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  • Search: isPartOf:"Journal of Financial Econometrics"
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Year of publication
Subject
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Theorie 237 Theory 237 Volatility 186 Volatilität 186 Estimation theory 146 Schätztheorie 146 Estimation 141 Schätzung 141 ARCH model 110 ARCH-Modell 110 Forecasting model 109 Prognoseverfahren 109 Time series analysis 106 Zeitreihenanalyse 106 Capital income 105 Kapitaleinkommen 105 Börsenkurs 85 Share price 85 Stochastic process 80 Stochastischer Prozess 80 Portfolio selection 70 Portfolio-Management 70 Risikomaß 65 Risk measure 65 CAPM 58 Statistical distribution 51 Statistische Verteilung 51 Correlation 49 Korrelation 49 Risikoprämie 45 Risk premium 45 Statistical test 39 Statistischer Test 39 Bayes-Statistik 38 Bayesian inference 38 Nichtparametrisches Verfahren 37 Nonparametric statistics 37 Yield curve 36 Zinsstruktur 36 Option pricing theory 34
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Online availability
All
Undetermined 513 Free 26
Type of publication
All
Article 840 Book / Working Paper 10
Type of publication (narrower categories)
All
Article in journal 566 Aufsatz in Zeitschrift 566 Collection of articles of several authors 5 Sammelwerk 5 Aufsatzsammlung 4 Festschrift 3 Conference proceedings 1 Konferenzschrift 1
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Language
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English 568 Undetermined 282
Author
All
Ghysels, Eric 22 Canopius, Adam 21 Garcia, René 16 Engle, Robert F. 15 Gouriéroux, Christian 14 Gagliardini, Patrick 13 Monfort, Alain 12 Gallant, A. Ronald 11 Renault, Eric 11 Audrino, Francesco 10 Härdle, Wolfgang 10 Lunde, Asger 10 Trojani, Fabio 10 Antoine, Bertille 9 Corsi, Fulvio 9 Hasbrouck, Joel 8 Hautsch, Nikolaus 8 Maheu, John M. 8 Almeida, Caio 7 Ardison, Kym 7 Barndorff-Nielsen, Ole E. 7 Gallo, Giampiero M. 7 Koopman, Siem Jan 7 Olmo, Jose 7 Ruiz, Esther 7 Timmermann, Allan 7 White, Halbert 7 Wu, Liuren 7 Caporin, Massimiliano 6 Kleibergen, Frank 6 Laurent, Sébastien 6 Paolella, Marc S. 6 Proulx, Kevin 6 Teräsvirta, Timo 6 Francq, Christian 5 Hansen, Peter Reinhard 5 Herwartz, Helmut 5 Horváth, Lajos 5 Jondeau, Eric 5 Kong, Lingwei 5
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Published in...
All
Journal of financial econometrics : official journal of the Society for Financial Econometrics 370 Journal of Financial Econometrics 278 Journal of financial econometrics 202
Source
All
ECONIS (ZBW) 568 RePEc 278 OLC EcoSci 4
Showing 1 - 10 of 850
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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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Maximum-Likelihood estimation using the zig-zag algorithm
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - In: Journal of financial econometrics 21 (2023) 4, pp. 1346-1375
Persistent link: https://www.econbiz.de/10014391462
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