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Publisher: Oxford University Press   (Total: 397 journals)

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Showing 1 - 200 of 397 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: 53, SJR: 2.196, CiteScore: 5)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.434, CiteScore: 1)
African Affairs     Hybrid Journal   (Followers: 66, SJR: 1.869, CiteScore: 2)
Age and Ageing     Hybrid Journal   (Followers: 91, SJR: 1.989, CiteScore: 4)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 19, SJR: 1.376, CiteScore: 3)
American Entomologist     Full-text available via subscription   (Followers: 8)
American Historical Review     Hybrid Journal   (Followers: 161, SJR: 0.467, CiteScore: 1)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 45, SJR: 2.113, CiteScore: 3)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 169, SJR: 3.438, CiteScore: 6)
American J. of Epidemiology     Hybrid Journal   (Followers: 191, 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: 16, SJR: 1.423, CiteScore: 3)
Annals of Botany     Hybrid Journal   (Followers: 37, SJR: 1.721, CiteScore: 4)
Annals of Oncology     Hybrid Journal   (Followers: 56, 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: 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: 18, SJR: 0.858, CiteScore: 2)
Applied Linguistics     Hybrid Journal   (Followers: 58, 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: 44, SJR: 0.146, CiteScore: 0)
Behavioral Ecology     Hybrid Journal   (Followers: 52, SJR: 1.871, CiteScore: 3)
Bioinformatics     Hybrid Journal   (Followers: 327, 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: 179, 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: 51, 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: 36, 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: 599, SJR: 1.828, CiteScore: 3)
British J. of Social Work     Hybrid Journal   (Followers: 85, 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: 33)
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: 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: 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: 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: 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: 70, SJR: 5.051, CiteScore: 5)
Communication Theory     Hybrid Journal   (Followers: 24, 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: 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: 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: 42, 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: 15, 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: 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: 19, SJR: 0.113, CiteScore: 0)
European Heart J.     Hybrid Journal   (Followers: 63, 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: 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: 195, 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: 15, SJR: 1.492, CiteScore: 4)
Fems Microbiology Letters     Hybrid Journal   (Followers: 28, SJR: 0.79, CiteScore: 2)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 32, SJR: 7.063, CiteScore: 13)
Fems Yeast Research     Hybrid Journal   (Followers: 13, SJR: 1.308, CiteScore: 3)
Food Quality and Safety     Open Access   (Followers: 1)
Foreign Policy Analysis     Hybrid Journal   (Followers: 25, 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: 21, 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: 15, SJR: 2.578, CiteScore: 4)
Geophysical J. Intl.     Hybrid Journal   (Followers: 36, SJR: 1.506, CiteScore: 3)
German History     Hybrid Journal   (Followers: 23, SJR: 0.161, CiteScore: 0)
GigaScience     Open Access   (Followers: 5, 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: 16, 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: 15, SJR: 2.146, CiteScore: 3)
Human Molecular Genetics     Hybrid Journal   (Followers: 9, SJR: 3.555, CiteScore: 5)
Human Reproduction     Hybrid Journal   (Followers: 72, SJR: 2.643, CiteScore: 5)
Human Reproduction Open     Open Access   (Followers: 1)
Human Reproduction Update     Hybrid Journal   (Followers: 20, SJR: 5.317, CiteScore: 10)
Human Rights Law Review     Hybrid Journal   (Followers: 62, SJR: 0.756, CiteScore: 1)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 56, SJR: 1.591, CiteScore: 3)
ICSID Review : Foreign Investment Law J.     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: 39, SJR: 0.249, CiteScore: 1)
Inflammatory Bowel Diseases     Hybrid Journal   (Followers: 48, 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: 65, 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: 64, SJR: 0.601, CiteScore: 1)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 241, 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: 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: 40, 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: 48, 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: 16, 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: 40, 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: 12, 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: 13, SJR: 0.402, CiteScore: 0)
J. of Consumer Research     Full-text available via subscription   (Followers: 47, 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: 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  [397 journals]
  • Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model*
    • Authors: Gorgi P; Hansen P, Janus P, et al.
      Pages: 1 - 32
      Abstract: We propose a novel multivariate GARCH model that incorporates realized measures for the covariance matrix of returns. The joint formulation of a multivariate dynamic model for outer-products of returns, realized variances, and realized covariances leads to a feasible approach for analysis and forecasting. The updating of the covariance matrix relies on the score function of the joint likelihood function based on Gaussian and Wishart densities. The dynamic model is parsimonious while the analysis relies on straightforward computations. In a Monte Carlo study, we show that parameters are estimated accurately for different small sample sizes. We illustrate the model with an empirical in-sample and out-of-sample analysis for a portfolio of 15 U.S. financial assets.
      PubDate: Mon, 16 Apr 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby007
      Issue No: Vol. 17, No. 1 (2018)
       
