Journal of Financial Econometrics

Volume 1 - 23

Current editor(s): Allan Timmermann and Fabio Trojani

From Oxford University Press
Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
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Volume 23, issue 2, 2025

Comments on: “Bootstrap Inference for Group Factor Models” pp. 1267a-1305

Michael Wolf

Bootstrap Inference for Group Factor Models pp. 1267b-1305

Sílvia Gonçalves, Julia Koh and Benoit Perron

Jump Risk Implicit in Options Market pp. 9-47

Qiang Chen, Yu Han, Ying Huang and George J Jiang

Statistical Predictions of Trading Strategies in Electronic Markets pp. 31-53

Álvaro Cartea, Samuel N Cohen, Robert Graumans, Saad Labyad, Leandro Sánchez-Betancourt and Leon van Veldhuijzen

Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model pp. 110-138

Tilman Bletzinger, Wolfgang Lemke and Jean-Paul Renne

The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices pp. 177-190

Anne Opschoor, André Lucas and Luca Rossini

An L-Moment Approach for Portfolio Choice under Non-Expected Utility pp. 297-297

Hasan Fallahgoul, Loriano Mancini and Stoyan Stoyanov

Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model pp. 384-399

Simon T Bodilsen

A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap pp. 813-841

Bingduo Yang, Wei Long, Xiaohui Liu and Liang Peng

Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities pp. 1194-1209

M Angeles Carnero, Angel León and Trino-Manuel Ñíguez

Comments on: “Bootstrap Inference for Group Factor Models” pp. 1267-1305

Eric Ghysels

Domain Stabilization for Model-Free Option Implied Moment Estimation pp. 1335-1386

Geul Lee, Doojin Ryu and Li Yang

Graph-Based Methods for Forecasting Realized Covariances pp. 1977-2016

Chao Zhang, Xingyue Pu, Mihai Cucuringu and Xiaowen Dong

Realized Random Graphs, with an Application to the Interbank Network pp. 1981-2014

Giuseppe Buccheri and Piero Mazzarisi

Gaussian Inference in Predictive Regressions for Stock Returns pp. 813a-841

Matei Demetrescu and Benjamin Hillmann

Structural Volatility Impulse Response Analysis pp. 951-971

Matthias R Fengler and Jeannine Polivka

Volume 23, issue 1, 2025

An Information-Theoretic Asset Pricing Model pp. 499-547

Anisha Ghosh, Christian Julliard and Alex P Taylor

Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia pp. 733-743

Jef Boeckx, Leonardo Iania and Joris Wauters

Heterogeneity in Household Inflation Expectations and Monetary Policy pp. 1263-1289

Taeyoung Doh, Ji Hyung Lee and Woong Yong Park

Volume 22, issue 5, 2024

Factor Overnight GARCH-Itô Models pp. 1209-1235

Donggyu Kim, Minseog Oh, Xinyu Song and Yazhen Wang

Empirical Asset Pricing with Many Test Assets* pp. 1236-1263

Rasmus Lönn and Peter C Schotman

Factor IV Estimation in Conditional Moment Models with an Application to Inflation Dynamics* pp. 1264-1309

Bertille Antoine and Xiaolin Sun

Empirical Asset Pricing with Score-Driven Conditional Betas† pp. 1310-1344

Thomas Giroux, Julien Royer and Olivier Zerbib

Powers Correlation Analysis of Returns with a Non-stationary Zero-Process pp. 1345-1371

Valentin Patilea and Hamdi Raïssi

A Stochastic Price Duration Model for Estimating High-Frequency Volatility pp. 1372-1396

Denis Pelletier and Wei Wei

Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables pp. 1397-1420

Shaoxin Hong, Daniel Henderson, Jiancheng Jiang and XQingshan Ni

Composite Likelihood for Stochastic Migration Model with Unobserved Factor* pp. 1421-1455

Antoine Djogbenou, Christian Gouriéroux, Joann Jasiak and Maygol Bandehali

Measures of Model Risk for Continuous-Time Finance Models* pp. 1456-1481

Emese Lazar, Shuyuan Qi and Radu Tunaru

Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach* pp. 1482-1502

Aubrey Poon and Dan Zhu

Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns† pp. 1503-1531

Jesús Gil Jaime and Jose Olmo

COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement pp. 1532-1557

Anne-Florence Allard, Hamza Hanbali and Kristien Smedts

A Multicountry Model of the Term Structures of Interest Rates with a GVAR* pp. 1558-1587

Bertrand Candelon and Rubens Moura

Jump Clustering, Information Flows, and Stock Price Efficiency† pp. 1588-1615

Jian Chen

The Network Factor of Equity Pricing: A Signed Graph Laplacian Approach pp. 1616-1655

Ajim Uddin, Xinyuan Tao and Dantong Yu

Finite Lag Estimation of Non-Markovian Processes pp. 1656-1671

A Ronald Gallant and Halbert White

Large Sample Estimators of the Stochastic Discount Factor* pp. 1672-1713

Soohun Kim and Robert Korajczyk

Volatility Shocks, Leverage Effects, and Time-Varying Conditional Skewness pp. 1714-1758

