Search Results - isPartOf:"Journal of Financial Econometrics"

Jondeau, Eric; Rockinger, Michael - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 77-105

Persistent link: https://www.econbiz.de/10003826483

Estimation and testing for dependence in market microstructure noise

Ubukata, Masato; Oya, Kosuke - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 106-151

Persistent link: https://www.econbiz.de/10003826489

Estimation risk-adjusted sharpe ratio and fund performance ranking under a general return distribution

Bao, Yong - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 152-173

Persistent link: https://www.econbiz.de/10003826491

A simple approximate long-memory model of realized volatility

Corsi, Fulvio - In: Journal of financial econometrics : official journal of … 7 (2009) 2, pp. 174-196

Persistent link: https://www.econbiz.de/10003826493

Inference on risk-neutral measures for incomplete markets

Kaido, Hiroaki; White, Halbert - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 199-246

Persistent link: https://www.econbiz.de/10003884182

A dynamic asset pricing model with time-varying factor and idiosyncratic risk

Glabadanidis, Paskalis - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 247-264

Persistent link: https://www.econbiz.de/10003884186

Measuring event risk

Nyberg, Peter; Wilhelmsson, Anders - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 265-287

Persistent link: https://www.econbiz.de/10003884188

Using high-frequency transaction data to estimate the probability of informed trading

Tay, Anthony S. A.; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 288-311

Persistent link: https://www.econbiz.de/10003884192

A new look at the forward premium puzzle

Gospodinov, Nikolaj - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 312-338

Persistent link: https://www.econbiz.de/10003884194

Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of Financial Econometrics 10 (2009) 1, pp. 124-163

We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage ef fect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility and find that implied volatilities are...

Persistent link: https://www.econbiz.de/10010970330