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Journal of Financial Econometrics

Volume 1 - 14

Current editor(s): RenÈ Garcia and Eric Renault

From Society for Financial Econometrics
Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Contact information at EDIRC.

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Volume 14, issue 4, 2016

Dynamic Conditional Beta pp. 643-667 Downloads
Robert Engle
Component-wise Representations of Long-memory Models and Volatility Prediction pp. 668-692 Downloads
Tommaso Proietti
Quantile Regression for Long Memory Testing: A Case of Realized Volatility pp. 693-724 Downloads
Uwe Hassler, Paulo Rodrigues and Antonio Rubia
The Geometric-VaR Backtesting Method pp. 725-745 Downloads
Denis Pelletier and Wei Wei
Uncovering the Skewness News Impact Curve pp. 746-771 Downloads
Stanislav Anatolyev and Anton Petukhov
On the Observed-Data Deviance Information Criterion for Volatility Modeling pp. 772-802 Downloads
Joshua Chan and Angelia Grant

Volume 14, issue 3, 2016

The Tradability Premium on the S&P 500 Index pp. 461-495 Downloads
Christian Gourieroux, Joann Jasiak and Peng Xu
Efficient Portfolio Selection in a Large Market pp. 496-524 Downloads
Jiaqin Chen and Ming Yuan
Overnight News and Daily Equity Trading Risk Limits pp. 525-551 Downloads
Katja Ahoniemi, Ana-Maria Fuertes and Jose Olmo
Beyond Dimension two: A Test for Higher-Order Tail Risk pp. 552-580 Downloads
Carsten Bormann, Julia Schaumburg and Melanie Schienle
Exceedance Correlation Tests for Financial Returns pp. 581-616 Downloads
Yi-Ting Chen
Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification pp. 617-642 Downloads
Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

Volume 14, issue 2, 2016

Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 227-228 Downloads
Eric Ghysels and George Tauchen
Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 229-247 Downloads
A. Ronald Gallant
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 248-252 Downloads
Dante Amengual and Enrique Sentana
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 253-257 Downloads
John Geweke
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 258-260 Downloads
Jae-Young Kim
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 261-264 Downloads
Oliver Linton and Ruochen Wu
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 265-271 Downloads
Christian P. Robert
Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 272-277 Downloads
Christopher Sims
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 278-283 Downloads
Wei Wei and Asger Lunde
Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference — Author Response to Comments pp. 284-294 Downloads
A. Ronald Gallant
Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns pp. 295-330 Downloads
Craig Burnside
Term Structure Persistence pp. 331-352 Downloads
Mirko Abbritti, Luis Gil-Alana, Yuliya Lovcha and Antonio Moreno
Variance Targeting Estimation of Multivariate GARCH Models pp. 353-382 Downloads
Christian Francq, Lajos Horvath and Jean-Michel Zakoian
Forecasting Covariance Matrices: A Mixed Approach pp. 383-417 Downloads
Roxana Halbleib and Valeri Voev
Infinite-State Markov-Switching for Dynamic Volatility pp. 418-460 Downloads
Arnaud Dufays

Volume 14, issue 1, 2015

Portfolio Choice in Markets with Contagion pp. 1-28 Downloads
Yacine Aït-Sahalia and Thomas Robert Hurd
Volatility Jumps and Their Economic Determinants pp. 29-80 Downloads
Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris
Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 pp. 81-127 Downloads
Francis Diebold and Kamil Yilmaz
Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range pp. 128-158 Downloads
Richard Gerlach and Cathy W. S. Chen
Identifying Speculative Bubbles Using an Infinite Hidden Markov Model pp. 159-184 Downloads
Shuping Shi and Yong Song
Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility pp. 185-226 Downloads
Filip Žikeš and Jozef Baruník

Volume 13, issue 4, 2015

Adaptive Realized Kernels pp. 757-797 Downloads
Marine Carrasco and Rachidi Kotchoni
Accurate Methods for Approximate Bayesian Computation Filtering pp. 798-838 Downloads
Laurent Calvet and Veronika Czellar
Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates pp. 839-867 Downloads
Abel Rodríguez, Enrique ter Horst and Samuel Malone
Risk Measures for Autocorrelated Hedge Fund Returns pp. 868-895 Downloads
Antonio Di Cesare, Philip Stork and Casper G. de Vries
Robust Conditional Variance and Value-at-Risk Estimation pp. 896-921 Downloads
Debbie J. Dupuis, Nicolas Papageorgiou and Bruno Rémillard
Long Memory and Periodicity in Intraday Volatility pp. 922-961 Downloads
Eduardo Rossi and Dean Fantazzini

Volume 13, issue 3, 2015

Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression pp. 521-555 Downloads
Peter Phillips
Asset Pricing with a General Multifactor Structure pp. 556-604 Downloads
Tomohiro Ando and Jushan Bai
A Random Coefficient Approach to the Predictability of Stock Returns in Panels pp. 605-664 Downloads
Joakim Westerlund and Paresh Narayan
A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns pp. 665-697 Downloads
Stefano Peluso, Fulvio Corsi and Antonietta Mira
Bayesian Mixed Frequency VARs pp. 698-721 Downloads
Bjørn Eraker, Ching-Wai (Jeremy) Chiu, Andrew Foerster, Tae Bong Kim and Hernán D. Seoane
The HESSIAN Method for Models with Leverage-like Effects pp. 722-755 Downloads
Barnabé Djegnéné and William McCausland

Volume 13, issue 2, 2015

Editorial Announcement pp. 223-225 Downloads
Eric Ghysels
Estimating Shadow-Rate Term Structure Models with Near-Zero Yields pp. 226-259 Downloads
Jens H. E. Christensen and Glenn Rudebusch
Recovering Statistical Theory in the Context of Model Calibrations pp. 260-292 Downloads
Dilip B. Madan
Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? pp. 293-341 Downloads
Jiahan Li, Ilias Tsiakas and Wei Wang
Testing for Predictability in Conditionally Heteroskedastic Stock Returns pp. 342-375 Downloads
Joakim Westerlund and Paresh Narayan
Uniform Confidence Bands for Pricing Kernels pp. 376-413 Downloads
Wolfgang Härdle, Yarema Okhrin and Weining Wang
Modeling Maximum Entropy Distributions for Financial Returns by Moment Combination and Selection pp. 414-455 Downloads
Yi-Ting Chen
Functional Dynamic Factor Model for Intraday Price Curves pp. 456-477 Downloads
Piotr Kokoszka, Hong Miao and Xi Zhang
Rounding Errors and Volatility Estimation pp. 478-504 Downloads
Yingying Li and Per A. Mykland
Quarticity Estimation on ohlc Data pp. 505-519 Downloads
Janine Balter

Volume 13, issue 1, 2015

Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series pp. 1-44 Downloads
Jonathan B. Hill
A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise pp. 45-82 Downloads
Daisuke Nagakura and Toshiaki Watanabe
On the Optimal Estimating Function Method for Conditional Correlation Models pp. 83-125 Downloads
Yi-Ting Chen
Two-Scale Realized Kernels: A Univariate Case pp. 126-165 Downloads
Shin Ikeda
Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble pp. 166-187 Downloads
David I. Harvey, Stephen J. Leybourne and Robert Sollis
Asymptotic Properties of GARCH-X Processes pp. 188-221 Downloads
Heejoon Han
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