Chris Kirby

Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach pp. 1759-1784

Massimiliano Caporin, Tommaso Di Fonzo and Daniele Girolimetto

A Structural Break in the Aggregate Earnings–Returns Relation pp. 1785-1808

Asher Curtis, Chang-Jin Kim and Hyung Il Oh

Volume 22, issue 4, 2024

Endogenous Volatility in the Foreign Exchange Market pp. 773-807

Leonardo Bargigli and Giulio Cifarelli

When Safe-Haven Asset Is Less than a Safe-Haven Play* pp. 808-838

Leon Li and Carl R Chen

Beyond Co-integration: New Tools for Inference on Co-movements* pp. 839-867

Karim M Abadir and Gabriel Talmain

Real-Time Identification and High-Frequency Analysis of Deposits Outflows* pp. 868-907

Edoardo Rainone

Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility pp. 908-953

Marine Carrasco and N’Golo Koné

Effect of the U.S.–China Trade War on Stock Markets: A Financial Contagion Perspective pp. 954-1005

Minseog Oh and Donggyu Kim

Disagreement in Market Index Options* pp. 1006-1041

Guilherme Salome, George Tauchen and Jia Li

A New Test on Asset Return Predictability with Structural Breaks pp. 1042-1074

Zongwu Cai and Seong Yeon Chang

New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence† pp. 1075-1097

Rustam Ibragimov, Rasmus Søndergaard Pedersen and Anton Skrobotov

Estimation of an Order Book Dependent Hawkes Process for Large Datasets* pp. 1098-1129

Luca Mucciante and Alessio Sancetta

A Truncated Mixture Transition Model for Interval-Valued Time Series pp. 1130-1169

Yun Luo and Gloria González-Rivera

A Tale of Two Tails: A New Unique Information Share Measure Based on Copulas* pp. 1170-1208

Yanlin Shi

Volume 22, issue 3, 2024

How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning pp. 575-604

Francesco Audrino, Jonathan Chassot, Chen Huang, Michael Knaus, Michael Lechner and Juan-Pablo Ortega

High-Dimensional Granger Causality Tests with an Application to VIX and News* pp. 605-635

Andrii Babii, Eric Ghysels and Jonas Striaukas

Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression* pp. 636-669

Ilias Chronopoulos, Aristeidis Raftapostolos and George Kapetanios

Optimal Portfolio Using Factor Graphical Lasso* pp. 670-695

Tae Hwy Lee and Ekaterina Seregina

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage* pp. 696-742

Rafael P Alves, Diego S de Brito, Marcelo C Medeiros and Ruy M Ribeiro

Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process* pp. 743-772

Jian Chen, Michael Clements and Andrew Urquhart

Volume 22, issue 2, 2024

Dynamic Nonparametric Clustering of Multivariate Panel Data* pp. 335-374

Igor Custodio João, Julia Schaumburg, Andre Lucas and Bernd Schwaab

Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options pp. 375-406

Luca Vincenzo Ballestra, Enzo D’Innocenzo and Andrea Guizzardi

Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities* pp. 407-460

M Hashem Pesaran and Takashi Yamagata

Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data* pp. 461-491

Binyan Jiang, Cheng Liu and Cheng Yong Tang

Volatility Forecasting with Machine Learning and Intraday Commonality* pp. 492-530

Chao Zhang, Yihuang Zhang, Mihai Cucuringu and Zhongmin Qian

Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility* pp. 531-574

Giuseppe Buccheri, Stefano Grassi and Giorgio Vocalelli

Volume 22, issue 1, 2024

Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics* pp. 1-29

Heejoon Han, Whayoung Jung and Ji Hyung Lee

Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure* pp. 30-69

Julian F Kölbel, Markus Leippold, Jordy Rillaerts and Qian Wang

Semi-Strong Factors in Asset Returns* pp. 70-93

Gregory Connor and Robert Korajczyk

An Enhanced Factor Model for Portfolio Selection in High Dimensions* pp. 94-118

Fangquan Shi, Lianjie Shu and Xinhua Gu

A New Test for Multiple Predictive Regression* pp. 119-156

Ke-Li Xu and Junjie Guo

A Consistent and Robust Test for Autocorrelated Jump Occurrences* pp. 157-186

Simon Kwok

Realized GARCH, CBOE VIX, and the Volatility Risk Premium pp. 187-223

Peter Hansen, Zhuo Huang, Chen Tong and Tianyi Wang

Periodicity in Cryptocurrency Volatility and Liquidity* pp. 224-251

Peter Hansen, Chan Kim and Wade Kim

Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts* pp. 252-296

Giacomo Toscano, Giulia Livieri, Maria Elvira and Stefano Marmi

Geographic Dependence and Diversification in House Price Returns: The Role of Leverage* pp. 297-334

Andréas Heinen, Mi Lim Kim and Malika Hamadi