Content
2019, Volume 17, Issue 3
- 339-340 Farewell Editorial
by Federico M Bandi & Andrew J Patton - 341-396 Divergence and the Price of Uncertainty
by Paul Schneider & Fabio Trojani - 397-431 Inflation Risk Premia, Yield Volatility, and Macro Factors
by Andrea Berardi & Alberto Plazzi - 432-461 Estimating Systematic Risk under Extremely Adverse Market Conditions
by Maarten R C van Oordt & Chen Zhou - 462-494 Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models
by Matteo Barigozzi & Marc Hallin & Stefano Soccorsi - 495-515 Subsampling Inference for the Autocorrelations of GARCH Processes
by Tucker McElroy & Agnieszka Jach
2019, Volume 17, Issue 1
- 1-32 Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model
by P Gorgi & P R Hansen & P Janus & S J Koopman - 33-65 Factor High-Frequency-Based Volatility (HEAVY) Models
by Kevin Sheppard & Wen Xu - 66-90 Fractional Integration and Fat Tails for Realized Covariance Kernels
by Anne Opschoor & André Lucas - 91-117 Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series
by Antonello Maruotti & Antonio Punzo & Luca Bagnato - 118-151 Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas
by Hoang Nguyen & M Concepción Ausín & Pedro Galeano
2018, Volume 16, Issue 4
- 523-525 Editorial
by Federico M Bandi & Andrew J Patton - 526-569 Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
by Jean Jacod - 570-582 Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
by Jia Li & Dacheng Xiu - 583-587 Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
by Yingying Li & Xinghua Zheng - 588-598 Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
by Mark Podolskij & Mathieu Rosenbaum - 599-628 Fractionally Integrated COGARCH Processes
by Stephan Haug & Claudia Klüppelberg & German Straub - 629-659 Efficient Multipowers
by Aleksey Kolokolov & Roberto Renò
2018, Volume 16, Issue 3
- 341-383 Downside Variance Risk Premium
by Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou - 384-424 Bayesian Dynamic Modeling of High-Frequency Integer Price Changes
by István Barra & Agnieszka Borowska & Siem Jan Koopman - 425-460 A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases
by Claudia Yeap & Simon S Kwok & S T Boris Choy - 461-485 Dynamic Functional Regression with Application to the Cross-section of Returns
by Piotr Kokoszka & Hong Miao & Matthew Reimherr & Bahaeddine Taoufik - 486-521 The Risk and Return Conundrum Explained: International Evidence
by Christos S Savva & Panayiotis Theodossiou
2018, Volume 16, Issue 2
- 155-190 Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors
by Frank Kleibergen & Zhaoguo Zhan - 191-210 Testing High-Dimensional Linear Asset Pricing Models
by Wei Lan & Long Feng & Ronghua Luo - 211-243 Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns
by Antonio F Galvao & Ted Juhl & Gabriel Montes-Rojas & Jose Olmo - 244-270 Is Imperfection Better? Evidence from Predicting Stock and Bond Returns
by Katarína Lučivjanská - 271-296 Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk
by Jozef Baruník & Tomáš Křehlík - 297-315 Can Volatility Models Explain Extreme Events?
