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Journal Article

Dynamic Global Currency Hedging Get access

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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/10.1093/jjfinec/nbaa030
Published: 24 March 2021
Journal Article

Regulatory Capital and Incentives for Risk Model Choice under Basel 3* Get access

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Fred Liu and Lars Stentoft
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 53–96, https://doi.org/10.1093/jjfinec/nbaa029
Published: 24 March 2021
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Modeling Time-Varying Tail Dependence, with Application to Systemic Risk Forecasting Get access

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Yannick Hoga
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 1007–1037, https://doi.org/10.1093/jjfinec/nbaa043
Published: 24 February 2021
Journal Article

On the Autocorrelation of the Stock Market

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Ian Martin
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 39–52, https://doi.org/10.1093/jjfinec/nbaa033
Published: 31 January 2021
Journal Article

Decoupling the Short- and Long-Term Behavior of Stochastic Volatility Get access

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Mikkel Bennedsen and others
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 961–1006, https://doi.org/10.1093/jjfinec/nbaa049
Published: 30 January 2021
Journal Article

Estimating the Speed of Adjustment of Leverage in the Presence of Interactive Effects Get access

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Joakim Westerlund and others
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 942–960, https://doi.org/10.1093/jjfinec/nbab002
Published: 30 January 2021
Journal Article

Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures Get access

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Christophe Chorro and Rahantamialisoa H Fanirisoa Zazaravaka
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 902–941, https://doi.org/10.1093/jjfinec/nbaa042
Published: 22 January 2021
Journal Article

Testing for Endogeneity of Covid-19 Patient Assignments Get access

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C Gourieroux and others
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 875–901, https://doi.org/10.1093/jjfinec/nbaa047
Published: 17 January 2021
Journal Article

Multilevel and Tail Risk Management Get access

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Lynda Khalaf and others
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 839–874, https://doi.org/10.1093/jjfinec/nbaa044
Published: 13 January 2021
Journal Article

A Descriptive Study of High-Frequency Trade and Quote Option Data Get access

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Torben Andersen and others
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 128–177, https://doi.org/10.1093/jjfinec/nbaa036
Published: 06 January 2021
Journal Article

Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models Get access

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Marcello Pericoli and Marco Taboga
Journal of Financial Econometrics, Volume 20, Issue 5, Autumn 2022, Pages 807–838, https://doi.org/10.1093/jjfinec/nbaa037
Published: 05 January 2021
Journal Article

Selective Linear Segmentation for Detecting Relevant Parameter Changes Get access

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

Bayesian Selection of Asset Pricing Factors Using Individual Stocks Get access

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Soosung Hwang and Alexandre Rubesam
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 716–761, https://doi.org/10.1093/jjfinec/nbaa045
Published: 21 December 2020
Journal Article

News and Idiosyncratic Volatility: The Public Information Processing Hypothesis Get access

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Robert F Engle and others
Journal of Financial Econometrics, Volume 19, Issue 1, Winter 2021, Pages 1–38, https://doi.org/10.1093/jjfinec/nbaa038
Published: 21 December 2020
Journal Article

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

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

Forecasting VIX Using Filtered Historical Simulation Get access

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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/10.1093/jjfinec/nbaa041
Published: 06 December 2020
Journal Article

Dynamics of Equity Factor Returns and Asset Pricing Get access

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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/10.1093/jjfinec/nbaa031
Published: 02 December 2020
Journal Article

Statistical Inference of Spot Correlation and Spot Market Beta under Infinite Variation Jumps Get access

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Qiang Liu and Zhi Liu
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 612–654, https://doi.org/10.1093/jjfinec/nbaa028
Published: 19 November 2020
Journal Article

Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage Get access

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Gianluca De Nard
Journal of Financial Econometrics, Volume 20, Issue 4, Fall 2022, Pages 569–611, https://doi.org/10.1093/jjfinec/nbaa020
Published: 07 November 2020
Journal Article

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

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