Journal of Econometrics,  

Green Table of Contents

Volume 217, Issue 2,

Pages 203-522 (August 2020)

Nonlinear financial econometrics JoE special issue introduction

Jeroen V.K. Rombouts, Olivier Scaillet, David Veredas, Jean-Michel Zakoian

Pages 203-206

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Liquidity and volatility in the U.S. Treasury market

Giang Nguyen, Robert Engle, Michael Fleming, Eric Ghysels

Pages 207-229

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The leverage effect puzzle revisited: Identification in discrete time

Hyojin Han, Stanislav Khrapov, Eric Renault

Pages 230-258

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Volatility estimation and jump detection for drift–diffusion processes

Sébastien Laurent, Shuping Shi

Pages 259-290

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Spanning tests for Markowitz stochastic dominance

Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou

Pages 291-311

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Dynamics of variance risk premia: A new model for disentangling the price of risk

Jeroen V.K. Rombouts, Lars Stentoft, Francesco Violante

Pages 312-334

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Partially censored posterior for robust and efficient risk evaluation

Agnieszka Borowska, Lennart Hoogerheide, Siem Jan Koopman, Herman K. van Dijk

Pages 335-355

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Virtual Historical Simulation for estimating the conditional VaR of large portfolios

Christian Francq, Jean-Michel Zakoïan

Pages 356-380

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Nearest comoment estimation with unobserved factors

Kris Boudt, Dries Cornilly, Tim Verdonck

Pages 381-397

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Flexible multivariate Hill estimators

Yves Dominicy, Matias Heikkilä, Pauliina Ilmonen, David Veredas

Pages 398-410

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Multivariate leverage effects and realized semicovariance GARCH models

Tim Bollerslev, Andrew J. Patton, Rogier Quaedvlieg

Pages 411-430

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Estimation of a multiplicative correlation structure in the large dimensional case

Christian M. Hafner, Oliver B. Linton, Haihan Tang

Pages 431-470

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Incorporating overnight and intraday returns into multivariate GARCH volatility models

Geert Dhaene, Jianbin Wu

Pages 471-495

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Nonlinearities and regimes in conditional correlations with different dynamics

Luc Bauwens, Edoardo Otranto

Pages 496-522

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