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 21, issue 5, 2023

Arbitrage Pricing Theory for Idiosyncratic Variance Factors* pp. 1403-1442

Eric Renault, Thijs Van Der and Bas J M Werker

Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models* pp. 1443-1482

Christian Francq and Jean-Michel Zakoian

Co-Skewness across Return Horizons* pp. 1483-1518

Chenglu Jin, Thomas Conlon and John Cotter

News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach* pp. 1519-1556

Deniz Erdemlioglu and Xiye Yang

Time Variation in Cash Flows and Discount Rates* pp. 1557-1589

Tolga Cenesizoglu and Denada Ibrushi

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices* pp. 1590-1646

Jozef Baruník and Matěj Nevrla

Identifying Risk Factors and Their Premia: A Study on Electricity Prices* pp. 1647-1679

Wei Wei and Asger Lunde

A Machine Learning Approach to Volatility Forecasting* pp. 1680-1727

Kim Christensen, Mathias Siggaard and Bezirgen Veliyev

Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads* pp. 1728-1758

Pierluigi Balduzzi, Roberto Savona and Lucia Alessi

Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes* pp. 1759-1790

Adam Clements, Stan Hurn, K A Lindsay and V Volkov

Estimating Unobserved Soft Adjustment in Credit Rating Models: Before and after the Dodd–Frank Act* pp. 1791-1819

Zhutong Gu, Yixiao Jiang and Shuyang Yang

Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures* pp. 1820-1851

Jørn Eraker and Daniela Osterrieder

Volume 21, issue 4, 2023

Common Bubble Detection in Large Dimensional Financial Systems* pp. 989-1063

Ye ChenCapital, Peter Phillips and Shuping Shi

Increasing the information content of realized volatility forecasts* pp. 1064-1098

Razvan Pascalau and Ryan Poirier

Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data pp. 1099-1142

Kyungsub Lee and Byoung Ki Seo

The Role of Jumps in Realized Volatility Modeling and Forecasting pp. 1143-1168

Massimiliano Caporin

Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances* pp. 1169-1195

Jianhua Hu, Hao Ding and Xiaoqian Liu

A Joint Model for the Term Structure of Interest Rates and Realized Volatility* pp. 1196-1227

Anne Lundgaard

The Determinants of Volatility Timing Performance pp. 1228-1257

Nick Taylor

Empirical Asset Pricing with Functional Factors* pp. 1258-1281

Philip Nadler and Alessio Sancetta

Time-Transformed Test for Bubbles under Non-stationary Volatility* pp. 1282-1307

Eiji Kurozumi, Anton Skrobotov and Alexey Tsarev

Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model* pp. 1308-1345

Yanlin Shi

Maximum-Likelihood Estimation Using the Zig-Zag Algorithm* pp. 1346-1375

Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig

Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models pp. 1376-1401

Luc Bauwens and Edoardo Otranto

Volume 21, issue 3, 2023

Integrating Structural and Reduced-Form Methods in Empirical Finance* pp. 597-615

Toni Whited

Estimation with Errors in Variables via the Characteristic Function* pp. 616-650

H Malloch, R Philip and S Satchell

Intraday Trades Profile Estimation: An Intensity Approach* pp. 651-677

Alessio Sancetta

Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components* pp. 678-713

Francesca Lilla

Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds pp. 714-741

Shenyi Pan, Harry Joe and Guofu Li

Forecasting under Long Memory* pp. 742-778

Uwe Hassler and Marc-Oliver Pohle

An Application of Damped Diffusion for Modeling Volatility Dynamics pp. 779-809

Mao-Wei Hung, Yi-Chen Ko and Jr-Yan Wang

Risk Premia and Lévy Jumps: Theory and Evidence* pp. 810-851

Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini

A Comparative Study of Likelihood Approximations for Univariate Diffusions* pp. 852-879

Stan Hurn, Kenneth Lindsay and Lina Xu

Multivariate Fractional Components Analysis pp. 880-914

Tobias Hartl and Roland Jucknewitz

Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure* pp. 915-958

Alain Hecq, Luca Margaritella and Stephan Smeekes

A New Tail-Based Correlation Measure and Its Application in Global Equity Markets pp. 959-987

Jinjing Liu

Volume 21, issue 2, 2023

Identification Robust Testing of Risk Premia in Finite Samples pp. 263-297

Frank Kleibergen, Lingwei Kong and Zhaoguo Zhan

Comment on: Identification Robust Testing of Risk Premia in Finite Samples pp. 298-302

Lynda Khalaf

Comment on: Identification Robust Testing of Risk Premia in Finite Samples pp. 303-305

Paolo Zaffaroni

Discussion of Identification Robust Testing of Risk Premia in Finite Samples pp. 306-310

Francisco Peñaranda

Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples* pp. 311-315

Frank Kleibergen, Lingwei Kong and Zhaoguo Zhan

Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity* pp. 316-367

Daniele Massacci

Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion* pp. 368-411

Rachida Ouysse

Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary* pp. 412-444

Timo Dimitriadis, Xiaochun Liu and Julie Schnaitmann

Smooth-Transition Regression Models for Non-Stationary Extremes pp. 445-484

Julien Hambuckers and Thomas Kneib

Intraday Market Predictability: A Machine Learning Approach pp. 485-527

Dillon Huddleston, Fred Liu and Lars Stentoft

Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error* pp. 528-568

Sander Barendse, Erik Kole and Dick van Dijk

Forecasting Loan Default in Europe with Machine Learning* pp. 569-596

Luca Barbaglia, Sebastiano Manzan and Elisa Tosetti

Volume 21, issue 1, 2023

Measuring Systemic Risk Using Multivariate Quantile-Located ES Models* pp. 1-72

Laura Garcia-Jorcano and Lidia Sanchis-Marco

Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix* pp. 73-105

Zhao Zhao, Olivier Ledoit and Hui Jiang

Volatility Estimation and Forecasts Based on Price Durations* pp. 106-144

Seok Young Hong, Ingmar Nolte, Stephen J Taylor and Xiaolu Zhao

Option Prices and the Probability of Success of Cash Mergers* pp. 145-186

C Alan Bester, Victor H Martinez and Ioanid Roşu

CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility* pp. 187-227

Sam Astill, David I Harvey, Stephen J Leybourne, Robert Taylor and Yang Zu

Improving Value-at-Risk Prediction Under Model Uncertainty* pp. 228-259

Shige Peng, Shuzhen Yang and Jianfeng Yao

Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data pp. 260-260

Eric Ghysels