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Publisher: Oxford University Press   (Total: 392 journals)

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Showing 1 - 200 of 392 Journals sorted alphabetically
Acta Biochimica et Biophysica Sinica     Hybrid Journal   (Followers: 5, SJR: 0.881, h-index: 38)
Adaptation     Hybrid Journal   (Followers: 8, SJR: 0.111, h-index: 4)
Advances in Nutrition     Hybrid Journal   (Followers: 42, SJR: 2.075, h-index: 36)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.538, h-index: 35)
African Affairs     Hybrid Journal   (Followers: 64, SJR: 1.512, h-index: 46)
Age and Ageing     Hybrid Journal   (Followers: 86, SJR: 1.611, h-index: 107)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 18, SJR: 0.935, h-index: 80)
American Entomologist     Full-text available via subscription   (Followers: 6)
American Historical Review     Hybrid Journal   (Followers: 149, SJR: 0.652, h-index: 43)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 40, SJR: 1.441, h-index: 77)
American J. of Clinical Nutrition     Hybrid Journal   (Followers: 146, SJR: 3.771, h-index: 262)
American J. of Epidemiology     Hybrid Journal   (Followers: 170, SJR: 3.047, h-index: 201)
American J. of Hypertension     Hybrid Journal   (Followers: 25, SJR: 1.397, h-index: 111)
American J. of Jurisprudence     Hybrid Journal   (Followers: 18)
American J. of Legal History     Full-text available via subscription   (Followers: 9, SJR: 0.151, h-index: 7)
American Law and Economics Review     Hybrid Journal   (Followers: 27, SJR: 0.824, h-index: 23)
American Literary History     Hybrid Journal   (Followers: 15, SJR: 0.185, h-index: 22)
Analysis     Hybrid Journal   (Followers: 21)
Animal Frontiers     Hybrid Journal  
Annals of Behavioral Medicine     Hybrid Journal   (Followers: 14, SJR: 2.112, h-index: 98)
Annals of Botany     Hybrid Journal   (Followers: 35, SJR: 1.912, h-index: 124)
Annals of Oncology     Hybrid Journal   (Followers: 47, SJR: 4.362, h-index: 173)
Annals of the Entomological Society of America     Full-text available via subscription   (Followers: 8, SJR: 0.642, h-index: 53)
Annals of Work Exposures and Health     Hybrid Journal   (Followers: 29, SJR: 0.837, h-index: 57)
AoB Plants     Open Access   (Followers: 4, SJR: 0.78, h-index: 10)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 16, SJR: 0.884, h-index: 31)
Applied Linguistics     Hybrid Journal   (Followers: 55, SJR: 1.749, h-index: 63)
Applied Mathematics Research eXpress     Hybrid Journal   (Followers: 1, SJR: 0.779, h-index: 11)
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: 0.96, h-index: 71)
Aristotelian Society Supplementary Volume     Hybrid Journal   (Followers: 3, SJR: 0.102, h-index: 20)
Arthropod Management Tests     Hybrid Journal   (Followers: 2)
Astronomy & Geophysics     Hybrid Journal   (Followers: 42, SJR: 0.144, h-index: 15)
Behavioral Ecology     Hybrid Journal   (Followers: 51, SJR: 1.698, h-index: 92)
Bioinformatics     Hybrid Journal   (Followers: 291, SJR: 4.643, h-index: 271)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 10, SJR: 1.646, h-index: 149)
Biometrika     Hybrid Journal   (Followers: 20, SJR: 2.801, h-index: 90)
BioScience     Hybrid Journal   (Followers: 30, SJR: 2.374, h-index: 154)
Bioscience Horizons : The National Undergraduate Research J.     Open Access   (Followers: 1, SJR: 0.213, h-index: 9)
Biostatistics     Hybrid Journal   (Followers: 17, SJR: 1.955, h-index: 55)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 163, SJR: 2.314, h-index: 133)
BJA Education     Hybrid Journal   (Followers: 64, SJR: 0.272, h-index: 20)
Brain     Hybrid Journal   (Followers: 68, SJR: 6.097, h-index: 264)
Briefings in Bioinformatics     Hybrid Journal   (Followers: 45, SJR: 4.086, h-index: 73)
Briefings in Functional Genomics     Hybrid Journal   (Followers: 3, SJR: 1.771, h-index: 50)
British J. for the Philosophy of Science     Hybrid Journal   (Followers: 33, SJR: 1.267, h-index: 38)
British J. of Aesthetics     Hybrid Journal   (Followers: 26, SJR: 0.217, h-index: 18)
British J. of Criminology     Hybrid Journal   (Followers: 583, SJR: 1.373, h-index: 62)
British J. of Social Work     Hybrid Journal   (Followers: 86, SJR: 0.771, h-index: 53)
British Medical Bulletin     Hybrid Journal   (Followers: 7, SJR: 1.391, h-index: 84)
British Yearbook of Intl. Law     Hybrid Journal   (Followers: 31)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 4, SJR: 1.474, h-index: 31)
Cambridge J. of Economics     Hybrid Journal   (Followers: 61, SJR: 0.957, h-index: 59)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 10, SJR: 1.067, h-index: 22)
Cambridge Quarterly     Hybrid Journal   (Followers: 9, SJR: 0.1, h-index: 7)
Capital Markets Law J.     Hybrid Journal   (Followers: 2)
Carcinogenesis     Hybrid Journal   (Followers: 2, SJR: 2.439, h-index: 167)
Cardiovascular Research     Hybrid Journal   (Followers: 13, SJR: 2.897, h-index: 175)
Cerebral Cortex     Hybrid Journal   (Followers: 45, SJR: 4.827, h-index: 192)
