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.
Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 20, issue 5, 2022

Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models* (Pricing the Term Structure with Linear Regressions) pp. 807-838

Marcello Pericoli and Marco Taboga

Multilevel and Tail Risk Management* (Backtesting Expected Shortfall) pp. 839-874

Lynda Khalaf, Arturo Leccadito and Giovanni Urga

Testing for Endogeneity of Covid-19 Patient Assignments* (The Value of Life and Health for Public Policy) pp. 875-901

C Gourieroux, Antoine Djogbenou and Joann Jasiak

Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures (Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels) pp. 902-941

Christophe Chorro and Rahantamialisoa H Fanirisoa

Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects* (The Determinants of Capital Structure: Capital Market-Oriented versus Bank-Oriented Institutions) pp. 942-960

Joakim Westerlund, Hande Karabiyik, Paresh Kumar Narayan and Seema Narayan

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility (Multifactor Approximation of Rough Volatility Models) pp. 961-1006

Mikkel Bennedsen, Asger Lunde and Mikko S Pakkanen

Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting* (CoVaR) pp. 1007-1037

Yannick Hoga

Volume 20, issue 4, 2022

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage (Eigenvalue Ratio Test for the Number of Factors) pp. 569-611

Gianluca De Nard

Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps* (High Frequency Covariance Estimates with Noisy and Asynchronous Data) pp. 612-654

Qiang Liu and Zhi Liu

Forecasting VIX Using Filtered Historical Simulation* (A GARCH Option Pricing Model with Filtered Historical Simulation) pp. 655-680

Yushuang Jiang and Emese Lazar

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets* (Systemic Risk and Stability in Financial Networks) pp. 681-715

Simona Boffelli, Jan Novotny and Giovanni Urga

Bayesian Selection of Asset Pricing Factors Using Individual Stocks* (Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors) pp. 716-761

Soosung Hwang and Alexandre Rubesam

Selective Linear Segmentation for Detecting Relevant Parameter Changes* (Risks and Portfolio Decisions Involving Hedge Funds) pp. 762-805

Arnaud Dufays, Aristide Houndetoungan and Alain Coën

Volume 20, issue 3, 2022

Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters* (Bayes Inference via Gibbs Sampling of Autoregressive Time-Series Subject to Markov Mean and Variance Shifts) pp. 391-436

Young Min Kim and Kyu Ho Kang

Regression-Based Expected Shortfall Backtesting* (Backtesting Expected Shortfall) pp. 437-471

Sebastian Bayer and Timo Dimitriadis

Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies* (Variable Selection for Portfolio Choice) pp. 472-504

Ricardo Laborda and Jose Olmo

Hedging Long-Term Liabilities* (Pricing the Term Structure with Linear Regressions) pp. 505-538

Rogier Quaedvlieg and Peter Schotman

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors* (Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory) pp. 539-567

Mathias S Kruttli

Volume 20, issue 2, 2022

Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal* (Vulnerable Growth) pp. 219-252

Tim Bollerslev

What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach* (Risks and Portfolio Decisions Involving Hedge Funds) pp. 253-277

Yuting Gong, Ruijun Bu and Qiang Chen

Risk Estimation with a Time-Varying Probability of Zero Returns* (On the Coherence of Expected Shortfall) pp. 278-309

Genaro Sucarrat and Steffen Grønneberg

Estimating Loss Given Default from CDS under Weak Identification* (Estimation and Inference with Weak, Semi-Strong, and Strong Identification) pp. 310-344

Lily Y Liu

Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall* (Coherent Measures of Risk) pp. 345-366

Rong Jiang, Xueping Hu and Keming Yu

Covariance Matrix Estimation under Total Positivity for Portfolio Selection* (Monotone Comparative Statics under Uncertainty) pp. 367-389

Raj Agrawal, Uma Roy and Caroline Uhler

Volume 20, issue 1, 2022

On Frequent Batch Auctions for Stocks* (Tail Expectation and Imperfect Competition in Limit Order Book Markets) pp. 1-17

Ravi Jagannathan

Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles* (Coherent Measures of Risk) pp. 18-44

Yannick Hoga

Model and Moment Selection in Factor Copula Models* (Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings) pp. 45-75

Fang Duan, Hans Manner and Dominik Wied

Volatility Prediction Using a Realized-Measure-Based Component Model* (Modelling Volatility by Variance Decomposition) pp. 76-104

Diaa Noureldin

Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting (On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function) pp. 105-138

Richard Gerlach and Chao Wang

The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models* (Stock Returns and Volatility) pp. 139-159

Christian Dahl and Emma Iglesias

Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* (Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts) pp. 160-186

Yue Qiu, Tian Xie, Jun Yu and Qiankun Zhou

The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation (Design-Free Estimation of Variance Matrices) pp. 187-218

