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Content
2024, Volume 22, Issue 3
- 575-604 How Does Post-Earnings Announcement Sentiment Affect Firms’ Dynamics? New Evidence from Causal Machine Learning
by Francesco Audrino & Jonathan Chassot & Chen Huang & Michael Knaus & Michael Lechner & Juan-Pablo Ortega - 605-635 High-Dimensional Granger Causality Tests with an Application to VIX and News
by Andrii Babii & Eric Ghysels & Jonas Striaukas - 636-669 Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression
by Ilias Chronopoulos & Aristeidis Raftapostolos & George Kapetanios - 670-695 Optimal Portfolio Using Factor Graphical Lasso
by Tae-Hwy Lee & Ekaterina Seregina - 696-742 Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage
by Rafael P Alves & Diego S de Brito & Marcelo C Medeiros & Ruy M Ribeiro - 743-772 Modeling Price and Variance Jump Clustering Using the Marked Hawkes Process
by Jian Chen & Michael P Clements & Andrew Urquhart
2024, Volume 22, Issue 2
- 335-374 Dynamic Nonparametric Clustering of Multivariate Panel Data
by Igor Custodio João & Julia Schaumburg & André Lucas & Bernd Schwaab - 375-406 Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options
by Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi - 407-460 Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
by M Hashem Pesaran & Takashi Yamagata - 461-491 Dynamic Covariance Matrix Estimation and Portfolio Analysis with High-Frequency Data
by Binyan Jiang & Cheng Liu & Cheng Yong Tang - 492-530 Volatility Forecasting with Machine Learning and Intraday Commonality
by Chao Zhang & Yihuang Zhang & Mihai Cucuringu & Zhongmin Qian - 531-574 Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility
by Giuseppe Buccheri & Stefano Grassi & Giorgio Vocalelli
2024, Volume 22, Issue 1
- 1-29 Estimation and Inference of Quantile Impulse Response Functions by Local Projections: With Applications to VaR Dynamics
by Heejoon Han & Whayoung Jung & Ji Hyung Lee - 30-69 Ask BERT: How Regulatory Disclosure of Transition and Physical Climate Risks Affects the CDS Term Structure
by Julian F Kölbel & Markus Leippold & Jordy Rillaerts & Qian Wang - 70-93 Semi-Strong Factors in Asset Returns
by Gregory Connor & Robert A Korajczyk - 94-118 An Enhanced Factor Model for Portfolio Selection in High Dimensions
by Fangquan Shi & Lianjie Shu & Xinhua Gu - 119-156 A New Test for Multiple Predictive Regression
by Ke-Li Xu & Junjie Guo - 157-186 A Consistent and Robust Test for Autocorrelated Jump Occurrences
by Simon Kwok - 187-223 Realized GARCH, CBOE VIX, and the Volatility Risk Premium
by Peter Reinhard Hansen & Zhuo Huang & Chen Tong & Tianyi Wang - 224-251 Periodicity in Cryptocurrency Volatility and Liquidity
by Peter Reinhard Hansen & Chan Kim & Wade Kim - 252-296 Volatility of Volatility Estimation: Central Limit Theorems for the Fourier Transform Estimator and Empirical Study of the Daily Time Series Stylized Facts
by Giacomo Toscano & Giulia Livieri & Maria Elvira & Stefano Marmi - 297-334 Geographic Dependence and Diversification in House Price Returns: The Role of Leverage
by Andréas Heinen & Mi Lim Kim & Malika Hamadi
2023, Volume 21, Issue 5
- 1403-1442 Arbitrage Pricing Theory for Idiosyncratic Variance Factors
by Eric Renault & Thijs Van Der & Bas J M Werker - 1443-1482 Testing Hypotheses on the Innovations Distribution in Semi-Parametric Conditional Volatility Models
by Christian Francq & Jean-Michel Zakoïan - 1483-1518 Co-Skewness across Return Horizons
by Chenglu Jin & Thomas Conlon & John Cotter - 1519-1556 News Arrival, Time-Varying Jump Intensity, and Realized Volatility: Conditional Testing Approach
by Deniz Erdemlioglu & Xiye Yang - 1557-1589 Time Variation in Cash Flows and Discount Rates
by Tolga Cenesizoglu & Denada Ibrushi - 1590-1646 Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices
by Jozef Baruník & Matěj Nevrla - 1647-1679 Identifying Risk Factors and Their Premia: A Study on Electricity Prices
by Wei Wei & Asger Lunde - 1680-1727 A Machine Learning Approach to Volatility Forecasting
