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Search: isPartOf:"Journal of Financial Econometrics"
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237
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Ghysels, Eric
22
Canopius, Adam
21
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16
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15
Gouriéroux, Christian
14
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13
Monfort, Alain
12
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11
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11
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10
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10
Lunde, Asger
10
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10
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9
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9
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8
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8
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8
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7
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7
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7
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7
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7
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7
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7
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7
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7
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6
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6
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6
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Francq, Christian
5
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5
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5
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
370
Journal of Financial Econometrics
278
Journal of financial econometrics
202
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ECONIS (ZBW)
568
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4
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101
Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures
Chorro, Christophe
;
Rahantamialisoa, H. Fanirisoa Zazaravaka
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 902-941
Persistent link: https://www.econbiz.de/10013460032
Saved in:
102
Decoupling the short- and long-term behavior of stochastic volatility
Bennedsen, Mikkel
;
Lunde, Asger
;
Pakkanen, Mikko S.
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 961-1006
Persistent link: https://www.econbiz.de/10013460035
Saved in:
103
Estimating the speed of adjustment of leverage in the presence of interactive effects
Westerlund, Joakim
;
Karabiyik, Hande
;
Narayan, Paresh Kumar
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 942-960
Persistent link: https://www.econbiz.de/10013460044
Saved in:
104
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
Saved in:
105
Realized semi(co)variation : signs that all volatilities are not created equal
Bollerslev, Tim
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 219-252
Persistent link: https://www.econbiz.de/10013187965
Saved in:
106
What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting
;
Bu, Ruijun
;
Chen, Qiang
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
Saved in:
107
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
108
Estimating loss given default from CDS under weak identification
Liu, Lily Y.
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 310-344
Persistent link: https://www.econbiz.de/10013187982
Saved in:
109
Single-index expectile models for estimating conditional value at risk and expected shortfall
Jiang, Rong
;
Hu, Xueping
;
Yu, Keming
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
Saved in:
110
Covariance matrix estimation under total positivity for portfolio selection
Agrawal, Raj
;
Roy, Uma
;
Uhler, Caroline
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 367-389
Persistent link: https://www.econbiz.de/10013187988
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