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 11, issue 4, 2013

JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags pp. 581-609

Scott Joslin, Anh Le and Kenneth Singleton

What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects pp. 610-649

Meghana Ayyagari, Asli Demirguc-Kunt and Vojislav Maksimovic

Risk-neutral Modeling with Affine and Nonaffine Models pp. 650-681

Garland B. Durham

Testing for Linear and Nonlinear Predictability of Stock Returns pp. 682-705

Markku Lanne, Mika Meitz and Pentti Saikkonen

Volatility Threshold Dynamic Conditional Correlations: An International Analysis pp. 706-742

Maria Kasch and Massimiliano Caporin

Volume 11, issue 3, 2013

Additive Intensity Regression Models in Corporate Default Analysis pp. 443-485

David Lando, Mamdouh Medhat, Mads Stenbo Nielsen and Søren Feodor Nielsen

Broker-Dealer Risk Appetite and Commodity Returns pp. 486-521

Erkko Etula

A Regime-Switching Nelson--Siegel Term Structure Model and Interest Rate Forecasts pp. 522-555

Ju Xiang and Xiaoneng Zhu

GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium pp. 556-580

Jinji Hao and Jin E. Zhang

Volume 11, issue 2, 2013

Default, Liquidity, and Crises: an Econometric Framework pp. 221-262

Alain Monfort and Jean-Paul Renne

Component-Driven Regime-Switching Volatility pp. 263-301

Jeff Fleming and Chris Kirby

Change-Points in Affine Arbitrage-Free Term Structure Models pp. 302-334

Siddhartha Chib and Kyu Ho Kang

Modeling Realized Covariances and Returns pp. 335-369

Xin Jin and John Maheu

Shape Invariant Modeling of Pricing Kernels and Risk Aversion pp. 370-399

Maria Grith, Wolfgang Härdle and Juhyun Park

Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk pp. 400-441

Andre Santos, Francisco J. Nogales and Esther Ruiz

Volume 11, issue 1, 2012

Stochastic Volatility of Volatility and Variance Risk Premia pp. 1-46

Ole Barndorff-Nielsen and Almut Veraart

Estimating Optimal Decision Rules in the Presence of Model Parameter Uncertainty pp. 47-75

Christopher J. Bennett

The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures pp. 76-115

Siem Jan Koopman and Marcel Scharth

Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach pp. 116-153

Jouchi Nakajima and Mike West

Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage pp. 154-192

Paolo Giordani, Xiuyan Mun and Robert Kohn

Jackknife for Bias Reduction in Predictive Regressions pp. 193-220

Min Zhu

Volume 10, issue 4, 2012

Editor's Introduction pp. 589-589

Eric Ghysels

Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects pp. 591-616

Fulvio Corsi and Francesco Audrino

Asymptotics of Realized Volatility with Non-Gaussian ARCH(∞) Microstructure Noise pp. 617-636

Hiroyuki Taniai, Takashi Usami, Nobuyuki Suto and Masanobu Taniguchi

Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities pp. 637-668

María José Rodríguez and Esther Ruiz

Robust Two-Pass Cross-Sectional Regressions: A Minimum Distance Approach pp. 669-701

Seung Ahn, Christopher Gadarowski and M. Fabricio Perez

Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test pp. 703-732

Zhidong Bai, Yongchang Hui, Wing-Keung Wong and Ričardas Zitikis

Volume 10, issue 3, 2012

Asymptotic Theory of Range-Based Multipower Variation pp. 417-456

Kim Christensen and Mark Podolskij

A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew pp. 457-493

Matthias Fengler, Helmut Herwartz and Christian Werner

Asymmetry and Long Memory in Volatility Modeling pp. 495-512

Manabu Asai, Michael McAleer and Marcelo Medeiros

Statistical Surveillance of Volatility Forecasting Models pp. 513-543

Vasyl Golosnoy, Iryna Okhrin and Wolfgang Schmid

Testing Nonlinear Dependence in the Hedge Fund Industry pp. 545-587

Javier Mencia

Volume 10, issue 2, 2008

Converting Tail-VaR to VaR: An Econometric Study pp. 233-264

Christian Gourieroux, Wei Liu and Gourieroux Liu

Weighted Nadaraya--Watson Estimation of Conditional Expected Shortfall pp. 265-291

