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  - 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  - 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  - 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  - 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  - 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  - 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  - 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  -