Most-Read Full-Text Articles http://jfec.oupjournals.org/ Most-Read Full-Text Articles 2008-08-08 <![CDATA[Components of Market Risk and Return]]> http://jfec.oupjournals.org/cgi/content/short/5/4/560?rss=1&ssource=mfc Oct 1, 2007; 5:560-590
]]> John M. Maheu, Thomas H. McCurdy 2007-10-01 Oxford 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. Patton 2004-01-01 10.1093/jjfinec/nbh006 Oxford University Press <![CDATA[Nonparametric Estimation of Expected Shortfall]]> http://jfec.oupjournals.org/cgi/content/short/6/1/87?rss=1&ssource=mfc Jan 1, 2008; 6:87-107
]]> Song Xi Chen 2008-01-01 Oxford University Press <![CDATA[Time-Varying Arrival Rates of Informed and Uninformed Trades]]> http://jfec.oupjournals.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 Wu 2008-04-01 Oxford University Press <![CDATA[A Simple Test for GARCH Against a Stochastic Volatility Model]]> http://jfec.oupjournals.org/cgi/content/short/6/3/291?rss=1&ssource=mfc Jul 1, 2008; 6:291-306
]]> Philip Hans Franses, Marco van der Leij, Richard Paap 2008-07-01 Oxford 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. Paolella 2006-01-01 Oxford University Press <![CDATA[Are There Structural Breaks in Realized Volatility?]]> http://jfec.oupjournals.org/cgi/content/short/6/3/326?rss=1&ssource=mfc Jul 1, 2008; 6:326-360
]]> Chun Liu, John M. Maheu 2008-07-01 Oxford University Press <![CDATA[Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall]]> http://jfec.oupjournals.org/cgi/content/short/6/3/382?rss=1&ssource=mfc Jul 1, 2008; 6:382-406
]]> James W. Taylor 2008-07-01 Oxford University Press <![CDATA[Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data]]> http://jfec.oupjournals.org/cgi/content/short/5/1/1?rss=1&ssource=mfc Jan 1, 2007; 5:1-30
Article]]> George J. Jiang, Roel C. A. Oomen 2007-01-01 Oxford University Press <![CDATA[Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US]]> http://jfec.oupjournals.org/cgi/content/short/6/3/307?rss=1&ssource=mfc Jul 1, 2008; 6:307-325
]]> Denise R. Osborn, Christos S. Savva, Len Gill 2008-07-01 Oxford University Press <![CDATA[Power and Bipower Variation with Stochastic Volatility and Jumps]]> http://jfec.oupjournals.org/cgi/content/short/2/1/1?rss=1&ssource=mfc Jan 1, 2004; 2:1-37
Article]]> Ole E. Barndorff-Nielsen, Neil Shephard 2004-01-01 10.1093/jjfinec/nbh001 Oxford University Press <![CDATA[Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation]]> http://jfec.oupjournals.org/cgi/content/short/4/1/1?rss=1&ssource=mfc Jan 1, 2006; 4:1-30
Article]]> Ole E. Barndorff-Nielsen, Neil Shephard 2006-01-01 Oxford University Press <![CDATA[The Generalized Hyperbolic Skew Student's t-Distribution]]> http://jfec.oupjournals.org/cgi/content/short/4/2/275?rss=1&ssource=mfc Apr 1, 2006; 4:275-309
Article]]> Kjersti Aas, Ingrid Hobaek Haff 2006-04-01 Oxford 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 Lunde 2003-06-01 10.1093/jjfinec/nbg011 Oxford 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. Paolella 2004-09-01 10.1093/jjfinec/nbh020 Oxford 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. Taylor 2008-04-01 Oxford University Press <![CDATA[Practitioners' Corner]]> http://jfec.oupjournals.org/cgi/content/short/2/1/169?rss=1&ssource=mfc Jan 1, 2004; 2:169-175
Article]]> Adam Canopius 2004-01-01 10.1093/jjfinec/nbh007 Oxford 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 Mammen 2007-04-01 Oxford University Press <![CDATA[Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach]]> http://jfec.oupjournals.org/cgi/content/short/2/4/531?rss=1&ssource=mfc Sep 1, 2004; 2:531-564
