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G10 - General
Citations 1-10 of 15 total displayed.
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Most recent content
(1 Jul 2008):
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- Articles
Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US
- Denise R. Osborn, Christos S. Savva, and Len Gill
J. Financial Econometrics 2008; 6: 307-325.
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- Articles
Are There Structural Breaks in Realized Volatility?
- Chun Liu and John M. Maheu
J. Financial Econometrics 2008; 6: 326-360.
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Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall
- James W. Taylor
J. Financial Econometrics 2008; 6: 382-406.
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Past content
(since Jun 2003):
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- Articles
Time-Varying Arrival Rates of Informed and Uninformed Trades
- David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
J. Financial Econometrics 2008; 6: 171-207.
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Parameterizing Unconditional Skewness in Models for Financial Time Series
- Changli He, Annastiina Silvennoinen, and Timo Teräsvirta
J. Financial Econometrics 2008; 6: 208-230.
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Model-free versus Model-based Volatility Prediction
- Dimitris N. Politis
J. Financial Econometrics 2007; 5: 358-359.
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Practitioners’ Corner: Introduction to the Special Issue
- Adam Canopius
J. Financial Econometrics 2005; 3: 447-455.
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A Test for Symmetry with Leptokurtic Financial Data
- Gamini Premaratne and Anil Bera
J. Financial Econometrics 2005; 3: 169-187.
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Nonparametric Inference of Value-at-Risk for Dependent Financial Returns
- Song Xi Chen and Cheng Yong Tang
J. Financial Econometrics 2005; 3: 227-255.
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Stochastic Conditional Duration Models with "Leverage Effect" for Financial Transaction Data
- Dingan Feng, George J. Jiang, and Peter X.-K. Song
J. Financial Econometrics 2004; 2: 390-421.
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