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Oxford University Press

Journal of Financial Econometrics

Contact information of Oxford University Press:
Postal: Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK
Fax: 01865 267 985
Email:
Web page: http://jfec.oxfordjournals.org/

Order information:
Web: http://www.oup.co.uk/journals
Editor: René Garcia
Editor: Eric Renault
For technical questions regarding this series, please contact (Christopher F. Baum)
Series handle: repec:oup:jfinec

2009, Volume 7, Issue 4

339-340 Special Issue on "Multivariate Volatility Models"
by René Garcia [Downloadable! (restricted)]
341-372 Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range-super-
by Karim Bannouh & Dick van Dijk & Martin Martens [Downloadable! (restricted)]
373-411 Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
by Annastiina Silvennoinen & Timo Teräsvirta [Downloadable! (restricted)]
412-436 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. Broda & Marc S. Paolella [Downloadable! (restricted)]
437-480 Modeling International Financial Returns with a Multivariate Regime-switching Copula
by Lorán Chollete & Andréas Heinen & Alfonso Valdesogo [Downloadable! (restricted)]
481-503 A Latent Factor Model of Multivariate Conditional Heteroscedasticity
by Mike Aguilar [Downloadable! (restricted)]

2009, Volume 7, Issue 3

197-198 The JFEC Invited Lecture at the 2008 SoFiE Conference
by René Garcia [Downloadable! (restricted)]
199-246 Inference on Risk-Neutral Measures for Incomplete Markets
by Hiroaki Kaido & Halbert White [Downloadable! (restricted)]
247-264 A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk
by Paskalis Glabadanidis [Downloadable! (restricted)]
265-287 Measuring Event Risk
by Peter Nyberg & Anders Wilhelmsson [Downloadable! (restricted)]
288-311 Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
by Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka [Downloadable! (restricted)]
312-338 A New Look at the Forward Premium Puzzle
by Nikolay Gospodinov [Downloadable! (restricted)]

2009, Volume 7, Issue 2

53-76 Nonparametric Option Pricing with No-Arbitrage Constraints
by Melanie Birke & Kay F. Pilz [Downloadable! (restricted)]
77-105 The Impact of Shocks on Higher Moments
by Eric Jondeau & Michael Rockinger [Downloadable! (restricted)]
106-151 Estimation and Testing for Dependence in Market Microstructure Noise
by Masato Ubukata & Kosuke Oya [Downloadable! (restricted)]
152-173 Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution
by Yong Bao [Downloadable! (restricted)]
174-196 A Simple Approximate Long-Memory Model of Realized Volatility
by Fulvio Corsi [Downloadable! (restricted)]

2009, Volume 7, Issue 1

1-2 The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4--6, 2008
by Eric Ghysels [Downloadable! (restricted)]
3-11 Financial Econometrics, Financial Innovation, and Financial Stability
by Charles I. Plosser [Downloadable! (restricted)]
12-29 A Short Introduction to Correlation Markets
by Pierre Collin-Dufresne [Downloadable! (restricted)]
30-39 Linear Correlation and EVT: Properties and Caveats
by Paul Embrechts [Downloadable! (restricted)]
40-51 Correlation, Models, and Risk Management in Challenging Times
by Robin L. Lumsdaine [Downloadable! (restricted)]

2008, Volume 6, Issue 4

407-458 Econometric Asset Pricing Modelling
by H. Bertholon & A. Monfort & F. Pegoraro [Downloadable! (restricted)]
459-495 Long Memory and the Term Structure of Risk
by Peter C. Schotman & Rolf Tschernig & Jan Budek [Downloadable! (restricted)]
496-512 Bias-Reduced Estimation of Long-Memory Stochastic Volatility
by Per Frederiksen & Morten Ørregaard Nielsen [Downloadable! (restricted)]
513-539 On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
by Christian T. Brownlees [Downloadable! (restricted)]
540-582 American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
by Lars Stentoft [Downloadable! (restricted)]

2008, Volume 6, Issue 3

291-306 A Simple Test for GARCH Against a Stochastic Volatility Model
by Philip Hans Franses & Marco van der Leij & Richard Paap [Downloadable! (restricted)]
307-325 Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
by Denise R. Osborn & Christos S. Savva & Len Gill [Downloadable! (restricted)]
326-360 Are There Structural Breaks in Realized Volatility?
by Chun Liu & John M. Maheu [Downloadable! (restricted)]
361-381 VAR Modeling for Dynamic Loadings Driving Volatility Strings
by Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler [Downloadable! (restricted)]
382-406 Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
by James W. Taylor [Downloadable! (restricted)]

