Journal of Financial Econometrics

Title Publication Date Language Citations
Forecasting intraday volatility in the US equity market. Multiplicative component GARCH2011/12/28English86
Downside Variance Risk Premium*2017/06/28English85
Bayesian Inference for Multivariate Copulas Using Pair-Copula Constructions2010/05/06English85
Pessimistic Portfolio Allocation and Choquet Expected Utility2004/09/01English84
Broker-Dealer Risk Appetite and Commodity Returns2013/01/10English84
Nonparametric Inference of Value-at-Risk for Dependent Financial Returns2005/04/01English83
Causal Change Detection in Possibly Integrated Systems: Revisiting the Money–Income Relationship*2019/03/06English80
Autoregressive Conditional Kurtosis2005/07/01English79
Modeling the Conditional Covariance Between Stock and Bond Returns: A Multivariate GARCH Approach2004/09/01English78
Long Memory and the Relation Between Implied and Realized Volatility2006/08/09English78
Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes2005/08/19English75
Nonparametric Estimation of Expected Shortfall2007/12/11English73
Modeling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model2009/09/08English72
Understanding Cryptocurrencies*2020/01/01English72
Using Exponentially Weighted Quantile Regression to Estimate Value at Risk and Expected Shortfall2008/05/25English69
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise2006/11/18English69
Inequality Constraints in the Fractionally Integrated GARCH Model2006/05/17English68
Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations2007/03/08English68
Trades and Quotes: A Bivariate Point Process2003/06/01English64
A semiparametric factor model for implied volatility surface dynamics2006/12/27English64
Modeling Realized Covariances and Returns2012/11/22English64
Backtesting Value-at-Risk: A GMM Duration-Based Test2010/08/09English63
Are There Structural Breaks in Realized Volatility?2008/05/25English60
Merits and Drawbacks of Variance Targeting in GARCH Models2011/07/18English60
GARCH Option Pricing Models, the CBOE VIX, and Variance Risk Premium2013/01/20English59
On the Importance of Time Variability in Higher Moments for Asset Allocation2011/12/28English59
Size and Value Anomalies under Regime Shifts2007/12/11English58
Dynamic Conditional Beta2016/08/29English57
Portfolio Choice in Markets with Contagion2015/12/01English57
Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification2015/12/29English57