by Kim Christensen & Mathias Siggaard & Bezirgen Veliyev - 1728-1758 Anatomy of a Sovereign Debt Crisis: Machine Learning, Real-Time Macro Fundamentals, and CDS Spreads
by Pierluigi Balduzzi & Roberto Savona & Lucia Alessi - 1759-1790 Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes
by A E Clements & A S Hurn & K A Lindsay & V Volkov - 1791-1819 Estimating Unobserved Soft Adjustment in Credit Rating Models: Before and after the Dodd–Frank Act
by Zhutong Gu & Yixiao Jiang & Shuyang Yang - 1820-1851 Market Maker Inventory, Bid–Ask Spreads, and the Computation of Option Implied Risk Measures
by jørn Eraker & Daniela Osterrieder
2023, Volume 21, Issue 4
- 989-1063 Common Bubble Detection in Large Dimensional Financial Systems
by Ye ChenCapital & Peter C B Phillips & Shuping Shi - 1064-1098 Increasing the information content of realized volatility forecasts
by Razvan Pascalau & Ryan Poirier - 1099-1142 Modeling Bid and Ask Price Dynamics with an Extended Hawkes Process and Its Empirical Applications for High-Frequency Stock Market Data
by Kyungsub Lee & Byoung Ki Seo - 1143-1168 The Role of Jumps in Realized Volatility Modeling and Forecasting
by Massimiliano Caporin - 1169-1195 Arbitrage Pricing with Heterogeneous Spatial Effects and Heteroscedastic Disturbances
by Jianhua Hu & Hao Ding & Xiaoqian Liu - 1196-1227 A Joint Model for the Term Structure of Interest Rates and Realized Volatility
by Anne Lundgaard - 1228-1257 The Determinants of Volatility Timing Performance
by Nick Taylor - 1258-1281 Empirical Asset Pricing with Functional Factors
by Philip Nadler & Alessio Sancetta - 1282-1307 Time-Transformed Test for Bubbles under Non-stationary Volatility
by Eiji Kurozumi & Anton Skrobotov & Alexey Tsarev - 1308-1345 Modeling and Forecasting Volatilities of Financial Assets with an Asymmetric Zero-Drift GARCH Model
by Yanlin Shi - 1346-1375 Maximum-Likelihood Estimation Using the Zig-Zag Algorithm
by Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig - 1376-1401 Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models
by Luc Bauwens & Edoardo Otranto
2023, Volume 21, Issue 3
- 597-615 Integrating Structural and Reduced-Form Methods in Empirical Finance
by Toni M Whited - 616-650 Estimation with Errors in Variables via the Characteristic Function
by H Malloch & R Philip & S Satchell - 651-677 Intraday Trades Profile Estimation: An Intensity Approach
by Alessio Sancetta - 678-713 Volatility Bursts: A Discrete-Time Option Model with Multiple Volatility Components
by Francesca Lilla - 714-741 Conditional Inferences Based on Vine Copulas with Applications to Credit Spread Data of Corporate Bonds
by Shenyi Pan & Harry Joe & Guofu Li - 742-778 Forecasting under Long Memory
by Uwe Hassler & Marc-Oliver Pohle - 779-809 An Application of Damped Diffusion for Modeling Volatility Dynamics
by Mao-Wei Hung & Yi-Chen Ko & Jr-Yan Wang - 810-851 Risk Premia and Lévy Jumps: Theory and Evidence
by Hasan Fallahgoul & Julien Hugonnier & Loriano Mancini - 852-879 A Comparative Study of Likelihood Approximations for Univariate Diffusions
by Stan Hurn & Kenneth Lindsay & Lina Xu - 880-914 Multivariate Fractional Components Analysis
by Tobias Hartl & Roland Jucknewitz - 915-958 Granger Causality Testing in High-Dimensional VARs: A Post-Double-Selection Procedure
by Alain Hecq & Luca Margaritella & Stephan Smeekes - 959-987 A New Tail-Based Correlation Measure and Its Application in Global Equity Markets
by Jinjing Liu
2023, Volume 21, Issue 2
- 263-297 Identification Robust Testing of Risk Premia in Finite Samples
by Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan - 298-302 Comment on: Identification Robust Testing of Risk Premia in Finite Samples
by Lynda Khalaf - 303-305 Comment on: Identification Robust Testing of Risk Premia in Finite Samples
by Paolo Zaffaroni - 306-310 Discussion of Identification Robust Testing of Risk Premia in Finite Samples
by Francisco Peñaranda - 311-315 Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples
by Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan - 316-367 Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity
by Daniele Massacci - 368-411 Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion
