C51 - Model Construction and Estimation

Contributing journals to this collection:
Review of Finance, European Review of Agriculture Economics, The World Bank Economic Review, Journal of Economic Geography, Cambridge Journal of Regions, Economy and Society, American Law and Economics Review, Industrial and Corporate Change, CESifo Economic Studies, The Review of Financial Studies, Contributions to Political Economy, Journal of Financial Econometrics, Journal of Law, Economics, and Organization, Journal of African Economies, Socio-Economic Review, Oxford Economic Papers, The World Bank Research Observer, Oxford Review of Economic Policy, Cambridge Journal of Economics, Journal of Competition Law and Economics, and Review of Environmental Economics and Policy

Citations 11-20 of 56 total displayed.

Past content

Articles
Integrated Covariance Estimation using High-frequency Data in the Presence of Noise

Valeri Voev and Asger Lunde
J. Financial Econometrics 2007; 5: 68-104. [Abstract] [Full text] [PDF]  

Articles
Switching VARMA Term Structure Models

Alain Monfort and Fulvio Pegoraro
J. Financial Econometrics 2007; 5: 105-153. [Abstract] [Full text] [PDF]  

Articles
Dynamic Asymmetric GARCH

Massimiliano Caporin and Michael McAleer
J. Financial Econometrics 2006; 4: 385-412. [Abstract] [Full text] [PDF]  

Articles
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

Ole E. Barndorff-Nielsen and Neil Shephard
J. Financial Econometrics 2006; 4: 1-30. [Abstract] [Full text] [PDF]  

Articles
A Classification of Two-Factor Affine Diffusion Term Structure Models

Christian Gourieroux and Razvan Sufana
J. Financial Econometrics 2006; 4: 31-52. [Abstract] [Full text] [PDF]  

Articles
Periodic Stochastic Volatility and Fat Tails

Ilias Tsiakas
J. Financial Econometrics 2006; 4: 90-135. [Abstract] [Full text] [PDF]  

Articles
Practitioners’ Corner

Adam Canopius
J. Financial Econometrics 2006; 4: 161-166. [Full text] [PDF]  

Articles
Inferring Information Frequency and Quality

John Owens and Douglas G. Steigerwald
J. Financial Econometrics 2005; 3: 500-524. [Abstract] [Full text] [PDF]  

Articles
Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights

Tae-Hwan Kim, Halbert White, and Douglas Stone
J. Financial Econometrics 2005; 3: 315-343. [Abstract] [Full text] [PDF]  

Articles
Testing For Threshold Nonlinearity in Short-Term Interest Rates

Nikolay Gospodinov
J. Financial Econometrics 2005; 3: 344-371. [Abstract] [Full text] [PDF]  

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