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Content
2023, Volume 21, Issue 1
- 1-72 Measuring Systemic Risk Using Multivariate Quantile-Located ES Models
[Relating Quantiles and Expectiles under Weighted-Symmetry]
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
[Approaching Mean–Variance Efficiency for Large Portfolios]
by Zhao Zhao & Olivier Ledoit & Hui Jiang - 106-144 Volatility Estimation and Forecasts Based on Price Durations
[Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise]
by Seok Young Hong & Ingmar Nolte & Stephen J Taylor & Xiaolu Zhao - 145-186 Option Prices and the Probability of Success of Cash Mergers
[Empirical Performance of Alternative Option Pricing Models]
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
[Tests for an End-of-Sample Bubble in Financial Time Series]
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
[A Comprehensive Review of Value at Risk Methodologies]
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 - 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
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