by Rachida Ouysse - 412-444 Encompassing Tests for Value at Risk and Expected Shortfall Multistep Forecasts Based on Inference on the Boundary
by Timo Dimitriadis & iaochun Liu & Julie Schnaitmann - 445-484 Smooth-Transition Regression Models for Non-Stationary Extremes
by Julien Hambuckers & Thomas Kneib - 485-527 Intraday Market Predictability: A Machine Learning Approach
by Dillon Huddleston & Fred Liu & Lars Stentoft - 528-568 Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
by Sander Barendse & Erik Kole & Dick van Dijk - 569-596 Forecasting Loan Default in Europe with Machine Learning
by Luca Barbaglia & Sebastiano Manzan & Elisa Tosetti
2023, Volume 21, Issue 1
- 1-72 Measuring Systemic Risk Using Multivariate Quantile-Located ES Models
by Laura Garcia-Jorcano & Lidia Sanchis-Marco - 73-105 Risk Reduction and Efficiency Increase in Large Portfolios: Gross-Exposure Constraints and Shrinkage of the Covariance Matrix
by Zhao Zhao & Olivier Ledoit & Hui Jiang - 106-144 Volatility Estimation and Forecasts Based on Price Durations
by Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao - 145-186 Option Prices and the Probability of Success of Cash Mergers
by C Alan Bester & Victor H Martinez & Ioanid Roşu - 187-227 CUSUM-Based Monitoring for Explosive Episodes in Financial Data in the Presence of Time-Varying Volatility
by Sam Astill & David I Harvey & Stephen J Leybourne & A M Robert Taylor & Yang Zu - 228-259 Improving Value-at-Risk Prediction Under Model Uncertainty
by Shige Peng & Shuzhen Yang & Jianfeng Yao - 260-260 Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data
by Eric Ghysels
2022, Volume 20, Issue 5
- 807-838 Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
[Pricing the Term Structure with Linear Regressions]
by Marcello Pericoli & Marco Taboga - 839-874 Multilevel and Tail Risk Management
[Backtesting Expected Shortfall]
by Lynda Khalaf & Arturo Leccadito & Giovanni Urga - 875-901 Testing for Endogeneity of Covid-19 Patient Assignments
[The Value of Life and Health for Public Policy]
by C Gourieroux & A Djogbenou & J Jasiak - 902-941 Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures
[Option Valuation with Volatility Components, Fat Tails, and Non-Monotonic Pricing Kernels]
by Christophe Chorro & Rahantamialisoa H Fanirisoa - 942-960 Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects
[The Determinants of Capital Structure: Capital Market-Oriented versus Bank-Oriented Institutions]
by Joakim Westerlund & Hande Karabiyik & Paresh Kumar Narayan & Seema Narayan - 961-1006 Decoupling the Short- and Long-Term Behavior of Stochastic Volatility
[Multifactor Approximation of Rough Volatility Models]
by Mikkel Bennedsen & Asger Lunde & Mikko S Pakkanen - 1007-1037 Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting
by Yannick Hoga
2022, Volume 20, Issue 4
- 569-611 Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage
[Eigenvalue Ratio Test for the Number of Factors]
by Gianluca De Nard - 612-654 Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps
[High Frequency Covariance Estimates with Noisy and Asynchronous Data]
by Qiang Liu & Zhi Liu - 655-680 Forecasting VIX Using Filtered Historical Simulation
[A GARCH Option Pricing Model with Filtered Historical Simulation]
by Yushuang Jiang & Emese Lazar - 681-715 A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets
[Systemic Risk and Stability in Financial Networks]
by Simona Boffelli & Jan Novotny & Giovanni Urga - 716-761 Bayesian Selection of Asset Pricing Factors Using Individual Stocks
[Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors]
by Soosung Hwang & Alexandre Rubesam - 762-805 Selective Linear Segmentation for Detecting Relevant Parameter Changes
[Risks and Portfolio Decisions Involving Hedge Funds]
by Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën
2022, Volume 20, Issue 3
- 391-436 Bayesian Inference of Multivariate Regression Models with Endogenous Markov Regime-Switching Parameters
[“Bayes Inference via Gibbs Sampling of Autoregressive Time-Series Subject to Markov Mean and Variance Shifts.”]
