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Publisher: Oxford University Press   (Total: 406 journals)

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Showing 1 - 200 of 406 Journals sorted alphabetically
ACS Symposium Series     Full-text available via subscription   (Followers: 1, SJR: 0.189, CiteScore: 0)
Acta Biochimica et Biophysica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.79, CiteScore: 2)
Adaptation     Hybrid Journal   (Followers: 9, SJR: 0.143, CiteScore: 0)
Advances in Nutrition     Hybrid Journal   (Followers: 55, SJR: 2.196, CiteScore: 5)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.434, CiteScore: 1)
Aesthetic Surgery J. Open Forum     Open Access  
African Affairs     Hybrid Journal   (Followers: 66, SJR: 1.869, CiteScore: 2)
Age and Ageing     Hybrid Journal   (Followers: 90, SJR: 1.989, CiteScore: 4)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 18, SJR: 1.376, CiteScore: 3)
American Entomologist     Full-text available via subscription   (Followers: 8)
American Historical Review     Hybrid Journal   (Followers: 180, SJR: 0.467, CiteScore: 1)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 44, SJR: 2.113, CiteScore: 3)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 192, SJR: 3.438, CiteScore: 6)
American J. of Epidemiology     Hybrid Journal   (Followers: 196, SJR: 2.713, CiteScore: 3)
American J. of Health-System Pharmacy     Full-text available via subscription   (Followers: 55, SJR: 0.595, CiteScore: 1)
American J. of Hypertension     Hybrid Journal   (Followers: 26, SJR: 1.322, CiteScore: 3)
American J. of Jurisprudence     Hybrid Journal   (Followers: 19, SJR: 0.281, CiteScore: 1)
American J. of Legal History     Full-text available via subscription   (Followers: 9, SJR: 0.116, CiteScore: 0)
American Law and Economics Review     Hybrid Journal   (Followers: 28, SJR: 1.053, CiteScore: 1)
American Literary History     Hybrid Journal   (Followers: 17, SJR: 0.391, CiteScore: 0)
Analysis     Hybrid Journal   (Followers: 23, SJR: 1.038, CiteScore: 1)
Animal Frontiers     Hybrid Journal   (Followers: 1)
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 16, SJR: 1.423, CiteScore: 3)
Annals of Botany     Hybrid Journal   (Followers: 38, SJR: 1.721, CiteScore: 4)
Annals of Oncology     Hybrid Journal   (Followers: 54, SJR: 5.599, CiteScore: 9)
Annals of the Entomological Society of America     Full-text available via subscription   (Followers: 11, SJR: 0.722, CiteScore: 1)
Annals of Work Exposures and Health     Hybrid Journal   (Followers: 34, SJR: 0.728, CiteScore: 2)
Antibody Therapeutics     Open Access  
AoB Plants     Open Access   (Followers: 4, SJR: 1.28, CiteScore: 3)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 17, SJR: 0.858, CiteScore: 2)
Applied Linguistics     Hybrid Journal   (Followers: 60, SJR: 2.987, CiteScore: 3)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1, SJR: 1.241, CiteScore: 1)
Arbitration Intl.     Full-text available via subscription   (Followers: 21)
Arbitration Law Reports and Review     Hybrid Journal   (Followers: 14)
Archives of Clinical Neuropsychology     Hybrid Journal   (Followers: 30, SJR: 0.731, CiteScore: 2)
Aristotelian Society Supplementary Volume     Hybrid Journal   (Followers: 3)
Arthropod Management Tests     Hybrid Journal   (Followers: 2)
Astronomy & Geophysics     Hybrid Journal   (Followers: 44, SJR: 0.146, CiteScore: 0)
Behavioral Ecology     Hybrid Journal   (Followers: 53, SJR: 1.871, CiteScore: 3)
