Journal of Financial Econometrics

2003 - 2009

Edited by René Garcia and Eric Renault

from Oxford University Press
Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
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Special Issue on "Multivariate Volatility Models" pp. 339-340: René Garcia
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range-super-* pp. 341-372: Karim Bannouh, Dick van Dijk and Martin Martens
Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model pp. 373-411: Annastiina Silvennoinen and Timo Teräsvirta
CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation pp. 412-436: Simon A. Broda and Marc S. Paolella
Modeling International Financial Returns with a Multivariate Regime-switching Copula pp. 437-480: Lorán Chollete, Andreas Heinen and Alfonso Valdesogo
A Latent Factor Model of Multivariate Conditional Heteroscedasticity pp. 481-503: Mike Aguilar

The JFEC Invited Lecture at the 2008 SoFiE Conference pp. 197-198: René Garcia
Inference on Risk-Neutral Measures for Incomplete Markets pp. 199-246: Hiroaki Kaido and Halbert White
A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk pp. 247-264: Paskalis Glabadanidis
Measuring Event Risk pp. 265-287: Peter Nyberg and Anders Wilhelmsson
Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading pp. 288-311: Anthony Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka
A New Look at the Forward Premium Puzzle pp. 312-338: Nikolay Gospodinov

Nonparametric Option Pricing with No-Arbitrage Constraints pp. 53-76: Melanie Birke and Kay F. Pilz
The Impact of Shocks on Higher Moments pp. 77-105: Eric Jondeau and Michael Rockinger
Estimation and Testing for Dependence in Market Microstructure Noise pp. 106-151: Masato Ubukata and Kosuke Oya
Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution pp. 152-173: Yong Bao
A Simple Approximate Long-Memory Model of Realized Volatility pp. 174-196: Fulvio Corsi

The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4--6, 2008 pp. 1-2: Eric Ghysels
Financial Econometrics, Financial Innovation, and Financial Stability pp. 3-11: Charles I. Plosser
A Short Introduction to Correlation Markets pp. 12-29: Pierre Collin-Dufresne
Linear Correlation and EVT: Properties and Caveats pp. 30-39: Paul Embrechts
Correlation, Models, and Risk Management in Challenging Times pp. 40-51: Robin L. Lumsdaine

Econometric Asset Pricing Modelling pp. 407-458: H. Bertholon, Alain Monfort and Fulvio Pegoraro
Long Memory and the Term Structure of Risk pp. 459-495: Peter C. Schotman, Rolf Tschernig and Jan Budek
Bias-Reduced Estimation of Long-Memory Stochastic Volatility pp. 496-512: Per Frederiksen and Morten Ørregaard Nielsen
On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria pp. 513-539: Christian Timothy Brownlees
American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution pp. 540-582: Lars Stentoft

A Simple Test for GARCH Against a Stochastic Volatility Model pp. 291-306: Philip Hans Franses, Marco Juri van der Leij and Richard Paap
Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US pp. 307-325: Denise Osborn, Christos Savvas Savva and Len Gill
Are There Structural Breaks in Realized Volatility? pp. 326-360: Chun Liu and John M. Maheu
VAR Modeling for Dynamic Loadings Driving Volatility Strings pp. 361-381: Ralf Brüggemann, Wolfgang Karl Härdle, Julius Mungo and Carsten Trenkler
Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall pp. 382-406: James W. Taylor

Time-Varying Arrival Rates of Informed and Uninformed Trades pp. 171-207: David Easley, Robert F. Engle, Maureen O'Hara and Liuren Wu
Parameterizing Unconditional Skewness in Models for Financial Time Series pp. 208-230: Changli He, Annastiina Silvennoinen and Timo Teräsvirta
Estimating Value at Risk and Expected Shortfall Using Expectiles pp. 231-252: James W. Taylor
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk pp. 253-270: Wei Biao Wu, Keming Yu and Gautam Mitra
Detecting ARCH Effects in Non-Gaussian Time Series pp. 271-289: Burkhard Raunig

Size and Value Anomalies under Regime Shifts pp. 1-48: Massimo Guidolin and Allan Timmermann
Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis pp. 49-86: Xinting Fan and Ming Liu
Nonparametric Estimation of Expected Shortfall pp. 87-107: Song Xi Chen
Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation pp. 108-142: Gregory R. Duffee
Modeling a Multivariate Transaction Process pp. 143-170: Ingmar Nolte

A Statistical Inquiry into the Plausibility of Recursive Utility pp. 523-559: Han Hong
Components of Market Risk and Return pp. 560-590: John M. Maheu
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent pp. 591-623: Fabio Trojani

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data pp. 1-30: George J. Jiang and Roel C.A. Oomen
Why Do Absolute Returns Predict Volatility So Well? pp. 31-67: Lars Forsberg and Eric Ghysels
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise pp. 68-104: Valeri Voev and Asger Lunde
Switching VARMA Term Structure Models pp. 105-153: Alain Monfort and Fulvio Pegoraro
The Impact of Central Bank FX Interventions on Currency Components pp. 154-183: Michel Beine, Charles Bos and Sébastien Laurent
Practitioners' Corner pp. 184-188: Adam Canopius