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Search: isPartOf:"Journal of Financial Econometrics"
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Theorie
269
Theory
269
Volatility
212
Volatilität
212
Estimation theory
172
Schätztheorie
172
Estimation
168
Schätzung
168
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126
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126
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122
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122
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121
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121
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119
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119
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95
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95
Stochastic process
90
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90
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84
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84
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70
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70
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67
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58
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58
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57
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57
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55
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55
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46
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46
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44
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44
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42
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42
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39
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644
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644
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646
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Ghysels, Eric
23
Canopius, Adam
21
Gagliardini, Patrick
16
Garcia, René
16
Engle, Robert F.
15
Gouriéroux, Christian
15
Gallant, A. Ronald
12
Monfort, Alain
12
Renault, Eric
11
Antoine, Bertille
10
Audrino, Francesco
10
Härdle, Wolfgang
10
Lunde, Asger
10
Trojani, Fabio
10
Corsi, Fulvio
9
Hasbrouck, Joel
8
Hautsch, Nikolaus
8
Maheu, John M.
8
Olmo, Jose
8
White, Halbert
8
Almeida, Caio
7
Ardison, Kym
7
Barndorff-Nielsen, Ole E.
7
Caporin, Massimiliano
7
Gallo, Giampiero M.
7
Koopman, Siem Jan
7
Ruiz, Esther
7
Scaillet, Olivier
7
Timmermann, Allan
7
Wu, Liuren
7
Kleibergen, Frank
6
Laurent, Sébastien
6
Paolella, Marc S.
6
Proulx, Kevin
6
Schotman, Peter C.
6
Teräsvirta, Timo
6
Buccheri, Giuseppe
5
Francq, Christian
5
Hansen, Peter Reinhard
5
Herwartz, Helmut
5
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
370
Journal of financial econometrics
280
Journal of Financial Econometrics
278
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ECONIS (ZBW)
646
RePEc
278
OLC EcoSci
4
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31
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
Saved in:
32
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
Saved in:
33
CUSUM-based monitoring for explosive episodes in financial data in the presence of time-varying volatility
Astill, Sam
;
Harvey, David I.
;
Leybourne, Stephen James
; …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 187-227
Persistent link: https://www.econbiz.de/10013542862
Saved in:
34
Comment on: price discovery in high resolution, comment on: pseudo-true SDFs in conditional asset pricing models, and comment on: pseudo-true sdfs in conditional asset pricing models. Comparing fixed-versus vanishing-bandwidth estimators of pseudo-true SDFs
Hasbrouck, Joel
(
contributor
); …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 261
Persistent link: https://www.econbiz.de/10013542870
Saved in:
35
Identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 263-297
Persistent link: https://www.econbiz.de/10014314742
Saved in:
36
Comment on: identification robust testing of risk premia in finite samples
Zaffaroni, Paolo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 303-305
Persistent link: https://www.econbiz.de/10014314744
Saved in:
37
Rejoinder on: identification robust testing of risk premia in finite samples
Kleibergen, Frank
;
Kong, Lingwei
;
Zhan, Zhaoguo
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 311-315
Persistent link: https://www.econbiz.de/10014314746
Saved in:
38
Backtesting value-at-risk and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
39
Forecasting loan default in Europe with machine learning
Barbaglia, Luca
;
Manzan, Sebastiano
;
Tosetti, Elisa
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 569-596
Persistent link: https://www.econbiz.de/10014314761
Saved in:
40
Intraday trades profile estimation : an intensity approach
Sancetta, Alessio
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 651-677
Persistent link: https://www.econbiz.de/10014314773
Saved in:
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