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JEL: C58 - Financial Econometrics
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Journal Article

Empirical Evaluation of Competing High-Frequency Estimators of Quadratic Variation

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Colin Bowers and Chris Heaton
Journal of Financial Econometrics, Volume 23, Issue 3, 2025, nbaf007, https://doi.org/10.1093/jjfinec/nbaf007
Published: 12 April 2025
Journal Article

Assessing Tail Risk via a Generalized Conditional Autoregressive Expectile Model Get access

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Zongwu Cai and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf010, https://doi.org/10.1093/jjfinec/nbaf010
Published: 26 March 2025
Journal Article

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia Get access

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Joachim Grammig and others
Journal of Financial Econometrics, Volume 23, Issue 2, 2025, nbaf005, https://doi.org/10.1093/jjfinec/nbaf005
Published: 10 March 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/10.1093/jjfinec/nbae036
Published: 31 January 2025
Journal Article

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

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

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

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

Exploiting Intraday Decompositions in Realized Volatility Forecasting: A Forecast Reconciliation Approach

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Massimiliano Caporin and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1759–1784, https://doi.org/10.1093/jjfinec/nbae014
Published: 27 June 2024
Journal Article

Finite Lag Estimation of Non-Markovian Processes Get access

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A Ronald Gallant and Halbert L White†
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1656–1671, https://doi.org/10.1093/jjfinec/nbae011
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/10.1093/jjfinec/nbae009
Published: 26 April 2024
Journal Article

Factor Overnight GARCH-Itô Models

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Donggyu Kim and others
Journal of Financial Econometrics, Volume 22, Issue 5, Autumn 2024, Pages 1209–1235, https://doi.org/10.1093/jjfinec/nbad032
Published: 19 December 2023
Journal Article

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

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

A Stochastic Price Duration Model for Estimating High-Frequency Volatility Get access

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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/10.1093/jjfinec/nbad029
Published: 23 October 2023
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Optimal Portfolio Using Factor Graphical Lasso Get access

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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/10.1093/jjfinec/nbad011
Published: 12 April 2023
Journal Article

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

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

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

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Andréas Heinen and others
Journal of Financial Econometrics, Volume 22, Issue 1, Winter 2024, Pages 297–334, https://doi.org/10.1093/jjfinec/nbac037
Published: 28 December 2022
Journal Article

Periodicity in Cryptocurrency Volatility and Liquidity Get access

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Peter Reinhard Hansen and others
Journal of Financial Econometrics, Volume 22, Issue 1, Winter 2024, Pages 224–251, https://doi.org/10.1093/jjfinec/nbac034
Published: 12 October 2022
Journal Article

An Enhanced Factor Model for Portfolio Selection in High Dimensions Get access

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Fangquan Shi and others
Journal of Financial Econometrics, Volume 22, Issue 1, Winter 2024, Pages 94–118, https://doi.org/10.1093/jjfinec/nbac029
Published: 08 August 2022
Journal Article

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices Get access

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Jozef Baruník and Matěj Nevrla
Journal of Financial Econometrics, Volume 21, Issue 5, Autumn 2023, Pages 1590–1646, https://doi.org/10.1093/jjfinec/nbac017
Published: 11 June 2022
Journal Article

Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal Get access

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Tim Bollerslev
Journal of Financial Econometrics, Volume 20, Issue 2, Spring 2022, Pages 219–252, https://doi.org/10.1093/jjfinec/nbab025
Published: 20 November 2021
Journal Article

Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion Get access

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Rachida Ouysse
Journal of Financial Econometrics, Volume 21, Issue 2, Spring 2023, Pages 368–411, https://doi.org/10.1093/jjfinec/nbab003
Published: 02 October 2021