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Content
2004, Volume 2, Issue 2
- 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