Article]]> Peter de Goeij, Wessel Marquering 2004-09-01 10.1093/jjfinec/nbh021 Oxford 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 Tauchen 2005-10-01 Oxford University Press <![CDATA[The Impact of Central Bank FX Interventions on Currency Components]]> http://jfec.oupjournals.org/cgi/content/short/5/1/154?rss=1&ssource=mfc Jan 1, 2007; 5:154-183
Article]]> Michel Beine, Charles S. Bos, Sebastien Laurent 2007-01-01 Oxford University Press <![CDATA[Positivity Conditions for a Bivariate Autoregressive Volatility Specification]]> http://jfec.oupjournals.org/cgi/content/short/5/4/624?rss=1&ssource=mfc Oct 1, 2007; 5:624-636
]]> C. Gourieroux 2007-10-01 Oxford 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 Tsiakas 2006-01-01 Oxford University Press <![CDATA[Testing For Threshold Nonlinearity in Short-Term Interest Rates]]> http://jfec.oupjournals.org/cgi/content/short/3/3/344?rss=1&ssource=mfc Jul 1, 2005; 3:344-371
Article]]> Nikolay Gospodinov 2005-07-01 10.1093/jjfinec/nbi016 Oxford University Press <![CDATA[Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent]]> http://jfec.oupjournals.org/cgi/content/short/5/4/591?rss=1&ssource=mfc Oct 1, 2007; 5:591-623
]]> Francesco Audrino, Fabio Trojani 2007-10-01 Oxford University Press <![CDATA[Kernel Conditional Quantile Estimation for Stationary Processes with Application to Conditional Value-at-Risk]]> http://jfec.oupjournals.org/cgi/content/short/6/2/253?rss=1&ssource=mfc Apr 1, 2008; 6:253-270
]]> Wei Biao Wu, Keming Yu, Gautam Mitra 2008-04-01 Oxford University Press <![CDATA[VAR Modeling for Dynamic Loadings Driving Volatility Strings]]> http://jfec.oupjournals.org/cgi/content/short/6/3/361?rss=1&ssource=mfc Jul 1, 2008; 6:361-381
]]> Ralf Bruggemann, Wolfgang Hardle, Julius Mungo, Carsten Trenkler 2008-07-01 Oxford University Press <![CDATA[The Present and Future of Financial Risk Management]]> http://jfec.oupjournals.org/cgi/content/short/3/1/3?rss=1&ssource=mfc Jan 1, 2005; 3:3-25
Article]]> Carol Alexander 2005-01-01 10.1093/jjfinec/nbi003 Oxford 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 Ghysels 2007-01-01 Oxford University Press <![CDATA[Components of Market Risk and Return]]> http://jfec.oupjournals.org/cgi/content/short/nbm012v1?rss=1&ssource=mfc Oct 1, 2007; 5:560-590
]]> John M. Maheu, Thomas H. McCurdy 2007-10-01 Oxford University Press <![CDATA[Persistence and Kurtosis in GARCH and Stochastic Volatility Models]]> http://jfec.oupjournals.org/cgi/content/short/2/2/319?rss=1&ssource=mfc Mar 1, 2004; 2:319-342
Article]]> M. Angeles Carnero, Daniel Pena, Esther Ruiz 2004-03-01 10.1093/jjfinec/nbh012 Oxford University Press <![CDATA[Reexamining the Profitability of Technical Analysis with Data Snooping Checks]]> http://jfec.oupjournals.org/cgi/content/short/3/4/606?rss=1&ssource=mfc Oct 1, 2005; 3:606-628
Article]]> Po-Hsuan Hsu, Chung-Ming Kuan 2005-10-01 Oxford University Press <![CDATA[Sorting, Firm Characteristics, and Time-varying Risk: An Econometric Analysis]]> http://jfec.oupjournals.org/cgi/content/short/6/1/49?rss=1&ssource=mfc Jan 1, 2008; 6:49-86
]]> Xinting Fan, Ming Liu 2008-01-01 Oxford University Press <![CDATA[Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns]]> http://jfec.oupjournals.org/cgi/content/short/4/2/238?rss=1&ssource=mfc Apr 1, 2006; 4:238-274
