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Previous Next 		Contents: Volume 6, Number 2, Spring 2008   [Index by Author] 

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To see an article, click its [Full Text] or [PDF] link. To review many abstracts, check the boxes to the left of the titles you want, and click the 'Get All Checked Abstract(s)' button. To see one abstract at a time, click its [Abstract] link.

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David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
Time-Varying Arrival Rates of Informed and Uninformed Trades
Journal of Financial Econometrics Advance Access published on February 26, 2008
JOURNAL OF FINANCIAL ECONOMETRICS 2008 6: 171-207; doi:10.1093/jjfinec/nbn003 [Abstract] [FREE Full Text] [PDF]   OPEN ACCESS ARTICLE  

Changli He, Annastiina Silvennoinen, and Timo Teräsvirta
Parameterizing Unconditional Skewness in Models for Financial Time Series
Journal of Financial Econometrics Advance Access published on February 21, 2008
JOURNAL OF FINANCIAL ECONOMETRICS 2008 6: 208-230; doi:10.1093/jjfinec/nbn002 [Abstract] [Full Text] [PDF] [Request Permissions]  

James W. Taylor
Estimating Value at Risk and Expected Shortfall Using Expectiles
Journal of Financial Econometrics Advance Access published on February 9, 2008
JOURNAL OF FINANCIAL ECONOMETRICS 2008 6: 231-252; doi:10.1093/jjfinec/nbn001 [Abstract] [Full Text] [PDF] [Request Permissions]  

Wei Biao Wu, Keming Yu, and Gautam Mitra
Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk
Journal of Financial Econometrics Advance Access published on December 13, 2007
JOURNAL OF FINANCIAL ECONOMETRICS 2008 6: 253-270; doi:10.1093/jjfinec/nbm022 [Abstract] [Full Text] [PDF] [Request Permissions]  

Burkhard Raunig
Detecting ARCH Effects in Non-Gaussian Time Series
Journal of Financial Econometrics Advance Access published on January 16, 2008
JOURNAL OF FINANCIAL ECONOMETRICS 2008 6: 271-289; doi:10.1093/jjfinec/nbm023 [Abstract] [Full Text] [PDF] [Request Permissions]  

To see an article, click its [Full Text] or [PDF] link. To review many abstracts, check the boxes to the left of the titles you want, and click the 'Get All Checked Abstract(s)' button. To see one abstract at a time, click its [Abstract] link.