econhot-cited-f330aeb84bfa9b2e, title = {A Survey of Exact Inference for Contingency Tables}, author = {Alan Agresti}, journal = {Statistical Science}, year = {1992}, volume = {7}, number = {1}, doi = {10.1214/ss/1177011454}, url = {https://doi.org/10.1214/ss/1177011454} } @article{econhot_econhot-cited-ff8c5bd97f977a89, title = {On the existence of maximum likelihood estimates in logistic regression models}, author = {A. ALBERT and J. A. Anderson}, journal = {Biometrika}, year = {1984}, volume = {71}, number = {1}, pages = {1-10}, doi = {10.1093/biomet/71.1.1}, url = {https://doi.org/10.1093/biomet/71.1.1} } @article{econhot_econhot-cited-4408cb21d78a0d0a, title = {Model Uncertainty, Data Mining and Statistical Inference}, author = {Chris Chatfield}, journal = {Journal of the Royal Statistical Society Series A (Statistics in Society)}, year = {1995}, volume = {158}, number = {3}, pages = {419}, doi = {10.2307/2983440}, url = {https://doi.org/10.2307/2983440} } @article{econhot_econhot-cited-81c2da69872b5ddb, title = {The \$chi^2\$ Test of Goodness of Fit}, author = {William G. Cochran}, journal = {The Annals of Mathematical Statistics}, year = {1952}, volume = {23}, number = {3}, pages = {315-345}, doi = {10.1214/aoms/1177729380}, url = {https://doi.org/10.1214/aoms/1177729380} } @article{econhot_econhot-cited-e6a6c6eff84f8ad0, title = {The Model-Free Implied Volatility and Its Information Content}, author = {George J. Jiang and Yisong S. Tian}, journal = {Review of Financial Studies}, year = {2005}, volume = {18}, number = {4}, pages = {1305-1342}, doi = {10.1093/rfs/hhi027}, url = {https://doi.org/10.1093/rfs/hhi027} } @article{econhot_econhot-cited-f7924d2e4765e902, title = {Reference Posterior Distributions for Bayesian Inference}, author = {José M. Bernardo}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1979}, volume = {41}, number = {2}, pages = {113-128}, doi = {10.1111/j.2517-6161.1979.tb01066.x}, url = {https://doi.org/10.1111/j.2517-6161.1979.tb01066.x} } @article{econhot_econhot-cited-ce307def3289ddc5, title = {Volatility estimation for Bitcoin: A comparison of GARCH models}, author = {Paraskevi Katsiampa}, journal = {Economics Letters}, year = {2017}, volume = {158}, pages = {3-6}, doi = {10.1016/j.econlet.2017.06.023}, url = {https://doi.org/10.1016/j.econlet.2017.06.023} } @article{econhot_econhot-cited-b5de4e9d5fbdefba, title = {Forecasting Output and Inflation: The Role of Asset Prices}, author = {James H. Stock and Mark W. Watson}, journal = {Journal of Economic Literature}, year = {2003}, volume = {41}, number = {3}, pages = {788-829}, doi = {10.1257/002205103322436197}, url = {https://doi.org/10.1257/002205103322436197} } @article{econhot_econhot-cited-9edac258119b1ea7, title = {A Generalized Production Frontier Approach for Estimating Determinants of Inefficiency in U.S. Dairy Farms}, author = {Subal C. Kumbhakar and Soumendra N. Ghosh and J. Thomas McGuckin}, journal = {Journal of Business and Economic Statistics}, year = {1991}, volume = {9}, number = {3}, pages = {279-286}, doi = {10.1080/07350015.1991.10509853}, url = {https://doi.org/10.1080/07350015.1991.10509853} } @article{econhot_econhot-cited-db61031f9f595b19, title = {A Comparative Study of Various Tests for Normality}, author = {Samuel S. Shapiro and M. B. Wilk and H. J. Chen}, journal = {Journal of the American Statistical Association}, year = {1968}, volume = {63}, number = {324}, pages = {1343-1372}, doi = {10.1080/01621459.1968.10480932}, url = {https://doi.org/10.1080/01621459.1968.10480932} } @article{econhot_econhot-cited-15764d50ea2d4926, title = {On decomposing the causes of health sector inequalities with an application to malnutrition