JOURNAL OF FINANCIAL ECONOMETRICS: Most-Read Full-Text Articles
http://jfec.oxfordjournals.org/
Most-read rankings are recalculated at the beginning of the month based on usage of full-text and PDF views for the previous month.2009-11-20<![CDATA[Components of Market Risk and Return]]>
http://jfec.oxfordjournals.org/cgi/content/short/5/4/560?rss=1&ssource=mfc
Oct 1, 2007; 5:560-590 ]]>John M. Maheu, Thomas H. McCurdy2007-10-01Oxford University Press<![CDATA[Inference on Risk-Neutral Measures for Incomplete Markets]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbp004v1?rss=1&ssource=mfc
Jul 1, 2009; 7:199-246 Article]]>Hiroaki Kaido, Halbert White2009-07-01Oxford University Press<![CDATA[Modeling International Financial Returns with a Multivariate Regime-switching Copula]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/437?rss=1&ssource=mfc
Oct 1, 2009; 7:437-480 Article]]>Loran Chollete, Andreas Heinen, Alfonso Valdesogo2009-10-01Oxford University Press<![CDATA[Inference on Risk-Neutral Measures for Incomplete Markets]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/3/199?rss=1&ssource=mfc
Jul 1, 2009; 7:199-246 Article]]>Hiroaki Kaido, Halbert White2009-07-01Oxford University Press<![CDATA[Default Risk, Asset Pricing, and Debt Control]]>
http://jfec.oxfordjournals.org/cgi/content/short/3/1/79?rss=1&ssource=mfc
Jan 1, 2005; 3:79-106 Article]]>Lars Grune, Willi Semmler2005-01-0110.1093/jjfinec/nbi006Oxford University Press<![CDATA[CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/412?rss=1&ssource=mfc
Oct 1, 2009; 7:412-436 Article]]>Simon A. Broda, Marc S. Paolella2009-10-01Oxford University Press<![CDATA[Time-Varying Arrival Rates of Informed and Uninformed Trades]]>
http://jfec.oxfordjournals.org/cgi/content/short/6/2/171?rss=1&ssource=mfc
Apr 1, 2008; 6:171-207 ]]>David Easley, Robert F. Engle, Maureen O''Hara, Liuren Wu2008-04-01Oxford University Press<![CDATA[The Present and Future of Financial Risk Management]]>
http://jfec.oxfordjournals.org/cgi/content/short/3/1/3?rss=1&ssource=mfc
Jan 1, 2005; 3:3-25 Article]]>Carol Alexander2005-01-0110.1093/jjfinec/nbi003Oxford University Press<![CDATA[Financial Econometrics, Financial Innovation, and Financial Stability]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/1/3?rss=1&ssource=mfc
Jan 1, 2009; 7:3-11 Article]]>Charles I. Plosser2009-01-01Oxford University Press<![CDATA[On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation]]>
http://jfec.oxfordjournals.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 Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/373?rss=1&ssource=mfc
Oct 1, 2009; 7:373-411 Article]]>Annastiina Silvennoinen, Timo Terasvirta2009-10-01Oxford University Press<![CDATA[The Generalized Hyperbolic Skew Student's t-Distribution]]>
http://jfec.oxfordjournals.org/cgi/content/short/4/2/275?rss=1&ssource=mfc
Apr 1, 2006; 4:275-309 Article]]>Kjersti Aas, Ingrid Hobaek Haff2006-04-01Oxford University Press<![CDATA[Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/341?rss=1&ssource=mfc
Oct 1, 2009; 7:341-372 Article]]>Karim Bannouh, Dick van Dijk, Martin Martens2009-10-01Oxford University Press<![CDATA[A New Approach to Markov-Switching GARCH Models]]>
http://jfec.oxfordjournals.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[A Latent Factor Model of Multivariate Conditional Heteroscedasticity]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/481?rss=1&ssource=mfc
Oct 1, 2009; 7:481-503 Article]]>Mike Aguilar2009-10-01Oxford University Press<![CDATA[Correlation, Models, and Risk Management in Challenging Times]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/1/40?rss=1&ssource=mfc
Jan 1, 2009; 7:40-51 Article]]>Robin L. Lumsdaine2009-01-01Oxford University Press<![CDATA[Power and Bipower Variation with Stochastic Volatility and Jumps]]>