Bioinformatics     Hybrid Journal   (Followers: 348, SJR: 6.14, CiteScore: 8)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 10, SJR: 1.446, CiteScore: 3)
Biometrika     Hybrid Journal   (Followers: 20, SJR: 3.485, CiteScore: 2)
BioScience     Hybrid Journal   (Followers: 29, SJR: 2.754, CiteScore: 4)
Bioscience Horizons : The National Undergraduate Research J.     Open Access   (Followers: 2, SJR: 0.146, CiteScore: 0)
Biostatistics     Hybrid Journal   (Followers: 17, SJR: 1.553, CiteScore: 2)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 190, SJR: 2.115, CiteScore: 3)
BJA Education     Hybrid Journal   (Followers: 66)
Brain     Hybrid Journal   (Followers: 70, SJR: 5.858, CiteScore: 7)
Briefings in Bioinformatics     Hybrid Journal   (Followers: 49, SJR: 2.505, CiteScore: 5)
Briefings in Functional Genomics     Hybrid Journal   (Followers: 3, SJR: 2.15, CiteScore: 3)
British J. for the Philosophy of Science     Hybrid Journal   (Followers: 38, SJR: 2.161, CiteScore: 2)
British J. of Aesthetics     Hybrid Journal   (Followers: 25, SJR: 0.508, CiteScore: 1)
British J. of Criminology     Hybrid Journal   (Followers: 604, SJR: 1.828, CiteScore: 3)
British J. of Social Work     Hybrid Journal   (Followers: 86, SJR: 1.019, CiteScore: 2)
British Medical Bulletin     Hybrid Journal   (Followers: 6, SJR: 1.355, CiteScore: 3)
British Yearbook of Intl. Law     Hybrid Journal   (Followers: 35)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 4, SJR: 1.376, CiteScore: 1)
Cambridge J. of Economics     Hybrid Journal   (Followers: 71, SJR: 0.764, CiteScore: 2)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 12, SJR: 2.438, CiteScore: 4)
Cambridge Quarterly     Hybrid Journal   (Followers: 10, SJR: 0.104, CiteScore: 0)
Capital Markets Law J.     Hybrid Journal   (Followers: 2, SJR: 0.222, CiteScore: 0)
Carcinogenesis     Hybrid Journal   (Followers: 2, SJR: 2.135, CiteScore: 5)
Cardiovascular Research     Hybrid Journal   (Followers: 14, SJR: 3.002, CiteScore: 5)
Cerebral Cortex     Hybrid Journal   (Followers: 52, SJR: 3.892, CiteScore: 6)
CESifo Economic Studies     Hybrid Journal   (Followers: 23, SJR: 0.483, CiteScore: 1)
Chemical Senses     Hybrid Journal   (Followers: 1, SJR: 1.42, CiteScore: 3)
Children and Schools     Hybrid Journal   (Followers: 6, SJR: 0.246, CiteScore: 0)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 5, SJR: 0.412, CiteScore: 0)
Chinese J. of Intl. Law     Hybrid Journal   (Followers: 23, SJR: 0.329, CiteScore: 0)
Chinese J. of Intl. Politics     Hybrid Journal   (Followers: 10, SJR: 1.392, CiteScore: 2)
Christian Bioethics: Non-Ecumenical Studies in Medical Morality     Hybrid Journal   (Followers: 10, SJR: 0.183, CiteScore: 0)
Classical Receptions J.     Hybrid Journal   (Followers: 27, SJR: 0.123, CiteScore: 0)
Clean Energy     Open Access   (Followers: 1)
Clinical Infectious Diseases     Hybrid Journal   (Followers: 70, SJR: 5.051, CiteScore: 5)
Communication Theory     Hybrid Journal   (Followers: 25, SJR: 2.424, CiteScore: 3)
Communication, Culture & Critique     Hybrid Journal   (Followers: 28, SJR: 0.222, CiteScore: 1)
Community Development J.     Hybrid Journal   (Followers: 27, SJR: 0.268, CiteScore: 1)
Computer J.     Hybrid Journal   (Followers: 9, SJR: 0.319, CiteScore: 1)
Conservation Physiology     Open Access   (Followers: 3, SJR: 1.818, CiteScore: 3)
Contemporary Women's Writing     Hybrid Journal   (Followers: 9, SJR: 0.121, CiteScore: 0)
