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 8, issue 4, 2010

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation pp. 409-449

Peter Carr and Liuren Wu

Bayesian Inference for Discretely Sampled Markov Processes with Closed-Form Likelihood Expansions pp. 450-480

Osnat Stramer, Matthew Bognar and Paul Schneider

MCMC Estimation of the COGARCH(1,1) Model pp. 481-510

Gernot Müller

Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions pp. 511-546

Aleksey Min and Claudia Czado

Estimation and Inference in ARCH Models in the Presence of Outliers pp. 547-549

Allan Gregory and Jonathan J. Reeves

Volume 8, issue 3, 2010

Forecast Precision and Portfolio Performance pp. 265-304

Alex Kane

Understanding Analysts' Earnings Expectations: Biases, Nonlinearities, and Predictability pp. 305-334

Marco Aiolfi, Marius Rodriguez and Allan Timmermann

An ACD-ECOGARCH(1,1) Model pp. 335-344

Claudia Czado and Stephan Haug

Generalized Moment Tests for Autoregressive Conditional Duration Models pp. 345-391

Yi-Ting Chen

Structural Conditional Correlation pp. 392-407

Enzo Weber

Volume 8, issue 2, 2010

Introduction pp. 155-157

Eric Ghysels

Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis pp. 158-159

Robert Engle

Remarks for the Clive Granger Memorial, July 31, 2009 pp. 160-161

Halbert White

Professor Sir Clive W.J. Granger and Cointegration pp. 162-168

David Hendry

Personal Reflections on Clive Granger's Contributions to Econometrics pp. 169-170

James H. Stock

Recollections of Clive Granger pp. 171-171

Mark Watson

Memoirs of "A Cointegration Analysis of Treasury Bill Yields" pp. 172-173

Heather Anderson

The Making of "Estimation of Common Long-Memory Components in Cointegrated Systems" pp. 174-176

Jesus Gonzalo

Separation in Cointegrated Systems pp. 177-180

Niels Haldrup

Clive Granger and HEGY pp. 181-183

Svend Hylleberg

Long Memory Processes: A Joint Paper with Clive Granger pp. 184-186

Roselyne Joyeux

Further Developments in the Study of Cointegrated Variables pp. 187-190

Norman Swanson

Working With Clive Granger: Two Short Memories pp. 191-192

Timo Teräsvirta

Granger Causality and Dynamic Structural Systems pp. 193-243

Halbert White and Xun Lu

Curriculum Vitae pp. 244-264

Clive Granger

Volume 8, issue 1, 2010

Price Discovery in Fragmented Markets pp. 1-28

Frank de Jong and Peter C. Schotman

Comparison of Volatility Measures: a Risk Management Perspective pp. 29-56

Christian Brownlees and Giampiero Gallo

Does the Open Limit Order Book Matter in Explaining Informational Volatility? pp. 57-87

Roberto Pascual and David Veredas

Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models pp. 88-121

Markus Hahn, Sylvia Frühwirth-Schnatter and Jörn Sass

Shifts in Individual Parameters of a GARCH Model pp. 122-153

Pedro Galeano and Ruey S. Tsay

Volume 7, issue 4, 2009

Special Issue on "Multivariate Volatility Models" pp. 339-340

René Garcia

Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-* pp. 341-372

Karim Bannouh, Dick van Dijk and Martin Martens

Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model pp. 373-411

Annastiina Silvennoinen and Timo Teräsvirta

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation pp. 412-436

Simon Broda and Marc S. Paolella

Modeling International Financial Returns with a Multivariate Regime-switching Copula pp. 437-480

Lorán Chollete, Andréas Heinen and Alfonso Valdesogo Robles

A Latent Factor Model of Multivariate Conditional Heteroscedasticity pp. 481-503

Mike Aguilar

Volume 7, issue 3, 2009

The JFEC Invited Lecture at the 2008 SoFiE Conference pp. 197-198

René Garcia

Inference on Risk-Neutral Measures for Incomplete Markets pp. 199-246

Hiroaki Kaido and Halbert White

A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk pp. 247-264

Paskalis Glabadanidis

Measuring Event Risk pp. 265-287

Peter Nyberg and Anders Wilhelmsson

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading pp. 288-311

Anthony S Tay, Christopher Ting, Yiu Kuen Tse and Mitch Warachka

A New Look at the Forward Premium Puzzle pp. 312-338

Nikolay Gospodinov

Volume 7, issue 2, 2009

Nonparametric Option Pricing with No-Arbitrage Constraints pp. 53-76

Melanie Birke and Kay F. Pilz

The Impact of Shocks on Higher Moments pp. 77-105

Eric Jondeau and Michael Rockinger

Estimation and Testing for Dependence in Market Microstructure Noise pp. 106-151

Masato Ubukata and Kosuke Oya

Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution pp. 152-173

Yong Bao

A Simple Approximate Long-Memory Model of Realized Volatility pp. 174-196

Fulvio Corsi

Volume 7, issue 1, 2009

The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4--6, 2008 pp. 1-2

Eric Ghysels

Financial Econometrics, Financial Innovation, and Financial Stability pp. 3-11

Charles Plosser

A Short Introduction to Correlation Markets pp. 12-29

Pierre Collin-Dufresne

Linear Correlation and EVT: Properties and Caveats pp. 30-39

Paul Embrechts

Correlation, Models, and Risk Management in Challenging Times pp. 40-51

Robin L. Lumsdaine