http://jfec.oxfordjournals.org/cgi/content/short/2/1/1?rss=1&ssource=mfc
Jan 1, 2004; 2:1-37 Article]]>Ole E. Barndorff-Nielsen, Neil Shephard2004-01-0110.1093/jjfinec/nbh001Oxford University Press<![CDATA[A Short Introduction to Correlation Markets]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/1/12?rss=1&ssource=mfc
Jan 1, 2009; 7:12-29 Article]]>Pierre Collin-Dufresne2009-01-01Oxford University Press<![CDATA[Value-at-Risk Prediction: A Comparison of Alternative Strategies]]>
http://jfec.oxfordjournals.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[Special Issue on "Multivariate Volatility Models"]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/339?rss=1&ssource=mfc
Oct 1, 2009; 7:339-340 Editorial]]>Rene Garcia, Eric Ghysels, Eric Renault, Paulo Rodrigues2009-10-01Oxford University Press<![CDATA[Nonparametric Estimation of Expected Shortfall]]>
http://jfec.oxfordjournals.org/cgi/content/short/6/1/87?rss=1&ssource=mfc
Jan 1, 2008; 6:87-107 ]]>Song Xi Chen2008-01-01Oxford University Press<![CDATA[Linear Correlation and EVT: Properties and Caveats]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/1/30?rss=1&ssource=mfc
Jan 1, 2009; 7:30-39 Article]]>Paul Embrechts2009-01-01Oxford University Press<![CDATA[Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation]]>
http://jfec.oxfordjournals.org/cgi/content/short/4/1/1?rss=1&ssource=mfc
Jan 1, 2006; 4:1-30 Article]]>Ole E. Barndorff-Nielsen, Neil Shephard2006-01-01Oxford University Press<![CDATA[Measuring Event Risk]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/3/265?rss=1&ssource=mfc
Jul 1, 2009; 7:265-287 Article]]>Peter Nyberg, Anders Wilhelmsson2009-07-01Oxford University Press<![CDATA[Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/3/288?rss=1&ssource=mfc
Jul 1, 2009; 7:288-311 Article]]>Anthony Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka2009-07-01Oxford University Press<![CDATA[Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbp010v1?rss=1&ssource=mfc
Jul 21, 2009; 0:101-10 Article]]>Peter Carr, Liuren Wu2009-07-21Oxford University Press<![CDATA[Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach]]>
http://jfec.oxfordjournals.org/cgi/content/short/2/4/531?rss=1&ssource=mfc
Sep 1, 2004; 2:531-564 Article]]>Peter de Goeij, Wessel Marquering2004-09-0110.1093/jjfinec/nbh021Oxford University Press<![CDATA[Comparison of Volatility Measures: a Risk Management Perspective]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbp009v1?rss=1&ssource=mfc
Jul 27, 2009; 0:91-9 Article]]>Christian T. Brownlees, Giampiero M. Gallo2009-07-27Oxford University Press<![CDATA[Trades and Quotes: A Bivariate Point Process]]>
http://jfec.oxfordjournals.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[A Dynamic Asset Pricing Model with Time-Varying Factor and Idiosyncratic Risk]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/3/247?rss=1&ssource=mfc
Jul 1, 2009; 7:247-264 Article]]>Paskalis Glabadanidis2009-07-01Oxford University Press<![CDATA[Editors]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/4/i?rss=1&ssource=mfc
Oct 1, 2009; 7:0 Editorial Board]]>2009-10-01Oxford University Press<![CDATA[Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters]]>
http://jfec.oxfordjournals.org/cgi/content/short/2/3/451?rss=1&ssource=mfc
Jun 1, 2004; 2:451-471 Article]]>Scott E. Hein, Peter Westfall2004-06-0110.1093/jjfinec/nbh018Oxford University Press<![CDATA[The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study]]>
http://jfec.oxfordjournals.org/cgi/content/short/3/2/282?rss=1&ssource=mfc
Apr 1, 2005; 3:282-309 Article]]>Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis, Nikitas Pittis2005-04-0110.1093/jjfinec/nbi010Oxford University Press<![CDATA[Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbp005v1?rss=1&ssource=mfc
