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 3, issue 4, 2005

Practitioners’ Corner: Introduction to the Special Issue pp. 447-455

Adam Canopius

The Relative Contribution of Jumps to Total Price Variance pp. 456-499

Xin Huang and George Tauchen

Inferring Information Frequency and Quality pp. 500-524

John Owens and Douglas Steigerwald

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data pp. 525-554

Peter Hansen and Asger Lunde

Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes pp. 555-577

Roel Oomen

The Accuracy of Density Forecasts from Foreign Exchange Options pp. 578-605

Peter Christoffersen and Stefano Mazzotta

Reexamining the Profitability of Technical Analysis with Data Snooping Checks pp. 606-628

Po-Hsuan Hsu and Chung-Ming Kuan

Volume 3, issue 3, 2005

Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights pp. 315-343

Tae-Hwan Kim

Testing For Threshold Nonlinearity in Short-Term Interest Rates pp. 344-371

Nikolay Gospodinov

Multivariate Lagrange Multiplier Tests for Fractional Integration pp. 372-398

Morten Nielsen

Autoregressive Conditional Kurtosis pp. 399-421

Chris Brooks

The Stability of Factor Models of Interest Rates pp. 422-441

Francesco Audrino

Practitioners’ Corner pp. 442-446

Adam Canopius

Volume 3, issue 2, 2005

A Test for Symmetry with Leptokurtic Financial Data pp. 169-187

Gamini Premaratne

Stochastic Migration Models with Application to Corporate Risk pp. 188-226

Patrick Gagliardini

Nonparametric Inference of Value-at-Risk for Dependent Financial Returns pp. 227-255

Song Chen

Identification of Factor Models for Forecasting Returns pp. 256-281

Manfred Deistler

The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study pp. 282-309

Guglielmo Maria Caporale

Practitioners' Corner pp. 310-313

Adam Canopius

Volume 3, issue 1, 2005

Practitioners' Corner: Introduction to the Special Issue pp. 1-2

Adam Canopius

The Present and Future of Financial Risk Management pp. 3-25

Carol Alexander

New Directions in Risk Management pp. 26-36

John Drzik

Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk pp. 37-55

Eric Jacquier, Alex Kane and Alan Marcus

Least Squares Predictions and Mean-Variance Analysis pp. 56-78

Enrique Sentana

Default Risk, Asset Pricing, and Debt Control pp. 79-106

Lars Grüne

Portfolio Diversification Effects of Downside Risk pp. 107-125

Namwon Hyung

Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework pp. 126-168

Miguel Ferreira

Volume 2, issue 4, 2004

Pessimistic Portfolio Allocation and Choquet Expected Utility pp. 477-492

Gilbert Bassett

A New Approach to Markov-Switching GARCH Models pp. 493-530

Markus Haas

Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach pp. 531-564

Peter de Goeij

Beyond Single-Factor Affine Term Structure Models pp. 565-591

Eva Ferreira

Practitioners' Corner pp. 592-597

Adam Canopius

Volume 2, issue 3, 2004

Which Extreme Values Are Really Extreme? pp. 349-369

Jesus Gonzalo

Asset Allocation by Variance Sensitivity Analysis pp. 370-389

Simone Manganelli

Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data pp. 390-421

Dingan Feng

Nonparametric Tests for Positive Quadrant Dependence pp. 422-450

Michel Denuit

Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters pp. 451-471

Scott Hein

Practitioners' Corner pp. 472-476

Adam Canopius

Volume 2, issue 2, 2004

LARCH, Leverage, and Long Memory pp. 177-210

Liudas Giraitis

Mixed Normal Conditional Heteroskedasticity pp. 211-250

Markus Haas

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach pp. 251-289

Andrew Jeffrey

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests pp. 290-318

Elena Andreou

Persistence and Kurtosis in GARCH and Stochastic Volatility Models pp. 319-342

M. Angeles Carnero

Practitioners' Corner pp. 343-348

Adam Canopius

Volume 2, issue 1, 2004

Power and Bipower Variation with Stochastic Volatility and Jumps pp. 1-37

Ole Barndorff-Nielsen

Discussion pp. 37-48

Torben Andersen

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes pp. 49-83

Laurent Calvet

Backtesting Value-at-Risk: A Duration-Based Approach pp. 84-108

Peter Christoffersen

Circuit Breakers and the Tail Index of Equity Returns pp. 109-129

John Galbraith

On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation pp. 130-168

Andrew Patton

Practitioners' Corner pp. 169-175

Adam Canopius