Journal of Financial Econometrics

17 November 2009

Abstract Article

Markus Hahn, Sylvia Frühwirth-Schnatter, and Jörn Sass
Markov Chain Monte Carlo Methods for Parameter Estimation in Multidimensional Continuous Time Markov Switching Models
Journal of Financial Econometrics Advance Access published on November 17, 2009.
doi:10.1093/jjfinec/nbp026
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14 November 2009

Abstract Article

Enzo Weber
Structural Conditional Correlation
Journal of Financial Econometrics Advance Access published on November 14, 2009.
doi:10.1093/jjfinec/nbp025
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8 November 2009

Abstract Article

Marco Aiolfi, Marius Rodriguez, and Allan Timmermann
Understanding Analysts’ Earnings Expectations: Biases, Nonlinearities, and Predictability
Journal of Financial Econometrics Advance Access published on November 8, 2009.
doi:10.1093/jjfinec/nbp024
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5 November 2009

Abstract Article

Kosei Fukuda
A Cohort Analysis of Equity Shares in Japanese Household Financial Assets
Journal of Financial Econometrics Advance Access published on November 5, 2009.
doi:10.1093/jjfinec/nbp022
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4 November 2009

Abstract Article

Claudia Czado and Stephan Haug
An ACD-ECOGARCH(1,1) Model
Journal of Financial Econometrics Advance Access published on November 4, 2009.
doi:10.1093/jjfinec/nbp023
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12 October 2009

Abstract Article

Roberto Pascual and David Veredas
Does the Open Limit Order Book Matter in Explaining Informational Volatility?
Journal of Financial Econometrics Advance Access published on October 12, 2009.
doi:10.1093/jjfinec/nbp021
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10 September 2009

Abstract Article

Frank De Jong and Peter C. Schotman
Price Discovery in Fragmented Markets
Journal of Financial Econometrics Advance Access published on September 10, 2009.
doi:10.1093/jjfinec/nbp015
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18 August 2009

Abstract Article

Pedro Galeano and Ruey S. Tsay
Shifts in Individual Parameters of a GARCH Model
Journal of Financial Econometrics Advance Access published on August 18, 2009.
doi:10.1093/jjfinec/nbp007
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27 July 2009

Abstract Article

Christian T. Brownlees and Giampiero M. Gallo
Comparison of Volatility Measures: a Risk Management Perspective
Journal of Financial Econometrics Advance Access published on July 27, 2009.
doi:10.1093/jjfinec/nbp009
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21 July 2009

Abstract Article

Peter Carr and Liuren Wu
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Journal of Financial Econometrics Advance Access published on July 21, 2009.
doi:10.1093/jjfinec/nbp010
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