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Content
spring 2010, Volume 8, Issue 2
- 187-190 Further Developments in the Study of Cointegrated Variables
by Norman R. Swanson - 191-192 Working With Clive Granger: Two Short Memories
by Timo Teräsvirta - 193-243 Granger Causality and Dynamic Structural Systems
by Halbert White & Xun Lu - 244-264 Curriculum Vitae
by Clive W.J. Granger
Winter 2010, Volume 8, Issue 1
- 1-28 Price Discovery in Fragmented Markets
by Frank De Jong & Peter C. Schotman - 29-56 Comparison of Volatility Measures: a Risk Management Perspective
by Christian T. Brownlees & Giampiero M. Gallo - 57-87 Does the Open Limit Order Book Matter in Explaining Informational Volatility?
by Roberto Pascual & David Veredas - 88-121 Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models
by Markus Hahn & Sylvia Frühwirth-Schnatter & Jörn Sass - 122-153 Shifts in Individual Parameters of a GARCH Model
by Pedro Galeano & Ruey S. Tsay
2012 10 1 124 163 22 9 2009, Volume 10, Issue 1
- 124-163 Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility
by Jean-Marie Dufour & René Garcia & Abderrahim Taamouti
2012 10 1 84 123 15 2 2009, Volume 10, Issue 1
- 84-123 On the Importance of Time Variability in Higher Moments for Asset Allocation
by Eric Jondeau & Michael Rockinger
Fall 2009, Volume 7, Issue 4
- 339-340 Special Issue on "Multivariate Volatility Models"
by René Garcia - 341-372 Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range -super-
by Karim Bannouh & Dick van Dijk & Martin Martens - 373-411 Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model
by Annastiina Silvennoinen & Timo Teräsvirta - 412-436 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. Broda & Marc S. Paolella - 437-480 Modeling International Financial Returns with a Multivariate Regime-switching Copula
by Lorán Chollete & Andréas Heinen & Alfonso Valdesogo - 481-503 A Latent Factor Model of Multivariate Conditional Heteroscedasticity
by Mike Aguilar
Summer 2009, Volume 7, Issue 3
- 197-198 The JFEC Invited Lecture at the 2008 SoFiE Conference
by René Garcia - 199-246 Inference on Risk-Neutral Measures for Incomplete Markets
by Hiroaki Kaido & Halbert White - 247-264 A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk
by Paskalis Glabadanidis - 265-287 Measuring Event Risk
by Peter Nyberg & Anders Wilhelmsson - 288-311 Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
by Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka - 312-338 A New Look at the Forward Premium Puzzle
by Nikolay Gospodinov
Spring 2009, Volume 7, Issue 2
- 53-76 Nonparametric Option Pricing with No-Arbitrage Constraints
by Melanie Birke & Kay F. Pilz - 77-105 The Impact of Shocks on Higher Moments
by Eric Jondeau & Michael Rockinger - 106-151 Estimation and Testing for Dependence in Market Microstructure Noise
by Masato Ubukata & Kosuke Oya - 152-173 Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking under a General Return Distribution
by Yong Bao - 174-196 A Simple Approximate Long-Memory Model of Realized Volatility
by Fulvio Corsi
Winter 2009, Volume 7, Issue 1
- 1-2 The Society for Financial Econometrics (SoFiE) Inaugural Conference: New York, June 4--6, 2008
by Eric Ghysels - 3-11 Financial Econometrics, Financial Innovation, and Financial Stability
by Charles I. Plosser - 12-29 A Short Introduction to Correlation Markets
by Pierre Collin-Dufresne - 30-39 Linear Correlation and EVT: Properties and Caveats
by Paul Embrechts - 40-51 Correlation, Models, and Risk Management in Challenging Times
by Robin L. Lumsdaine
2012 10 2 233 264 9 3 2008, Volume 10, Issue 2
- 233-264 Converting Tail-VaR to VaR: An Econometric Study
by Christian Gourieroux & Wei Liu & Gourieroux Liu
Fall 2008, Volume 6, Issue 4
- 407-458 Econometric Asset Pricing Modelling
by H. Bertholon & A. Monfort & F. Pegoraro - 459-495 Long Memory and the Term Structure of Risk
by Peter C. Schotman & Rolf Tschernig & Jan Budek - 496-512 Bias-Reduced Estimation of Long-Memory Stochastic Volatility
by Per Frederiksen & Morten Orregaard Nielsen - 513-539 On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria
by Christian T. Brownlees & Giampiero M. Gallo - 540-582 American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution
by Lars Stentoft
Summer 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 - 307-325 Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
by Denise R. Osborn & Christos S. Savva & Len Gill - 326-360 Are There Structural Breaks in Realized Volatility?