Article]]> David E. Rapach, Mark E. Wohar 2006-04-01 Oxford University Press <![CDATA[Practitioners' Corner]]> http://jfec.oupjournals.org/cgi/content/short/5/1/184?rss=1&ssource=mfc Jan 1, 2007; 5:184-188
Meeting-Report]]> Adam Canopius 2007-01-01 Oxford 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 Sheppard 2006-10-01 Oxford University Press <![CDATA[Modeling a Multivariate Transaction Process]]> http://jfec.oupjournals.org/cgi/content/short/6/1/143?rss=1&ssource=mfc Jan 1, 2008; 6:143-170
]]> Ingmar Nolte 2008-01-01 Oxford 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 Tang 2005-04-01 10.1093/jjfinec/nbi012 Oxford University Press <![CDATA[Practitioners' Corner]]> http://jfec.oupjournals.org/cgi/content/short/4/2/346?rss=1&ssource=mfc Apr 1, 2006; 4:346-351
Article]]> Adam Canopius 2006-04-01 Oxford 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 Pelletier 2004-01-01 10.1093/jjfinec/nbh004 Oxford University Press <![CDATA[Improving Tests of Abnormal Returns by Bootstrapping the Multivariate Regression Model with Event Parameters]]> http://jfec.oupjournals.org/cgi/content/short/2/3/451?rss=1&ssource=mfc Jun 1, 2004; 2:451-471
Article]]> Scott E. Hein, Peter Westfall 2004-06-01 10.1093/jjfinec/nbh018 Oxford University Press <![CDATA[Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods]]> http://jfec.oupjournals.org/cgi/content/short/4/2/310?rss=1&ssource=mfc Apr 1, 2006; 4:310-345
Article]]> Manuel Arapis, Jiti Gao 2006-04-01 Oxford University Press <![CDATA[Detecting ARCH Effects in Non-Gaussian Time Series]]> http://jfec.oupjournals.org/cgi/content/short/6/2/271?rss=1&ssource=mfc Apr 1, 2008; 6:271-289
]]> Burkhard Raunig 2008-04-01 Oxford University Press <![CDATA[Expectations Hypothesis of the Term Structure of Implied Volatility: Evidence from Foreign Currency and Stock Index Options]]> http://jfec.oupjournals.org/cgi/content/short/1/1/126?rss=1&ssource=mfc Mar 1, 2003; 1:126-151
Article]]> Soku Byoun, Chuck C. Y. Kwok, Hun Y. Park 2003-03-01 10.1093/jjfinec/nbg003 Oxford University Press <![CDATA[Multivariate Lagrange Multiplier Tests for Fractional Integration]]> http://jfec.oupjournals.org/cgi/content/short/3/3/372?rss=1&ssource=mfc Jul 1, 2005; 3:372-398
Article]]> Morten Orregaard Nielsen 2005-07-01 10.1093/jjfinec/nbi017 Oxford University Press <![CDATA[Discussion]]> http://jfec.oupjournals.org/cgi/content/short/2/1/37?rss=1&ssource=mfc Jan 1, 2004; 2:37-48
Article]]> Torben G. Andersen 2004-01-01 10.1093/jjfinec/nbh002 Oxford University Press <![CDATA[Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework]]> http://jfec.oupjournals.org/cgi/content/short/3/1/126?rss=1&ssource=mfc Jan 1, 2005; 3:126-168
Article]]> Miguel A. Ferreira, Jose A. Lopez 2005-01-01 10.1093/jjfinec/nbi005 Oxford University Press <![CDATA[Incomplete Information, Heterogeneity, and Asset Pricing]]> http://jfec.oupjournals.org/cgi/content/short/4/1/136?rss=1&ssource=mfc Jan 1, 2006; 4:136-160
Article]]> Tony Berrada 2006-01-01 Oxford University Press <![CDATA[Leverage and Volatility Feedback Effects in High-Frequency Data]]> http://jfec.oupjournals.org/cgi/content/short/4/3/353?rss=1&ssource=mfc Jul 1, 2006; 4:353-384
]]> Tim Bollerslev, Julia Litvinova, George Tauchen 2006-07-01 Oxford University Press <![CDATA[Long Memory and the Relation Between Implied and Realized Volatility]]> http://jfec.oupjournals.org/cgi/content/short/4/4/636?rss=1&ssource=mfc Oct 1, 2006; 4:636-670
]]> Federico M. Bandi, Benoit Perron 2006-10-01 Oxford University Press