inequalities in Vietnam}, author = {Adam Robert Wagstaff and Eddy K.A. van Doorslaer and Naoko Watanabe}, journal = {Journal of Econometrics}, year = {2002}, volume = {112}, number = {1}, pages = {207-223}, doi = {10.1016/s0304-4076(02)00161-6}, url = {https://doi.org/10.1016/s0304-4076(02)00161-6} } @article{econhot_econhot-cited-4950ef73db99801d, title = {Spike and slab variable selection: Frequentist and Bayesian strategies}, author = {Hemant Ishwaran and J. Sunil Rao}, journal = {The Annals of Statistics}, year = {2005}, volume = {33}, number = {2}, doi = {10.1214/009053604000001147}, url = {https://doi.org/10.1214/009053604000001147} } @article{econhot_econhot-cited-194f2318ba3712af, title = {Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects}, author = {Christopher G. Lamoureux and William D. Lastrapes}, journal = {The Journal of Finance}, year = {1990}, volume = {45}, number = {1}, pages = {221-229}, doi = {10.1111/j.1540-6261.1990.tb05088.x}, url = {https://doi.org/10.1111/j.1540-6261.1990.tb05088.x} } @article{econhot_econhot-cited-30719e12592b9dfe, title = {TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S\&P 500}, author = {Peter C.B. Phillips and Shuping Shi and Jun Boo Yu}, journal = {International Economic Review}, year = {2015}, volume = {56}, number = {4}, pages = {1043-1078}, doi = {10.1111/iere.12132}, url = {https://doi.org/10.1111/iere.12132} } @article{econhot_econhot-cited-d8ed5ca36dc78768, title = {Interpreting Tests of the Convergence Hypothesis}, author = {Andrew B. Bernard and Steven N. Durlauf}, journal = {Journal of Econometrics}, year = {1994}, volume = {71}, number = {1-2}, pages = {161-173}, doi = {10.1016/0304-4076(94)01699-2}, url = {https://doi.org/10.1016/0304-4076(94)01699-2} } @article{econhot_econhot-cited-50d58d74b1f4344a, title = {An Omnibus Test for Univariate and Multivariate Normality*}, author = {Jurgen A. Doornik and Henrik Steen Hansen}, journal = {Oxford Bulletin of Economics and Statistics}, year = {2008}, volume = {70}, number = {s1}, pages = {927-939}, doi = {10.1111/j.1468-0084.2008.00537.x}, url = {https://doi.org/10.1111/j.1468-0084.2008.00537.x} } @article{econhot_econhot-cited-c5050c891811e11a, title = {An Approximate Analysis of Variance Test for Normality}, author = {Samuel S. Shapiro and R. S. Francia}, journal = {Journal of the American Statistical Association}, year = {1972}, volume = {67}, number = {337}, pages = {215-216}, doi = {10.1080/01621459.1972.10481232}, url = {https://doi.org/10.1080/01621459.1972.10481232} } @article{econhot_econhot-cited-0783e7326296b343, title = {A Cross-Sectional Test of an Investment-Based Asset Pricing Model}, author = {John H. Cochrane}, journal = {Journal of Political Economy}, year = {1996}, volume = {104}, number = {3}, pages = {572-621}, doi = {10.1086/262034}, url = {https://doi.org/10.1086/262034} } @article{econhot_econhot-cited-30cd30287664f6ac, title = {Choosing between Logistic Regression and Discriminant Analysis}, author = {S. James Press and Sandra Jo Wilson}, journal = {Journal of the American Statistical Association}, year = {1978}, volume = {73}, number = {364}, pages = {699-705}, doi = {10.1080/01621459.1978.10480080}, url = {https://doi.org/10.1080/01621459.1978.10480080} } @article{econhot_econhot-cited-5a08dc40522aa0d2, title = {Common Risk Factors in Currency Markets}, author = {Hanno N. Lustig and Nikolai L. Roussanov and Adrien Verdelhan}, journal = {Review of Financial Studies}, year = {2011}, volume = {24}, number = {11}, pages = {3731-3777}, doi = {10.1093/rfs/hhr068}, url = {https://doi.org/10.1093/rfs/hhr068} } @article{econhot_econhot-cited-e591863ce0dfadbb, title = {Asymmetric Least Squares