by Chun Liu & John M. Maheu - 361-381 VAR Modeling for Dynamic Loadings Driving Volatility Strings
by Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler - 382-406 Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
by James W. Taylor
Spring 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 - 208-230 Parameterizing Unconditional Skewness in Models for Financial Time Series
by Changli He & Annastiina Silvennoinen & Timo Teräsvirta - 231-252 Estimating Value at Risk and Expected Shortfall Using Expectiles
by James W. Taylor - 253-270 Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
by Wei Biao Wu & Keming Yu & Gautam Mitra - 271-289 Detecting ARCH Effects in Non-Gaussian Time Series
by Burkhard Raunig
Winter 2008, Volume 6, Issue 1
- 1-48 Size and Value Anomalies under Regime Shifts
by Massimo Guidolin & Allan Timmermann - 49-86 Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis
by Xinting Fan & Ming Liu - 87-107 Nonparametric Estimation of Expected Shortfall
by Song Xi Chen - 108-142 Evidence on Simulation Inference for Near Unit-Root Processes with Implications for Term Structure Estimation
by Gregory R. Duffee - 143-170 Modeling a Multivariate Transaction Process
by Ingmar Nolte
Fall 2007, Volume 5, Issue 4
- 523-559 A Statistical Inquiry into the Plausibility of Recursive Utility
by Han Hong - 560-590 Components of Market Risk and Return
by John M. Maheu & Thomas H. McCurdy - 591-623 Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
by Fabio Trojani - 624-636 Positivity Conditions for a Bivariate Autoregressive Volatility Specification
by C. Gourieroux
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 - 31-67 Why Do Absolute Returns Predict Volatility So Well?
by Lars Forsberg & Eric Ghysels - 68-104 Integrated Covariance Estimation using High-frequency Data in the Presence of Noise
by Valeri Voev & Asger Lunde - 105-153 Switching VARMA Term Structure Models
by Alain Monfort & Fulvio Pegoraro - 154-183 The Impact of Central Bank FX Interventions on Currency Components
by Michel Beine & Charles S. Bos & Sébastien Laurent - 184-188 Practitioners' Corner
by Adam Canopius
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 - 573-593 Stationarity of a Markov-Switching GARCH Model
by Ji-Chun Liu - 594-616 A Mixture Multiplicative Error Model for Realized Volatility
by Markku Lanne - 617-635 Sample and Implied Volatility in GARCH Models
by Lajos Horváth & Piotr Kokoszka & Ricardas Zitikis - 636-670 Long Memory and the Relation Between Implied and Realized Volatility
by Federico M. Bandi & Benoit Perron - 671-675 Practitioners' Corner
by Adam Canopius
2006, Volume 4, Issue 3
- 353-384 Leverage and Volatility Feedback Effects in High-Frequency Data
by Tim Bollerslev & Julia Litvinova & George Tauchen - 385-412 Dynamic Asymmetric GARCH
by Massimiliano Caporin & Michael McAleer - 413-449 Inequality Constraints in the Fractionally Integrated GARCH Model
by Christian Conrad & Berthold R. Haag - 450-493 Stochastic Conditional Intensity Processes
by Luc Bauwens & Nikolaus Hautsch - 494-530 Affine Models for Credit Risk Analysis
by C. Gourieroux & A. Monfort & V. Polimenis - 531-536 Practitioners' Corner
by Adam Canopius
2006, Volume 4, Issue 2
- 167-203 Jump Spillover in International Equity Markets
by Hossein Asgharian & Christoffer Bengtsson - 204-237 A Semiparametric Two-Factor Term Structure Model
by John Knight & Fuchun Li & Mingwei Yuan - 238-274 Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
by David E. Rapach & Mark E. Wohar - 275-309 The Generalized Hyperbolic Skew Student's t-Distribution
