Journal of Financial Econometrics

Articles:

Monica Billio and Alain Monfort

Kernel-Based Indirect Inference
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 297-326; doi:10.1093/jjfinec/nbg014 [Abstract] [PDF] [Request Permissions]  

Toby Daglish

A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 327-364; doi:10.1093/jjfinec/nbg015 [Abstract] [PDF] [Request Permissions]  

Jeff Fleming and Chris Kirby

A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 365-419; doi:10.1093/jjfinec/nbg016 [Abstract] [PDF] [Request Permissions]  

Ana Pérez and Esther Ruiz

Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 420-444; doi:10.1093/jjfinec/nbg017 [Abstract] [PDF] [Request Permissions]  

Clifford M. Hurvich and Bonnie K. Ray

The Local Whittle Estimator of Long-Memory Stochastic Volatility
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 445-470; doi:10.1093/jjfinec/nbg018 [Abstract] [PDF] [Request Permissions]  

Adam Canopius

Practitioners' Corner
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 474-479; doi:10.1093/jjfinec/nbg020 [PDF] [Request Permissions]  

Book Reviews:

Pierre Giot

Carol Alexander 2001. Market Models: A Guide to Financial Data Analysis
JOURNAL OF FINANCIAL ECONOMETRICS 2003 1 (3): 471-473; doi:10.1093/jjfinec/nbg019 [PDF] [Request Permissions]  

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