2008, Volume 6, Issue 2

171-207 Time-Varying Arrival Rates of Informed and Uninformed Trades
by David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu [Downloadable! (restricted)]
208-230 Parameterizing Unconditional Skewness in Models for Financial Time Series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta [Downloadable! (restricted)]
231-252 Estimating Value at Risk and Expected Shortfall Using Expectiles
by James W. Taylor [Downloadable! (restricted)]
253-270 Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
by Wei Biao Wu & Keming Yu & Gautam Mitra [Downloadable! (restricted)]
271-289 Detecting ARCH Effects in Non-Gaussian Time Series
by Burkhard Raunig [Downloadable! (restricted)]

2008, Volume 6, Issue 1

1-48 Size and Value Anomalies under Regime Shifts
by Massimo Guidolin & Allan Timmermann [Downloadable! (restricted)]
49-86 Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis
by Xinting Fan & Ming Liu [Downloadable! (restricted)]
87-107 Nonparametric Estimation of Expected Shortfall
by Song Xi Chen [Downloadable! (restricted)]
108-142 Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
by Gregory R. Duffee [Downloadable! (restricted)]
143-170 Modeling a Multivariate Transaction Process
by Ingmar Nolte [Downloadable! (restricted)]

2007, Volume 5, Issue 4

523-559 A Statistical Inquiry into the Plausibility of Recursive Utility
by Han Hong [Downloadable! (restricted)]
560-590 Components of Market Risk and Return
by John M. Maheu [Downloadable! (restricted)]
591-623 Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
by Fabio Trojani [Downloadable! (restricted)]

2007, Volume 5, Issue 1

1-30 Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data
by George J. Jiang & Roel C. A. Oomen [Downloadable! (restricted)]
31-67 Why Do Absolute Returns Predict Volatility So Well?
by Lars Forsberg & Eric Ghysels [Downloadable! (restricted)]
68-104 Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
by Valeri Voev & Asger Lunde [Downloadable! (restricted)]
105-153 Switching VARMA Term Structure Models
by Alain Monfort & Fulvio Pegoraro [Downloadable! (restricted)]
154-183 The Impact of Central Bank FX Interventions on Currency Components
by Michel Beine & Charles S. Bos & Sébastien Laurent [Downloadable! (restricted)]
184-188 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2006, Volume 4, Issue 4

537-572 Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
by Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard [Downloadable! (restricted)]
573-593 Stationarity of a Markov-Switching GARCH Model
by Ji-Chun Liu [Downloadable! (restricted)]
594-616 A Mixture Multiplicative Error Model for Realized Volatility
by Markku Lanne [Downloadable! (restricted)]
617-635 Sample and Implied Volatility in GARCH Models
by Lajos Horváth & Piotr Kokoszka & Ricardas Zitikis [Downloadable! (restricted)]
636-670 Long Memory and the Relation Between Implied and Realized Volatility
by Federico M. Bandi & Benoit Perron [Downloadable! (restricted)]
671-675 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2006, Volume 4, Issue 3

353-384 Leverage and Volatility Feedback Effects in High-Frequency Data
by Tim Bollerslev & Julia Litvinova & George Tauchen [Downloadable! (restricted)]
385-412 Dynamic Asymmetric GARCH
by Massimiliano Caporin & Michael McAleer [Downloadable! (restricted)]
413-449 Inequality Constraints in the Fractionally Integrated GARCH Model
by Christian Conrad & Berthold R. Haag [Downloadable! (restricted)]
450-493 Stochastic Conditional Intensity Processes
by Luc Bauwens & Nikolaus Hautsch [Downloadable! (restricted)]
494-530 Affine Models for Credit Risk Analysis
by C. Gourieroux & A. Monfort & V. Polimenis [Downloadable! (restricted)]
531-536 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2006, Volume 4, Issue 2