by Young Min Kim & Kyu Ho Kang - 437-471 Regression-Based Expected Shortfall Backtesting
[Backtesting Expected Shortfall]
by Sebastian Bayer & Timo Dimitriadis - 472-504 Hedging Demand in Long-Term Asset Allocation with an Application to Carry Trade Strategies
[Variable Selection for Portfolio Choice]
by Ricardo Laborda & Jose Olmo - 505-538 Hedging Long-Term Liabilities
[Pricing the Term Structure with Linear Regressions]
by Rogier Quaedvlieg & Peter Schotman - 539-567 From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
[Are Stocks Riskier over the Long Run? Taking Cues from Economic Theory]
by Mathias S Kruttli
2022, Volume 20, Issue 2
- 219-252 Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal
[Vulnerable Growth]
by Tim Bollerslev - 253-277 What Affects the Relationship Between Oil Prices and the U.S. Stock Market? A Mixed-Data Sampling Copula Approach
[Risks and Portfolio Decisions Involving Hedge Funds]
by Yuting Gong & Ruijun Bu & Qiang Chen - 278-309 Risk Estimation with a Time-Varying Probability of Zero Returns
[On the Coherence of Expected Shortfall]
by Genaro Sucarrat & Steffen Grønneberg - 310-344 Estimating Loss Given Default from CDS under Weak Identification
[Estimation and Inference with Weak, Semi-Strong, and Strong Identification]
by Lily Y Liu - 345-366 Single-Index Expectile Models for Estimating Conditional Value at Risk and Expected Shortfall
[Coherent Measures of Risk]
by Rong Jiang & Xueping Hu & Keming Yu - 367-389 Covariance Matrix Estimation under Total Positivity for Portfolio Selection
[Monotone Comparative Statics under Uncertainty]
by Raj Agrawal & Uma Roy & Caroline Uhler
2022, Volume 20, Issue 1
- 1-17 On Frequent Batch Auctions for Stocks
[Tail Expectation and Imperfect Competition in Limit Order Book Markets]
by Ravi Jagannathan - 18-44 Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles
[Coherent Measures of Risk]
by Yannick Hoga - 45-75 Model and Moment Selection in Factor Copula Models
[Extensions to the Gaussian Copula: Random Recovery and Random Factor Loadings]
by Fang Duan & Hans Manner & Dominik Wied - 76-104 Volatility Prediction Using a Realized-Measure-Based Component Model
[Modelling Volatility by Variance Decomposition]
by Diaa Noureldin - 105-138 Bayesian Semi-Parametric Realized Conditional Autoregressive Expectile Models for Tail Risk Forecasting
[On the Estimation of Production Frontiers: Maximum Likelihood Estimation of the Parameters of a Discontinuous Density Function]
by Richard Gerlach & Chao Wang - 139-159 The Tail Behavior due to the Presence of the Risk Premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean Models
[Stock Returns and Volatility]
by Christian M Dahl & Emma M Iglesias - 160-186 Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks
[Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts]
by Yue Qiu & Tian Xie & Jun Yu & Qiankun Zhou - 187-218 The Power of (Non-)Linear Shrinking: A Review and Guide to Covariance Matrix Estimation
[Design-Free Estimation of Variance Matrices]
by Olivier Ledoit & Michael Wolf
2021, Volume 19, Issue 5
- 789-822 Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
[Testing Continuous-Time Models of the Spot Interest Rate]
by Fuchun Li - 823-859 Bayesian Nonparametric Estimation of Ex Post Variance
[Out of Sample Forecasts of Quadratic Variation]
by Jim Griffin & Jia Liu & John M. Maheu - 860-909 A Latent Factor Model for Forecasting Realized Variances
[Stock Returns and Volatility: Pricing the Short-Run and Long-Run Components of Market Risk]
by Giorgio Calzolari & Roxana Halbleib & Aygul Zagidullina - 910-933 Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures?
