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Publisher: Oxford University Press   (Total: 396 journals)

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Showing 1 - 200 of 396 Journals sorted alphabetically
ACS Symposium Series     Full-text available via subscription   (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: 48, SJR: 2.196, CiteScore: 5)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.434, CiteScore: 1)
African Affairs     Hybrid Journal   (Followers: 64, SJR: 1.869, CiteScore: 2)
Age and Ageing     Hybrid Journal   (Followers: 91, 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: 7)
American Historical Review     Hybrid Journal   (Followers: 155, SJR: 0.467, CiteScore: 1)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 41, SJR: 2.113, CiteScore: 3)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 151, SJR: 3.438, CiteScore: 6)
American J. of Epidemiology     Hybrid Journal   (Followers: 177, SJR: 2.713, CiteScore: 3)
American J. of Hypertension     Hybrid Journal   (Followers: 25, SJR: 1.322, CiteScore: 3)
American J. of Jurisprudence     Hybrid Journal   (Followers: 18, SJR: 0.281, CiteScore: 1)
American J. of Legal History     Full-text available via subscription   (Followers: 8, SJR: 0.116, CiteScore: 0)
American Law and Economics Review     Hybrid Journal   (Followers: 27, SJR: 1.053, CiteScore: 1)
American Literary History     Hybrid Journal   (Followers: 15, SJR: 0.391, CiteScore: 0)
Analysis     Hybrid Journal   (Followers: 21, SJR: 1.038, CiteScore: 1)
Animal Frontiers     Hybrid Journal  
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 15, SJR: 1.423, CiteScore: 3)
Annals of Botany     Hybrid Journal   (Followers: 36, SJR: 1.721, CiteScore: 4)
Annals of Oncology     Hybrid Journal   (Followers: 44, SJR: 5.599, CiteScore: 9)
Annals of the Entomological Society of America     Full-text available via subscription   (Followers: 10, SJR: 0.722, CiteScore: 1)
Annals of Work Exposures and Health     Hybrid Journal   (Followers: 32, SJR: 0.728, CiteScore: 2)
AoB Plants     Open Access   (Followers: 4, SJR: 1.28, CiteScore: 3)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 18, SJR: 0.858, CiteScore: 2)
Applied Linguistics     Hybrid Journal   (Followers: 56, 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: 20)
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: 43, SJR: 0.146, CiteScore: 0)
Behavioral Ecology     Hybrid Journal   (Followers: 52, SJR: 1.871, CiteScore: 3)
Bioinformatics     Hybrid Journal   (Followers: 306, 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: 1, SJR: 0.146, CiteScore: 0)
Biostatistics     Hybrid Journal   (Followers: 17, SJR: 1.553, CiteScore: 2)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 166, SJR: 2.115, CiteScore: 3)
BJA Education     Hybrid Journal   (Followers: 64)
Brain     Hybrid Journal   (Followers: 68, 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: 35, SJR: 2.161, CiteScore: 2)
British J. of Aesthetics     Hybrid Journal   (Followers: 26, SJR: 0.508, CiteScore: 1)
British J. of Criminology     Hybrid Journal   (Followers: 585, SJR: 1.828, CiteScore: 3)
British J. of Social Work     Hybrid Journal   (Followers: 87, SJR: 1.019, CiteScore: 2)
British Medical Bulletin     Hybrid Journal   (Followers: 7, SJR: 1.355, CiteScore: 3)
British Yearbook of Intl. Law     Hybrid Journal   (Followers: 32)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 4, SJR: 1.376, CiteScore: 1)
Cambridge J. of Economics     Hybrid Journal   (Followers: 63, SJR: 0.764, CiteScore: 2)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 11, SJR: 2.438, CiteScore: 4)
Cambridge Quarterly     Hybrid Journal   (Followers: 9, 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: 45, SJR: 3.892, CiteScore: 6)
CESifo Economic Studies     Hybrid Journal   (Followers: 17, SJR: 0.483, CiteScore: 1)
Chemical Senses     Hybrid Journal   (Followers: 1, SJR: 1.42, CiteScore: 3)
Children and Schools     Hybrid Journal   (Followers: 5, SJR: 0.246, CiteScore: 0)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 4, 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: 65, SJR: 5.051, CiteScore: 5)
Clinical Kidney J.     Open Access   (Followers: 3, SJR: 1.163, CiteScore: 2)
Communication Theory     Hybrid Journal   (Followers: 22, SJR: 2.424, CiteScore: 3)
Communication, Culture & Critique     Hybrid Journal   (Followers: 26, 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: 2, 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: 5, SJR: 0.906, CiteScore: 1)
Critical Values     Full-text available via subscription  
Current Developments in Nutrition     Open Access   (Followers: 1)
Current Legal Problems     Hybrid Journal   (Followers: 29)
Current Zoology     Full-text available via subscription   (Followers: 2, SJR: 1.164, CiteScore: 2)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 8, SJR: 1.791, CiteScore: 3)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 14, SJR: 0.259, CiteScore: 1)
Diplomatic History     Hybrid Journal   (Followers: 20, 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: 15, SJR: 0.139, CiteScore: 0)
Economic Policy     Hybrid Journal   (Followers: 40, SJR: 3.584, CiteScore: 3)
ELT J.     Hybrid Journal   (Followers: 24, SJR: 0.942, CiteScore: 1)
English Historical Review     Hybrid Journal   (Followers: 54, SJR: 0.612, CiteScore: 1)
English: J. of the English Association     Hybrid Journal   (Followers: 14, SJR: 0.1, CiteScore: 0)
