Journal of Financial Econometrics

Volume 1 - 23

Current editor(s): Allan Timmermann and Fabio Trojani

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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

Patrick Gagliardini, E. Ghysels and M. Rubin

Real-Time GARCH pp. 561-601

Ekaterina Smetanina

Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits pp. 602-648

Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega

Forecasting Value-at-Risk under Temporal and Portfolio Aggregation pp. 649-677

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

The Managing Co-Editors, Federico M. Bandi and Andrew Patton

Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 333-376

Caio Almeida, Kym Ardison, René Garcia and Jose Vicente

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 377-387

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 388-409

Dobrislav Dobrev and Ernst Schaumburg

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 410-412

Kris Jacobs

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 413-417

Turan G. Bali

Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 418-426

Caio Almeida, Kym Ardison, René Garcia and Jose Vicente

Forecasting Stock Returns Using Option-Implied State Prices* pp. 427-473

Konstantinos Metaxoglou and Aaron Smith

A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion pp. 474-503

Ivan Medovikov and Artem Prokhorov

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 504-505

Kris Jacobs

Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 504-504

Caio Almeida, Kym Ardison, René Garcia and Jose Vicente

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 505-506

Dobrislav Dobrev and Ernst Schaumburg

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 505-505

Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 506-506

Turan G. Bali

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy pp. 507-507

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

Seok Young Hong, Oliver Lintono and Hui Jun Zhang

Testing for Parameter Instability across Different Modeling Frameworks pp. 223-246

Francesco Calvori, Drew Creal, Siem Jan Koopman and Andre Lucas

Combining Multivariate Volatility Forecasts: An Economic-Based Approach pp. 247-285

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

Niklas Ahlgren and Jan Antell

Mutual Funds Dynamics and Economic Predictors pp. 302-330

Gianni Amisano and Roberto Savona

Volume 15, issue 1, 2017

Simple Robust Hedging with Nearby Contracts pp. 1-35

Liuren Wu and Jingyi Zhu

Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns pp. 36-61

Xun Gong, Chunmei Lin and Remco Zwinkels

High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers pp. 62-105

Simona Boffelli, Vasiliki Skintzi and Giovanni Urga

Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances pp. 106-138

Harry Vander Elst and David Veredas

Specification Testing in Hawkes Models* pp. 139-171

Francine Gresnigt, Erik Kole and Philip Hans Franses

Volume 14, issue 4, 2016

Dynamic Conditional Beta pp. 643-667

Robert Engle

Component-wise Representations of Long-memory Models and Volatility Prediction pp. 668-692

Tommaso Proietti

Quantile Regression for Long Memory Testing: A Case of Realized Volatility pp. 693-724

Uwe Hassler, Paulo Rodrigues and Antonio Rubia

The Geometric-VaR Backtesting Method pp. 725-745

Denis Pelletier and Wei Wei

Uncovering the Skewness News Impact Curve pp. 746-771

Stanislav Anatolyev and Anton Petukhov

On the Observed-Data Deviance Information Criterion for Volatility Modeling pp. 772-802

Joshua Chan and Angelia Grant

Volume 14, issue 3, 2016

The Tradability Premium on the S&P 500 Index pp. 461-495

Christian Gourieroux, Joann Jasiak and Peng Xu

Efficient Portfolio Selection in a Large Market pp. 496-524

Jiaqin Chen and Ming Yuan

Overnight News and Daily Equity Trading Risk Limits pp. 525-551

Katja Ahoniemi, Ana-Maria Fuertes and Jose Olmo

Beyond Dimension two: A Test for Higher-Order Tail Risk pp. 552-580

Carsten Bormann, Julia Schaumburg and Melanie Schienle

Exceedance Correlation Tests for Financial Returns pp. 581-616

Yi-Ting Chen

Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification pp. 617-642

Hossein Asgharian, Charlotte Christiansen and Ai Jun Hou

Volume 14, issue 2, 2016

Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 227-228

Eric Ghysels and George Tauchen

Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 229-247

A. Ronald Gallant

Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 248-252

Dante Amengual and Enrique Sentana

Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 253-257

John Geweke

Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 258-260

Jae-Young Kim

Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 261-264

Oliver Linton and Ruochen Wu

Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 265-271

Christian P. Robert

Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 272-277

Christopher Sims

Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference pp. 278-283

Wei Wei and Asger Lunde

Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference — Author Response to Comments pp. 284-294

A. Ronald Gallant

Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns pp. 295-330

Craig Burnside

Term Structure Persistence pp. 331-352

Mirko Abbritti, Luis Gil-Alana, Yuliya Lovcha and Antonio Moreno

Variance Targeting Estimation of Multivariate GARCH Models pp. 353-382

Christian Francq, Lajos Horvath and Jean-Michel Zakoian

Forecasting Covariance Matrices: A Mixed Approach pp. 383-417

Roxana Halbleib and Valeri Voev

Infinite-State Markov-Switching for Dynamic Volatility pp. 418-460

Arnaud Dufays

Volume 14, issue 1, 2016

Portfolio Choice in Markets with Contagion pp. 1-28

Yacine Ait-Sahalia and Thomas Robert Hurd

Volatility Jumps and Their Economic Determinants pp. 29-80

Massimiliano Caporin, Eduardo Rossi and Paolo Santucci de Magistris

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014 pp. 81-127

Francis Diebold and Kamil Yilmaz

Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range pp. 128-158

Richard Gerlach and Cathy W. S. Chen

Identifying Speculative Bubbles Using an Infinite Hidden Markov Model pp. 159-184

Shuping Shi and Yong Song

Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility pp. 185-226

Filip Žikeš and Jozef Baruník