[Regression Models with Mixed Sampling Frequencies]
by Steven Lehrer & Tian Xie & Tao Zeng - 934-959 Bootstrap Confidence Intervals and Hypothesis Testing for Market Information Shares
[Price Discovery and Common Factor Models]
by Karsten Schweikert - 960-984 Estimating the Term Structure with Linear Regressions: Getting to the Roots of the Problem
[Term Structure Persistence]
by Adam Goliński & Peter Spencer - 985-1008 Price Discovery in a Continuous-Time Setting
[Price Discovery and Common Factor Models]
by Gustavo F. Dias & Marcelo Fernandes & Cristina M. Scherrer
2021, Volume 19, Issue 4
- 531-564 Dynamic Adaptive Mixture Models with an Application to Volatility and Risk
by Leopoldo Catania - 565-582 Fourth Moment Structure of Markov Switching Multivariate GARCH Models
by Maddalena Cavicchioli - 583-613 Nonparametric Dynamic Conditional Beta
by John M Maheu & Azam Shamsi Zamenjani - 614-649 HARK the SHARK: Realized Volatility Modeling with Measurement Errors and Nonlinear Dependencies
by Giuseppe Buccheri & Fulvio Corsi - 650-706 Positional Portfolio Management
by P Gagliardini & C Gourieroux & M Rubin - 707-745 Time-Varying Coefficient Estimation in SURE Models. Application to Portfolio Management
by Isabel Casas & Eva Ferreira & Susan Orbe - 746-788 Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns
by Sermin Gungor & Richard Luger
2021, Volume 19, Issue 3
- 393-394 Introduction to the 2018 Hal White Memorial Lecture
by Allan Timmerman & Fabio Trojani - 395-430 Price Discovery in High Resolution
by Joel Hasbrouck - 431-438 Comment on: Price Discovery in High Resolution
by James Brugler & Carole Comerton-Forde - 439-451 Comment on: Price Discovery in High Resolution
by Giuseppe Buccheri & Giacomo Bormetti & Fulvio Corsi & Fabrizio Lillo - 452-458 Comment on: Price Discovery in High Resolution
by Frank de Jong - 459-464 Comment on: Price Discovery in High Resolution and the Analysis of Mixed Frequency Data
by Eric Ghysels - 465-471 Rejoinder on: Price Discovery in High Resolution
by Joel Hasbrouck - 472-495 Intraday End-of-Day Volume Prediction
by Alessio Sancetta - 496-530 A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
by Jeremias Bekierman & Bastian Gribisch
2021, Volume 19, Issue 2
- 235-235 Special Issue on Dimensionality Reduction, Learning, and Machines
by Damir Filipovic & Fabio Trojani - 236-257 Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
[Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-frequency Data]
by Gianluca De Nard & Olivier Ledoit & Michael Wolf - 258-290 Pricing American Options under High-Dimensional Models with Recursive Adaptive Sparse Expectations
[Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion]
by Simon Scheidegger & Adrien Treccani - 291-312 An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
[Nonparametric Option Pricing under Shape Restrictions]
by Francesco Audrino & Robert Huitema & Markus Ludwig - 313-368 Deep Learning for Mortgage Risk
[The Subprime Virus]
by Apaar Sadhwani & Kay Giesecke & Justin Sirignano - 369-392 Robo-Advising: Learning Investors’ Risk Preferences via Portfolio Choices
[Mean-variance versus Full-scale Optimisation: In and out of Sample]
by Humoud Alsabah & Agostino Capponi & Octavio Ruiz Lacedelli & Matt Stern
