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Year of publication
Subject
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Theorie 10 Theory 10 Estimation theory 9 Schätztheorie 9 CAPM 8 Statistical test 8 Statistischer Test 8 Volatility 8 Volatilität 8 Forecasting model 6 Prognoseverfahren 6 Risikoprämie 6 Risk premium 6 Börsenkurs 5 Estimation 5 Schätzung 5 Share price 5 Artificial intelligence 4 Capital income 4 Kapitaleinkommen 4 Künstliche Intelligenz 4 Option pricing theory 4 Optionspreistheorie 4 Robust statistics 4 Robustes Verfahren 4 Time series analysis 4 Zeitreihenanalyse 4 Nichtparametrisches Verfahren 3 Nonparametric statistics 3 Sampling 3 Stichprobenerhebung 3 machine learning 3 Correlation 2 Induktive Statistik 2 Korrelation 2 Neural networks 2 Neuronale Netze 2 Portfolio selection 2 Portfolio-Management 2 Regional cluster 2
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Online availability
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Free 27
Type of publication
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Article 27
Type of publication (narrower categories)
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Article in journal 27 Aufsatz in Zeitschrift 27
Language
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English 27
Author
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Kleibergen, Frank 3 Kong, Lingwei 3 Zhan, Zhaoguo 3 Hasbrouck, Joel 2 Sancetta, Alessio 2 Zaffaroni, Paolo 2 Astill, Sam 1 Ballestra, Luca Vincenzo 1 Barbaglia, Luca 1 Barendse, Sander 1 Chen, Jian 1 Chronopoulos, Ilias 1 Clements, Adam 1 Clements, Michael P. 1 Conlon, Thomas 1 Cotter, John 1 Cucuringu, Mihai 1 D'Innocenzo, Enzo 1 Dijk, Dick van 1 Gagliardini, Patrick 1 Ghysels, Eric 1 Grammig, Joachim 1 Guizzardi, Andrea 1 Gungor, Sermin 1 Hanenberg, Constantin 1 Harvey, David I. 1 Hautsch, Nikolaus 1 Hecq, Alain W. J. 1 Heijden, Thijs van der 1 Hurn, Stan 1 Jin, Chenglu 1 João, Igor Custodio 1 Kapetanios, George 1 Khalaf, Lynda 1 Kole, Erik 1 Kwok, Simon Sai Man 1 Leybourne, Stephen James 1 Lindsay, Kenneth A. 1 Lucas, André 1 Luger, Richard 1
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Published in...
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Journal of financial econometrics 27
Source
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ECONIS (ZBW) 27
Showing 1 - 10 of 27
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Diverging roads : theory-based vs. machine learning-implied stock risk premia
Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - In: Journal of financial econometrics 23 (2025) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10015339820
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A consistent and robust test for autocorrelated jump occurrences
Kwok, Simon Sai Man - In: Journal of financial econometrics 22 (2024) 1, pp. 157-186
Persistent link: https://www.econbiz.de/10014526309
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Dynamic nonparametric clustering of multivariate panel data
João, Igor Custodio; Schaumburg, Julia; Lucas, André; … - In: Journal of financial econometrics 22 (2024) 2, pp. 335-374
Persistent link: https://www.econbiz.de/10014526325
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of financial econometrics 22 (2024) 2, pp. 407-460
Persistent link: https://www.econbiz.de/10014526327
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Score-driven modeling with jumps : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: Journal of financial econometrics 22 (2024) 2, pp. 375-406
Persistent link: https://www.econbiz.de/10014526331
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Volatility forecasting with machine learning and intraday commonality
Zhang, Chao; Zhang, Yihuang; Cucuringu, Mihai; Qian, … - In: Journal of financial econometrics 22 (2024) 2, pp. 492-530
Persistent link: https://www.econbiz.de/10014526335
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Forecasting value-at-risk using deep neural network quantile regression
Chronopoulos, Ilias; Raftapostolos, Aristeidis; … - In: Journal of financial econometrics 22 (2024) 3, pp. 636-669
Persistent link: https://www.econbiz.de/10015045167
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Modeling price and variance jump clustering using the marked Hawkes process
Chen, Jian; Clements, Michael P.; Urquhart, Andrew - In: Journal of financial econometrics 22 (2024) 3, pp. 743-772
Persistent link: https://www.econbiz.de/10015045178
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The determinants of volatility timing performance
Taylor, Nicholas - In: Journal of financial econometrics 21 (2023) 4, pp. 1228-1257
Persistent link: https://www.econbiz.de/10014391452
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Empirical asset pricing with functional factors
Nadler, Philip; Sancetta, Alessio - In: Journal of financial econometrics 21 (2023) 4, pp. 1258-1281
Persistent link: https://www.econbiz.de/10014391457
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