Printed from https://ideas.repec.org/s/oup/jfinec4.html
Content
2003, Volume 1, Issue 1
- 55-95 Time Inhomogeneous Multiple Volatility Modeling
by Wolfgang Hardle & Helmut Herwartz & Vladimir Spokoiny - 96-125 Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
by Markku Lanne & Pentti Saikkonen - 126-151 Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options
by Soku Byoun & Chuck C. Y. Kwok & Hun Y. Park - 152-157 Practitioners' Corner
by Adam Canopius
0000, Volume 18, Issue 4
- 654-655 Introduction to the 2017 Hal White Memorial Lecture
by Allan Timmermann & Fabio Trojani - 656-714 Pseudo-True SDFs in Conditional Asset Pricing Models
by Bertille Antoine & Kevin Proulx & Eric Renault - 715-720 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Lars Peter Hansen - 721-728 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Sydney C Ludvigson - 729-735 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Raymond Kan & Cesare Robotti - 736-775 Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models. Comparing Fixed- versus Vanishing-Bandwidth Estimators of Pseudo-True SDFs
by Patrick Gagliardini & Diego Ronchetti - 776-790 Rejoinder on: Pseudo-True SDFs in Conditional Asset Pricing Models
by Bertille Antoine & Kevin Proulx & Eric Renault
0000, Volume 18, Issue 3
- 471-472 Predictive Modeling, Volatility, and Risk Management in Financial Markets: In Memory of Peter F. Christoffersen (Part I)
by Francis X Diebold & René Garcia & Kris Jacobs - 473-501 The Term Structures of Expected Loss and Gain Uncertainty
by Bruno Feunou & Ricardo Lopez Aliouchkin & Roméo Tédongap & Lai Xu - 502-531 Realized Volatility Forecasting with Neural Networks
by Andrea Bucci - 532-555 Realized Variance Modeling: Decoupling Forecasting from Estimation
by Fabrizio Cipollini & Giampiero M Gallo & Alessandro Palandri - 556-584 Using the Extremal Index for Value-at-Risk Backtesting
by Axel Bücher & Peter N Posch & Philipp Schmidtke - 585-628 Mixed-Frequency Macro–Finance Factor Models: Theory and Applications
by Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin - 629-652 Implied Default Probabilities and Losses Given Default from Option Prices
by Jennifer Conrad & Robert F Dittmar & Allaudeen Hameed
0000, Volume 10, Issue 1
- 54-83 Forecasting intraday volatility in the US equity market. Multiplicative component GARCH
by Robert F. Engle & Magdalena E. Sokalska
0000, Volume 5, Issue 3
- 321-357 Aggregation of Nonparametric Estimators for Volatility Matrix
by Jianqing Fan & Yingying Fan & Jinchi Lv - 358-359 Model-free versus Model-based Volatility Prediction
by Dimitris N. Politis - 390-455 Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations
by A. S. Hurn & J. I. Jeisman & K. A. Lindsay - 456-490 Beta Regimes for the Yield Curve
by Francesco Audrino & Enrico De Giorgi - 491-522 Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis
by Joakim Westerlund
0000, Volume 5, Issue 2
- 189-218 A semiparametric factor model for implied volatility surface dynamics
by Matthias R. Fengler & Wolfgang K. Härdle & Enno Mammen - 219-242 Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
by Marcelo Fernandes & Marco Aurélio Dos Santos Rocha - 243-265 The Predictive Power of 'Head-and-Shoulders' Price Patterns in the U.S. Stock Market
by Gene Savin & Paul Weller & Jānis Zvingelis - 266-284 A discrete and a continuous-time model based on a technical trading rule
by João Nicolau - 285-320 Measuring contagion and interdependence with a Bayesian time-varying coefficient model: An application to the Chilean FX market during the Argentine crisis
by Matteo Ciccarelli & Alessandro Rebucci