TOC: J Econometrics


Journal of Econometrics, 187(2)

Econometric analysis of financial derivatives: An overview
Chia-Lin Chang, Michael McAleer [Publisher] [Google Scholar]

Pricing with finite dimensional dependence
C. Gourieroux, A. Monfort [Publisher] [Google Scholar]

Market-based estimation of stochastic volatility models
Yacine Ait-Sahalia, Dante Amengual, Elena Manresa [Publisher] [Google Scholar]

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Manabu Asai, Michael McAleer [Publisher] [Google Scholar]

Model-based pricing for financial derivatives
Ke Zhu, Shiqing Ling [Publisher] [Google Scholar]

Stock return and cash flow predictability: The role of volatility risk
Tim Bollerslev, Lai Xu, Hao Zhou [Publisher] [Google Scholar]

A stochastic dominance approach to financial risk management strategies
Chia-Lin Chang, Juan-Angel Jimenez-Martin, Esfandiar Maasoumi, Teodosio Perez-Amaral [Publisher] [Google Scholar]

Option pricing with non-Gaussian scaling and infinite-state switching volatility
Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella, Marco Zamparo [Publisher] [Google Scholar]

What is beneath the surface? Option pricing with multifrequency latent states
Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher, Markus Leippold [Publisher] [Google Scholar]

Quanto option pricing in the presence of fat tails and asymmetric dependence
Young Shin Kim, Jaesung Lee, Stefan Mittnik, Jiho Park [Publisher] [Google Scholar]

Smile from the past: A general option pricing framework with multiple volatility and leverage components
Adam A. Majewski, Giacomo Bormetti, Fulvio Corsi [Publisher] [Google Scholar]

The fine structure of equity-index option dynamics
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen [Publisher] [Google Scholar]

A non-linear dynamic model of the variance risk premium
Bjørn Eraker, Jiakou Wang [Publisher] [Google Scholar]

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Giuseppe Cavaliere, Morten Ørregaard Nielsen, A.M. Robert Taylor [Publisher] [Google Scholar]

The long and the short of the risk-return trade-off
Marco Bonomo, Rene Garcia, Nour Meddahi, Romeo Tedongap [Publisher] [Google Scholar]

COMFORT: A common market factor non-Gaussian returns model
Marc S. Paolella, Pawel Polak [Publisher] [Google Scholar]

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Diep Duong, Norman R. Swanson [Publisher] [Google Scholar]

Divided governments and futures prices
Elvira Sojli, Wing Wah Tham [Publisher] [Google Scholar]