  • Factor High-Frequency-Based Volatility (HEAVY) Models*
    • Authors: Sheppard K Xu W.
      Pages: 33 - 65
      Abstract: We propose a new class of multivariate volatility models utilizing realized measures of asset variance and covariance extracted from high-frequency data. Dimension reduction for estimation of large covariance matrices is achieved by imposing a factor structure with time-varying conditional factor loadings. Statistical properties of the model, including conditions that ensure covariance stationarity of returns, are established. The performance of the model is assessed using a panel of large U.S. financial institutions during the financial crisis, where empirical results show that the new model has both superior in- and out-of-sample properties. We show that the superior performance applies to a wide range of quantities of interest, including volatilities, covariances, betas, and scenario-based risk measures. The model’s performance is particularly strong at short forecast horizons.
      PubDate: Tue, 13 Nov 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby028
      Issue No: Vol. 17, No. 1 (2018)
       
  • Fractional Integration and Fat Tails for Realized Covariance Kernels*
    • Authors: Opschoor A; Lucas A.
      Pages: 66 - 90
      Abstract: We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels. We account for fat tails in the data by an appropriate distributional assumption. The covariance matrix dynamics are formulated as a numerically efficient matrix recursion that ensures positive definiteness under simple parameter constraints. Using intraday stock data over the period 2001–2012, we construct realized covariance kernels and show that the new fractionally integrated model statistically and economically outperforms recent alternatives such as the multivariate HEAVY model and the multivariate HAR model. In addition, the long-memory behavior is more important during non-crisis periods.
      PubDate: Fri, 16 Nov 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby029
      Issue No: Vol. 17, No. 1 (2018)
       
  • Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal
           Components for Robust Modeling of Daily Returns Series
    • Authors: Maruotti A; Punzo A, Bagnato L.
      Pages: 91 - 117
      Abstract: We introduce multivariate models for the analysis of stock market returns. Our models are developed under hidden Markov and semi-Markov settings to describe the temporal evolution of returns, whereas the marginal distribution of returns is described by a mixture of multivariate leptokurtic-normal (LN) distributions. Compared to the normal distribution, the LN has an additional parameter governing excess kurtosis and this allows us a better fit to both the distributional and dynamic properties of daily returns. We outline an expectation maximization algorithm for maximum likelihood estimation which exploits recursions developed within the hidden semi-Markov literature. As an illustration, we provide an example based on the analysis of a bivariate time series of stock market returns.
      PubDate: Wed, 12 Sep 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby019
      Issue No: Vol. 17, No. 1 (2018)
       
  • Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas*
    • Authors: Nguyen H; Ausín M, Galeano P.
      Pages: 118 - 151
      Abstract: To account for asymmetric dependence in extreme events, we propose a dynamic generalized hyperbolic skew Student-t factor copula where the factor loadings follow generalized autoregressive score processes. Conditioning on the latent factor, the components of the return series become independent, which allows us to run Bayesian estimation in a parallel setting. Hence, Bayesian inference on different specifications of dynamic one factor copula models can be done in a few minutes. Finally, we illustrate the performance of our proposed models on the returns of 140 companies listed in the S&P500 index. We compare the prediction power of different competing models using value-at-risk (VaR), and conditional VaR (CVaR), and show how to obtain optimal portfolios in high dimensions based on minimum CVaR.
      PubDate: Tue, 11 Dec 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby032
      Issue No: Vol. 17, No. 1 (2018)
       
 
 
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