Estimation and Testing}, author = {Whitney K. Newey and James Lawrence Powell}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {4}, pages = {819}, doi = {10.2307/1911031}, url = {https://doi.org/10.2307/1911031} } @article{econhot_econhot-cited-b5c5e91f10d642d6, title = {The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test}, author = {Richard H. Thaler and Amos Tversky and Daniel J. Kahneman and Alan Schwartz}, journal = {The Quarterly Journal of Economics}, year = {1997}, volume = {112}, number = {2}, pages = {647-661}, doi = {10.1162/003355397555226}, url = {https://doi.org/10.1162/003355397555226} } @article{econhot_econhot-cited-568b88d166ac7811, title = {The World Price of Covariance Risk}, author = {Campbell R. Harvey}, journal = {The Journal of Finance}, year = {1991}, volume = {46}, number = {1}, pages = {111-157}, doi = {10.1111/j.1540-6261.1991.tb03747.x}, url = {https://doi.org/10.1111/j.1540-6261.1991.tb03747.x} } @article{econhot_econhot-cited-f7193f92ebf01318, title = {An econometric model of serial correlation and illiquidity in hedge fund returns}, author = {Mila Getmansky and Andrew W. Lo and Igor Makarov}, journal = {Journal of Financial Economics}, year = {2004}, volume = {74}, number = {3}, pages = {529-609}, doi = {10.1016/j.jfineco.2004.04.001}, url = {https://doi.org/10.1016/j.jfineco.2004.04.001} } @article{econhot_econhot-cited-c73b0fb1fe1e1876, title = {Benchmark priors for Bayesian model averaging}, author = {Carmen Fernández and Eduardo Ley and Mark F. J. Steel}, journal = {Journal of Econometrics}, year = {2001}, volume = {100}, number = {2}, pages = {381-427}, doi = {10.1016/s0304-4076(00)00076-2}, url = {https://doi.org/10.1016/s0304-4076(00)00076-2} } @article{econhot_econhot-cited-b43b59b8b3ddcd93, title = {Multivariate Locally Weighted Least Squares Regression}, author = {David Ruppert and MATTHEW P. WAND}, journal = {The Annals of Statistics}, year = {1994}, volume = {22}, number = {3}, doi = {10.1214/aos/1176325632}, url = {https://doi.org/10.1214/aos/1176325632} } @article{econhot_econhot-cited-5385c18f63bda148, title = {Choosing factors}, author = {Eugene F. Fama and Kenneth R. French}, journal = {Journal of Financial Economics}, year = {2018}, volume = {128}, number = {2}, pages = {234-252}, doi = {10.1016/j.jfineco.2018.02.012}, url = {https://doi.org/10.1016/j.jfineco.2018.02.012} } @article{econhot_econhot-cited-11b1ecdc227837f6, title = {Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap}, author = {Ryan Sullivan and Allan Timmermann and Halbert White}, journal = {The Journal of Finance}, year = {1999}, volume = {54}, number = {5}, pages = {1647-1691}, doi = {10.1111/0022-1082.00163}, url = {https://doi.org/10.1111/0022-1082.00163} } @article{econhot_econhot-cited-3835163fa72383ca, title = {The Estimation of the Parameters of a Linear Regression System Obeying Two Separate Regimes}, author = {Richard E. Quandt}, journal = {Journal of the American Statistical Association}, year = {1958}, volume = {53}, number = {284}, pages = {873-880}, doi = {10.1080/01621459.1958.10501484}, url = {https://doi.org/10.1080/01621459.1958.10501484} } @article{econhot_econhot-cited-49fa09e5ba9afdcf, title = {Nonconcave penalized likelihood with a diverging number of parameters}, author = {Jianqing Fan and Heng Peng}, journal = {The Annals of Statistics}, year = {2004}, volume = {32}, number = {3}, doi = {10.1214/009053604000000256}, url = {https://doi.org/10.1214/009053604000000256} } @article{econhot_econhot-cited-b438eb15d4149ad4, title = {Financial statement analysis and the prediction of stock returns}, author = {Jane A. Ou and Stephen H. Penman}, journal = {Journal of Accounting and