Works matching IS 14798409 AND DT 2025 AND VI 23 AND IP 2

Results: 21

Assessing Tail Risk via a Generalized Conditional Autoregressive Expectile Model.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf010

By:

Cai, Zongwu;
Fang, Ying;
Tian, Dingshi

Publication type:

Article

Adaptive Risk Preferences: Unraveling the Impact of Monetary Policy on Output.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf009

By:

Berndt, Antje;
Helwege, Jean

Publication type:

Article

Accounting for Changes in Long-Term Interest Rates: Evidence from Canada.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf006

By:

Christensen, Jens H E;
Rudebusch, Glenn D;
Shultz, Patrick J

Publication type:

Article

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf005

By:

Grammig, Joachim;
Hanenberg, Constantin;
Schlag, Christian;
Sönksen, Jantje

Publication type:

Article

Gaussian Inference in Predictive Regressions for Stock Returns.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf004

By:

Demetrescu, Matei;
Hillmann, Benjamin

Publication type:

Article

A Unified Predictability Test Using Weighted Inference and Random Weighted Bootstrap.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf003

By:

Yang, Bingduo;
Long, Wei;
Liu, Xiaohui;
Peng, Liang

Publication type:

Article

Jump Risk Implicit in Options Market.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf002

By:

Chen, Qiang;
Han, Yu;
Huang, Ying;
Jiang, George J

Publication type:

Article

How Optimal was U.S. Monetary Policy at the Zero Lower Bound?*.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbaf001

By:

Bundick, Brent;
Hotz, Logan;
Smith, A Lee

Publication type:

Article

Time-Varying Risk Aversion and Inflation-Consumption Correlation in an Equilibrium Term Structure Model.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae038

By:

Bletzinger, Tilman;
Lemke, Wolfgang;
Renne, Jean-Paul

Publication type:

Article

Domain Stabilization for Model-Free Option Implied Moment Estimation.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae037

By:

Lee, Geul;
Ryu, Doojin;
Yang, Li

Publication type:

Article

Structural Volatility Impulse Response Analysis.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae036

By:

Fengler, Matthias R;
Polivka, Jeannine

Publication type:

Article

An L-Moment Approach for Portfolio Choice under Non-Expected Utility.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae027

By:

Fallahgoul, Hasan;
Mancini, Loriano;
Stoyanov, Stoyan

Publication type:

Article

Graph-Based Methods for Forecasting Realized Covariances.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae026

By:

Zhang, Chao;
Pu, Xingyue;
Cucuringu, Mihai;
Dong, Xiaowen

Publication type:

Article

Bootstrap Inference for Group Factor Models.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae020

By:

Gonçalves, Sílvia;
Koh, Julia;
Perron, Benoit

Publication type:

Article

Statistical Predictions of Trading Strategies in Electronic Markets.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae025

By:

Cartea, Álvaro;
Cohen, Samuel N;
Graumans, Robert;
Labyad, Saad;
Sánchez-Betancourt, Leandro;
Veldhuijzen, Leon van

Publication type:

Article

The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae023

By:

Opschoor, Anne;
Lucas, André;
Rossini, Luca

Publication type:

Article

Comments on: "Bootstrap Inference for Group Factor Models".

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae022

By:

Wolf, Michael

Publication type:

Article

Comments on: "Bootstrap Inference for Group Factor Models".

Published in:

2025

By:

Ghysels, Eric

Publication type:

Letter to the Editor

Realized Random Graphs, with an Application to the Interbank Network.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae024

By:

Buccheri, Giuseppe;
Mazzarisi, Piero

Publication type:

Article

Analytic Moments of TGARCH(1,1) Models with Polynomially Adjusted Densities.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae019

By:

Carnero, M Angeles;
León, Angel;
Ñíguez, Trino-Manuel

Publication type:

Article

Large-Dimensional Portfolio Selection with a High-Frequency-Based Dynamic Factor Model.

Published in:

Journal of Financial Econometrics, 2025, v. 23, n. 2, p. 1, doi. 10.1093/jjfinec/nbae018

By:

Bodilsen, Simon T

Publication type:

Article