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Journal of Financial Econometrics is a peer-reviewed journal published by Oxford University Press, covering Financial Risk and Volatility Modeling, Monetary Policy and Economic Impact, Market Dynamics and Volatility.
| Publisher | Oxford University Press |
|---|---|
| Reference style | Author–year (OUP) Author–year — (Smith, 2023) in the text Smith, A., Jones, B. and Lee, C. (2023) 'A representative article title', Journal of Financial Econometrics, 12(3), pp. 45–58.
Formats any DOI in the closest standard style — Journal of Financial Econometrics has no published style definition, so this is an approximation. No sign-up. |
| Publishes research in | Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility Financial Markets and Investment Strategies Stochastic processes and financial applications |
| ISSN | 1479-8409 |
| Citation impact (2-yr) | 1.11 |
| h-index | 77 |
| i10-index | 337 |
| Total citations | 30,648 |
| Article processing charge | $4,442 |
| Top institutions publishing here | Aarhus University |
| Journal website | jfec.oxfordjournals.org |
| You get | A submission-ready PDF and the editable LaTeX source — ready to submit. |
Citations each year’s papers have accumulated so far — the most recent years are still building up.
The paper proposes an additive cascade model of volatility components defined over different time periods. This volatility cascade leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different time horizons and thus termed Heterogeneous Autoregressive model of Realized Volatility (HAR-RV). In spite of the…
This article shows that realized power variation and its extension, realized bipower variation, which we introduce here, are somewhat robust to rare jumps. We demonstrate that in special cases, realized bipower variation estimates integrated variance in stochastic volatility models, thus providing a model-free and consistent alternative to realized variance. Its robustness property means that if…
This paper proposes a new generalized autoregressive conditionally heteroskedastic (GARCH) process, the asymmetric generalized dynamic conditional correlation (AG-DCC) model. The AG-DCC process extends previous specifications along two dimensions: it allows for series-specific news impact and smoothing parameters and permits conditional asymmetries in correlation dynamics. The AG-DCC specification is well suited to examine correlation dynamics among…
In this article we provide an asymptotic distribution theory for some nonparametric tests of the hypothesis that asset prices have continuous sample paths. We study the behaviour of the tests using simulated data and see that certain versions of the tests have good finite sample behavior. We also apply the tests to exchange rate data…
We examine tests for jumps based on recent asymptotic results; we interpret the tests as Hausman-type tests. Monte Carlo evidence suggests that the daily ratio z-statistic has appropriate size, good power, and good jump detection capabilities revealed by the confusion matrix comprised of jump classification probabilities. We identify a pitfall in applying the asymptotic approximation…