Kengo Kato

Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets pp. 292-324

Peter Feldhütter and Mads Stenbo Nielsen

Common Intraday Periodicity pp. 325-353

Alain Hecq, Sébastien Laurent and Franz Palm

Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing pp. 354-389

Charles Bos, Paweł Janus and Siem Jan Koopman

Modeling Trade Direction pp. 390-415

Dale Rosenthal

Volume 10, issue 1, 2010

Microinformation, Nonlinear Filtering, and Granularity pp. 1-53

Patrick Gagliardini, Christian Gourieroux and Alain Monfort

Forecasting intraday volatility in the US equity market. Multiplicative component GARCH pp. 54-83

Robert Engle and Magdalena E. Sokalska

On the Importance of Time Variability in Higher Moments for Asset Allocation pp. 84-123

Eric Jondeau and Michael Rockinger

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility pp. 124-163

Jean-Marie Dufour, René Garcia and Abderrahim Taamouti

Portfolio Selection with Estimation Risk: A Test-Based Approach pp. 164-197

Bertille Antoine

Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods pp. 198-231

Ulrich Homm and Jörg Breitung

Volume 9, issue 4, 2011

Habit, Long-Run Risks, Prospect? A Statistical Inquiry pp. 589-618

Eric Aldrich

Merits and Drawbacks of Variance Targeting in GARCH Models pp. 619-656

Christian Francq and Lajos Horvath

Outlyingness Weighted Covariation pp. 657-684

Christophe Croux and Sébastien Laurent

Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach pp. 685-716

Valeri Voev

Volume 9, issue 3, 2011

Long-Term Skewness and Systemic Risk pp. 437-468

Robert Engle

Asymmetric Stochastic Conditional Duration Model--A Mixture-of-Normal Approach pp. 469-488

Dinghai Xu, John Knight and Tony Wirjanto

Intra-daily Volume Modeling and Prediction for Algorithmic Trading pp. 489-518

Christian Brownlees, Fabrizio Cipollini and Giampiero Gallo

Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods pp. 519-549

Jim Griffin

Data Snooping and Market-Timing Rule Performance pp. 550-587

Andreas Neuhierl and Bernd Schlusche

Volume 9, issue 2, 2011

Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk pp. 237-280

Patrick Gagliardini and Christian Gourieroux

Robust Value at Risk Prediction pp. 281-313

Loriano Mancini and Fabio Trojani

Backtesting Value-at-Risk: A GMM Duration-Based Test pp. 314-343

Bertrand Candelon, Gilbert Colletaz, Christophe Hurlin and Sessi Tokpavi

A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones pp. 344-366

Christian Y. Robert and Mathieu Rosenbaum

Estimating Covariance via Fourier Method in the Presence of Asynchronous Trading and Microstructure Noise pp. 367-408

Maria Elvira Mancino and Simona Sanfelici

A Cohort Analysis of Equity Shares in Japanese Household Financial Assets pp. 409-435

Kosei Fukuda

Volume 9, issue 1, 2011

The JFEC Invited Lecture at the 2009 SoFiE Conference pp. 1-2

René Garcia, Eric Ghysels and Eric Renault

Risk-Price Dynamics pp. 3-65

Jaroslav Borovička, Mark Hendricks and Jose Scheinkman

Yield Curve and Volatility: Lessons from Eurodollar Futures and Options pp. 66-105

Ruslan Bikbov and Mikhail Chernov

When is a Copula Constant? A Test for Changing Relationships pp. 106-131

Fabio Busetti and Andrew Harvey

Robust Backtesting Tests for Value-at-risk Models pp. 132-161

Juan Carlos Escanciano and Jose Olmo

GARCH Parameter Estimation Using High-Frequency Data pp. 162-197

Marcel Visser

Modeling Multivariate Interest Rates Using Time-Varying Copulas and Reducible Nonlinear Stochastic Differential Equations pp. 198-236

Ruijun Bu, Ludovic Giet, Kaddour Hadri and Michel Lubrano