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.
Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

Access Statistics for this journal.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

Volume 6, issue 4, 2008

Econometric Asset Pricing Modelling pp. 407-458

H. Bertholon, Alain Monfort and Fulvio Pegoraro

Long Memory and the Term Structure of Risk pp. 459-495

Peter C. Schotman, Rolf Tschernig and Jan Budek

Bias-Reduced Estimation of Long-Memory Stochastic Volatility pp. 496-512

Per Frederiksen and Morten Nielsen

On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria pp. 513-539

Christian Brownlees and Giampiero Gallo

American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution pp. 540-582

Lars Stentoft

Volume 6, issue 3, 2008

A Simple Test for GARCH Against a Stochastic Volatility Model pp. 291-306

Philip Hans Franses, Marco van der Leij and Richard Paap

Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US pp. 307-325

Denise Osborn, Christos Savva and Len Gill

Are There Structural Breaks in Realized Volatility? pp. 326-360

Chun Liu and John Maheu

VAR Modeling for Dynamic Loadings Driving Volatility Strings pp. 361-381

Ralf Brüggemann, Wolfgang Härdle, Julius Mungo and Carsten Trenkler

Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall pp. 382-406

James W. Taylor

Volume 6, issue 2, 2008

Time-Varying Arrival Rates of Informed and Uninformed Trades pp. 171-207

David Easley, Robert Engle, Maureen O'Hara and Liuren Wu

Parameterizing Unconditional Skewness in Models for Financial Time Series pp. 208-230

Changli He, Annastiina Silvennoinen and Timo Teräsvirta

Estimating Value at Risk and Expected Shortfall Using Expectiles pp. 231-252

James W. Taylor

Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk pp. 253-270

Wei Biao Wu, Keming Yu and Gautam Mitra

Detecting ARCH Effects in Non-Gaussian Time Series pp. 271-289

Burkhard Raunig

Volume 6, issue 1, 2008

Size and Value Anomalies under Regime Shifts pp. 1-48

Massimo Guidolin and Allan Timmermann

Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis pp. 49-86

Xinting Fan and Ming Liu

Nonparametric Estimation of Expected Shortfall pp. 87-107

Song Chen

Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation pp. 108-142

Greg Duffee

Modeling a Multivariate Transaction Process pp. 143-170

Ingmar Nolte

Volume 5, issue 4, 2007

A Statistical Inquiry into the Plausibility of Recursive Utility pp. 523-559

Han Hong

Components of Market Risk and Return pp. 560-590

John Maheu and Thomas McCurdy

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent pp. 591-623

Fabio Trojani

Positivity Conditions for a Bivariate Autoregressive Volatility Specification pp. 624-636

Christian Gourieroux

Volume 5, issue 3

Aggregation of Nonparametric Estimators for Volatility Matrix pp. 321-357

Jianqing Fan, Yingying Fan and Jinchi Lv

Model-free versus Model-based Volatility Prediction pp. 358-359

Dimitris N. Politis

Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations pp. 390-455

Stan Hurn, J. I. Jeisman and K. A. Lindsay

Beta Regimes for the Yield Curve pp. 456-490

Francesco Audrino and Enrico De Giorgi

Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis pp. 491-522

Joakim Westerlund

Volume 5, issue 2

A semiparametric factor model for implied volatility surface dynamics pp. 189-218

Matthias Fengler, Wolfgang Härdle and Enno Mammen

Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange pp. 219-242

Marcelo Fernandes and Marco Aurélio Dos Santos Rocha

The Predictive Power of 'Head-and-Shoulders' Price Patterns in the U.S. Stock Market pp. 243-265

Gene Savin, Paul Weller and Jānis Zvingelis

A discrete and a continuous-time model based on a technical trading rule pp. 266-284

João Nicolau

Measuring contagion and interdependence with a Bayesian time-varying coefficient model: An application to the Chilean FX market during the Argentine crisis pp. 285-320

Matteo Ciccarelli and Alessandro Rebucci

Volume 5, issue 1, 2007

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data pp. 1-30

George J. Jiang and Roel Oomen

Why Do Absolute Returns Predict Volatility So Well? pp. 31-67

Lars Forsberg and Eric Ghysels

Integrated Covariance Estimation using High-frequency Data in the Presence of Noise pp. 68-104

Valeri Voev and Asger Lunde

Switching VARMA Term Structure Models pp. 105-153

Alain Monfort and Fulvio Pegoraro

The Impact of Central Bank FX Interventions on Currency Components pp. 154-183

Michel Beine, Charles Bos and Sébastien Laurent

Practitioners' Corner pp. 184-188

Adam Canopius

Volume 4, issue 4, 2006

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns pp. 537-572

Lorenzo Cappiello, Robert Engle and Kevin Sheppard

Stationarity of a Markov-Switching GARCH Model pp. 573-593

Ji-Chun Liu

A Mixture Multiplicative Error Model for Realized Volatility pp. 594-616

Markku Lanne

Sample and Implied Volatility in GARCH Models pp. 617-635

Lajos Horvath, Piotr Kokoszka and Ricardas Zitikis

Long Memory and the Relation Between Implied and Realized Volatility pp. 636-670

Federico M. Bandi and Benoit Perron

Practitioners' Corner pp. 671-675

Adam Canopius

Volume 4, issue 3, 2006

Leverage and Volatility Feedback Effects in High-Frequency Data pp. 353-384

Tim Bollerslev, Julia Litvinova and George Tauchen

Dynamic Asymmetric GARCH pp. 385-412

Massimiliano Caporin and Michael McAleer

Inequality Constraints in the Fractionally Integrated GARCH Model pp. 413-449

Christian Conrad and Berthold R. Haag

Stochastic Conditional Intensity Processes pp. 450-493

Luc Bauwens and Nikolaus Hautsch

Affine Models for Credit Risk Analysis pp. 494-530

Christian Gourieroux, Alain Monfort and Vassilis Polimenis

Practitioners' Corner pp. 531-536

Adam Canopius

Volume 4, issue 2, 2006

Jump Spillover in International Equity Markets pp. 167-203

Hossein Asgharian and Christoffer Bengtsson

A Semiparametric Two-Factor Term Structure Model pp. 204-237

John Knight, Fuchun Li and Mingwei Yuan

Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns pp. 238-274

David E. Rapach and Mark Wohar

The Generalized Hyperbolic Skew Student's t-Distribution pp. 275-309

Kjersti Aas and Ingrid Hobaek Haff

Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods pp. 310-345

Manuel Arapis and Jiti Gao

Practitioners' Corner pp. 346-351

Adam Canopius

Volume 4, issue 1, 2006

Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation pp. 1-30

Ole Barndorff-Nielsen and Neil Shephard

A Classification of Two-Factor Affine Diffusion Term Structure Models pp. 31-52

Christian Gourieroux and Razvan Sufana

Value-at-Risk Prediction: A Comparison of Alternative Strategies pp. 53-89

Keith Kuester, Stefan Mittnik and Marc S. Paolella

Periodic Stochastic Volatility and Fat Tails pp. 90-135

Ilias Tsiakas

Incomplete Information, Heterogeneity, and Asset Pricing pp. 136-160

Tony Berrada

Practitioners' Corner pp. 161-166

Adam Canopius