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 18, issue 4

Introduction to the 2017 Hal White Memorial Lecture pp. 654-655

Allan Timmermann and Fabio Trojani

Pseudo-True SDFs in Conditional Asset Pricing Models* pp. 656-714

Bertille Antoine, Kevin Proulx and Eric Renault

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models pp. 715-720

Lars Hansen

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models pp. 721-728

Sydney C Ludvigson

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models pp. 729-735

Raymond Kan and Cesare Robotti

Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed- versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs* pp. 736-775

Patrick Gagliardini and Diego Ronchetti

Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models* pp. 776-790

Bertille Antoine, Kevin Proulx and Eric Renault

Volume 18, issue 3, 2020

Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) pp. 471-472

Francis Diebold, René Garcia and Kris Jacobs

Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I) pp. 471-472

Francis Diebold, René Garcia and Kris Jacobs

The Term Structures of Expected Loss and Gain Uncertainty* pp. 473-501

Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu

The Term Structures of Expected Loss and Gain Uncertainty* pp. 473-501

Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tédongap and Lai Xu

Realized Volatility Forecasting with Neural Networks pp. 502-531

Andrea Bucci

Realized Volatility Forecasting with Neural Networks pp. 502-531

Andrea Bucci

Realized Variance Modeling: Decoupling Forecasting from Estimation* pp. 532-555

Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri

Realized Variance Modeling: Decoupling Forecasting from Estimation* pp. 532-555

Fabrizio Cipollini, Giampiero Gallo and Alessandro Palandri

Using the Extremal Index for Value-at-Risk Backtesting* pp. 556-584

Axel Bücher, Peter N Posch and Philipp Schmidtke

Using the Extremal Index for Value-at-Risk Backtesting* pp. 556-584

Axel Bücher, Peter N Posch and Philipp Schmidtke

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications* pp. 585-628

Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin

Mixed-Frequency Macro–Finance Factor Models: Theory and Applications* pp. 585-628

Elena Andreou, Patrick Gagliardini, Eric Ghysels and Mirco Rubin

Implied Default Probabilities and Losses Given Default from Option Prices* pp. 629-652

Jennifer Conrad, Robert F Dittmar and Allaudeen Hameed

Implied Default Probabilities and Losses Given Default from Option Prices* pp. 629-652

Jennifer Conrad, Robert F Dittmar and Allaudeen Hameed

Volume 18, issue 2, 2020

Understanding Cryptocurrencies pp. 181-208

Wolfgang Härdle, Campbell R Harvey and Raphael Reule

High-Frequency Jump Analysis of the Bitcoin Market* pp. 209-232

Olivier Scaillet, Adrien Treccani and Christopher Trevisan

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility pp. 233-249

Christian Hafner

Pricing Cryptocurrency Options* pp. 250-279

Ai Jun Hou, Weining Wang, Cathy Y H Chen and Wolfgang Härdle

Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach* pp. 280-306

Simon Trimborn, Mingyang Li and Wolfgang Härdle

A GMM Skewness and Kurtosis Ratio Test for Higher Moment Dependence pp. 307-332

Woon K Wong

Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance* pp. 333-394

Patrick Gagliardini and Diego Ronchetti

The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns* pp. 395-424

Yuzhi Cai and Julian Stander

Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors* pp. 425-470

Haitao Huang, Xuan Leng, Xiaohui Liu and Liang Peng

Volume 17, issue 4, 2019

The VIX, the Variance Premium, and Expected Returns pp. 517-558

Daniela Osterrieder, Daniel Ventosa-Santaulària and J. Eduardo Vera-Valdés

Option-Implied Equity Premium Predictions via Entropic Tilting pp. 559-586

Konstantinos Metaxoglou, Davide Pettenuzzo and Aaron Smith

Extreme Conditional Tail Moment Estimation under Serial Dependence pp. 587-615

Yannick Hoga

A Quantile Regression Approach to Estimate the Variance of Financial Returns pp. 616-644

