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Journal of Financial Econometrics Advance Access

Journal of Financial Econometrics Advance Access articles are papers that have been copyedited and typeset but not yet paginated for inclusion in an issue of the journal. More information, including how to cite Advance Access papers, can be found on the Advance Access page.

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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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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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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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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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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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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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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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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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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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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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To see an article, click its [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.