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Journal of Econometrics

Nonlinear Financial Econometrics

Edited by
  • Dr Jeroen V.K. Rombouts
  • Olivier Scaillet
  • David Veredas
  • Jean-Michel Zakoian
Volume 217, Issue 2,

Pages 203-522 (August 2020)

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  1. Editorial Board

    Page ii
    View PDF
  2. Nonlinear financial econometrics JoE special issue introduction

    Pages 203-206
  3. Liquidity and volatility in the U.S. Treasury market

    Pages 207-229
  4. The leverage effect puzzle revisited: Identification in discrete time

    Pages 230-258
  5. Volatility estimation and jump detection for drift–diffusion processes

    Pages 259-290
  6. Spanning tests for Markowitz stochastic dominance

    Pages 291-311
  7. Dynamics of variance risk premia: A new model for disentangling the price of risk

    Pages 312-334
  8. Partially censored posterior for robust and efficient risk evaluation

    Pages 335-355
  9. Virtual Historical Simulation for estimating the conditional VaR of large portfolios

    Pages 356-380
  10. Nearest comoment estimation with unobserved factors

    Pages 381-397
  11. Flexible multivariate Hill estimators

    Pages 398-410
  12. Multivariate leverage effects and realized semicovariance GARCH models

    Pages 411-430
  13. Estimation of a multiplicative correlation structure in the large dimensional case

    Pages 431-470
  14. Incorporating overnight and intraday returns into multivariate GARCH volatility models

    Pages 471-495
  15. Nonlinearities and regimes in conditional correlations with different dynamics

    Pages 496-522

ISSN: 0304-4076