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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: 50, SJR: 2.196, CiteScore: 5)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.434, CiteScore: 1)
African Affairs     Hybrid Journal   (Followers: 65, 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: 7)
American Historical Review     Hybrid Journal   (Followers: 156, SJR: 0.467, CiteScore: 1)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 42, SJR: 2.113, CiteScore: 3)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 161, SJR: 3.438, CiteScore: 6)
American J. of Epidemiology     Hybrid Journal   (Followers: 185, 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: 19, 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: 16, SJR: 0.391, CiteScore: 0)
Analysis     Hybrid Journal   (Followers: 22, SJR: 1.038, CiteScore: 1)
Animal Frontiers     Hybrid Journal   (Followers: 1)
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: 45, 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: 314, SJR: 6.14, CiteScore: 8)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 9, 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: 172, SJR: 2.115, CiteScore: 3)
BJA Education     Hybrid Journal   (Followers: 65)
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: 25, SJR: 0.508, CiteScore: 1)
British J. of Criminology     Hybrid Journal   (Followers: 588, 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: 6, 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: 65, 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: 46, SJR: 3.892, CiteScore: 6)
CESifo Economic Studies     Hybrid Journal   (Followers: 18, 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: 22, 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: 67, SJR: 5.051, CiteScore: 5)
Communication Theory     Hybrid Journal   (Followers: 23, SJR: 2.424, CiteScore: 3)
Communication, Culture & Critique     Hybrid Journal   (Followers: 27, 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: 2)
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: 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: 16, SJR: 0.139, CiteScore: 0)
Economic Policy     Hybrid Journal   (Followers: 41, 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: 190, 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: 30, SJR: 0.702, CiteScore: 1)
European Sociological Review     Hybrid Journal   (Followers: 42, SJR: 2.728, CiteScore: 3)
Evolution, Medicine, and Public Health     Open Access   (Followers: 12)
Family Practice     Hybrid Journal   (Followers: 16, SJR: 1.018, CiteScore: 2)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 13, SJR: 1.492, CiteScore: 4)
Fems Microbiology Letters     Hybrid Journal   (Followers: 27, SJR: 0.79, CiteScore: 2)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 31, 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: 13, 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: 25, 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: 15, SJR: 2.146, CiteScore: 3)
Human Molecular Genetics     Hybrid Journal   (Followers: 8, SJR: 3.555, CiteScore: 5)
Human Reproduction     Hybrid Journal   (Followers: 72, SJR: 2.643, CiteScore: 5)
Human Reproduction Open     Open Access  
Human Reproduction Update     Hybrid Journal   (Followers: 18, SJR: 5.317, CiteScore: 10)
Human Rights Law Review     Hybrid Journal   (Followers: 58, SJR: 0.756, CiteScore: 1)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 53, SJR: 1.591, CiteScore: 3)
ICSID Review     Hybrid Journal   (Followers: 11)
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: 62, 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: 36, 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: 240, 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: 24, 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: 38, 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: 39, 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: 47, 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 Burn Care & Research     Hybrid Journal   (Followers: 10, 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: 55, SJR: 4.411, CiteScore: 5)
J. of Competition Law and Economics     Hybrid Journal   (Followers: 37, 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: 29, 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)
J. of Crohn's and Colitis     Hybrid Journal   (Followers: 8, SJR: 2.728, CiteScore: 5)

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Journal Cover
Journal of Financial Econometrics
Journal Prestige (SJR): 2.111
Citation Impact (citeScore): 1
Number of Followers: 24  
 
  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]
  • Editorial
    • Authors: Bandi F; Patton A.
      Pages: 523 - 525
      Abstract: Realized measures of power variation and the notion of stable convergence have been central to the econometrics of high-frequency data over the last 15 years. Their combined use has led to new insights about the dynamics of asset prices.
      PubDate: Thu, 04 Oct 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby027
      Issue No: Vol. 16, No. 4 (2018)
       
  • Fractionally Integrated COGARCH Processes*
    • Authors: Haug S; Klüppelberg C, Straub G.
      Pages: 599 - 628
      Abstract: We construct fractionally integrated continuous-time GARCH models, which capture the observed long-range dependence of squared volatility in high-frequency data. Since the usual Molchan–Golosov and Mandelbrot-van-Ness fractional kernels lead to problems in the definition of the model, we resort to moderately long-memory processes by choosing a fractional parameter d∈(−0.5,0) and remove the singularities of the kernel to obtain nonpathological sample paths. The volatility of the new fractional continuous-time GARCH process has positive features like stationarity, and its covariance function shows an algebraic decay, which makes it applicable to econometric high-frequency data. The model is fitted to exchange rate data using a simulation-based version of the generalized method of moments.* We thank Aleksey Min from the Chair of Mathematical Finance at the Technical University of Munich for access to the Chair’s Thomas Reuters database. Furthermore, we would like to thank Thiago do Rêgo Sousa for interesting discussions and useful comments on the simulation-based version of the generalized method of moments.
      PubDate: Thu, 04 Oct 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby020
      Issue No: Vol. 16, No. 4 (2018)
       