by Luca Trapin - 316-339 Structural Volatility Impulse Response Function and Asymptotic Inference
by Xiaochun Liu
2018, Volume 16, Issue 1
- 1-33 Forecasting Bond Yields with Segmented Term Structure Models
by Caio Almeida & Kym Ardison & Daniela Kubudi & Axel Simonsen & José Vicente - 34-62 Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
by Daniele Bianchi & Massimo Guidolin & Francesco Ravazzolo - 63-117 Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall
by Tobias Eckernkemper - 118-128 Testing for Co-jumps in Financial Markets
by Jan Novotný & Giovanni Urga - 129-154 An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
by Christian Francq & Genaro Sucarrat
2017, Volume 15, Issue 4
- 509-560 Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
by P. Gagliardini & E. Ghysels & M. Rubin - 561-601 Real-Time GARCH
by Ekaterina Smetanina - 602-648 Non-affine GARCH Option Pricing Models, Variance-Dependent Kernels, and Diffusion Limits
by Alexandru Badescu & Zhenyu Cui & Juan-Pablo Ortega - 649-677 Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
by Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk
2017, Volume 15, Issue 3
- 331-332 Introduction to the 2016 Hal White Memorial Lecture
by The Managing Co-Editors & Federico M. Bandi & Andrew J. Patton - 333-376 Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - 377-387 Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 388-409 Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Dobrislav Dobrev & Ernst Schaumburg - 410-412 Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Kris Jacobs - 413-417 Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Turan G. Bali - 418-426 Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - 427-473 Forecasting Stock Returns Using Option-Implied State Prices
by Konstantinos Metaxoglou & Aaron Smith - 474-503 A New Measure of Vector Dependence, with Applications to Financial Risk and Contagion
by Ivan Medovikov & Artem Prokhorov - 504-504 Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Caio Almeida & Kym Ardison & René Garcia & Jose Vicente - 504-505 Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Kris Jacobs - 505-505 Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 505-506 Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Dobrislav Dobrev & Ernst Schaumburg - 506-506 Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Turan G. Bali - 507-507 Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
by Dobrislav Dobrev & Ernst Schaumburg
2017, Volume 15, Issue 2
- 173-222 An Investigation into Multivariate Variance Ratio Statistics and their Application to Stock Market Predictability
by Seok Young Hong & Oliver Lintono & Hui Jun Zhang - 223-246 Testing for Parameter Instability across Different Modeling Frameworks
by Francesco Calvori & Drew Creal & Siem Jan Koopman & André Lucas - 247-285 Combining Multivariate Volatility Forecasts: An Economic-Based Approach
by João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos - 286-301 Tests for Abnormal Returns in the Presence of Event-Induced Cross-Sectional Correlation
by Niklas Ahlgren & Jan Antell - 302-330 Mutual Funds Dynamics and Economic Predictors
by Gianni Amisano & Roberto Savona
2017, Volume 15, Issue 1
- 1-35 Simple Robust Hedging with Nearby Contracts
by Liuren Wu & Jingyi Zhu - 36-61 Forecasting Crashes: Correlated Fund Flows and Skewness in Stock Returns
by Xun Gong & Chunmei Lin & Remco C. J. Zwinkels - 62-105 High- and Low-Frequency Correlations in European Government Bond Spreads and Their Macroeconomic Drivers
by Simona Boffelli & Vasiliki D. Skintzi & Giovanni Urga - 106-138 Smoothing it Out: Empirical and Simulation Results for Disentangled Realized Covariances
by Harry Vander Elst & David Veredas - 139-171 Specification Testing in Hawkes Models
by Francine Gresnigt & Erik Kole & Philip Hans Franses
2016, Volume 14, Issue 4
- 643-667 Dynamic Conditional Beta
by Robert F. Engle - 668-692 Component-wise Representations of Long-memory Models and Volatility Prediction
by Tommaso Proietti - 693-724 Quantile Regression for Long Memory Testing: A Case of Realized Volatility
by Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia - 725-745 The Geometric-VaR Backtesting Method
by Denis Pelletier & Wei Wei - 746-771 Uncovering the Skewness News Impact Curve
by Stanislav Anatolyev & Anton Petukhov - 772-802 On the Observed-Data Deviance Information Criterion for Volatility Modeling
by Joshua C. C. Chan & Angelia L. Grant
2016, Volume 14, Issue 3
- 461-495 The Tradability Premium on the S&P 500 Index
