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"Journal of Financial Econometrics"
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On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
by
Patton, Andrew
Published in
Journal of financial econometrics
(01.01.2004)
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Power and Bipower Variation with Stochastic Volatility and Jumps
by
Barndorff-Nielsen, Ole E
Published in
Journal of financial econometrics
(01.01.2004)
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Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
by
Jeffrey, Andrew
Published in
Journal of financial econometrics
(2004)
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How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes
by
Calvet, Laurent E
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Journal of financial econometrics
(01.01.2004)
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Backtesting Value-at-Risk: A Duration-Based Approach
by
Christoffersen, Peter F
Published in
Journal of financial econometrics
(01.01.2004)
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Circuit Breakers and the Tail Index of Equity Returns
by
Galbraith, John W
Published in
Journal of financial econometrics
(01.01.2004)
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A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options
by
Daglish, Toby
Published in
Journal of financial econometrics
(01.10.2003)
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Kernel-Based Indirect Inference
by
Billio, Monica
,
Monfort, Alain
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Journal of financial econometrics
(01.10.2003)
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A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility
by
Fleming, Jeff
,
Kirby, Chris
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Journal of financial econometrics
(01.10.2003)
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The Local Whittle Estimator of Long-Memory Stochastic Volatility
by
Hurvich, Clifford M
,
Ray, Bonnie K
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Journal of financial econometrics
(01.10.2003)
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Practitioners' Corner
by
Canopius, Adam
Published in
Journal of financial econometrics
(01.10.2003)
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Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models
by
Pérez, Ana
,
Ruiz, Esther
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Journal of financial econometrics
(01.10.2003)
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Market Models: A Guide to Financial Data Analysis
by
Giot, Pierre
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Journal of financial econometrics
(01.10.2003)
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Using Multiple Imputation in the Analysis of Incomplete Observations in Finance
by
Sharpe, Ian G
,
Kofman, Paul
Published in
Journal of financial econometrics
(01.07.2003)
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Trades and Quotes: A Bivariate Point Process
by
Lunde, Asger
,
Engle, Robert F
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Journal of financial econometrics
(01.07.2003)
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The Robustness of the Conditional CAPM with Human Capital
by
Palacios-Huerta, Ignacio
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Journal of financial econometrics
(01.07.2003)
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Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities
by
Hautsch, Nikolaus
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Journal of financial econometrics
(01.07.2003)
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Itô Conditional Moment Generator and the Estimation of Short-Rate Processes
by
Zhou, Hao
Published in
Journal of financial econometrics
(01.07.2003)
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Practitioners' Corner
by
Canopius, Adam
Published in
Journal of financial econometrics
(01.06.2003)
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Dynamics of Trade-by-Trade Price Movements: Decomposition and Models
by
Shephard, Neil
,
Rydberg, Tina Hviid
Published in
Journal of financial econometrics
(01.04.2003)
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