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OUP: Journal of Financial Econometrics |
| 2,055 Total downloads for all papers in this Journal/Topic |
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A Latent Factor Model of Multivariate Conditional HeteroscedasticityJournal of Financial Econometrics, Vol. 7, Issue 4, pp. 481-503, 2009
Mike Aguilar
affiliation not provided to SSRN
Date Posted: October 9, 2009
Last Revised: October 20, 2009
Accepted Paper Series
Chicago: A Fast and Accurate Method for Portfolio Risk CalculationJournal of Financial Econometrics, Vol. 7, Issue 4, pp. 412-436, 2009
Simon A. Broda and Marc S. Paolella
University of Zurich - Swiss Banking Institute (ISB) and University of Zurich
Date Posted: October 9, 2009
Last Revised: October 20, 2009
Accepted Paper Series
Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH ModelJournal of Financial Econometrics, Vol. 7, Issue 4, pp. 373-411, 2009
Annastiina Silvennoinen and Timo Teräsvirta
Queensland University of Technology and affiliation not provided to SSRN
Date Posted: October 9, 2009
Last Revised: October 20, 2009
Accepted Paper Series
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-RangeJournal of Financial Econometrics, Vol. 7, Issue 4, pp. 341-372, 2009
Karim Bannouh , Dick J. C. van Dijk and Martin Martens
ERIM , Erasmus University Rotterdam - Econometric Institute and Erasmus University Rotterdam
Date Posted: October 9, 2009
Last Revised: October 20, 2009
Accepted Paper Series
1 downloads
Modeling International Financial Returns with a Multivariate Regime-Switching CopulaJournal of Financial Econometrics, Vol. 7, Issue 4, pp. 437-480, 2009
Lorán Chollete , Andréas Heinen and Alfonso Valdesogo
Norwegian School of Economics and Business Administration (NHH) - Department of Finance and Management Science , Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Centre de Recherche en Économie Appliquée (CREA)
Date Posted: October 9, 2009
Last Revised: October 20, 2009
Accepted Paper Series
A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic RiskJournal of Financial Econometrics, Vol. 7, Issue 3, pp. 247-264, 2009
Paskalis Glabadanidis
Koc University CASE Finance Area
Date Posted: June 30, 2009
Last Revised: October 8, 2009
Accepted Paper Series
A New Look at the Forward Premium PuzzleJournal of Financial Econometrics, Vol. 7, Issue 3, pp. 312-338, 2009
Nikolay Gospodinov
Concordia University - Department of Economics
Date Posted: June 30, 2009
Last Revised: October 8, 2009
Accepted Paper Series
1 downloads
Inference on Risk-Neutral Measures for Incomplete MarketsJournal of Financial Econometrics, Vol. 7, Issue 3, pp. 199-246, 2009
Hiroaki Kaido and Halbert L. White, Jr.
University of California, San Diego - Department of Economics and University of California, San Diego - Department of Economics
Date Posted: June 30, 2009
Last Revised: October 8, 2009
Accepted Paper Series
Measuring Event RiskJournal of Financial Econometrics, Vol. 7, Issue 3, pp. 265-287, 2009
Peter M. Nyberg and Anders Wilhelmsson
Hanken School of Economics - Department of Finance and Statistics and Lund University - Department of Economics
Date Posted: June 30, 2009
Last Revised: October 8, 2009
Accepted Paper Series
Using High-Frequency Transaction Data to Estimate the Probability of Informed TradingJournal of Financial Econometrics, Vol. 7, Issue 3, pp. 288-311, 2009
Anthony S. Tay , Christopher Ting , Yiu Kuen Tse and Mitch Warachka
National University of Singapore (NUS) - Department of Economics , Singapore Management University - School of Business , Singapore Management University - School of Economics & Social Sciences and Singapore Management University - School of Business
Date Posted: June 30, 2009
Last Revised: October 8, 2009
Accepted Paper Series
A Statistical Inquiry into the Plausibility of Recursive UtilityJournal of Financial Econometrics, Vol. 5, Issue 4, pp. 523-559, 2007
A. Ronald Gallant and Han Hong
affiliation not provided to SSRN and Duke University - Department of Economics
Date Posted: June 1, 2009
Last Revised: June 1, 2009
Accepted Paper Series
Accurate Short-Term Yield Curve Forecasting Using Functional Gradient DescentJournal of Financial Econometrics, Vol. 5, Issue 4, pp. 591-623, 2007
Francesco Audrino and Fabio Trojani
University of Lugano , Swiss Finance Institute and University of Lugano
Date Posted: June 1, 2009
Last Revised: June 1, 2009
Accepted Paper Series
Components of Market Risk and ReturnJournal of Financial Econometrics, Vol. 5, No. 4, pp. 560-590, 2007
John M. Maheu and Thomas H. McCurdy
University of Toronto - Department of Economics and University of Toronto - Joseph L. Rotman School of Management
Date Posted: June 1, 2009
Last Revised: June 1, 2009
Accepted Paper Series
Positivity Conditions for a Bivariate Autoregressive Volatility SpecificationJournal of Financial Econometrics, Vol. 5, Issue 4, pp. 624-636, 2007
C. Gourieroux
affiliation not provided to SSRN
Date Posted: June 1, 2009
Last Revised: June 1, 2009
Accepted Paper Series
A Simple Approximate Long-Memory Model of Realized VolatilityJournal of Financial Econometrics, Vol. 7, Issue 2, pp. 174-196, 2009
Fulvio Corsi
University of Lugano and Swiss Finance Institute
Date Posted: March 23, 2009
Last Revised: October 8, 2009
Accepted Paper Series
Estimation Risk-Adjusted Sharpe Ratio and Fund Performance Ranking Under a General Return DistributionJournal of Financial Econometrics, Vol. 7, Issue 2, pp. 152-173, 2009
Yong Bao
Purdue University
Date Posted: March 23, 2009
Last Revised: October 8, 2009
Accepted Paper Series
Estimation and Testing for Dependence in Market Microstructure NoiseJournal of Financial Econometrics, Vol. 7, Issue 2, pp. 106-151, 2009
Masato Ubukata and Kosuke Oya
Osaka University and Osaka University
Date Posted: March 23, 2009
Last Revised: October 8, 2009
Accepted Paper Series
Nonparametric Option Pricing with No-Arbitrage ConstraintsJournal of Financial Econometrics, Vol. 7, Issue 2, pp. 53-76, 2009
Melanie Birke and Kay F. Pilz
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: March 23, 2009
Last Revised: October 8, 2009
Accepted Paper Series
The Impact of Shocks on Higher MomentsJournal of Financial Econometrics, Vol. 7, Issue 2, pp. 77-105, 2009
Eric Jondeau and Michael Rockinger
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: March 23, 2009
Last Revised: October 8, 2009
Accepted Paper Series
A Short Introduction to Correlation MarketsJournal of Financial Econometrics, Vol. 7, Issue 1, pp. 12-29, 2009
Pierre Collin-Dufresne
Columbia University - Columbia Business School
Date Posted: January 3, 2009
Last Revised: October 8, 2009
Accepted Paper Series
2 downloads
Records 1 - 20 of 147 matches
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