TY - JOUR TI - Identification in Parametric Models AU - Thomas J. Rothenberg JO - Econometrica PY - 1971 VL - 39 IS - 3 DO - 10.2307/1913267 UR - https://doi.org/10.2307/1913267 ER - TY - JOUR TI - Estimation and Confidence Regions for Parameter Sets in Econometric Models AU - Victor Chernozhukov AU - Han Hong AU - Elie Tamer JO - Econometrica PY - 2007 VL - 75 IS - 5 DO - 10.1111/j.1468-0262.2007.00794.x UR - https://doi.org/10.1111/j.1468-0262.2007.00794.x ER - TY - JOUR TI - Large Sample Properties of Generalized Method of Moments Estimators AU - Lars Peter Hansen JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912775 UR - https://doi.org/10.2307/1912775 ER - TY - JOUR TI - Root-N-Consistent Semiparametric Regression AU - P. M. Robinson JO - Econometrica PY - 1988 VL - 56 IS - 4 DO - 10.2307/1912705 UR - https://doi.org/10.2307/1912705 ER - TY - JOUR TI - The Asymptotic Variance of Semiparametric Estimators AU - Whitney K. Newey JO - Econometrica PY - 1994 VL - 62 IS - 6 DO - 10.2307/2951752 UR - https://doi.org/10.2307/2951752 ER - TY - JOUR TI - A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity AU - Halbert White JO - Econometrica PY - 1980 VL - 48 IS - 4 DO - 10.2307/1912934 UR - https://doi.org/10.2307/1912934 ER - TY - JOUR TI - A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix AU - Whitney K. Newey AU - Kenneth D. West JO - Econometrica PY - 1987 VL - 55 IS - 3 DO - 10.2307/1913610 UR - https://doi.org/10.2307/1913610 ER - TY - JOUR TI - Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation AU - Donald W. K. Andrews JO - Econometrica PY - 1991 VL - 59 IS - 3 DO - 10.2307/2938229 UR - https://doi.org/10.2307/2938229 ER - TY - JOUR TI - Instrumental Variables Regression with Weak Instruments AU - Douglas Staiger AU - James H. Stock JO - Econometrica PY - 1997 VL - 65 IS - 3 DO - 10.2307/2171753 UR - https://doi.org/10.2307/2171753 ER - TY - JOUR TI - Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation AU - Robert F. Engle JO - Econometrica PY - 1982 VL - 50 IS - 4 DO - 10.2307/1912773 UR - https://doi.org/10.2307/1912773 ER - TY - JOUR TI - Generalized autoregressive conditional heteroskedasticity AU - Tim Bollerslev JO - Journal of Econometrics PY - 1986 VL - 31 IS - 3 DO - 10.1016/0304-4076(86)90063-1 UR - https://doi.org/10.1016/0304-4076(86)90063-1 ER - TY - JOUR TI - Determining the Number of Factors in Approximate Factor Models AU - Jushan Bai AU - Serena Ng JO - Econometrica PY - 2002 VL - 70 IS - 1 DO - 10.1111/1468-0262.00273 UR - https://doi.org/10.1111/1468-0262.00273 ER - TY - JOUR TI - Inferential Theory for Factor Models of Large Dimensions AU - Jushan Bai JO - Econometrica PY - 2003 VL - 71 IS - 1 DO - 10.1111/1468-0262.00392 UR - https://doi.org/10.1111/1468-0262.00392 ER - TY - JOUR TI - Comparing Predictive Accuracy AU - Francis X. Diebold AU - Roberto S. Mariano JO - Journal of Business & Economic Statistics PY - 1995 VL - 13 IS - 3 DO - 10.1080/07350015.1995.10524599 UR - https://doi.org/10.1080/07350015.1995.10524599 ER - TY - JOUR TI - Tests of Conditional Predictive Ability AU - Raffaella Giacomini AU - Halbert White JO - Econometrica PY - 2006 VL - 74 IS - 6 DO - 10.1111/j.1468-0262.2006.00718.x UR - https://doi.org/10.1111/j.1468-0262.2006.00718.x ER - TY - JOUR TI - Risk, Return, and Equilibrium: Empirical Tests AU - Eugene F. Fama AU - James D. MacBeth JO - Journal of Political Economy PY - 1973 VL - 81 IS - 3 DO - 