by Kjersti Aas & Ingrid Hobaek Haff - 310-345 Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods
by Manuel Arapis & Jiti Gao - 346-351 Practitioners' Corner
by Adam Canopius
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 - 31-52 A Classification of Two-Factor Affine Diffusion Term Structure Models
by Christian Gourieroux & Razvan Sufana - 53-89 Value-at-Risk Prediction: A Comparison of Alternative Strategies
by Keith Kuester & Stefan Mittnik & Marc S. Paolella - 90-135 Periodic Stochastic Volatility and Fat Tails
by Ilias Tsiakas - 136-160 Incomplete Information, Heterogeneity, and Asset Pricing
by Tony Berrada - 161-166 Practitioners' Corner
by Adam Canopius
2005, Volume 3, Issue 4
- 447-455 Practitioners’ Corner: Introduction to the Special Issue
by Adam Canopius - 456-499 The Relative Contribution of Jumps to Total Price Variance
by Xin Huang & George Tauchen - 500-524 Inferring Information Frequency and Quality
by John Owens & Douglas G. Steigerwald - 525-554 A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
by Peter Reinhard Hansen & Asger Lunde - 555-577 Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes
by Roel C. A. Oomen - 578-605 The Accuracy of Density Forecasts from Foreign Exchange Options
by Peter Christoffersen & Stefano Mazzotta - 606-628 Reexamining the Profitability of Technical Analysis with Data Snooping Checks
by Po-Hsuan Hsu & Chung-Ming Kuan
2005, Volume 3, Issue 3
- 315-343 Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights
by Tae-Hwan Kim - 344-371 Testing For Threshold Nonlinearity in Short-Term Interest Rates
by Nikolay Gospodinov - 372-398 Multivariate Lagrange Multiplier Tests for Fractional Integration
by Morten Ørregaard Nielsen - 399-421 Autoregressive Conditional Kurtosis
by Chris Brooks - 422-441 The Stability of Factor Models of Interest Rates
by Francesco Audrino - 442-446 Practitioners’ Corner
by Adam Canopius
2005, Volume 3, Issue 2
- 169-187 A Test for Symmetry with Leptokurtic Financial Data
by Gamini Premaratne - 188-226 Stochastic Migration Models with Application to Corporate Risk
by Patrick Gagliardini - 227-255 Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
by Song Xi Chen - 256-281 Identification of Factor Models for Forecasting Returns
by Manfred Deistler - 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 - 310-313 Practitioners' Corner
by Adam Canopius
2005, Volume 3, Issue 1
- 1-2 Practitioners' Corner: Introduction to the Special Issue
by Adam Canopius - 3-25 The Present and Future of Financial Risk Management
by Carol Alexander - 26-36 New Directions in Risk Management
by John Drzik - 37-55 Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk
by Eric Jacquier & Alex Kane & Alan J. Marcus - 56-78 Least Squares Predictions and Mean-Variance Analysis
by Enrique Sentana - 79-106 Default Risk, Asset Pricing, and Debt Control
by Lars Grüne - 107-125 Portfolio Diversification Effects of Downside Risk
by Namwon Hyung - 126-168 Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework
by Miguel A. Ferreira
2004, Volume 2, Issue 4
- 477-492 Pessimistic Portfolio Allocation and Choquet Expected Utility
by Gilbert W. Bassett - 493-530 A New Approach to Markov-Switching GARCH Models
by Markus Haas - 531-564 Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach
by Peter de Goeij - 565-591 Beyond Single-Factor Affine Term Structure Models
by Eva Ferreira - 592-597 Practitioners' Corner
by Adam Canopius
2004, Volume 2, Issue 3
- 349-369 Which Extreme Values Are Really Extreme?