Jul 1, 2009; 7:288-311 Article]]>Anthony Tay, Christopher Ting, Yiu Kuen Tse, Mitch Warachka2009-07-01Oxford University Press<![CDATA[Leverage and Volatility Feedback Effects in High-Frequency Data]]>
http://jfec.oxfordjournals.org/cgi/content/short/4/3/353?rss=1&ssource=mfc
Jul 1, 2006; 4:353-384 ]]>Tim Bollerslev, Julia Litvinova, George Tauchen2006-07-01Oxford University Press<![CDATA[American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution]]>
http://jfec.oxfordjournals.org/cgi/content/short/6/4/540?rss=1&ssource=mfc
Oct 1, 2008; 6:540-582 ]]>Lars Stentoft2008-10-01Oxford University Press<![CDATA[Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbl005v1?rss=1&ssource=mfc
Oct 1, 2006; 4:537-572 ]]>Lorenzo Cappiello, Robert F. Engle, Kevin Sheppard2006-10-01Oxford University Press<![CDATA[American Option Pricing Using GARCH Models and the Normal Inverse Gaussian Distribution]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbn013v1?rss=1&ssource=mfc
Oct 1, 2008; 6:540-582 ]]>Lars Stentoft2008-10-01Oxford University Press<![CDATA[Backtesting Value-at-Risk: A Duration-Based Approach]]>
http://jfec.oxfordjournals.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[Are There Structural Breaks in Realized Volatility?]]>
http://jfec.oxfordjournals.org/cgi/content/short/6/3/326?rss=1&ssource=mfc
Jul 1, 2008; 6:326-360 ]]>Chun Liu, John M. Maheu2008-07-01Oxford University Press<![CDATA[New Directions in Risk Management]]>
http://jfec.oxfordjournals.org/cgi/content/short/3/1/26?rss=1&ssource=mfc
Jan 1, 2005; 3:26-36 Article]]>John Drzik2005-01-0110.1093/jjfinec/nbi007Oxford University Press<![CDATA[Persistence and Kurtosis in GARCH and Stochastic Volatility Models]]>
http://jfec.oxfordjournals.org/cgi/content/short/2/2/319?rss=1&ssource=mfc
Mar 1, 2004; 2:319-342 Article]]>M. Angeles Carnero, Daniel Pena, Esther Ruiz2004-03-0110.1093/jjfinec/nbh012Oxford University Press<![CDATA[Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall]]>
http://jfec.oxfordjournals.org/cgi/content/short/6/3/382?rss=1&ssource=mfc
Jul 1, 2008; 6:382-406 ]]>James W. Taylor2008-07-01Oxford University Press<![CDATA[Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk]]>
http://jfec.oxfordjournals.org/cgi/content/short/3/1/37?rss=1&ssource=mfc
Jan 1, 2005; 3:37-55 Article]]>Eric Jacquier, Alex Kane, Alan J. Marcus2005-01-0110.1093/jjfinec/nbi001Oxford University Press<![CDATA[Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns]]>
http://jfec.oxfordjournals.org/cgi/content/short/4/2/238?rss=1&ssource=mfc
Apr 1, 2006; 4:238-274 Article]]>David E. Rapach, Mark E. Wohar2006-04-01Oxford University Press<![CDATA[Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns]]>
http://jfec.oxfordjournals.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[Estimation and Testing for Dependence in Market Microstructure Noise]]>
http://jfec.oxfordjournals.org/cgi/content/short/7/2/106?rss=1&ssource=mfc
Apr 1, 2009; 7:106-151 Article]]>Masato Ubukata, Kosuke Oya2009-04-01Oxford University Press<![CDATA[A Simple Approximate Long-Memory Model of Realized Volatility]]>
http://jfec.oxfordjournals.org/cgi/content/short/nbp001v1?rss=1&ssource=mfc
Apr 1, 2009; 7:174-196 Article]]>Fulvio Corsi2009-04-01Oxford University Press<![CDATA[Least Squares Predictions and Mean-Variance Analysis]]>
http://jfec.oxfordjournals.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[Pessimistic Portfolio Allocation and Choquet Expected Utility]]>
http://jfec.oxfordjournals.org/cgi/content/short/2/4/477?rss=1&ssource=mfc
Sep 1, 2004; 2:477-492 Article]]>Gilbert W. Bassett Jr., Roger Koenker, Gregory Kordas2004-09-0110.1093/jjfinec/nbh023Oxford University Press