Dirk G Baur and Thomas Dimpfl

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies pp. 645-686

Olivier Ledoit, Michael Wolf and Zhao Zhao

Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models pp. 687-687

P Gagliardini, E Ghysels and M Rubin

Volume 17, issue 3, 2019

Farewell Editorial pp. 339-340

Federico M Bandi and Andrew Patton

Divergence and the Price of Uncertainty pp. 341-396

Paul Schneider and Fabio Trojani

Inflation Risk Premia, Yield Volatility, and Macro Factors pp. 397-431

Andrea Berardi and Alberto Plazzi

Estimating Systematic Risk under Extremely Adverse Market Conditions pp. 432-461

Maarten van Oordt and Chen Zhou

Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models pp. 462-494

Matteo Barigozzi, Marc Hallin and Stefano Soccorsi

Subsampling Inference for the Autocorrelations of GARCH Processes pp. 495-515

Tucker McElroy and Agnieszka Jach

Volume 17, issue 1, 2019

Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model pp. 1-32

P Gorgi, Peter Hansen, P Janus and Siem Jan Koopman

Factor High-Frequency-Based Volatility (HEAVY) Models pp. 33-65

Kevin Sheppard and Wen Xu

Fractional Integration and Fat Tails for Realized Covariance Kernels pp. 66-90

Anne Opschoor and Andre Lucas

Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series pp. 91-117

Antonello Maruotti, Antonio Punzo and Luca Bagnato

Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas pp. 118-151

Hoang Nguyen, M Concepción Ausín and Pedro Galeano

Volume 16, issue 4, 2018

Editorial pp. 523-525

Federico M Bandi and Andrew Patton

Limit of Random Measures Associated with the Increments of a Brownian Semimartingale pp. 526-569

Jean Jacod

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* pp. 570-582

Jia Li and Dacheng Xiu

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale* pp. 583-587

Yingying Li and Xinghua Zheng

Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale pp. 588-598

Mark Podolskij and Mathieu Rosenbaum

Fractionally Integrated COGARCH Processes* pp. 599-628

Stephan Haug, Claudia Klüppelberg and German Straub

Efficient Multipowers* pp. 629-659

Aleksey Kolokolov and Roberto Renò

Volume 16, issue 3, 2018

Downside Variance Risk Premium pp. 341-383

Bruno Feunou, Mohammad Jahan-Parvar and Cédric Okou

Bayesian Dynamic Modeling of High-Frequency Integer Price Changes pp. 384-424

István Barra, Agnieszka Borowska and Siem Jan Koopman

A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases pp. 425-460

Claudia Yeap, Simon Sai Man Kwok and S.T. Boris Choy

Dynamic Functional Regression with Application to the Cross-section of Returns pp. 461-485

Piotr Kokoszka, Hong Miao, Matthew Reimherr and Bahaeddine Taoufik

The Risk and Return Conundrum Explained: International Evidence pp. 486-521

Christos 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

Frank Kleibergen and Zhaoguo Zhan

Testing High-Dimensional Linear Asset Pricing Models pp. 191-210

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

Antonio Galvao, Ted Juhl, Gabriel Montes-Rojas and Jose Olmo

Is Imperfection Better? Evidence from Predicting Stock and Bond Returns pp. 244-270

Katarína Lučivjanská

Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk pp. 271-296

Jozef Baruník and Tomas Krehlik

Can Volatility Models Explain Extreme Events? pp. 297-315

Luca Trapin

Structural Volatility Impulse Response Function and Asymptotic Inference pp. 316-339

Xiaochun Liu

Volume 16, issue 1, 2018

Forecasting Bond Yields with Segmented Term Structure Models pp. 1-33

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

Daniele Bianchi, Massimo Guidolin and Francesco Ravazzolo

Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall pp. 63-117

Tobias Eckernkemper

Testing for Co-jumps in Financial Markets pp. 118-128

Jan Novotný and Giovanni Urga

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation pp. 129-154

Christian Francq and Genaro Sucarrat