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Journal of Financial Econometrics

Volume 1 - 15

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 15, issue 4, 2017

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models pp. 509-560 Downloads
P. Gagliardini, E. Ghysels and M. Rubin
Real-Time GARCH* pp. 561-601 Downloads
Ekaterina Smetanina
Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits* pp. 602-648 Downloads
Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega
Forecasting Value-at-Risk under Temporal and Portfolio Aggregation* pp. 649-677 Downloads
Erik Kole, Thijs Markwat, Anne Opschoor and Dick van Dijk

Volume 15, issue 3, 2017

Introduction to the 2016 Hal White Memorial Lecture pp. 331-332 Downloads
The Managing Co-Editors, Federico M. Bandi and Andrew J. Patton
Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 333-376 Downloads
Caio Almeida, Kym Ardison, René Garcia and Jose Vicente
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 377-387 Downloads
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 388-409 Downloads
Dobrislav Dobrev and Ernst Schaumburg
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 410-412 Downloads
Kris Jacobs
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 413-417 Downloads
Turan G. Bali
Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 418-426 Downloads
Caio Almeida, Kym Ardison, René Garcia and Jose Vicente
Forecasting Stock Returns Using Option-Implied State Prices* pp. 427-473 Downloads
Konstantinos Metaxoglou and Aaron Smith
A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion pp. 474-503 Downloads
Ivan Medovikov and Artem Prokhorov
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 504-505 Downloads
Kris Jacobs
Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 504-504 Downloads
Caio Almeida, Kym Ardison, René Garcia and Jose Vicente
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 505-506 Downloads
Dobrislav Dobrev and Ernst Schaumburg
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 505-505 Downloads
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 506-506 Downloads
Turan G. Bali
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 507-507 Downloads
Dobrislav Dobrev and Ernst Schaumburg

Volume 15, issue 2, 2017

An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability pp. 173-222 Downloads
Seok Young Hong, Oliver Lintono and Hui Jun Zhang
Testing for Parameter Instability across Different Modeling Frameworks pp. 223-246 Downloads
Francesco Calvori, Drew Creal, Siem Jan Koopman and Andre Lucas
Combining Multivariate Volatility Forecasts: An Economic-Based Approach pp. 247-285 Downloads
João F. Caldeira, Guilherme Moura, Francisco J. Nogales and André A. P. Santos
Tests for Abnormal Returns in the Presence of Event-Induced Cross-Sectional Correlation pp. 286-301 Downloads
Niklas Ahlgren and Jan Antell
Mutual Funds Dynamics and Economic Predictors pp. 302-330 Downloads
Gianni Amisano and Roberto Savona

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
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