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Journal of Financial Econometrics

Oxford University Press

AJG 3ABDC A*
Abstract coverage—see Methodology
Recent paperssorted by most recent
PaperYearCitations
Nonlinear Fore(Back)Casting and Innovation Filtering for Causal–Noncausal VAR Models
Christian Gouriéroux & Joann Jasiak
20260 citations
Optimal Bandwidth Selection for Forecasting under Parameter Instability
Yu Bai et al.
20260 citations
A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time
Simon Feistle et al.
20260 citations
Learning the Shrinkage Intensity: A Data-Driven Approach for Risk-Optimized Portfolios
Gianluca De Nard & Damjan Kostovic
20260 citations
Efficiently Weighted Estimation of Tail and Interquantile Expectations
Sander Barendse
20260 citations
Jump Risk Implicit in Options Market
Qiang Chen et al.
20258 citations
Domain Stabilization for Model-Free Option Implied Moment Estimation
Geul Lee et al.
20253 citations
Heterogeneity in Household Inflation Expectations and Monetary Policy
Taeyoung Doh et al.
20253 citations
Structural Volatility Impulse Response Analysis
Matthias R. Fengler & Jeannine Polivka
20252 citations
Macroeconomic Drivers of Inflation Expectations and Inflation Risk Premia
Jef Boeckx et al.
20252 citations
An Information-Theoretic Asset Pricing Model
Anisha Ghosh et al.
20252 citations
Accounting for Changes in Long-Term Interest Rates: Evidence from Canada
Jens H. E. Christensen et al.
20251 citations
Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model
Tilman Bletzinger et al.
20251 citations
Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity
Ovidijus Stauskas & Genaro Sucarrat
20251 citations
Loss-Based Bayesian Sequential Prediction of Value-at-Risk with a Long-Memory and Non-Linear Realized Volatility Model
Rangika Peiris et al.
20251 citations
Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia
Joachim Grammig et al.
20251 citations
Modeling and Forecasting Serially Dependent Yield Curves
Hao Li
20250 citations
A spatial analysis of contagion in sovereign credit default swaps
Pelin Akçagün-Narin et al.
20250 citations
Efficient Estimation in Extreme Value Regression Models of Hedge Funds Tail risks
Julien Hambuckers et al.
20250 citations
Extreme Conditional Expectile Estimation for Heavy-Tailed ARMA-GARCH Models
Yaolan Ma & Bo Wei
20250 citations

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