Contributions to Political Economy     Hybrid Journal   (Followers: 6, SJR: 0.906, CiteScore: 1)
Critical Values     Full-text available via subscription  
Current Developments in Nutrition     Open Access   (Followers: 3)
Current Legal Problems     Hybrid Journal   (Followers: 29)
Current Zoology     Full-text available via subscription   (Followers: 3, SJR: 1.164, CiteScore: 2)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 9, SJR: 1.791, CiteScore: 3)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 14, SJR: 0.259, CiteScore: 1)
Diplomatic History     Hybrid Journal   (Followers: 21, SJR: 0.45, CiteScore: 1)
DNA Research     Open Access   (Followers: 5, SJR: 2.866, CiteScore: 6)
Dynamics and Statistics of the Climate System     Open Access   (Followers: 4)
Early Music     Hybrid Journal   (Followers: 17, SJR: 0.139, CiteScore: 0)
Econometrics J.     Hybrid Journal   (Followers: 32, SJR: 2.926, CiteScore: 1)
Economic J.     Hybrid Journal   (Followers: 116, SJR: 5.161, CiteScore: 3)
Economic Policy     Hybrid Journal   (Followers: 48, SJR: 3.584, CiteScore: 3)
ELT J.     Hybrid Journal   (Followers: 24, SJR: 0.942, CiteScore: 1)
English Historical Review     Hybrid Journal   (Followers: 56, SJR: 0.612, CiteScore: 1)
English: J. of the English Association     Hybrid Journal   (Followers: 18, SJR: 0.1, CiteScore: 0)
Environmental Entomology     Full-text available via subscription   (Followers: 11, SJR: 0.818, CiteScore: 2)
Environmental Epigenetics     Open Access   (Followers: 2)
Environmental History     Hybrid Journal   (Followers: 26, SJR: 0.408, CiteScore: 1)
EP-Europace     Hybrid Journal   (Followers: 3, SJR: 2.748, CiteScore: 4)
Epidemiologic Reviews     Hybrid Journal   (Followers: 9, SJR: 4.505, CiteScore: 8)
ESHRE Monographs     Hybrid Journal  
Essays in Criticism     Hybrid Journal   (Followers: 20, SJR: 0.113, CiteScore: 0)
European Heart J.     Hybrid Journal   (Followers: 66, SJR: 9.315, CiteScore: 9)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 10, SJR: 3.625, CiteScore: 3)
European Heart J. - Cardiovascular Pharmacotherapy     Full-text available via subscription   (Followers: 2)
European Heart J. - Quality of Care and Clinical Outcomes     Hybrid Journal  
European Heart J. : Case Reports     Open Access  
European Heart J. Supplements     Hybrid Journal   (Followers: 8, SJR: 0.223, CiteScore: 0)
European J. of Cardio-Thoracic Surgery     Hybrid Journal   (Followers: 9, SJR: 1.681, CiteScore: 2)
European J. of Intl. Law     Hybrid Journal   (Followers: 205, SJR: 0.694, CiteScore: 1)
European J. of Orthodontics     Hybrid Journal   (Followers: 5, SJR: 1.279, CiteScore: 2)
European J. of Public Health     Hybrid Journal   (Followers: 19, SJR: 1.36, CiteScore: 2)
European Review of Agricultural Economics     Hybrid Journal   (Followers: 10, SJR: 1.172, CiteScore: 2)
European Review of Economic History     Hybrid Journal   (Followers: 30, SJR: 0.702, CiteScore: 1)
European Sociological Review     Hybrid Journal   (Followers: 43, SJR: 2.728, CiteScore: 3)
Evolution, Medicine, and Public Health     Open Access   (Followers: 12)
Family Practice     Hybrid Journal   (Followers: 15, SJR: 1.018, CiteScore: 2)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 16, SJR: 1.492, CiteScore: 4)
Fems Microbiology Letters     Hybrid Journal   (Followers: 28, SJR: 0.79, CiteScore: 2)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 33, SJR: 7.063, CiteScore: 13)
