Aim & Scope
Financial econometrics has become one of the most active areas of research in econometrics. The Journal of Financial Econometrics is dedicated to this fast-growing field. The Journal addresses substantive statistical issues raised by the tremendous growth of the financial industry over the last decades. The goal of the Journal is to reflect and advance the relationship between econometrics and finance, both at the methodological and at the empirical levels. The Journal's scope encompasses the themes that animate the field today. Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus. More specifically, the scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling, transaction data, and microstructure of financial markets. Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest. The Journal features a Practitioners' Corner section that emphasizes the practical side of the contents of each issue and places the articles within a broader perspective. Practitioners are invited to submit their reactions to make this section a lively forum for current ideas, where new issues and trends emerge. [1]
2024
Do Recessions and Bear Markets Occur Concurrently across Countries? A Multinomial Logistic Approach
Journal of Financial Econometrics , 2024
A Structural Break in the Aggregate Earnings–Returns Relation
Journal of Financial Econometrics , 2024
Jump Clustering, Information Flows, and Stock Price Efficiency
Journal of Financial Econometrics , 2024
COAALA: A Novel Approach to Understanding Extreme Stock–Bond Comovement
A Allard , H Hanbali , K Smedts
Journal of Financial Econometrics , 2024
Empirical Asset Pricing with Score-Driven Conditional Betas
Journal of Financial Econometrics , 2024
Large Sample Estimators of the Stochastic Discount Factor
Journal of Financial Econometrics , 2024
Finite Lag Estimation of Non-Markovian Processes
Journal of Financial Econometrics , 2024
Measuring and Testing Systemic Risk from the Cross-Section of Stock Returns
Journal of Financial Econometrics , 2024