Olivier Ledoit and Michael Wolf

Volume 19, issue 5, 2021

Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates* (Testing Continuous-Time Models of the Spot Interest Rate) pp. 789-822

Fuchun Li

Bayesian Nonparametric Estimation of Ex Post Variance* (Out of Sample Forecasts of Quadratic Variation) pp. 823-859

Jim Griffin, Jia Liu and John Maheu

A Latent Factor Model for Forecasting Realized Variances* (Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk) pp. 860-909

Giorgio Calzolari, Roxana Halbleib and Aygul Zagidullina

Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures?* (Regression Models with Mixed Sampling Frequencies) pp. 910-933

Steven Lehrer, Tian Xie and Tao Zeng

Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares* (Price Discovery and Common Factor Models) pp. 934-959

Karsten Schweikert

Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem (Term Structure Persistence) pp. 960-984

Adam Golinski and Peter Spencer

Price Discovery in a Continuous-Time Setting* (Price Discovery and Common Factor Models) pp. 985-1008

Gustavo F. Dias, Marcelo Fernandes and Cristina M. Scherrer

Volume 19, issue 4, 2021

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk* pp. 531-564

Leopoldo Catania

Fourth Moment Structure of Markov Switching Multivariate GARCH Models pp. 565-582

Maddalena Cavicchioli

Nonparametric Dynamic Conditional Beta* pp. 583-613

John Maheu and Azam Shamsi Zamenjani

HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies* pp. 614-649

Giuseppe Buccheri and Fulvio Corsi

Positional Portfolio Management* pp. 650-706

P Gagliardini, C Gourieroux and M Rubin

Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management* pp. 707-745

Isabel Casas, Eva Ferreira and Susan Orbe

Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns* pp. 746-788

Sermin Gungor and Richard Luger

Volume 19, issue 3, 2021

Introduction to the 2018 Hal White Memorial Lecture pp. 393-394

Allan Timmerman and Fabio Trojani

Price Discovery in High Resolution* pp. 395-430

Joel Hasbrouck

Comment on: Price Discovery in High Resolution* pp. 431-438

James Brugler and Carole Comerton-Forde

Comment on: Price Discovery in High Resolution pp. 439-451

Giuseppe Buccheri, Giacomo Bormetti, Fulvio Corsi and Fabrizio Lillo

Comment on: Price Discovery in High Resolution* pp. 452-458

Frank de Jong

Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data* pp. 459-464

Eric Ghysels

Rejoinder on: Price Discovery in High Resolution* pp. 465-471

Joel Hasbrouck

Intraday End-of-Day Volume Prediction* pp. 472-495

Alessio Sancetta

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns* pp. 496-530

Jeremias Bekierman and Bastian Gribisch

Volume 19, issue 2, 2021

Special Issue on Dimensionality Reduction, Learning, and Machines pp. 235-235

Damir Filipovic and Fabio Trojani

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly (Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data) pp. 236-257

Gianluca De Nard, Olivier Ledoit and Michael Wolf

Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations* (Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion) pp. 258-290

Simon Scheidegger and Adrien Treccani

An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device* (Nonparametric Option Pricing under Shape Restrictions) pp. 291-312

Francesco Audrino, Robert Huitema and Markus Ludwig

Deep Learning for Mortgage Risk* (The Subprime Virus) pp. 313-368

Apaar Sadhwani, Kay Giesecke and Justin Sirignano

Robo-Advising: Learning Investors’ Risk Preferences via Portfolio Choices* (Mean-variance versus Full-scale Optimisation: In and out of Sample) pp. 369-392

Humoud Alsabah, Agostino Capponi, Octavio Ruiz Lacedelli and Matt Stern

Volume 19, issue 1, 2021

News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* (A Theory of Intraday Patterns: Volume and Price Variability) pp. 1-38

Robert Engle, Martin Klint Hansen, Ahmet K Karagozoglu and Asger Lunde

On the Autocorrelation of the Stock Market* (X-CAPM: An Extrapolative Capital Asset Pricing Model) pp. 39-52

Ian Martin

Regulatory Capital and Incentives for Risk Model Choice under Basel 3* (Procyclical Leverage and Value-at-Risk) pp. 53-96

Fred Liu and Lars Stentoft

Dynamic Global Currency Hedging* (Arbitrage in the Foreign Exchange Market: Turning on the Microscope) pp. 97-127

Bent Jesper Christensen and Rasmus Tangsgaard Varneskov

A Descriptive Study of High-Frequency Trade and Quote Option Data* (Stealth Trading in Options Markets) pp. 128-177

Torben Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Stephen Taylor and Viktor Todorov

Dynamics of Equity Factor Returns and Asset Pricing (Dynamic Conditional Correlation: On Properties and Estimation) pp. 178-201

Stoyan V Stoyanov and Francesco A Fabozzi

Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures (Modelling Volatility by Variance Decomposition) pp. 202-234

Atsushi Inoue, Lu Jin and Denis Pelletier