167-203 Jump Spillover in International Equity Markets
by Hossein Asgharian & Christoffer Bengtsson [Downloadable! (restricted)]
204-237 A Semiparametric Two-Factor Term Structure Model
by John Knight & Fuchun Li & Mingwei Yuan [Downloadable! (restricted)]
238-274 Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
by David E. Rapach & Mark E. Wohar [Downloadable! (restricted)]
275-309 The Generalized Hyperbolic Skew Student's t-Distribution
by Kjersti Aas & Ingrid Hobaek Haff [Downloadable! (restricted)]
310-345 Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
by Manuel Arapis & Jiti Gao [Downloadable! (restricted)]
346-351 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2006, Volume 4, Issue 1

1-30 Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
by Ole E. Barndorff-Nielsen & Neil Shephard [Downloadable! (restricted)]
31-52 A Classification of Two-Factor Affine Diffusion Term Structure Models
by Christian Gourieroux & Razvan Sufana [Downloadable! (restricted)]
53-89 Value-at-Risk Prediction: A Comparison of Alternative Strategies
by Keith Kuester & Stefan Mittnik & Marc S. Paolella [Downloadable! (restricted)]
90-135 Periodic Stochastic Volatility and Fat Tails
by Ilias Tsiakas [Downloadable! (restricted)]
136-160 Incomplete Information, Heterogeneity, and Asset Pricing
by Tony Berrada [Downloadable! (restricted)]
161-166 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2005, Volume 3, Issue 4

447-455 Practitioners’ Corner: Introduction to the Special Issue
by Adam Canopius [Downloadable! (restricted)]
456-499 The Relative Contribution of Jumps to Total Price Variance
by Xin Huang & George Tauchen [Downloadable! (restricted)]
500-524 Inferring Information Frequency and Quality
by John Owens & Douglas G. Steigerwald [Downloadable! (restricted)]
525-554 A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
by Peter Reinhard Hansen & Asger Lunde [Downloadable! (restricted)]
555-577 Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
by Roel C. A. Oomen [Downloadable! (restricted)]
578-605 The Accuracy of Density Forecasts from Foreign Exchange Options
by Peter Christoffersen & Stefano Mazzotta [Downloadable! (restricted)]
606-628 Reexamining the Profitability of Technical Analysis with Data Snooping Checks
by Po-Hsuan Hsu & Chung-Ming Kuan [Downloadable! (restricted)]

2005, Volume 3, Issue 3

315-343 Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights
by Tae-Hwan Kim [Downloadable! (restricted)]
344-371 Testing For Threshold Nonlinearity in Short-Term Interest Rates
by Nikolay Gospodinov [Downloadable! (restricted)]
372-398 Multivariate Lagrange Multiplier Tests for Fractional Integration
by Morten Ørregaard Nielsen [Downloadable! (restricted)]
399-421 Autoregressive Conditional Kurtosis
by Chris Brooks [Downloadable! (restricted)]
422-441 The Stability of Factor Models of Interest Rates
by Francesco Audrino [Downloadable! (restricted)]
442-446 Practitioners’ Corner
by Adam Canopius [Downloadable! (restricted)]

2005, Volume 3, Issue 2

169-187 A Test for Symmetry with Leptokurtic Financial Data
by Gamini Premaratne [Downloadable! (restricted)]
188-226 Stochastic Migration Models with Application to Corporate Risk
by Patrick Gagliardini [Downloadable! (restricted)]
227-255 Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
by Song Xi Chen [Downloadable! (restricted)]
256-281 Identification of Factor Models for Forecasting Returns
by Manfred Deistler [Downloadable! (restricted)]
282-309 The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study
by Guglielmo Maria Caporale [Downloadable! (restricted)]
310-313 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2005, Volume 3, Issue 1

1-2 Practitioners' Corner: Introduction to the Special Issue
by Adam Canopius [Downloadable! (restricted)]
3-25 The Present and Future of Financial Risk Management
by Carol Alexander [Downloadable! (restricted)]
26-36 New Directions in Risk Management
by John Drzik [Downloadable! (restricted)]
37-55 Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk
by Eric Jacquier [Downloadable! (restricted)]
56-78 Least Squares Predictions and Mean-Variance Analysis
by Enrique Sentana [Downloadable! (restricted)]
79-106 Default Risk, Asset Pricing, and Debt Control
by Lars Grüne [Downloadable! (restricted)]
107-125 Portfolio Diversification Effects of Downside Risk
by Namwon Hyung [Downloadable! (restricted)]
126-168 Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework
by Miguel A. Ferreira [Downloadable! (restricted)]