2021, Volume 19, Issue 1
- 1-38 News and Idiosyncratic Volatility: The Public Information Processing Hypothesis
[A Theory of Intraday Patterns: Volume and Price Variability]
by Robert F Engle & Martin Klint Hansen & Ahmet K Karagozoglu & Asger Lunde - 39-52 On the Autocorrelation of the Stock Market
[X-CAPM: An Extrapolative Capital Asset Pricing Model]
by Ian Martin - 53-96 Regulatory Capital and Incentives for Risk Model Choice under Basel 3
[Procyclical Leverage and Value-at-Risk]
by Fred Liu & Lars Stentoft - 97-127 Dynamic Global Currency Hedging
[Arbitrage in the Foreign Exchange Market: Turning on the Microscope]
by Bent Jesper Christensen & Rasmus Tangsgaard Varneskov - 128-177 A Descriptive Study of High-Frequency Trade and Quote Option Data
[Stealth Trading in Options Markets]
by Torben Andersen & Ilya Archakov & Leon Grund & Nikolaus Hautsch & Yifan Li & Sergey Nasekin & Ingmar Nolte & Manh Cuong Pham & Stephen Taylor & Viktor Todorov - 178-201 Dynamics of Equity Factor Returns and Asset Pricing
[Dynamic Conditional Correlation: On Properties and Estimation]
by Stoyan V Stoyanov & Francesco A Fabozzi - 202-234 Local-Linear Estimation of Time-Varying-Parameter GARCH Models and Associated Risk Measures
[Modelling Volatility by Variance Decomposition]
by Atsushi Inoue & Lu Jin & Denis Pelletier
2020, 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
2020, Volume 18, Issue 2
- 181-208 Understanding Cryptocurrencies
by Wolfgang Karl Härdle & Campbell R Harvey & Raphael C G Reule - 209-232 High-Frequency Jump Analysis of the Bitcoin Market
by Olivier Scaillet & Adrien Treccani & Christopher Trevisan - 233-249 Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility
by Christian M Hafner - 250-279 Pricing Cryptocurrency Options
by Ai Jun Hou & Weining Wang & Cathy Y H Chen & Wolfgang Karl Härdle - 280-306 Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach
by Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle - 307-332 A GMM Skewness and Kurtosis Ratio Test for Higher Moment Dependence
by Woon K Wong - 333-394 Comparing Asset Pricing Models by the Conditional Hansen-Jagannathan Distance
by Patrick Gagliardini & Diego Ronchetti - 395-424 The Threshold GARCH Model: Estimation and Density Forecasting for Financial Returns
by Yuzhi Cai & Julian Stander - 425-470 Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors
by Haitao Huang & Xuan Leng & Xiaohui Liu & Liang Peng
2019, Volume 17, Issue 4
- 517-558 The VIX, the Variance Premium, and Expected Returns
by Daniela Osterrieder & Daniel Ventosa-Santaulària & J Eduardo Vera-Valdés - 559-586 Option-Implied Equity Premium Predictions via Entropic Tilting
by Konstantinos Metaxoglou & Davide Pettenuzzo & Aaron Smith - 587-615 Extreme Conditional Tail Moment Estimation under Serial Dependence
by Yannick Hoga - 616-644 A Quantile Regression Approach to Estimate the Variance of Financial Returns
by Dirk G Baur & Thomas Dimpfl - 645-686 Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies
by Olivier Ledoit & Michael Wolf & Zhao Zhao - 687-687 Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models
by P Gagliardini & E Ghysels & M Rubin
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