  • Limit of Random Measures Associated with the Increments of a Brownian
           Semimartingale
    • Authors: Jacod J.
      Pages: 526 - 569
      Abstract: We consider a Brownian semimartingale X (the sum of a stochastic integral w.r.t. a Brownian motion and an integral w.r.t. Lebesgue measure), and for each n an increasing sequence T(n, i) of stopping times and a sequence of positive ℱT(n,i)-measurable variables Δ(n,i) such that S(n,i):=T(n,i)+Δ(n,i)≤T(n,i+1). We are interested in the limiting behavior of processes of the form Utn(g)=δn∑i:S(n,i)≤t[g(T(n,i),ξin)−αin(g)], where δn is a normalizing sequence tending to 0 and ξin=Δ(n,i)−1/2(XS(n,i)−XT(n,i)) and αin(g) are suitable centering terms and g is some predictable function of (ω,t,x). Under rather weak assumptions on the sequences T(n, i) as n goes to infinity, we prove that these processes converge (stably) in law to the stochastic integral of g w.r.t. a random measure B which is, conditionally on the path of X, a Gaussian random measure. We give some applications to rates of convergence in discrete approximations for the p-variation processes and local times.
      PubDate: Wed, 02 Aug 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx021
      Issue No: Vol. 16, No. 4 (2017)
       
  • Comment on: Limit of Random Measures Associated with the Increments of a
           Brownian Semimartingale*
    • Authors: Li J; Xiu D.
      Pages: 570 - 582
      Abstract: * We thank the Editor (Federico Bandi) for inviting us to contribute to this special issue.
      PubDate: Tue, 14 Nov 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx034
      Issue No: Vol. 16, No. 4 (2017)
       
  • Comment on: Limit of Random Measures Associated with the Increments of a
           Brownian Semimartingale*
    • Authors: Li Y; Zheng X.
      Pages: 583 - 587
      Abstract: First of all, we send our extremely belated congratulations to Professor Jean Jacod, on such an insightful and well-written article which promoted the prosperity of the field of high-frequency data research over the past two decades. We would also like to congratulate the Journal of Financial Econometrics for recognizing this important article.
      PubDate: Mon, 11 Dec 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx035
      Issue No: Vol. 16, No. 4 (2017)
       
  • Comment on: Limit of Random Measures Associated with the Increments of a
           Brownian SemimartingaleAsymptotic behavior of local times related
           statistics for fractional Brownian motion
    • Authors: Podolskij M; Rosenbaum M.
      Pages: 588 - 598
      Abstract: We consider high-frequency observations from a fractional Brownian motion. Inspired by the work of Jean Jacod in a diffusion setting, we investigate the asymptotic behavior of various classical statistics related to the local times of the process. We show that as in the diffusion case, these statistics indeed converge to some local times up to a constant factor. As a corollary, we provide limit theorems for the quadratic variation of the absolute value of a fractional Brownian motion.
      PubDate: Thu, 14 Dec 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx036
      Issue No: Vol. 16, No. 4 (2017)
       
  • Efficient Multipowers*
    • Authors: Kolokolov A; Renò R.
      Pages: 629 - 659
      Abstract: Multipower estimators, widespread for their robustness to the presence of jumps, are also useful for reducing the estimation error of integrated volatility powers even in the absence of jumps. Optimizing linear combinations of multipowers can indeed drastically reduce the variance with respect to traditional estimators. In the case of quarticity, we also prove that the optimal combination is a nearly efficient estimator, being arbitrarily close to the nonparametric efficiency bound as the number of consecutive returns employed diverges. We provide guidance on how to select the optimal number of consecutive returns to minimize mean square error. The implementation on U.S. stock prices corroborates our theoretical findings and further shows that our proposed quarticity estimator noticeably reduces the number of detected jumps, and improves the quality of volatility forecasts.
      PubDate: Fri, 30 Jun 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx018
      Issue No: Vol. 16, No. 4 (2017)
       
 
 
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