Environmental Entomology     Full-text available via subscription   (Followers: 11, SJR: 0.818, CiteScore: 2)
Environmental Epigenetics     Open Access   (Followers: 3)
Environmental History     Hybrid Journal   (Followers: 27, SJR: 0.408, CiteScore: 1)
EP-Europace     Hybrid Journal   (Followers: 2, 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: 17, SJR: 0.113, CiteScore: 0)
European Heart J.     Hybrid Journal   (Followers: 57, SJR: 9.315, CiteScore: 9)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 9, SJR: 3.625, CiteScore: 3)
European Heart J. - Cardiovascular Pharmacotherapy     Full-text available via subscription   (Followers: 1)
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: 188, SJR: 0.694, CiteScore: 1)
European J. of Orthodontics     Hybrid Journal   (Followers: 4, SJR: 1.279, CiteScore: 2)
European J. of Public Health     Hybrid Journal   (Followers: 20, 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: 29, SJR: 0.702, CiteScore: 1)
European Sociological Review     Hybrid Journal   (Followers: 40, SJR: 2.728, CiteScore: 3)
Evolution, Medicine, and Public Health     Open Access   (Followers: 11)
Family Practice     Hybrid Journal   (Followers: 16, SJR: 1.018, CiteScore: 2)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 12, SJR: 1.492, CiteScore: 4)
Fems Microbiology Letters     Hybrid Journal   (Followers: 25, SJR: 0.79, CiteScore: 2)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 30, 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: 7, 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: 33, SJR: 0.118, CiteScore: 0)
French Studies     Hybrid Journal   (Followers: 20, SJR: 0.148, CiteScore: 0)
French Studies Bulletin     Hybrid Journal   (Followers: 10, SJR: 0.152, CiteScore: 0)
Gastroenterology Report     Open Access   (Followers: 2)
Genome Biology and Evolution     Open Access   (Followers: 13, SJR: 2.578, CiteScore: 4)
Geophysical J. Intl.     Hybrid Journal   (Followers: 35, SJR: 1.506, CiteScore: 3)
German History     Hybrid Journal   (Followers: 23, SJR: 0.161, CiteScore: 0)
GigaScience     Open Access   (Followers: 4, SJR: 5.022, CiteScore: 7)
Global Summitry     Hybrid Journal   (Followers: 1)
Glycobiology     Hybrid Journal   (Followers: 14, SJR: 1.493, CiteScore: 3)
Health and Social Work     Hybrid Journal   (Followers: 56, 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: 31, SJR: 1.278, CiteScore: 1)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 28, SJR: 0.105, CiteScore: 0)
Human Communication Research     Hybrid Journal   (Followers: 14, SJR: 2.146, CiteScore: 3)
Human Molecular Genetics     Hybrid Journal   (Followers: 8, SJR: 3.555, CiteScore: 5)
Human Reproduction     Hybrid Journal   (Followers: 71, SJR: 2.643, CiteScore: 5)
Human Reproduction Open     Open Access  
Human Reproduction Update     Hybrid Journal   (Followers: 19, SJR: 5.317, CiteScore: 10)
Human Rights Law Review     Hybrid Journal   (Followers: 57, SJR: 0.756, CiteScore: 1)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 52, SJR: 1.591, CiteScore: 3)
ICSID Review     Hybrid Journal   (Followers: 10)
ILAR J.     Hybrid Journal   (Followers: 2, 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: 36, SJR: 0.249, CiteScore: 1)
Inflammatory Bowel Diseases     Hybrid Journal   (Followers: 43, SJR: 2.511, CiteScore: 4)
Information and Inference     Free  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 8, SJR: 1.319, CiteScore: 2)
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: 61, SJR: 1.505, CiteScore: 3)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 25)
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: 37, SJR: 1.348, CiteScore: 2)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 63, SJR: 0.601, CiteScore: 1)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 233, 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: 25, SJR: 0.223, CiteScore: 1)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 9, 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: 35, 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: 38, SJR: 1.465, CiteScore: 3)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 23, SJR: 0.401, CiteScore: 1)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 9, SJR: 0.983, CiteScore: 1)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 46, SJR: 2.581, CiteScore: 2)
Intl. Studies Review     Hybrid Journal   (Followers: 24, 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: 15, 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: 4, SJR: 0.585, CiteScore: 1)
J. of Biochemistry     Hybrid Journal   (Followers: 40, SJR: 1.226, CiteScore: 2)
J. of Burn Care & Research     Hybrid Journal   (Followers: 9, SJR: 0.768, CiteScore: 2)
J. of Chromatographic Science     Hybrid Journal   (Followers: 18, SJR: 0.36, CiteScore: 1)
J. of Church and State     Hybrid Journal   (Followers: 11, SJR: 0.139, CiteScore: 0)
J. of Communication     Hybrid Journal   (Followers: 53, SJR: 4.411, CiteScore: 5)
J. of Competition Law and Economics     Hybrid Journal   (Followers: 35, SJR: 0.33, CiteScore: 0)
J. of Complex Networks     Hybrid Journal   (Followers: 2, SJR: 1.05, CiteScore: 4)
J. of Computer-Mediated Communication     Open Access   (Followers: 27, SJR: 2.961, CiteScore: 6)
J. of Conflict and Security Law     Hybrid Journal   (Followers: 12, SJR: 0.402, CiteScore: 0)
J. of Consumer Research     Full-text available via subscription   (Followers: 46, SJR: 5.856, CiteScore: 5)