by Christian Gourieroux & Joann Jasiak & Peng Xu - 496-524 Efficient Portfolio Selection in a Large Market
by Jiaqin Chen & Ming Yuan - 525-551 Overnight News and Daily Equity Trading Risk Limits
by Katja Ahoniemi & Ana-Maria Fuertes & Jose Olmo - 552-580 Beyond Dimension two: A Test for Higher-Order Tail Risk
by Carsten Bormann & Julia Schaumburg & Melanie Schienle - 581-616 Exceedance Correlation Tests for Financial Returns
by Yi-Ting Chen - 617-642 Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification
by Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou
2016, Volume 14, Issue 2
- 227-228 Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Eric Ghysels & George Tauchen - 229-247 Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by A. Ronald Gallant - 248-252 Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Dante Amengual & Enrique Sentana - 253-257 Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by John Geweke - 258-260 Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Jae-Young Kim - 261-264 Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Oliver Linton & Ruochen Wu - 265-271 Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Christian P. Robert - 272-277 Comment on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Christopher A. Sims - 278-283 Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
by Wei Wei & Asger Lunde - 284-294 Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference — Author Response to Comments
by A. Ronald Gallant - 295-330 Identification and Inference in Linear Stochastic Discount Factor Models with Excess Returns
by Craig Burnside - 331-352 Term Structure Persistence
by Mirko Abbritti & Luis A. Gil-Alana & Yuliya Lovcha & Antonio Moreno - 353-382 Variance Targeting Estimation of Multivariate GARCH Models
by Christian Francq & Lajos Horváth & Jean-Michel Zakoïan - 383-417 Forecasting Covariance Matrices: A Mixed Approach
by Roxana Halbleib & Valeri Voev - 418-460 Infinite-State Markov-Switching for Dynamic Volatility
by Arnaud Dufays
2016, Volume 14, Issue 1
- 1-28 Portfolio Choice in Markets with Contagion
by Yacine Aït-Sahalia & Thomas Robert Hurd - 29-80 Volatility Jumps and Their Economic Determinants
by Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris - 81-127 Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014
by Francis X. Diebold & Kamil Yilmaz - 128-158 Bayesian Expected Shortfall Forecasting Incorporating the Intraday Range
by Richard Gerlach & Cathy W. S. Chen - 159-184 Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
by Shuping Shi & Yong Song - 185-226 Semi-parametric Conditional Quantile Models for Financial Returns and Realized Volatility
by Filip Žikeš & Jozef Baruník
2015, Volume 13, Issue 4
- 757-797 Adaptive Realized Kernels
by Marine Carrasco & Rachidi Kotchoni - 798-838 Accurate Methods for Approximate Bayesian Computation Filtering
by Laurent E. Calvet & Veronika Czellar - 839-867 Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates
by Abel Rodríguez & Enrique ter Horst & Samuel Malone - 868-895 Risk Measures for Autocorrelated Hedge Fund Returns
by Antonio Di Cesare & Philip A. Stork & Casper G. de Vries - 896-921 Robust Conditional Variance and Value-at-Risk Estimation
by Debbie J. Dupuis & Nicolas Papageorgiou & Bruno Rémillard - 922-961 Long Memory and Periodicity in Intraday Volatility
by Eduardo Rossi & Dean Fantazzini
2015, Volume 13, Issue 3
- 521-555 Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†
by Peter C. B. Phillips - 556-604 Asset Pricing with a General Multifactor Structure
by Tomohiro Ando & Jushan Bai - 605-664 A Random Coefficient Approach to the Predictability of Stock Returns in Panels
by Joakim Westerlund & Paresh Narayan - 665-697 A Bayesian High-Frequency Estimator of the Multivariate Covariance of Noisy and Asynchronous Returns
by Stefano Peluso & Fulvio Corsi & Antonietta Mira - 698-721 Bayesian Mixed Frequency VARs
by Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane - 722-755 The HESSIAN Method for Models with Leverage-like Effects
by Barnabé Djegnéné & William J. McCausland
2015, Volume 13, Issue 2
- 223-225 Editorial Announcement
by Eric Ghysels - 226-259 Estimating Shadow-Rate Term Structure Models with Near-Zero Yields
by Jens H. E. Christensen & Glenn D. Rudebusch - 260-292 Recovering Statistical Theory in the Context of Model Calibrations
by Dilip B. Madan - 293-341 Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
by Jiahan Li & Ilias Tsiakas & Wei Wang - 342-375 Testing for Predictability in Conditionally Heteroskedastic Stock Returns
by Joakim Westerlund & Paresh Narayan - 376-413 Uniform Confidence Bands for Pricing Kernels
