Journal of Financial Econometrics

Volume 1 - 23

Current editor(s): Allan Timmermann and Fabio Trojani

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Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
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Volume 13, issue 4, 2015

Adaptive Realized Kernels pp. 757-797

Marine Carrasco and Rachidi Kotchoni

Accurate Methods for Approximate Bayesian Computation Filtering pp. 798-838

Laurent Calvet and Veronika Czellar

Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates pp. 839-867

Abel Rodríguez, Enrique ter Horst and Samuel Malone

Risk Measures for Autocorrelated Hedge Fund Returns pp. 868-895

Antonio Di Cesare, Philip Stork and Casper de Vries

Robust Conditional Variance and Value-at-Risk Estimation pp. 896-921

Debbie J. Dupuis, Nicolas Papageorgiou and Bruno Rémillard

Long Memory and Periodicity in Intraday Volatility pp. 922-961

Eduardo Rossi and Dean Fantazzini

Volume 13, issue 3, 2015

Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression† pp. 521-555

Peter Phillips

Asset Pricing with a General Multifactor Structure pp. 556-604

Tomohiro Ando and Jushan Bai

A Random Coefficient Approach to the Predictability of Stock Returns in Panels pp. 605-664

Joakim Westerlund and Paresh Narayan

A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns pp. 665-697

Stefano Peluso, Fulvio Corsi and Antonietta Mira

Bayesian Mixed Frequency VARs pp. 698-721

Bjørn Eraker, Ching-Wai (Jeremy) Chiu, Andrew Foerster, Tae Bong Kim and Hernán Seoane

The HESSIAN Method for Models with Leverage-like Effects pp. 722-755

Barnabé Djegnéné and William McCausland

Volume 13, issue 2, 2015

Editorial Announcement pp. 223-225

Eric Ghysels

Estimating Shadow-Rate Term Structure Models with Near-Zero Yields pp. 226-259

Jens H. E. Christensen and Glenn Rudebusch

Recovering Statistical Theory in the Context of Model Calibrations pp. 260-292

Dilip B. Madan

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk? pp. 293-341

Jiahan Li, Ilias Tsiakas and Wei Wang

Testing for Predictability in Conditionally Heteroskedastic Stock Returns pp. 342-375

Joakim Westerlund and Paresh Narayan

Uniform Confidence Bands for Pricing Kernels pp. 376-413

Wolfgang Härdle, Yarema Okhrin and Weining Wang

Modeling Maximum Entropy Distributions for Financial Returns by Moment Combination and Selection pp. 414-455

Yi-Ting Chen

Functional Dynamic Factor Model for Intraday Price Curves pp. 456-477

Piotr Kokoszka, Hong Miao and Xi Zhang

Rounding Errors and Volatility Estimation pp. 478-504

Yingying Li and Per A. Mykland

Quarticity Estimation on ohlc Data pp. 505-519

Janine Balter

Volume 13, issue 1, 2015

Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series pp. 1-44

Jonathan B. Hill

A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise pp. 45-82

Daisuke Nagakura and Toshiaki Watanabe

On the Optimal Estimating Function Method for Conditional Correlation Models pp. 83-125

Yi-Ting Chen

Two-Scale Realized Kernels: A Univariate Case pp. 126-165

Shin Ikeda

Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble pp. 166-187

David Harvey, Stephen Leybourne and Robert Sollis

Asymptotic Properties of GARCH-X Processes pp. 188-221

Heejoon Han

Volume 12, issue 4, 2014

Introduction to Special Issue of Journal of Financial Econometrics in Honor of Hal White pp. 615-617

Allan Timmermann

Homage to Halbert White pp. 618-619

Peter Phillips

Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White pp. 620-644

Eric Ghysels

Measuring Comovements by Regression Quantiles pp. 645-678

Lorenzo Cappiello, Bruno Gérard, Arjan Kadareja and Simone Manganelli

Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns pp. 679-707

Silvia Goncalves, Ulrich Hounyo and Nour Meddahi

Bond Returns and Market Expectations pp. 708-729

Carlo Altavilla, Raffaella Giacomini and Riccardo Costantini

A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing pp. 730-755

Yu-Chin Hsu, Chung-Ming Kuan and Meng-Feng Yen

Volume 12, issue 3, 2014

The Economic Value of Volatility Forecasts: A Conditional Approach pp. 433-478

Nick Taylor

Empirical Asset Pricing with Nonlinear Risk Premia pp. 479-506

Aleksandar Mijatović and Paul Schneider

Identifying Asymmetric Comovements of International Stock Market Returns pp. 507-543

Fuchun Li

Disentangling Continuous Volatility from Jumps in Long-Run Risk–Return Relationships pp. 544-583

Eric Jacquier and Cédric Okou

Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures pp. 584-614

J. Miller

Volume 12, issue 2, 2014

Regime Switching and Bond Pricing pp. 237-277

Christian Gourieroux, Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne

Improving Asset Price Prediction When All Models are False pp. 278-306

Garland Durham and John Geweke

Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle? pp. 307-328

Yunmi Kim and Charles Nelson

Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes pp. 329-381

Per Frederiksen and Frank S. Nielsen

One-step Semiparametric Estimation of the GARCH Model pp. 382-407

Jianing Di and Ashis Gangopadhyay

Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data pp. 408-432

Mark Hallam and Jose Olmo

Volume 12, issue 1, 2014

Editorial Announcement pp. 1-2

Eric Ghysels and Eric Renault

Editorial Announcement pp. 1-2

Eric Ghysels and Eric Renault

Static Hedging of Standard Options pp. 3-46

Peter Carr and Liuren Wu

Static Hedging of Standard Options pp. 3-46

Peter Carr and Liuren Wu

The Price Impact of Order Book Events pp. 47-88

Rama Cont, Arseniy Kukanov and Sasha Stoikov

The Price Impact of Order Book Events pp. 47-88

Rama Cont, Arseniy Kukanov and Sasha Stoikov

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes pp. 89-121

Nikolaus Hautsch, Peter Malec and Melanie Schienle

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes pp. 89-121

Nikolaus Hautsch, Peter Malec and Melanie Schienle

Understanding Spurious Regression in Financial Economics pp. 122-150

Ai Deng

Understanding Spurious Regression in Financial Economics pp. 122-150

Ai Deng

On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios pp. 151-173

Seongman Moon and Carlos Velasco

On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios pp. 151-173

Seongman Moon and Carlos Velasco

Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models pp. 174-212

Rainer Dahlhaus and Jan C. Neddermeyer

Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models pp. 174-212

Rainer Dahlhaus and Jan C. Neddermeyer

Estimation of Distortion Risk Measures pp. 213-235

Hideatsu Tsukahara

Estimation of Distortion Risk Measures pp. 213-235

Hideatsu Tsukahara