Journal of Empirical Finance

1993 - 2025

Current editor(s): R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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Volume 32, issue C, 2015

Volatility transmission in global financial markets pp. 3-18

Adam Clements, Stan Hurn and V.V. Volkov

Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market pp. 19-34

Carl Chiarella, Saskia ter Ellen, Xuezhong (Tony) He and Eliza Wu

Macroeconomic news announcements and price discovery: Evidence from Canadian–U.S. cross-listed firms pp. 35-48

Bart Frijns, Ivan Indriawan and Alireza Tourani-Rad

The costs of a (nearly) fully independent board pp. 49-62

Olubunmi Faleye

The frequency of regime switching in financial market volatility pp. 63-79

Ahmed BenSaïda

The dynamics of squared returns under contemporaneous aggregation of GARCH models pp. 80-93

Eric Jondeau

R&D investment and distress risk pp. 94-114

Wei Zhang

Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz pp. 115-134

Georg Mainik, Georgi Mitov and Ludger Rüschendorf

Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting? pp. 135-152

Tobias Berens, Gregor N.F. Weiß and Dominik Wied

On financial risk and the safe haven characteristics of Swiss franc exchange rates pp. 153-164

Christian Grisse and Thomas Nitschka

Disentangling contagion among sovereign CDS spreads during the European debt crisis pp. 165-179

Carmen Broto and Gabriel Pérez-Quirós

Consumption risk and the cross-section of government bond returns pp. 180-200

Abhay Abhyankar, Olga Klinkowska and Soyeon Lee

Financial weather derivatives for corn production in Northern China: A comparison of pricing methods pp. 201-209

Baojing Sun and Gerrit van Kooten

Information shares of two parallel currency options markets: Trading costs versus transparency/tradability pp. 210-229

Louis R. Piccotti and Ben Schreiber

Volume 31, issue C, 2015

Testing of a market fraction model and power-law behaviour in the DAX 30 pp. 1-17

Xuezhong (Tony) He and Youwei Li

Understanding the term structure of credit default swap spreads pp. 18-35

Bing Han and Yi Zhou

Market proxies as factors in linear asset pricing models: Still living with the roll critique pp. 36-53

Todd Prono

The impact of ECB macro-announcements on bid–ask spreads of European blue chips pp. 54-71

Tobias R. Rühl and Michael Stein

Time-variations in commodity price jumps pp. 72-84

Laszlo Diewald, Marcel Prokopczuk and Chardin Wese Simen

ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models pp. 85-108

Michael Creel and Dennis Kristensen

Volume 30, issue C, 2015

Bond and stock market response to unexpected dividend changes pp. 1-15

Hui-Ju Tsai and Yangru Wu

Explaining the default risk anomaly by the two-beta model pp. 16-33

Chung-Ying Yeh, Junming Hsu, Kai-Li Wang and Che-Hui Lin

Heuristic learning in intraday trading under uncertainty pp. 34-49

Stelios Bekiros

Do stock returns rebound after bear markets? An empirical analysis from five OECD countries pp. 50-61

Songlin Zeng and Frédérique Bec

It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model pp. 62-78

Stefano Grassi and Paolo Santucci de Magistris

Market volatility and momentum pp. 79-91

Kevin Q. Wang and Jianguo Xu

Measuring private information in a specialist market pp. 92-119

Christopher G. Lamoureux and Qin Wang

Dynamic copula models and high frequency data pp. 120-135

Irving De Lira Salvatierra and Andrew Patton

Volume 29, issue C, 2014

House prices, expectations, and time-varying fundamentals pp. 3-25

Paolo Gelain and Kevin Lansing

On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets pp. 26-40

Christian Conrad, Karin Loch and Daniel Rittler

Level shifts in stock returns driven by large shocks pp. 41-51

Yiannis Dendramis, George Kapetanios and Elias Tzavalis

Time variation in the standard forward premium regression: Some new models and tests pp. 52-63

Richard T. Baillie and Dooyeon Cho

Insights on the global macro-finance interface: Structural sources of risk factor fluctuations and the cross-section of expected stock returns pp. 64-79

Claudio Morana

A dynamic intraday measure of the probability of informed trading and firm-specific return variation pp. 80-94

Sanders Chang, Lenisa V. Chang and F. Albert Wang

Persistence in the banking industry: Fractional integration and breaks in memory pp. 95-112

Uwe Hassler, Paulo Rodrigues and Antonio Rubia

Modelling stock volatilities during financial crises: A time varying coefficient approach pp. 113-128

Menelaos Karanasos, Alexandros G. Paraskevopoulos, Faek Menla Ali, Michail Karoglou and Stavroula Yfanti

Bandwidth selection by cross-validation for forecasting long memory financial time series pp. 129-143

Richard T. Baillie, George Kapetanios and Fotis Papailias

Unit root vector autoregression with volatility induced stationarity pp. 144-167

Heino Bohn Nielsen and Anders Rahbek

Robust tests for a linear trend with an application to equity indices pp. 168-185

Sam Astill, David Harvey, Stephen Leybourne and Robert Taylor

Long memory dynamics for multivariate dependence under heavy tails pp. 187-206

Pawel Janus, Siem Jan Koopman and Andre Lucas

A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models pp. 207-229

Luc Bauwens, Bruno De Backer and Arnaud Dufays

An empirical investigation of methods to reduce transaction costs pp. 230-246

Ted Moorman

The real effects of financial constraints: Evidence from a debt subsidization program targeted at strategic firms pp. 247-265

Yulia Davydova and Vladimir Sokolov

Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives pp. 266-280

Tsung-Kang Chen, Hsien-Hsing Liao and Wei-Lun Chen

Political uncertainty and bank loan contracting pp. 281-286

Bill B. Francis, Iftekhar Hasan and Yun Zhu

Diagnosing the distribution of GARCH innovations pp. 287-303

Pengfei Sun and Chen Zhou

Forecasting the intraday market price of money pp. 304-315

Andrea Monticini and Francesco Ravazzolo

Banking sector contingent liabilities and sovereign risk pp. 316-330

Serkan Arslanalp and Yin Liao

The dispersion effect in international stock returns pp. 331-342

Markus Leippold and Harald Lohre

A framework for tracking changes in the intensity of investment funds' systemic risk pp. 343-368

Xisong Jin and Francisco Nadal De Simone

An empirical analysis of non-execution and picking-off risks on the Tokyo Stock Exchange pp. 369-383

Ryuichi Yamamoto

Counter-cyclical risk aversion pp. 384-401

Kun Ho Kim

An empirical Bayesian approach to stein-optimal covariance matrix estimation pp. 402-420

Benjamin J. Gillen

High-order moments and extreme value approach for value-at-risk pp. 421-434

Chu-Hsiung Lin, Chang-Cheng Changchien, Tzu-Chuan Kao and Wei-Shun Kao

Predicting volatility and correlations with Financial Conditions Indexes pp. 435-447

Anne Opschoor, Dick van Dijk and Michel van der Wel