by Wolfgang Karl Härdle & Yarema Okhrin & Weining Wang - 414-455 Modeling Maximum Entropy Distributions for Financial Returns by Moment Combination and Selection
by Yi-Ting Chen - 456-477 Functional Dynamic Factor Model for Intraday Price Curves
by Piotr Kokoszka & Hong Miao & Xi Zhang - 478-504 Rounding Errors and Volatility Estimation
by Yingying Li & Per A. Mykland - 505-519 Quarticity Estimation on ohlc Data
by Janine Balter
2015, Volume 13, Issue 1
- 1-44 Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series
by Jonathan B. Hill - 45-82 A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
by Daisuke Nagakura & Toshiaki Watanabe - 83-125 On the Optimal Estimating Function Method for Conditional Correlation Models
by Yi-Ting Chen - 126-165 Two-Scale Realized Kernels: A Univariate Case
by Shin S. Ikeda - 166-187 Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble
by David I. Harvey & Stephen J. Leybourne & Robert Sollis - 188-221 Asymptotic Properties of GARCH-X Processes
by Heejoon Han
2014, Volume 12, Issue 4
- 615-617 Introduction to Special Issue of Journal of Financial Econometrics in Honor of Hal White
by Allan Timmermann - 618-619 Homage to Halbert White
by Peter C. B. Phillips - 620-644 Conditional Skewness with Quantile Regression Models: SoFiE Presidential Address and a Tribute to Hal White
by Eric Ghysels - 645-678 Measuring Comovements by Regression Quantiles
by Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli - 679-707 Bootstrap Inference for Pre-averaged Realized Volatility based on Nonoverlapping Returns
by Sílvia Gonçalves & Ulrich Hounyo & Nour Meddahi - 708-729 Bond Returns and Market Expectations
by Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini - 730-755 A Generalized Stepwise Procedure with Improved Power for Multiple Inequalities Testing
by Yu-Chin Hsu & Chung-Ming Kuan & Meng-Feng Yen
2014, Volume 12, Issue 3
- 433-478 The Economic Value of Volatility Forecasts: A Conditional Approach
by Nicholas Taylor - 479-506 Empirical Asset Pricing with Nonlinear Risk Premia
by Aleksandar Mijatović & Paul Schneider - 507-543 Identifying Asymmetric Comovements of International Stock Market Returns
by Fuchun Li - 544-583 Disentangling Continuous Volatility from Jumps in Long-Run Risk–Return Relationships
by Eric Jacquier & Cédric Okou - 584-614 Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures
by J. Isaac Miller
2014, Volume 12, Issue 2
- 237-277 Regime Switching and Bond Pricing
by Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne - 278-306 Improving Asset Price Prediction When All Models are False
by Garland Durham & John Geweke - 307-328 Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?
by Yunmi Kim & Charles R. Nelson - 329-381 Testing for Long Memory in Potentially Nonstationary Perturbed Fractional Processes
by Per Frederiksen & Frank S. Nielsen - 382-407 One-step Semiparametric Estimation of the GARCH Model
by Jianing Di & Ashis Gangopadhyay - 408-432 Semiparametric Density Forecasts of Daily Financial Returns from Intraday Data
by Mark Hallam & Jose Olmo
2014, Volume 12, Issue 1
- 1-2 Editorial Announcement
by Eric Ghysels & Eric Renault - 3-46 Static Hedging of Standard Options
by Peter Carr & Liuren Wu - 47-88 The Price Impact of Order Book Events
by Rama Cont & Arseniy Kukanov & Sasha Stoikov - 89-121 Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - 122-150 Understanding Spurious Regression in Financial Economics
by Ai Deng - 151-173 On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios
by Seongman Moon & Carlos Velasco - 174-212 Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
by Rainer Dahlhaus & Jan C. Neddermeyer - 213-235 Estimation of Distortion Risk Measures
by Hideatsu Tsukahara
December 2013, Volume 12, Issue 1
- 1-2 Editorial Announcement
by Eric Ghysels & Eric Renault - 3-46 Static Hedging of Standard Options
by Peter Carr & Liuren Wu - 47-88 The Price Impact of Order Book Events
by Rama Cont & Arseniy Kukanov & Sasha Stoikov - 89-121 Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
by Nikolaus Hautsch & Peter Malec & Melanie Schienle - 122-150 Understanding Spurious Regression in Financial Economics
by Ai Deng - 151-173 On the Properties of Regression Tests of Stock Return Predictability Using Dividend-Price Ratios
by Seongman Moon & Carlos Velasco - 174-212 Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
by Rainer Dahlhaus & Jan C. Neddermeyer - 213-235 Estimation of Distortion Risk Measures
by Hideatsu Tsukahara
September 2013, Volume 11, Issue 4
- 581-609 JFEC Invited Paper: Gaussian Macro-Finance Term Structure Models with Lags