Fems Yeast Research     Hybrid Journal   (Followers: 14, SJR: 1.308, CiteScore: 3)
Food Quality and Safety     Open Access   (Followers: 1)
Foreign Policy Analysis     Hybrid Journal   (Followers: 24, SJR: 1.425, CiteScore: 1)
Forest Science     Hybrid Journal   (Followers: 8, SJR: 0.89, CiteScore: 2)
Forestry: An Intl. J. of Forest Research     Hybrid Journal   (Followers: 16, SJR: 1.133, CiteScore: 3)
Forum for Modern Language Studies     Hybrid Journal   (Followers: 6, SJR: 0.104, CiteScore: 0)
French History     Hybrid Journal   (Followers: 34, SJR: 0.118, CiteScore: 0)
French Studies     Hybrid Journal   (Followers: 21, SJR: 0.148, CiteScore: 0)
French Studies Bulletin     Hybrid Journal   (Followers: 10, SJR: 0.152, CiteScore: 0)
Gastroenterology Report     Open Access   (Followers: 3)
Genome Biology and Evolution     Open Access   (Followers: 16, SJR: 2.578, CiteScore: 4)
Geophysical J. Intl.     Hybrid Journal   (Followers: 39, SJR: 1.506, CiteScore: 3)
German History     Hybrid Journal   (Followers: 23, SJR: 0.161, CiteScore: 0)
GigaScience     Open Access   (Followers: 6, SJR: 5.022, CiteScore: 7)
Global Summitry     Hybrid Journal   (Followers: 1)
Glycobiology     Hybrid Journal   (Followers: 13, SJR: 1.493, CiteScore: 3)
Health and Social Work     Hybrid Journal   (Followers: 57, SJR: 0.388, CiteScore: 1)
Health Education Research     Hybrid Journal   (Followers: 15, SJR: 0.854, CiteScore: 2)
Health Policy and Planning     Hybrid Journal   (Followers: 24, SJR: 1.512, CiteScore: 2)
Health Promotion Intl.     Hybrid Journal   (Followers: 22, SJR: 0.812, CiteScore: 2)
History Workshop J.     Hybrid Journal   (Followers: 33, SJR: 1.278, CiteScore: 1)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 28, SJR: 0.105, CiteScore: 0)
Human Communication Research     Hybrid Journal   (Followers: 15, SJR: 2.146, CiteScore: 3)
Human Molecular Genetics     Hybrid Journal   (Followers: 9, SJR: 3.555, CiteScore: 5)
Human Reproduction     Hybrid Journal   (Followers: 75, SJR: 2.643, CiteScore: 5)
Human Reproduction Open     Open Access   (Followers: 1)
Human Reproduction Update     Hybrid Journal   (Followers: 21, SJR: 5.317, CiteScore: 10)
Human Rights Law Review     Hybrid Journal   (Followers: 64, SJR: 0.756, CiteScore: 1)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 58, SJR: 1.591, CiteScore: 3)
ICSID Review : Foreign Investment Law J.     Hybrid Journal   (Followers: 11)
ILAR J.     Hybrid Journal   (Followers: 3, SJR: 1.732, CiteScore: 4)
IMA J. of Applied Mathematics     Hybrid Journal   (SJR: 0.679, CiteScore: 1)
IMA J. of Management Mathematics     Hybrid Journal   (SJR: 0.538, CiteScore: 1)
IMA J. of Mathematical Control and Information     Hybrid Journal   (Followers: 2, SJR: 0.496, CiteScore: 1)
IMA J. of Numerical Analysis - advance access     Hybrid Journal   (SJR: 1.987, CiteScore: 2)
Industrial and Corporate Change     Hybrid Journal   (Followers: 10, SJR: 1.792, CiteScore: 2)
Industrial Law J.     Hybrid Journal   (Followers: 41, SJR: 0.249, CiteScore: 1)
Inflammatory Bowel Diseases     Hybrid Journal   (Followers: 47, SJR: 2.511, CiteScore: 4)
Information and Inference     Free  
Innovation in Aging     Open Access  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 9, SJR: 1.319, CiteScore: 2)
Integrative Biology     Full-text available via subscription   (Followers: 6, SJR: 1.36, CiteScore: 3)
Integrative Organismal Biology     Open Access  
