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Journal of Financial Econometrics

IF2.2
Papers13
Citations1922
Journal Papers 13
Publication Date
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Optimal Bandwidth Selection for Forecasting under Parameter Instability
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteBai, Yu; Peng, Bin; Shi, Shuping; Yao, Wenying
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Learning the Shrinkage Intensity: A Data-Driven Approach for Risk-Optimized Portfolios
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteDe Nard, Gianluca; Kostovic, Damjan
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Enforcing an Admissible Parameter Space for Vector Multiplicative Error Models: The Fundamental Role of Matrix Inequality Constraints
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteKaranasos, Menelaos; Xu, Yongdeng; Yfanti, Stavroula; Zopounidis, Constantin
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Optimal Candlestick-Based Spot Volatility Estimation: New Tricks and Feasible Inference Procedures
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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PREAI
deleteBollerslev, Tim; Li, Jia; Li, Qiyuan; Li, Yifan
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Warnings about Future Jumps: Properties of the Exponential Hawkes Model
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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PREAI
deleteFoschi, Rachele; Lilla, Francesca; Mancini, Cecilia
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Multifactor Timing with Deep Learning
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteCotturo, Paul; Liu, Fred; Proner, Robert
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Fast Bayesian Calibration of Option Pricing Models Based on Sequential Monte Carlo Methods and Deep Learning
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteBrignone, Riccardo; Gonzato, Luca; Knaust, Sven; Lutkebohmert, Eva
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Nonlinear Fore(Back)Casting and Innovation Filtering for Causal-Noncausal VAR Models
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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PREAI
deleteGourieroux, Christian; Jasiak, Joann
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Hedge Fund Investment: Optimal Portfolios with Regime-Switching
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteHeinen, Andreas; Valdesogo, Alfonso
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A Non-Gaussian, Structure-Preserving Stochastic Volatility and Option Pricing Model in Discrete Time
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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PREAI
deleteFeistle, Simon; Fengler, Matthias R.; Melnikov, Alexander
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Efficiently Weighted Estimation of Tail and Interquantile Expectations
deleteJournal of Financial Econometrics
IF2.2
delete2026-01-01
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deleteBarendse, Sander
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A New Test for Multiple Predictive Regression*
deleteJOURNAL OF FINANCIAL ECONOMETRICS
IF2.2
delete2022-08-12
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deleteXu, Ke-Li; Guo, Junjie
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What Determines Protection of Property Rights? An Analysis of Direct and Indirect Effects
deleteJOURNAL OF FINANCIAL ECONOMETRICS
IF2.2
delete2013-02-13
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deleteAyyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
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