by Scott Joslin & Anh Le & Kenneth J. Singleton - 610-649 What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects
by Meghana Ayyagari & Asli Demirgüç-Kunt & Vojislav Maksimovic - 650-681 Risk-neutral Modeling with Affine and Nonaffine Models
by Garland B. Durham - 682-705 Testing for Linear and Nonlinear Predictability of Stock Returns
by Markku Lanne & Mika Meitz & Pentti Saikkonen - 706-742 Volatility Threshold Dynamic Conditional Correlations: An International Analysis
by Maria Kasch & Massimiliano Caporin
June 2013, Volume 11, Issue 3
- 443-485 Additive Intensity Regression Models in Corporate Default Analysis
by David Lando & Mamdouh Medhat & Mads Stenbo Nielsen & Søren Feodor Nielsen - 486-521 Broker-Dealer Risk Appetite and Commodity Returns
by Erkko Etula - 522-555 A Regime-Switching Nelson--Siegel Term Structure Model and Interest Rate Forecasts
by Ju Xiang & Xiaoneng Zhu - 556-580 GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium
by Jinji Hao & Jin E. Zhang
March 2013, Volume 11, Issue 2
- 221-262 Default, Liquidity, and Crises: an Econometric Framework
by Alain Monfort & Jean-Paul Renne - 263-301 Component-Driven Regime-Switching Volatility
by Jeff Fleming & Chris Kirby - 302-334 Change-Points in Affine Arbitrage-Free Term Structure Models
by Siddhartha Chib & Kyu Ho Kang - 335-369 Modeling Realized Covariances and Returns
by Xin Jin & John M. Maheu - 370-399 Shape Invariant Modeling of Pricing Kernels and Risk Aversion
by Maria Grith & Wolfgang Härdle & Juhyun Park - 400-441 Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk
by André A. P. Santos & Francisco J. Nogales & Esther Ruiz
December 2012, Volume 11, Issue 1
- 1-46 Stochastic Volatility of Volatility and Variance Risk Premia
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - 47-75 Estimating Optimal Decision Rules in the Presence of Model Parameter Uncertainty
by Christopher J. Bennett - 76-115 The Analysis of Stochastic Volatility in the Presence of Daily Realized Measures
by Siem Jan Koopman & Marcel Scharth - 116-153 Dynamic Factor Volatility Modeling: A Bayesian Latent Threshold Approach
by Jouchi Nakajima & Mike West - 154-192 Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage
by Paolo Giordani & Xiuyan Mun & Robert Kohn - 193-220 Jackknife for Bias Reduction in Predictive Regressions
by Min Zhu
September 2012, Volume 10, Issue 4
- 589-589 Editor's Introduction
by Eric Ghysels - 591-616 Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects
by Fulvio Corsi & Francesco Audrino - 617-636 Asymptotics of Realized Volatility with Non-Gaussian ARCH(∞) Microstructure Noise
by Hiroyuki Taniai & Takashi Usami & Nobuyuki Suto & Masanobu Taniguchi - 637-668 Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities
by María José Rodríguez & Esther Ruiz - 669-701 Robust Two-Pass Cross-Sectional Regressions: A Minimum Distance Approach
by Seung C. Ahn & Christopher Gadarowski & M. Fabricio Perez - 703-732 Prospect Performance Evaluation: Making a Case for a Non-asymptotic UMPU Test
by Zhidong Bai & Yongchang Hui & Wing-Keung Wong & Ričardas Zitikis
June 2012, Volume 10, Issue 3
- 417-456 Asymptotic Theory of Range-Based Multipower Variation
by Kim Christensen & Mark Podolskij - 457-493 A Dynamic Copula Approach to Recovering the Index Implied Volatility Skew
by Matthias R. Fengler & Helmut Herwartz & Christian Werner - 495-512 Asymmetry and Long Memory in Volatility Modeling
by Manabu Asai & Michael McAleer & Marcelo C. Medeiros - 513-543 Statistical Surveillance of Volatility Forecasting Models
by Vasyl Golosnoy & Iryna Okhrin & Wolfgang Schmid - 545-587 Testing Nonlinear Dependence in the Hedge Fund Industry
by Javier Mencía
2012 04 2012, Volume 10, Issue 2
- 390-415 Modeling Trade Direction
by Dale W. R. Rosenthal
2012 15 2012, Volume 10, Issue 2
- 265-291 Weighted Nadaraya--Watson Estimation of Conditional Expected Shortfall
by Kengo Kato
2012 05 2012, Volume 10, Issue 2
- 292-324 Systematic and Idiosyncratic Default Risk in Synthetic Credit Markets
by Peter Feldhütter & Mads Stenbo Nielsen
2012 06 2012, Volume 10, Issue 2
- 354-389 Spot Variance Path Estimation and Its Application to High-Frequency Jump Testing
by Charles S. Bos & Paweł Janus & Siem Jan Koopman
2012 20 12 2011, Volume 10, Issue 2
- 325-353 Common Intraday Periodicity
by Alain Hecq & Sébastien Laurent & Franz C. Palm
2011, Volume 9, Issue 4
- 589-618 Habit, Long-Run Risks, Prospect? A Statistical Inquiry
by Eric M. Aldrich - 619-656 Merits and Drawbacks of Variance Targeting in GARCH Models
by Christian Francq & Lajos Horváth