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Journal Cover
Journal of Financial Econometrics
Journal Prestige (SJR): 2.111
Citation Impact (citeScore): 1
Number of Followers: 23  
 
  Hybrid Journal Hybrid journal (It can contain Open Access articles)
ISSN (Print) 1479-8409 - ISSN (Online) 1479-8417
Published by Oxford University Press Homepage  [396 journals]
  • Bayesian Dynamic Modeling of High-Frequency Integer Price Changes*
    • Authors: Barra I; Borowska A, Koopman S.
      Pages: 384 - 424
      Abstract: We investigate high-frequency volatility models for analyzing intradaily tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intradaily volatility patterns from high-frequency integer price changes. We account for the discrete nature of the data via two different approaches: ordered probit models and discrete distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intraday periodic patterns. We consider distributions with heavy tails to address occurrences of jumps in tick by tick discrete prices changes. In particular, we introduce a dynamic version of the negative binomial difference model with stochastic volatility. For each model, we develop a Markov chain Monte Carlo estimation method that takes advantage of auxiliary mixture representations to facilitate the numerical implementation. This new modeling framework is illustrated by means of tick by tick data for two stocks from the NYSE and for different periods. Different models are compared with each other based on the predictive likelihoods. We find evidence in favor of our preferred dynamic negative binomial difference model.
      PubDate: Thu, 03 May 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby010
      Issue No: Vol. 16, No. 3 (2018)
       
