Most-Cited Full-Text Articles
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Most-Cited Full-Text Articles2008-08-08<![CDATA[Power and Bipower Variation with Stochastic Volatility and Jumps]]>
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Jan 1, 2004; 2:1-37 Article]]>Ole E. Barndorff-Nielsen, Neil Shephard2004-01-0110.1093/jjfinec/nbh001Oxford University Press<![CDATA[The Relative Contribution of Jumps to Total Price Variance]]>
http://jfec.oupjournals.org/cgi/content/short/3/4/456?rss=1&ssource=mfc
Oct 1, 2005; 3:456-499 Article]]>Xin Huang, George Tauchen2005-10-01Oxford University Press<![CDATA[Nonparametric Inference of Value-at-Risk for Dependent Financial Returns]]>
http://jfec.oupjournals.org/cgi/content/short/3/2/227?rss=1&ssource=mfc
Apr 1, 2005; 3:227-255 Article]]>Song Xi Chen, Cheng Yong Tang2005-04-0110.1093/jjfinec/nbi012Oxford University Press<![CDATA[A New Approach to Markov-Switching GARCH Models]]>
http://jfec.oupjournals.org/cgi/content/short/2/4/493?rss=1&ssource=mfc
Sep 1, 2004; 2:493-530 Article]]>Markus Haas, Stefan Mittnik, Marc S. Paolella2004-09-0110.1093/jjfinec/nbh020Oxford University Press<![CDATA[On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation]]>
http://jfec.oupjournals.org/cgi/content/short/2/1/130?rss=1&ssource=mfc
Jan 1, 2004; 2:130-168 Article]]>Andrew J. Patton2004-01-0110.1093/jjfinec/nbh006Oxford University Press<![CDATA[Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes]]>
http://jfec.oupjournals.org/cgi/content/short/1/1/96?rss=1&ssource=mfc
Mar 1, 2003; 1:96-125 Article]]>Markku Lanne, Pentti Saikkonen2003-03-0110.1093/jjfinec/nbg004Oxford University Press<![CDATA[Affine Models for Credit Risk Analysis]]>
http://jfec.oupjournals.org/cgi/content/short/4/3/494?rss=1&ssource=mfc
Jul 1, 2006; 4:494-530 ]]>C. Gourieroux, A. Monfort, V. Polimenis2006-07-01Oxford University Press<![CDATA[A Classification of Two-Factor Affine Diffusion Term Structure Models]]>
http://jfec.oupjournals.org/cgi/content/short/4/1/31?rss=1&ssource=mfc
Jan 1, 2006; 4:31-52 Article]]>Christian Gourieroux, Razvan Sufana2006-01-01Oxford University Press<![CDATA[Value-at-Risk Prediction: A Comparison of Alternative Strategies]]>
http://jfec.oupjournals.org/cgi/content/short/4/1/53?rss=1&ssource=mfc
Jan 1, 2006; 4:53-89 Article]]>Keith Kuester, Stefan Mittnik, Marc S. Paolella2006-01-01Oxford University Press<![CDATA[Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes]]>
http://jfec.oupjournals.org/cgi/content/short/3/4/555?rss=1&ssource=mfc
Oct 1, 2005; 3:555-577 Article]]>Roel C. A. Oomen2005-10-01Oxford University Press<![CDATA[Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach]]>
http://jfec.oupjournals.org/cgi/content/short/2/2/251?rss=1&ssource=mfc
Mar 1, 2004; 2:251-289 Article]]>Andrew Jeffrey, Dennis Kristensen, Oliver Linton, Thong Nguyen, Peter C. B. Phillips2004-03-0110.1093/jjfinec/nbh010Oxford University Press<![CDATA[Mixed Normal Conditional Heteroskedasticity]]>
http://jfec.oupjournals.org/cgi/content/short/2/2/211?rss=1&ssource=mfc
Mar 1, 2004; 2:211-250 Article]]>Markus Haas, Stefan Mittnik, Marc S. Paolella2004-03-0110.1093/jjfinec/nbh009Oxford University Press<![CDATA[How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes]]>
http://jfec.oupjournals.org/cgi/content/short/2/1/49?rss=1&ssource=mfc
Jan 1, 2004; 2:49-83 Article]]>Laurent E. Calvet, Adlai J. Fisher2004-01-0110.1093/jjfinec/nbh003Oxford University Press<![CDATA[A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility]]>
http://jfec.oupjournals.org/cgi/content/short/1/3/365?rss=1&ssource=mfc
Sep 1, 2003; 1:365-419 Article]]>Jeff Fleming, Chris Kirby2003-09-0110.1093/jjfinec/nbg016Oxford University Press<![CDATA[Estimating Value at Risk and Expected Shortfall Using Expectiles]]>
http://jfec.oupjournals.org/cgi/content/short/6/2/231?rss=1&ssource=mfc