Economics}, year = {1989}, volume = {11}, number = {4}, pages = {295-329}, doi = {10.1016/0165-4101(89)90017-7}, url = {https://doi.org/10.1016/0165-4101(89)90017-7} } @article{econhot_econhot-cited-79746c1a43e2becb, title = {Inverse probability weighted estimation for general missing data problems}, author = {Jeffrey M. Wooldridge}, journal = {Journal of Econometrics}, year = {2007}, volume = {141}, number = {2}, pages = {1281-1301}, doi = {10.1016/j.jeconom.2007.02.002}, url = {https://doi.org/10.1016/j.jeconom.2007.02.002} } @article{econhot_econhot-cited-1755e83213559b61, title = {Further Results on Tests of Separate Families of Hypotheses}, author = {David Roxbee Cox}, journal = {Journal of the Royal Statistical Society Series B (Statistical Methodology)}, year = {1962}, volume = {24}, number = {2}, pages = {406-424}, doi = {10.1111/j.2517-6161.1962.tb00468.x}, url = {https://doi.org/10.1111/j.2517-6161.1962.tb00468.x} } @article{econhot_econhot-cited-a6e68f2110010453, title = {An Empirical Test of the Impact of Managerial Self‐Interest on Corporate Capital Structure}, author = {Irwin Friend and Larry H.P. Lang}, journal = {The Journal of Finance}, year = {1988}, volume = {43}, number = {2}, pages = {271-281}, doi = {10.1111/j.1540-6261.1988.tb03938.x}, url = {https://doi.org/10.1111/j.1540-6261.1988.tb03938.x} } @article{econhot_econhot-cited-b26989ef294875b9, title = {Measuring cost efficiency in banking}, author = {Gary D. Ferrier and C. A. Knox Lovell}, journal = {Journal of Econometrics}, year = {1990}, volume = {46}, number = {1-2}, pages = {229-245}, doi = {10.1016/0304-4076(90)90057-z}, url = {https://doi.org/10.1016/0304-4076(90)90057-z} } @article{econhot_econhot-cited-6b65073c9f7645f5, title = {Nonparametric frontier estimation: a robust approach}, author = {Catherine Cazals and Jean‐Pierre Florens and Léopold Simar}, journal = {Journal of Econometrics}, year = {2002}, volume = {106}, number = {1}, pages = {1-25}, doi = {10.1016/s0304-4076(01)00080-x}, url = {https://doi.org/10.1016/s0304-4076(01)00080-x} } @article{econhot_econhot-cited-5fccf8635af1e9ec, title = {Bootstrapping Regression Models}, author = {Darcy A. Freedman}, journal = {The Annals of Statistics}, year = {1981}, volume = {9}, number = {6}, doi = {10.1214/aos/1176345638}, url = {https://doi.org/10.1214/aos/1176345638} } @article{econhot_econhot-cited-be773a65ee4be481, title = {Tests of Analysts' Overreaction/Underreaction to Earnings Information as an Explanation for Anomalous Stock Price Behavior}, author = {Jeffery S. Abarbanell and Victor L. Bernard}, journal = {The Journal of Finance}, year = {1992}, volume = {47}, number = {3}, pages = {1181-1207}, doi = {10.1111/j.1540-6261.1992.tb04010.x}, url = {https://doi.org/10.1111/j.1540-6261.1992.tb04010.x} } @article{econhot_econhot-cited-7be0ec301c3a928d, title = {Efficient tests of stock return predictability☆}, author = {J CAMPBELL and Motohiro Yogo}, journal = {Journal of Financial Economics}, year = {2006}, volume = {81}, number = {1}, pages = {27-60}, doi = {10.1016/j.jfineco.2005.05.008}, url = {https://doi.org/10.1016/j.jfineco.2005.05.008} } @article{econhot_econhot-cited-1d0ab4cc1286465a, title = {Stepwise Multiple Testing as Formalized Data Snooping}, author = {Joseph P. Romano and Michael Wolf}, journal = {Econometrica}, year = {2005}, volume = {73}, number = {4}, pages = {1237-1282}, doi = {10.1111/j.1468-0262.2005.00615.x}, url = {https://doi.org/10.1111/j.1468-0262.2005.00615.x} } @article{econhot_econhot-cited-633155763de1aa08, title = {Which Moments to Match?