10.1086/260061 UR - https://doi.org/10.1086/260061 ER - TY - JOUR TI - Implications of Security Market Data for Models of Dynamic Economies AU - Lars Peter Hansen AU - Ravi Jagannathan JO - Journal of Political Economy PY - 1991 VL - 99 IS - 2 DO - 10.1086/261749 UR - https://doi.org/10.1086/261749 ER - TY - JOUR TI - Common risk factors in the returns on stocks and bonds AU - Eugene F. Fama AU - Kenneth R. French JO - Journal of Financial Economics PY - 1993 VL - 33 IS - 1 DO - 10.1016/0304-405x(93)90023-5 UR - https://doi.org/10.1016/0304-405x(93)90023-5 ER - TY - JOUR TI - Characteristics are covariances: A unified model of risk and return AU - Bryan T. Kelly AU - Seth Pruitt AU - Yinan Su JO - Journal of Financial Economics PY - 2019 VL - 134 IS - 3 DO - 10.1016/j.jfineco.2019.05.001 UR - https://doi.org/10.1016/j.jfineco.2019.05.001 ER - TY - JOUR TI - Modeling and Forecasting Realized Volatility AU - Torben G. Andersen AU - Tim Bollerslev AU - Francis X. Diebold AU - Paul Labys JO - Econometrica PY - 2003 VL - 71 IS - 2 DO - 10.1111/1468-0262.00418 UR - https://doi.org/10.1111/1468-0262.00418 ER - TY - JOUR TI - Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models AU - Ole E. Barndorff-Nielsen AU - Neil Shephard JO - Journal of the Royal Statistical Society Series B: Statistical Methodology PY - 2002 VL - 64 IS - 2 DO - 10.1111/1467-9868.00336 UR - https://doi.org/10.1111/1467-9868.00336 ER - TY - JOUR TI - A Tale of Two Time Scales AU - Lan Zhang AU - Per A Mykland AU - Yacine Aït-Sahalia JO - Journal of the American Statistical Association PY - 2005 VL - 100 IS - 472 DO - 10.1198/016214505000000169 UR - https://doi.org/10.1198/016214505000000169 ER - TY - JOUR TI - Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise AU - Ole E. Barndorff-Nielsen AU - Peter Reinhard Hansen AU - Asger Lunde AU - Neil Shephard JO - Econometrica PY - 2008 VL - 76 IS - 6 DO - 10.3982/ecta6495 UR - https://doi.org/10.3982/ecta6495 ER - TY - JOUR TI - CAViaR AU - Robert F Engle AU - Simone Manganelli JO - Journal of Business & Economic Statistics PY - 2004 VL - 22 IS - 4 DO - 10.1198/073500104000000370 UR - https://doi.org/10.1198/073500104000000370 ER - TY - JOUR TI - Coherent Measures of Risk AU - Philippe Artzner AU - Freddy Delbaen AU - Jean‐Marc Eber AU - David Heath JO - Mathematical Finance PY - 1999 VL - 9 IS - 3 DO - 10.1111/1467-9965.00068 UR - https://doi.org/10.1111/1467-9965.00068 ER - TY - JOUR TI - Dynamic Conditional Correlation AU - Robert Engle JO - Journal of Business & Economic Statistics PY - 2002 VL - 20 IS - 3 DO - 10.1198/073500102288618487 UR - https://doi.org/10.1198/073500102288618487 ER - TY - JOUR TI - Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? AU - John Y. Campbell AU - Samuel B. Thompson JO - Review of Financial Studies PY - 2008 VL - 21 IS - 4 DO - 10.1093/rfs/hhm055 UR - https://doi.org/10.1093/rfs/hhm055 ER - TY - JOUR TI - A Comprehensive Look at The Empirical Performance of Equity Premium Prediction AU - Ivo Welch AU - Amit Goyal JO - Review of Financial Studies PY - 2008 VL - 21 IS - 4 DO - 10.1093/rfs/hhm014 UR - https://doi.org/10.1093/rfs/hhm014 ER - TY - JOUR TI - Regression Shrinkage and Selection Via the Lasso AU - Robert Tibshirani JO - Journal of the Royal Statistical Society Series B: Statistical Methodology PY - 1996 VL - 58 IS - 1 DO - 10.1111/j.2517-6161.1996.tb02080.x UR - https://doi.org/10.1111/j.2517-6161.1996.tb02080.x ER -