Interacting with Computers     Hybrid Journal   (Followers: 11, SJR: 0.292, CiteScore: 1)
Interactive CardioVascular and Thoracic Surgery     Hybrid Journal   (Followers: 7, SJR: 0.762, CiteScore: 1)
Intl. Affairs     Hybrid Journal   (Followers: 68, SJR: 1.505, CiteScore: 3)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 27)
Intl. Health     Hybrid Journal   (Followers: 6, SJR: 0.851, CiteScore: 2)
Intl. Immunology     Hybrid Journal   (Followers: 3, SJR: 2.167, CiteScore: 4)
Intl. J. for Quality in Health Care     Hybrid Journal   (Followers: 36, SJR: 1.348, CiteScore: 2)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 65, SJR: 0.601, CiteScore: 1)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 261, SJR: 3.969, CiteScore: 5)
Intl. J. of Law and Information Technology     Hybrid Journal   (Followers: 5, SJR: 0.202, CiteScore: 1)
Intl. J. of Law, Policy and the Family     Hybrid Journal   (Followers: 28, SJR: 0.223, CiteScore: 1)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 10, SJR: 0.285, CiteScore: 1)
Intl. J. of Low-Carbon Technologies     Open Access   (Followers: 1, SJR: 0.403, CiteScore: 1)
Intl. J. of Neuropsychopharmacology     Open Access   (Followers: 3, SJR: 1.808, CiteScore: 4)
Intl. J. of Public Opinion Research     Hybrid Journal   (Followers: 11, SJR: 1.545, CiteScore: 1)
Intl. J. of Refugee Law     Hybrid Journal   (Followers: 39, SJR: 0.389, CiteScore: 1)
Intl. J. of Transitional Justice     Hybrid Journal   (Followers: 11, SJR: 0.724, CiteScore: 2)
Intl. Mathematics Research Notices     Hybrid Journal   (Followers: 1, SJR: 2.168, CiteScore: 1)
Intl. Political Sociology     Hybrid Journal   (Followers: 40, SJR: 1.465, CiteScore: 3)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 24, SJR: 0.401, CiteScore: 1)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 9, SJR: 0.983, CiteScore: 1)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 50, SJR: 2.581, CiteScore: 2)
Intl. Studies Review     Hybrid Journal   (Followers: 25, SJR: 1.201, CiteScore: 1)
ISLE: Interdisciplinary Studies in Literature and Environment     Hybrid Journal   (Followers: 2, SJR: 0.15, CiteScore: 0)
ITNOW     Hybrid Journal   (Followers: 1, SJR: 0.103, CiteScore: 0)
J. of African Economies     Hybrid Journal   (Followers: 17, SJR: 0.533, CiteScore: 1)
J. of American History     Hybrid Journal   (Followers: 46, SJR: 0.297, CiteScore: 1)
J. of Analytical Toxicology     Hybrid Journal   (Followers: 14, SJR: 1.065, CiteScore: 2)
J. of Antimicrobial Chemotherapy     Hybrid Journal   (Followers: 15, SJR: 2.419, CiteScore: 4)
J. of Antitrust Enforcement     Hybrid Journal   (Followers: 1)
J. of Applied Poultry Research     Hybrid Journal   (Followers: 5, SJR: 0.585, CiteScore: 1)
J. of Biochemistry     Hybrid Journal   (Followers: 41, SJR: 1.226, CiteScore: 2)
J. of Breast Imaging     Full-text available via subscription   (Followers: 1)
J. of Burn Care & Research     Hybrid Journal   (Followers: 11, SJR: 0.768, CiteScore: 2)

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Similar Journals
Journal Cover
Journal of Financial Econometrics
Journal Prestige (SJR): 2.111
Citation Impact (citeScore): 1
Number of Followers: 29  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1479-8409 - ISSN (Online) 1479-8417
Published by Oxford University Press Homepage  [406 journals]
  • Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with
           High-Frequency-Based Measures*
    • Authors: Bee M; Dupuis D, Trapin L.