}, author = {A. Ronald Gallant and George E. Tauchen}, journal = {Econometric Theory}, year = {1996}, volume = {12}, number = {4}, pages = {657-681}, doi = {10.1017/s0266466600006976}, url = {https://doi.org/10.1017/s0266466600006976} } @article{econhot_econhot-cited-34fd0606dba65a56, title = {Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle}, author = {Robert F. Stambaugh and Jianfeng Yu and Yu Yuan}, journal = {The Journal of Finance}, year = {2015}, volume = {70}, number = {5}, pages = {1903-1948}, doi = {10.1111/jofi.12286}, url = {https://doi.org/10.1111/jofi.12286} } @article{econhot_econhot-cited-6f001a33ee6e641d, title = {Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility}, author = {Torben Gustav Andersen}, journal = {The Journal of Finance}, year = {1996}, volume = {51}, number = {1}, pages = {169-204}, doi = {10.1111/j.1540-6261.1996.tb05206.x}, url = {https://doi.org/10.1111/j.1540-6261.1996.tb05206.x} } @article{econhot_econhot-cited-b75707c77d53fddd, title = {The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models}, author = {Lars Peter Hansen and Scott F. Richard}, journal = {Econometrica}, year = {1987}, volume = {55}, number = {3}, pages = {587}, doi = {10.2307/1913601}, url = {https://doi.org/10.2307/1913601} } @article{econhot_econhot-cited-b23ff2f8d4806c0a, title = {Testing for Localization Using Micro-Geographic Data}, author = {Gilles Duranton and Henry G. Overman}, journal = {The Review of Economic Studies}, year = {2005}, volume = {72}, number = {4}, pages = {1077-1106}, doi = {10.1111/0034-6527.00362}, url = {https://doi.org/10.1111/0034-6527.00362} } @article{econhot_econhot-cited-3b9e4c45d83dacf5, title = {Stealth trading and volatility}, author = {Michael J. Barclay and Jerold B. Warner}, journal = {Journal of Financial Economics}, year = {1993}, volume = {34}, number = {3}, pages = {281-305}, doi = {10.1016/0304-405x(93)90029-b}, url = {https://doi.org/10.1016/0304-405x(93)90029-b} } @article{econhot_econhot-cited-fd6c6869028492be, title = {Delta-Hedged Gains and the Negative Market Volatility Risk Premium}, author = {Gurdip Bakshi and Nikunj Kapadia}, journal = {Review of Financial Studies}, year = {2003}, volume = {16}, number = {2}, pages = {527-566}, doi = {10.1093/rfs/hhg002}, url = {https://doi.org/10.1093/rfs/hhg002} } @article{econhot_econhot-cited-a447423ecedd0d1a, title = {Predicting returns with financial ratios}, author = {Jonathan W. Lewellen}, journal = {Journal of Financial Economics}, year = {2004}, volume = {74}, number = {2}, pages = {209-235}, doi = {10.1016/j.jfineco.2002.11.002}, url = {https://doi.org/10.1016/j.jfineco.2002.11.002} } @article{econhot_econhot-cited-8c70887020f2efb6, title = {Predictability of Stock Returns: Robustness and Economic Significance}, author = {M. Hashem Pesaran and Allan Timmermann}, journal = {The Journal of Finance}, year = {1995}, volume = {50}, number = {4}, pages = {1201-1228}, doi = {10.1111/j.1540-6261.1995.tb04055.x}, url = {https://doi.org/10.1111/j.1540-6261.1995.tb04055.x} } @article{econhot_econhot-cited-7678577bf5ece211, title = {Predictable Risk and Returns in Emerging Markets}, author = {Campbell R. Harvey}, journal = {Review of Financial Studies}, year = {1995}, volume = {8}, number = {3}, pages = {773-816}, doi = {10.1093/rfs/8.3.773}, url = {https://doi.org/10.1093/rfs/8.3.773} } @article{econhot_econhot-cited-69bf2554696dee89, title = {Bayes-Stein Estimation for Portfolio Analysis}, author = {Philippe Jorion}, journal = {Journal of Financial and Quantitative Analysis}, year = {1986}, volume = {21}, number = {3}, pages = {279}, doi = {10.2307/2331042}, url = {https://doi.org/10.2307/2331042} } @article{econhot_econhot-cited-42561d05f52526b8, title = {Adjusting for Nonignorable Drop-Out Using Semiparametric Nonresponse Models}, author = {Daniel