Journal of Financial Econometrics Journal

Overview

abbreviation

J FINANC ECONOMET

publication venue for

Machine learning and fund characteristics help to select mutual funds with positive alpha. 150:1-22. 2023
Parallel bayesian inference for high-dimensional dynamic factor copulas. 17:118-151. 2019
Combining Multivariate Volatility Forecasts: An Economic-Based Approach. 15:247-285. 2017
Bayesian mixed frequency VARs. 13:698-721. 2015
Comparing univariate and multivariate models to forecast portfolio Value-at-Risk. 11:400-441. 2013
On the properties of regression tests of stock return predictability using dividend-price ratios. 12:151-173. 2013
Revisiting several popular GARCH models with leverage effect: differences and similarities. 10:637-668. 2012
Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility. 10:124-163. 2012
The Making of "Estimation of Common Long Memory Components in Cointegrated Systems". 8:174-176. 2010
Shifts in Individual Parameters of a GARCH Model. 8:122-153. 2010

International Standard Serial Number (ISSN)

1479-8409

Electronic International Standard Serial Number (EISSN)

1479-8417