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Journal of Financial Econometrics

Volume 1 - 16

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 16, issue 4, 2018

Editorial pp. 523-525 Downloads
Federico M Bandi and Andrew J Patton
Limit of Random Measures Associated with the Increments of a Brownian Semimartingale pp. 526-569 Downloads
Jean Jacod
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* pp. 570-582 Downloads
Jia Li and Dacheng Xiu
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* pp. 583-587 Downloads
Yingying Li and Xinghua Zheng
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale pp. 588-598 Downloads
Mark Podolskij and Mathieu Rosenbaum
Fractionally Integrated COGARCH Processes* pp. 599-628 Downloads
Stephan Haug, Claudia Klüppelberg and German Straub
Efficient Multipowers* pp. 629-659 Downloads
Aleksey Kolokolov and Roberto Renò

Volume 16, issue 3, 2018

Downside Variance Risk Premium pp. 341-383 Downloads
Bruno Feunou, Mohammad Jahan-Parvar and Cédric Okou
Bayesian Dynamic Modeling of High-Frequency Integer Price Changes pp. 384-424 Downloads
István Barra, Agnieszka Borowska and Siem Jan Koopman
A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases pp. 425-460 Downloads
Claudia Yeap, Simon S Kwok and S T Boris Choy
Dynamic Functional Regression with Application to the Cross-section of Returns pp. 461-485 Downloads
Piotr Kokoszka, Hong Miao, Matthew Reimherr and Bahaeddine Taoufik
The Risk and Return Conundrum Explained: International Evidence pp. 486-521 Downloads
Christos S Savva and Panayiotis Theodossiou

Volume 16, issue 2, 2018

Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors pp. 155-190 Downloads
Frank Kleibergen and Zhaoguo Zhan
Testing High-Dimensional Linear Asset Pricing Models pp. 191-210 Downloads
Wei Lan, Long Feng and Ronghua Luo
Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns pp. 211-243 Downloads
Antonio F Galvao, Ted Juhl, Gabriel Montes-Rojas and Jose Olmo
Is Imperfection Better? Evidence from Predicting Stock and Bond Returns pp. 244-270 Downloads
Katarína Lučivjanská
Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk pp. 271-296 Downloads
Jozef Baruník and Tomas Krehlik
Can Volatility Models Explain Extreme Events? pp. 297-315 Downloads
Luca Trapin
Structural Volatility Impulse Response Function and Asymptotic Inference pp. 316-339 Downloads
Xiaochun Liu

Volume 16, issue 1, 2018

Forecasting Bond Yields with Segmented Term Structure Models pp. 1-33 Downloads
Caio Almeida, Kym Ardison, Daniela Kubudi, Axel Simonsen and José Vicente
Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? pp. 34-62 Downloads
Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo
Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall pp. 63-117 Downloads
Tobias Eckernkemper
Testing for Co-jumps in Financial Markets pp. 118-128 Downloads
Jan Novotný and Giovanni Urga
An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation pp. 129-154 Downloads
Christian Francq and Genaro Sucarrat

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
Patrick 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 Andre 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 15, issue 1, 2017

Simple Robust Hedging with Nearby Contracts pp. 1-35 Downloads
Liuren Wu and Jingyi Zhu
Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns pp. 36-61 Downloads
Xun Gong, Chunmei Lin and Remco C. J. Zwinkels
High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers pp. 62-105 Downloads
Simona Boffelli, Vasiliki Skintzi and Giovanni Urga
Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances pp. 106-138 Downloads
Harry Vander Elst and David Veredas
Specification Testing in Hawkes Models* pp. 139-171 Downloads
Francine Gresnigt, Erik Kole and Philip Hans Franses
Page updated 2018-12-13