O. Scharfstein and Andrea G. Rotnitzky and James M. Robins}, journal = {Journal of the American Statistical Association}, year = {1999}, volume = {94}, number = {448}, pages = {1096-1120}, doi = {10.1080/01621459.1999.10473862}, url = {https://doi.org/10.1080/01621459.1999.10473862} } @article{econhot_econhot-cited-b1c69221ad5b45de, title = {Information and Volatility: The No‐Arbitrage Martingale Approach to Timing and Resolution Irrelevancy}, author = {Stephen A. Ross}, journal = {The Journal of Finance}, year = {1989}, volume = {44}, number = {1}, pages = {1-17}, doi = {10.1111/j.1540-6261.1989.tb02401.x}, url = {https://doi.org/10.1111/j.1540-6261.1989.tb02401.x} } @article{econhot_econhot-cited-21aff8707a81ecba, title = {Bayesian Methods for Dynamic Multivariate Models}, author = {Christopher A. Sims and Tao A. Zha}, journal = {International Economic Review}, year = {1998}, volume = {39}, number = {4}, pages = {949}, doi = {10.2307/2527347}, url = {https://doi.org/10.2307/2527347} } @article{econhot_econhot-cited-bfbfd37382a16a49, title = {Option Prices, Implied Price Processes, and Stochastic Volatility}, author = {Mark Britten‐Jones and Anthony John Neuberger}, journal = {The Journal of Finance}, year = {2000}, volume = {55}, number = {2}, pages = {839-866}, doi = {10.1111/0022-1082.00228}, url = {https://doi.org/10.1111/0022-1082.00228} } @article{econhot_econhot-cited-f820db16a554b926, title = {Penalized Regressions: The Bridge versus the Lasso}, author = {Wenjiang J. Fu}, journal = {Journal of Computational and Graphical Statistics}, year = {1998}, volume = {7}, number = {3}, pages = {397-416}, doi = {10.1080/10618600.1998.10474784}, url = {https://doi.org/10.1080/10618600.1998.10474784} } @article{econhot_econhot-cited-4ec81cb7a4e8f1a1, title = {Multivariate Matching Methods That Are Monotonic Imbalance Bounding}, author = {Stefano Maria Iacus and Gary King and Giuseppe Porro}, journal = {Journal of the American Statistical Association}, year = {2011}, volume = {106}, number = {493}, pages = {345-361}, doi = {10.1198/jasa.2011.tm09599}, url = {https://doi.org/10.1198/jasa.2011.tm09599} } @article{econhot_econhot-cited-9b816015955e0024, title = {Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?}, author = {Nicolas P. B. Bollen and Robert E. Whaley}, journal = {The Journal of Finance}, year = {2004}, volume = {59}, number = {2}, pages = {711-753}, doi = {10.1111/j.1540-6261.2004.00647.x}, url = {https://doi.org/10.1111/j.1540-6261.2004.00647.x} } @article{econhot_econhot-cited-193e4a53b5cb337f, title = {Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis}, author = {Robert L. Kosowski and Allan Timmermann and Russ R. Wermers and Halbert White}, journal = {The Journal of Finance}, year = {2006}, volume = {61}, number = {6}, pages = {2551-2595}, doi = {10.1111/j.1540-6261.2006.01015.x}, url = {https://doi.org/10.1111/j.1540-6261.2006.01015.x} } @article{econhot_econhot-cited-eabcb005be485e2e, title = {Exploring the relationship between R\&D and productivity in French manufacturing firms}, author = {Bronwyn H. Hall and Jacques Mairesse}, journal = {Journal of Econometrics}, year = {1995}, volume = {65}, number = {1}, pages = {263-293}, doi = {10.1016/0304-4076(94)01604-x}, url = {https://doi.org/10.1016/0304-4076(94)01604-x} } @article{econhot_econhot-cited-2a91d8b7bc8c5e08, title = {The macroeconomy and the yield curve: a dynamic latent factor approach}, author = {Francis X. Diebold and Glenn D. Rudebusch and S. Borağan Aruoba}, journal = {Journal of Econometrics}, year = {2005}, volume = {131}, number = {1-2}, pages = {309-338}, doi = {10.1016/j.jeconom.2005.01.011}, url = {https://doi.org/10.1016/j.jeconom.2005.01.011} }