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Journal of Financial Econometrics
2003 - 2012
Edited by RenÈ Garcia and Eric Renault
from Oxford University Press
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Volume 10, issue 2 , 2012
Converting Tail-VaR to VaR: An Econometric Study pp. 233-264 Christian Gourieroux and Gourieroux Liu Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets pp. 292-324 Mads Stenbo Nielsen Common Intraday Periodicity pp. 325-353 Alain Hecq and Franz C. Palm Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing pp. 354-389 Charles S. Bos , Paweł Janus and Siem Jan Koopman Volume 10, issue 1 , 2012
Microinformation, Nonlinear Filtering, and Granularity pp. 1-53 Christian Gouriéroux and Alain Monfort Forecasting intraday volatility in the US equity market. Multiplicative component GARCH pp. 54-83 Robert F. Engle On the Importance of Time Variability in Higher Moments for Asset Allocation pp. 84-123 Eric Jondeau Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility pp. 124-163 René Garcia and Abderrahim Taamouti Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods pp. 198-231 Jörg Breitung Volume 9, issue 4 , 2011
Habit, Long-Run Risks, Prospect? A Statistical Inquiry pp. 589-618 Eric Mark Aldrich Merits and Drawbacks of Variance Targeting in GARCH Models pp. 619-656 Christian Francq and Lajos Horvath Outlyingness Weighted Covariation pp. 657-684 Christophe Croux and Sébastien Laurent Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach pp. 685-716 Valeri Voev Volume 9, issue 3 , 2011
Long-Term Skewness and Systemic Risk pp. 437-468 Robert F. Engle Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach pp. 469-488 Dinghai Xu , John Knight and Tony S. Wirjanto Intra-daily Volume Modeling and Prediction for Algorithmic Trading pp. 489-518 Christian T. Brownlees , Fabrizio Cipollini and Giampiero M. Gallo Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods pp. 519-549 Jim Edward Griffin Data Snooping and Market-Timing Rule Performance pp. 550-587 Andreas Neuhierl and Bernd Schlusche Volume 9, issue 2 , 2011
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk pp. 237-280 Patrick Gagliardini and Christian S. Gourieroux Robust Value at Risk Prediction pp. 281-313 Loriano Mancini and Fabio Trojani Backtesting Value-at-Risk: A GMM Duration-Based Test pp. 314-343 Bertrand Candelon , Gilbert Colletaz , Christophe Hurlin and Sessi Tokpavi A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones pp. 344-366 Christian Y. Robert and Mathieu Rosenbaum Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise pp. 367-408 Maria Elvira Mancino and Simona Sanfelici A Cohort Analysis of Equity Shares in Japanese Household Financial Assets pp. 409-435 Kosei Fukuda Volume 9, issue 1 , 2011
The JFEC Invited Lecture at the 2009 SoFiE Conference pp. 1-2 Eric Ghysels and Eric Renault René Garcia Risk-Price Dynamics pp. 3-65 Jaroslav Borovička , Mark Hendricks and Jose Alexandre Scheinkman Yield Curve and Volatility: Lessons from Eurodollar Futures and Options pp. 66-105 Ruslan Bikbov and Mikhail Chernov When is a Copula Constant? A Test for Changing Relationships pp. 106-131 Fabio Busetti and Andrew C. Harvey Robust Backtesting Tests for Value-at-risk Models pp. 132-161 Juan Carlos Escanciano and Jose Olmo GARCH Parameter Estimation Using High-Frequency Data pp. 162-197 Marcel P. Visser Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations pp. 198-236 Ruijun Bu , Ludovic Giet , Kaddour Hadri and Michel Lubrano Volume 8, issue 4 , 2010
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation pp. 409-449 Peter Carr and Liuren Wu Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions pp. 450-480 Osnat Stramer , Matthew Bognar and Paul Schneider MCMC Estimation of the COGARCH(1,1) Model pp. 481-510 Gernot Müller Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions pp. 511-546 Aleksey Min and Claudia Czado Estimation and Inference in ARCH Models in the Presence of Outliers pp. 547-549 Allan W. Gregory and Jonathan J. Reeves Volume 8, issue 3 , 2010
Forecast Precision and Portfolio Performance pp. 265-304 Alex Kane Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability pp. 305-334 Marco Aiolfi , Marius Rodriguez and Allan Timmermann An ACD-ECOGARCH(1,1) Model pp. 335-344 Claudia Czado and Stephan Haug Generalized Moment Tests for Autoregressive Conditional Duration Models pp. 345-391 Yi-Ting Chen Structural Conditional Correlation pp. 392-407 Enzo Weber Volume 8, issue 2 , 2010
Introduction pp. 155-157 Eric Ghysels Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis pp. 158-159 Robert F. Engle Remarks for the Clive Granger Memorial, July 31, 2009 pp. 160-161 Halbert White Professor Sir Clive W.J. Granger and Cointegration pp. 162-168 David F. Hendry Personal Reflections on Clive Granger's Contributions to Econometrics pp. 169-170 James H. Stock Recollections of Clive Granger pp. 171-171 Mark Watson Memoirs of "A Cointegration Analysis of Treasury Bill Yields" pp. 172-173 Heather M. Anderson The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems" pp. 174-176 Jesus Gonzalo Separation in Cointegrated Systems pp. 177-180 Niels Haldrup Clive Granger and HEGY pp. 181-183 Svend Hylleberg Long Memory Processes: A Joint Paper with Clive Granger pp. 184-186 Roselyne Joyeux Further Developments in the Study of Cointegrated Variables pp. 187-190 Norman Rasmus Swanson Working With Clive Granger: Two Short Memories pp. 191-192 Timo Teräsvirta Granger Causality and Dynamic Structural Systems pp. 193-243 Halbert White and Xun Lu Curriculum Vitae pp. 244-264 Clive W. J. Granger Volume 8, issue 1 , 2010
Price Discovery in Fragmented Markets pp. 1-28 Frank De Jong and Peter C. Schotman Comparison of Volatility Measures: a Risk Management Perspective pp. 29-56 Christian T. Brownlees and Giampiero M. Gallo Does the Open Limit Order Book Matter in Explaining Informational Volatility? pp. 57-87 Roberto Pascual and David Veredas Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models pp. 88-121 Markus Hahn , Sylvia Frühwirth-Schnatter and Jörn Sass Shifts in Individual Parameters of a GARCH Model pp. 122-153 Pedro Galeano and Ruey S. Tsay
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