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
Liquidity and volatility in the U.S. Treasury market
Giang Nguyen, Robert Engle, Michael Fleming, Eric Ghysels
Pages 207-229
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
Spanning tests for Markowitz stochastic dominance
Stelios Arvanitis, Olivier Scaillet, Nikolas Topaloglou
Pages 291-311
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
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Christian Francq, Jean-Michel Zakoïan
Pages 356-380
Nearest comoment estimation with unobserved factors
Kris Boudt, Dries Cornilly, Tim Verdonck
Pages 381-397
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
Estimation of a multiplicative correlation structure in the large dimensional case
Christian M. Hafner, Oliver B. Linton, Haihan Tang
Pages 431-470
Incorporating overnight and intraday returns into multivariate GARCH volatility models
Geert Dhaene, Jianbin Wu
Pages 471-495
Nonlinearities and regimes in conditional correlations with different dynamics
Luc Bauwens, Edoardo Otranto
Pages 496-522