2004, Volume 2, Issue 4

477-492 Pessimistic Portfolio Allocation and Choquet Expected Utility
by Gilbert W. Bassett [Downloadable! (restricted)]
493-530 A New Approach to Markov-Switching GARCH Models
by Markus Haas [Downloadable! (restricted)]
531-564 Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach
by Peter de Goeij [Downloadable! (restricted)]
565-591 Beyond Single-Factor Affine Term Structure Models
by Eva Ferreira [Downloadable! (restricted)]
592-597 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2004, Volume 2, Issue 3

349-369 Which Extreme Values Are Really Extreme?
by Jesus Gonzalo [Downloadable! (restricted)]
370-389 Asset Allocation by Variance Sensitivity Analysis
by Simone Manganelli [Downloadable! (restricted)]
390-421 Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data
by Dingan Feng [Downloadable! (restricted)]
422-450 Nonparametric Tests for Positive Quadrant Dependence
by Michel Denuit [Downloadable! (restricted)]
451-471 Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters
by Scott E. Hein [Downloadable! (restricted)]
472-476 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2004, Volume 2, Issue 2

177-210 LARCH, Leverage, and Long Memory
by Liudas Giraitis [Downloadable! (restricted)]
211-250 Mixed Normal Conditional Heteroskedasticity
by Markus Haas [Downloadable! (restricted)]
251-289 Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
by Andrew Jeffrey [Downloadable! (restricted)]
290-318 The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
by Elena Andreou [Downloadable! (restricted)]
319-342 Persistence and Kurtosis in GARCH and Stochastic Volatility Models
by M. Angeles Carnero [Downloadable! (restricted)]
343-348 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2004, Volume 2, Issue 1

1-37 Power and Bipower Variation with Stochastic Volatility and Jumps
by Ole E. Barndorff-Nielsen [Downloadable! (restricted)]
37-48 Discussion
by Torben G. Andersen [Downloadable! (restricted)]
49-83 How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
by Laurent E. Calvet [Downloadable! (restricted)]
84-108 Backtesting Value-at-Risk: A Duration-Based Approach
by Peter Christoffersen [Downloadable! (restricted)]
109-129 Circuit Breakers and the Tail Index of Equity Returns
by John W. Galbraith [Downloadable! (restricted)]
130-168 On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
by Andrew J. Patton [Downloadable! (restricted)]
169-175 Practitioners' Corner
by Adam Canopius [Downloadable! (restricted)]

2003, Volume 1, Issue 3

297-326 Kernel-Based Indirect Inference
by Monica Billio & Alain Monfort
327-364 A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options
by Toby Daglish
365-419 A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility
by Jeff Fleming & Chris Kirby
420-444 Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models
by Ana Pérez & Esther Ruiz
445-470 The Local Whittle Estimator of Long-Memory Stochastic Volatility
by Clifford M. Hurvich & Bonnie K. Ray
471-473 Market Models: A Guide to Financial Data Analysis
by Pierre Giot
474-479 Practitioners' Corner
by Adam Canopius

2003, Volume 1, Issue 2

159-188 Trades and Quotes: A Bivariate Point Process
by Robert F. Engle & Asger Lunde
189-215 Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
by Nikolaus Hautsch
216-249 Using Multiple Imputation in the Analysis of Incomplete Observations in Finance
by Paul Kofman & Ian G. Sharpe
250-271 Itô Conditional Moment Generator and the Estimation of Short-Rate Processes
by Hao Zhou
272-289 The Robustness of the Conditional CAPM with Human Capital
by Ignacio Palacios-Huerta
290-296 Practitioners' Corner
by Adam Canopius

2003, Volume 1, Issue 1

2-25 Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
by Tina Hviid Rydberg & Neil Shephard
26-54 Fourth Moment Structure of Multivariate GARCH Models
by Christian M. Hafner
55-95 Time Inhomogeneous Multiple Volatility Modeling
by Wolfgang Hardle & Helmut Herwartz & Vladimir Spokoiny
96-125 Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
by Markku Lanne & Pentti Saikkonen
126-151 Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options
by Soku Byoun & Chuck C. Y. Kwok & Hun Y. Park
152-157 Practitioners' Corner
by Adam Canopius

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This page was last updated on 2009-11-19.

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