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 1, issue 3, 2003

Kernel-Based Indirect Inference pp. 297-326

Monica Billio and Alain Monfort

A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options pp. 327-364

Toby Daglish

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility pp. 365-419

Jeff Fleming and Chris Kirby

Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models pp. 420-444

Ana Pérez and Esther Ruiz

The Local Whittle Estimator of Long-Memory Stochastic Volatility pp. 445-470

Clifford Hurvich and Bonnie K. Ray

Market Models: A Guide to Financial Data Analysis pp. 471-473

Pierre Giot

Practitioners' Corner pp. 474-479

Adam Canopius

Volume 1, issue 2, 2003

Trades and Quotes: A Bivariate Point Process pp. 159-188

Robert Engle and Asger Lunde

Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities pp. 189-215

Nikolaus Hautsch

Using Multiple Imputation in the Analysis of Incomplete Observations in Finance pp. 216-249

Paul Kofman and Ian G. Sharpe

Itô Conditional Moment Generator and the Estimation of Short-Rate Processes pp. 250-271

Hao Zhou

The Robustness of the Conditional CAPM with Human Capital pp. 272-289

Ignacio Palacios-Huerta

Practitioners' Corner pp. 290-296

Adam Canopius

Volume 1, issue 1, 2003

Dynamics of Trade-by-Trade Price Movements: Decomposition and Models pp. 2-25

Tina Hviid Rydberg and Neil Shephard

Fourth Moment Structure of Multivariate GARCH Models pp. 26-54

Christian Hafner

Time Inhomogeneous Multiple Volatility Modeling pp. 55-95

Wolfgang Hardle, Helmut Herwartz and Vladimir Spokoiny

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes pp. 96-125

Markku Lanne and Pentti Saikkonen

Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options pp. 126-151

Soku Byoun, Chuck C. Y. Kwok and Hun Y. Park

Practitioners' Corner pp. 152-157

Adam Canopius