TOC: J Econometrics
Introduction
Journal of Econometrics, 187(2)
Econometric analysis of financial derivatives: An overview
–Chia-Lin Chang, Michael McAleer [] []
Pricing with finite dimensional dependence
–C. Gourieroux, A. Monfort [] []
Market-based estimation of stochastic volatility models
–Yacine Ait-Sahalia, Dante Amengual, Elena Manresa [] []
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
–Manabu Asai, Michael McAleer [] []
Model-based pricing for financial derivatives
–Ke Zhu, Shiqing Ling [] []
Stock return and cash flow predictability: The role of volatility risk
–Tim Bollerslev, Lai Xu, Hao Zhou [] []
A stochastic dominance approach to financial risk management strategies
–Chia-Lin Chang, Juan-Angel Jimenez-Martin, Esfandiar Maasoumi, Teodosio Perez-Amaral [] []
Option pricing with non-Gaussian scaling and infinite-state switching volatility
–Fulvio Baldovin, Massimiliano Caporin, Michele Caraglio, Attilio L. Stella, Marco Zamparo [] []
What is beneath the surface? Option pricing with multifrequency latent states
–Laurent E. Calvet, Marcus Fearnley, Adlai J. Fisher, Markus Leippold [] []
Quanto option pricing in the presence of fat tails and asymmetric dependence
–Young Shin Kim, Jaesung Lee, Stefan Mittnik, Jiho Park [] []
Smile from the past: A general option pricing framework with multiple volatility and leverage components
–Adam A. Majewski, Giacomo Bormetti, Fulvio Corsi [] []
The fine structure of equity-index option dynamics
–Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen [] []
A non-linear dynamic model of the variance risk premium
–Bjørn Eraker, Jiakou Wang [] []
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 [] []
The long and the short of the risk-return trade-off
–Marco Bonomo, Rene Garcia, Nour Meddahi, Romeo Tedongap [] []
COMFORT: A common market factor non-Gaussian returns model
–Marc S. Paolella, Pawel Polak [] []
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
–Diep Duong, Norman R. Swanson [] []
Divided governments and futures prices
–Elvira Sojli, Wing Wah Tham [] []