  • The Risk and Return Conundrum Explained: International Evidence*
    • Authors: Savva C; Theodossiou P.
      Pages: 486 - 521
      Abstract: The relationship between risk and expected returns has been investigated extensively in the financial economics literature. Theoretical models generally predict a positive relation between the two. Nevertheless, the empirical findings so far have been inconclusive. Using a generalization of the analytical framework developed by Theodossiou and Savva (2016) along with time-varying asymmetry, linked to the upside and downside uncertainty, the risk–return puzzle is investigated across international stock markets. The investigation reveals that the contradictory findings are the result of ignoring the impact of skewness on the total price of risk. That is, in the absence of skewness the relationship between risk and return is positive as depicted by finance theory. However, negative skewness results in lowering the total price of risk and in some cases reverting its sign from positive to negative.
      PubDate: Mon, 16 Jul 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby014
      Issue No: Vol. 16, No. 3 (2018)
       
  • Downside Variance Risk Premium*
    • Authors: Feunou B; Jahan-Parvar M, Okou C.
      Pages: 341 - 383
      Abstract: We propose a new decomposition of the variance risk premium (VRP) in terms of upside and downside VRPs. These components reflect market compensation for changes in good and bad uncertainties. Empirically, we establish that the downside VRP is the main component of the VRP. We find a positive and significant link between the downside VRP and the equity premium, and a negative but statistically insignificant link between the upside VRP and the equity premium. The opposite relationships between these two components and the equity premium explains the stronger link found between the downside VRP and the equity premium compared with the well-established relationship between VRP and the equity premium. A simple equilibrium consumption-based asset pricing model, fitted to the U.S. data, supports our decomposition.
      PubDate: Wed, 28 Jun 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx020
      Issue No: Vol. 16, No. 3 (2017)
       
  • A Flexible Generalized Hyperbolic Option Pricing Model and Its Special
           Cases*
    • Authors: Yeap C; Kwok S, Choy S.
      Pages: 425 - 460
      Abstract: We study a generalized hyperbolic (GH) time-changed Lévy process for option pricing and examine six three-parameter special cases: the variance gamma (VG) model of Madan, Carr, and Chang (1998), t, hyperbolic (H), normal inverse Gaussian (NIG), reciprocal hyperbolic (RH), and normal reciprocal inverse Gaussian (NRIG) option pricing models. We study the GH model’s moment properties of the associated risk-neutral distribution of logarithmic spot returns, and obtain an explicit pricing formula for European options facilitated by the time-change Lévy process construction. Using S&P 500 Index European options during low and high volatility sample periods, we compare the GH model empirically with existing benchmark models such as the finite-moment log-stable model and the Black–Scholes model. The GH model offers the best in- and out-of-sample performance overall, and a proposed t model special case generally outperforms the existing VG special case. We also present a stochastic volatility extension of the GH model.
      PubDate: Tue, 17 Oct 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx030
      Issue No: Vol. 16, No. 3 (2017)
       
  • Dynamic Functional Regression with Application to the Cross-section of
           Returns
    • Authors: Kokoszka P; Miao H, Reimherr M, et al.
      Pages: 461 - 485
      Abstract: Motivated by testing the significance of risk factors for a cross-section of returns, we develop an inferential framework which involves function-on-scalar regression. Asymptotic theory is developed assuming the factors form a weakly dependent vector-valued time series, and the regression errors are weakly dependent functions. To accommodate the empirical behavior of the cross-section of returns and of the factors, we allow both the factors and the error functions can exhibit mild departures from stationarity. This requires new asymptotic theory which leads to several tests for the significance of function-valued regression coefficients. The new approach to the study of the significance of risk factors for a cross-section of returns complements the established Fama–French approach based on portfolio construction. It is more suitable if the statistical significance of the risk factors is to be rigorously controlled.
      PubDate: Mon, 28 Aug 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx027
      Issue No: Vol. 16, No. 3 (2017)
       
 
 
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