Apr 1, 2008; 6:231-252 ]]>James W. Taylor2008-04-01Oxford University Press<![CDATA[A semiparametric factor model for implied volatility surface dynamics]]>
http://jfec.oupjournals.org/cgi/content/short/5/2/189?rss=1&ssource=mfc
Apr 1, 2007; 5:189-218 ]]>Matthias R. Fengler, Wolfgang K. Hardle, Enno Mammen2007-04-01Oxford University Press<![CDATA[Why Do Absolute Returns Predict Volatility So Well?]]>
http://jfec.oupjournals.org/cgi/content/short/5/1/31?rss=1&ssource=mfc
Jan 1, 2007; 5:31-67 Article]]>Lars Forsberg, Eric Ghysels2007-01-01Oxford University Press<![CDATA[Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns]]>
http://jfec.oupjournals.org/cgi/content/short/4/4/537?rss=1&ssource=mfc
Oct 1, 2006; 4:537-572 ]]>Lorenzo Cappiello, Robert F. Engle, Kevin Sheppard2006-10-01Oxford University Press<![CDATA[Stochastic Conditional Intensity Processes]]>
http://jfec.oupjournals.org/cgi/content/short/4/3/450?rss=1&ssource=mfc
Jul 1, 2006; 4:450-493 ]]>Luc Bauwens, Nikolaus Hautsch2006-07-01Oxford University Press<![CDATA[Periodic Stochastic Volatility and Fat Tails]]>
http://jfec.oupjournals.org/cgi/content/short/4/1/90?rss=1&ssource=mfc
Jan 1, 2006; 4:90-135 Article]]>Ilias Tsiakas2006-01-01Oxford University Press<![CDATA[Least Squares Predictions and Mean-Variance Analysis]]>
http://jfec.oupjournals.org/cgi/content/short/3/1/56?rss=1&ssource=mfc
Jan 1, 2005; 3:56-78 Article]]>Enrique Sentana2005-01-0110.1093/jjfinec/nbi002Oxford University Press<![CDATA[Asset Allocation by Variance Sensitivity Analysis]]>
http://jfec.oupjournals.org/cgi/content/short/2/3/370?rss=1&ssource=mfc
Jun 1, 2004; 2:370-389 Article]]>Simone Manganelli2004-06-0110.1093/jjfinec/nbh015Oxford University Press<![CDATA[LARCH, Leverage, and Long Memory]]>
http://jfec.oupjournals.org/cgi/content/short/2/2/177?rss=1&ssource=mfc
Mar 1, 2004; 2:177-210 Article]]>Liudas Giraitis, Remigijus Leipus, Peter M. Robinson, Donatas Surgailis2004-03-0110.1093/jjfinec/nbh008Oxford University Press<![CDATA[Backtesting Value-at-Risk: A Duration-Based Approach]]>
http://jfec.oupjournals.org/cgi/content/short/2/1/84?rss=1&ssource=mfc
Jan 1, 2004; 2:84-108 Article]]>Peter Christoffersen, Denis Pelletier2004-01-0110.1093/jjfinec/nbh004Oxford University Press<![CDATA[The Local Whittle Estimator of Long-Memory Stochastic Volatility]]>
http://jfec.oupjournals.org/cgi/content/short/1/3/445?rss=1&ssource=mfc
Sep 1, 2003; 1:445-470 Article]]>Clifford M. Hurvich, Bonnie K. Ray2003-09-0110.1093/jjfinec/nbg018Oxford University Press<![CDATA[Trades and Quotes: A Bivariate Point Process]]>
http://jfec.oupjournals.org/cgi/content/short/1/2/159?rss=1&ssource=mfc
Jun 1, 2003; 1:159-188 Article]]>Robert F. Engle, Asger Lunde2003-06-0110.1093/jjfinec/nbg011Oxford University Press<![CDATA[Dynamics of Trade-by-Trade Price Movements: Decomposition and Models]]>
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Mar 1, 2003; 1:2-25 Article]]>Tina Hviid Rydberg, Neil Shephard2003-03-0110.1093/jjfinec/nbg002Oxford University Press<![CDATA[Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation]]>
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Jan 1, 2006; 4:1-30 Article]]>Ole E. Barndorff-Nielsen, Neil Shephard2006-01-01Oxford University Press<![CDATA[Stochastic Migration Models with Application to Corporate Risk]]>
http://jfec.oupjournals.org/cgi/content/short/3/2/188?rss=1&ssource=mfc
Apr 1, 2005; 3:188-226 Article]]>Patrick Gagliardini, Christian Gourieroux2005-04-0110.1093/jjfinec/nbi013Oxford University Press<![CDATA[Which Extreme Values Are Really Extreme?]]>
http://jfec.oupjournals.org/cgi/content/short/2/3/349?rss=1&ssource=mfc
Jun 1, 2004; 2:349-369 Article]]>Jesus Gonzalo, Jose Olmo2004-06-0110.1093/jjfinec/nbh014Oxford University Press<![CDATA[Fourth Moment Structure of Multivariate GARCH Models]]>
http://jfec.oupjournals.org/cgi/content/short/1/1/26?rss=1&ssource=mfc
Mar 1, 2003; 1:26-54 Article]]>Christian M. Hafner2003-03-0110.1093/jjfinec/nbg001Oxford University Press