      Pages: 254 - 283
      Abstract: Recent contributions to the financial econometrics literature exploit high-frequency (HF) data to improve models for daily asset returns. This paper proposes a new class of dynamic extreme value models that profit from HF data when estimating the tails of daily asset returns. Our realized peaks-over-threshold approach provides estimates for the tails of the time-varying conditional return distribution. An in-sample fit to the S&P 500 index returns suggests that HF data convey information on daily extreme returns beyond that included in low frequency (LF) data. Finally, out-of-sample forecasts of conditional risk measures obtained with HF measures outperform those obtained with LF measures.
      PubDate: Tue, 05 Mar 2019 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbz003
      Issue No: Vol. 17, No. 2 (2019)
       
  • An Anatomy of Industry Merger Waves*
    • Authors: Bianchi D; Chiarella C.
      Pages: 153 - 179
      Abstract: We propose a novel panel Bayesian Markov regime-switching Poisson regression model with time-varying transition probabilities to test existing theories on the driving forces of wave-like patterns in same-industry mergers and acquisitions. We show that the dynamics and persistence of merger waves change substantially in the cross-section of deal flow. This suggests that any inference on existing economically justified competing explanations of merger waves at the aggregate market level could be misleading, as the observed cross-industry heterogeneity in waves is shown to be the consequence of different responses to common or distinct drivers of merger activity.
      PubDate: Fri, 05 Oct 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby025
      Issue No: Vol. 17, No. 2 (2018)
       
  • Comparing Predictive Accuracy under Long Memory, With an Application to
           Volatility Forecasting*
    • Authors: Kruse R; Leschinski C, Will M.
      Pages: 180 - 228
      Abstract: This article extends the popular Diebold–Mariano test for equal predictive accuracy to situations when the forecast error loss differential exhibits long memory. This situation can arise frequently since long memory can be transmitted from forecasts and the forecast objective to forecast error loss differentials. The nature of this transmission depends on the (un)biasedness of the forecasts and whether the involved series share common long memory. Further theoretical results show that the conventional Diebold–Mariano test is invalidated under these circumstances. Robust statistics based on a memory and autocorrelation consistent estimator and an extended fixed-bandwidth approach are considered. The subsequent extensive Monte Carlo study provides numerical results on various issues. As empirical applications, we consider recent extensions of the HAR model for the S&P500 realized volatility. While we find that forecasts improve significantly if jumps are considered, improvements achieved by the inclusion of an implied volatility index turn out to be insignificant.
      PubDate: Thu, 24 May 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby011
      Issue No: Vol. 17, No. 2 (2018)
       
  • Likelihood Inference for a COGARCH Process Using Sequential Monte Carlo*
    • Authors: Wee D; Chen F, Dunsmuir W.
      Pages: 229 - 253
      Abstract: The likelihood for discretely observed continuous-time GARCH models (Kluppelberg, Lindner, and Maller, 2004) is intractable and existing methods based on generalized estimating equations or quasi likelihood are either inefficient or biased. We present a computationally feasible method of obtaining a smooth approximation to the likelihood surface, which can be optimized to give parameter estimates. Our approach combines sequential Monte Carlo (SMC) with a continuous resampling step, and applies to both regularly and irregularly spaced data. The use of SMC is made possible through a novel state space representation of the continuous-time GARCH model. The proposed methodology is illustrated with analysis of high-frequency financial data. Our method is found through simulation studies to outperform the existing quasi maximum likelihood method.
      PubDate: Mon, 04 Jun 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby012
      Issue No: Vol. 17, No. 2 (2018)
       
  • FARVaR: Functional Autoregressive Value-at-Risk*
    • Authors: Cai C; Kim M, Shin Y, et al.
      Pages: 284 - 337
      Abstract: Motivated by the stylized fact that intraday returns can provide additional information on the tail behavior of daily returns, we propose a functional autoregressive value-at-risk (VaR) approach which can directly incorporate such informational advantage into the daily VaR forecast. Our approach leads to greater flexibility in modeling the dynamic evolution of the density function of intraday returns and the ability to capture substantial swings in the tails following major events. We comprehensively evaluate our proposed model using intraday transaction data and demonstrate that it can improve coverage ability, reduce economic cost, and enhance statistical reliability in market risk management.
      PubDate: Fri, 30 Nov 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby031
      Issue No: Vol. 17, No. 2 (2018)
       
 
 
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