by Jesus Gonzalo - 370-389 Asset Allocation by Variance Sensitivity Analysis
by Simone Manganelli - 390-421 Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data
by Dingan Feng - 422-450 Nonparametric Tests for Positive Quadrant Dependence
by Michel Denuit - 451-471 Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters
by Scott E. Hein - 472-476 Practitioners' Corner
by Adam Canopius
2004, Volume 2, Issue 2
- 177-210 LARCH, Leverage, and Long Memory
by Liudas Giraitis - 211-250 Mixed Normal Conditional Heteroskedasticity
by Markus Haas - 251-289 Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
by Andrew Jeffrey - 290-318 The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests
by Elena Andreou - 319-342 Persistence and Kurtosis in GARCH and Stochastic Volatility Models
by M. Angeles Carnero - 343-348 Practitioners' Corner
by Adam Canopius
2004, Volume 2, Issue 1
- 1-37 Power and Bipower Variation with Stochastic Volatility and Jumps
by Ole E. Barndorff-Nielsen - 37-48 Discussion
by Torben G. Andersen - 49-83 How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
by Laurent E. Calvet - 84-108 Backtesting Value-at-Risk: A Duration-Based Approach
by Peter Christoffersen - 109-129 Circuit Breakers and the Tail Index of Equity Returns
by John W. Galbraith - 130-168 On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
by Andrew J. Patton - 169-175 Practitioners' Corner
by Adam Canopius
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
0000, Volume 18, Issue 4
- 654-655 Introduction to the 2017 Hal White Memorial Lecture
by Allan Timmermann & Fabio Trojani - 656-714 Pseudo-True SDFs in Conditional Asset Pricing Models
by Bertille Antoine & Kevin Proulx & Eric Renault - 715-720 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Lars Peter Hansen - 721-728 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Sydney C Ludvigson - 729-735 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Raymond Kan & Cesare Robotti - 736-775 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed- versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs
by Patrick Gagliardini & Diego Ronchetti - 776-790 Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Bertille Antoine & Kevin Proulx & Eric Renault
0000, Volume 18, Issue 3
- 471-472 Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
by Francis X Diebold & René Garcia & Kris Jacobs - 473-501 The Term Structures of Expected Loss and Gain Uncertainty
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu - 502-531 Realized Volatility Forecasting with Neural Networks
by Andrea Bucci - 532-555 Realized Variance Modeling: Decoupling Forecasting from Estimation
by Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri - 556-584 Using the Extremal Index for Value-at-Risk Backtesting
by Axel Bücher & Peter N Posch & Philipp Schmidtke - 585-628 Mixed-Frequency Macro–Finance Factor Models: Theory and Applications
by Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin - 629-652 Implied Default Probabilities and Losses Given Default from Option Prices
by Jennifer Conrad & Robert F Dittmar & Allaudeen Hameed
0000, Volume 10, Issue 1
- 54-83 Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
by Robert F. Engle & Magdalena E. Sokalska
0000, Volume 5, Issue 3
- 321-357 Aggregation of Nonparametric Estimators for Volatility Matrix
by Jianqing Fan & Yingying Fan & Jinchi Lv - 358-359 Model-free versus Model-based Volatility Prediction
by Dimitris N. Politis - 390-455 Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
by A. S. Hurn & J. I. Jeisman & K. A. Lindsay - 456-490 Beta Regimes for the Yield Curve
by Francesco Audrino & Enrico De Giorgi - 491-522 Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis
by Joakim Westerlund
0000, Volume 5, Issue 2
- 189-218 A semiparametric factor model for implied volatility surface dynamics
by Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen - 219-242 Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
by Marcelo Fernandes & Marco Aurélio Dos Santos Rocha - 243-265 The Predictive Power of 'Head-and-Shoulders' Price Patterns in the U.S. Stock Market
by Gene Savin & Paul Weller & Jānis Zvingelis - 266-284 A discrete and a continuous-time model based on a technical trading rule
by João Nicolau - 285-320 Measuring contagion and interdependence with a Bayesian time-varying coefficient model: An application to the Chilean FX market during the Argentine crisis
by Matteo Ciccarelli & Alessandro Rebucci