CESifo Economic Studies     Hybrid Journal   (Followers: 17, SJR: 0.501, h-index: 19)
Chemical Senses     Hybrid Journal   (Followers: 1, SJR: 1.436, h-index: 76)
Children and Schools     Hybrid Journal   (Followers: 5, SJR: 0.211, h-index: 18)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 4)
Chinese J. of Intl. Law     Hybrid Journal   (Followers: 22, SJR: 0.737, h-index: 11)
Chinese J. of Intl. Politics     Hybrid Journal   (Followers: 8, SJR: 1.238, h-index: 15)
Christian Bioethics: Non-Ecumenical Studies in Medical Morality     Hybrid Journal   (Followers: 10, SJR: 0.191, h-index: 8)
Classical Receptions J.     Hybrid Journal   (Followers: 25, SJR: 0.1, h-index: 3)
Clean Energy     Open Access  
Clinical Infectious Diseases     Hybrid Journal   (Followers: 62, SJR: 4.742, h-index: 261)
Clinical Kidney J.     Open Access   (Followers: 3, SJR: 0.338, h-index: 19)
Communication Theory     Hybrid Journal   (Followers: 20, SJR: 2.62, h-index: 53)
Communication, Culture & Critique     Hybrid Journal   (Followers: 25)
Community Development J.     Hybrid Journal   (Followers: 27, SJR: 0.47, h-index: 28)
Computer J.     Hybrid Journal   (Followers: 9, SJR: 0.371, h-index: 47)
Conservation Physiology     Open Access   (Followers: 2)
Contemporary Women's Writing     Hybrid Journal   (Followers: 9, SJR: 0.111, h-index: 3)
Contributions to Political Economy     Hybrid Journal   (Followers: 5, SJR: 0.313, h-index: 10)
Critical Values     Full-text available via subscription  
Current Developments in Nutrition     Open Access  
Current Legal Problems     Hybrid Journal   (Followers: 27)
Current Zoology     Full-text available via subscription   (Followers: 1, SJR: 0.999, h-index: 20)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 8, SJR: 1.068, h-index: 24)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 14)
Diplomatic History     Hybrid Journal   (Followers: 20, SJR: 0.296, h-index: 22)
DNA Research     Open Access   (Followers: 5, SJR: 2.42, h-index: 77)
Dynamics and Statistics of the Climate System     Open Access   (Followers: 3)
Early Music     Hybrid Journal   (Followers: 15, SJR: 0.124, h-index: 11)
Economic Policy     Hybrid Journal   (Followers: 39, SJR: 2.052, h-index: 52)
ELT J.     Hybrid Journal   (Followers: 25, SJR: 1.26, h-index: 23)
English Historical Review     Hybrid Journal   (Followers: 51, SJR: 0.311, h-index: 10)
English: J. of the English Association     Hybrid Journal   (Followers: 14, SJR: 0.144, h-index: 3)
Environmental Entomology     Full-text available via subscription   (Followers: 11, SJR: 0.791, h-index: 66)
Environmental Epigenetics     Open Access   (Followers: 3)
Environmental History     Hybrid Journal   (Followers: 26, SJR: 0.197, h-index: 25)
EP-Europace     Hybrid Journal   (Followers: 2, SJR: 2.201, h-index: 71)
Epidemiologic Reviews     Hybrid Journal   (Followers: 9, SJR: 3.917, h-index: 81)
ESHRE Monographs     Hybrid Journal  
Essays in Criticism     Hybrid Journal   (Followers: 16, SJR: 0.1, h-index: 6)
European Heart J.     Hybrid Journal   (Followers: 54, SJR: 6.997, h-index: 227)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 8, SJR: 2.044, h-index: 58)
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. Supplements     Hybrid Journal   (Followers: 7, SJR: 0.152, h-index: 31)
European J. of Cardio-Thoracic Surgery     Hybrid Journal   (Followers: 9, SJR: 1.568, h-index: 104)
European J. of Intl. Law     Hybrid Journal   (Followers: 173, SJR: 0.722, h-index: 38)
European J. of Orthodontics     Hybrid Journal   (Followers: 4, SJR: 1.09, h-index: 60)
European J. of Public Health     Hybrid Journal   (Followers: 20, SJR: 1.284, h-index: 64)
European Review of Agricultural Economics     Hybrid Journal   (Followers: 10, SJR: 1.549, h-index: 42)
European Review of Economic History     Hybrid Journal   (Followers: 28, SJR: 0.628, h-index: 24)
European Sociological Review     Hybrid Journal   (Followers: 40, SJR: 2.061, h-index: 53)
Evolution, Medicine, and Public Health     Open Access   (Followers: 10)
Family Practice     Hybrid Journal   (Followers: 14, SJR: 1.048, h-index: 77)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 10, SJR: 1.687, h-index: 115)
Fems Microbiology Letters     Hybrid Journal   (Followers: 22, SJR: 1.126, h-index: 118)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 27, SJR: 7.587, h-index: 150)
Fems Yeast Research     Hybrid Journal   (Followers: 14, SJR: 1.213, h-index: 66)
Food Quality and Safety     Open Access  
Foreign Policy Analysis     Hybrid Journal   (Followers: 23, SJR: 0.859, h-index: 10)
Forest Science     Hybrid Journal   (Followers: 4, SJR: 0.872, h-index: 59)
Forestry: An Intl. J. of Forest Research     Hybrid Journal   (Followers: 16, SJR: 0.903, h-index: 44)
Forum for Modern Language Studies     Hybrid Journal   (Followers: 6, SJR: 0.108, h-index: 6)
French History     Hybrid Journal   (Followers: 32, SJR: 0.123, h-index: 10)
French Studies     Hybrid Journal   (Followers: 20, SJR: 0.119, h-index: 7)
French Studies Bulletin     Hybrid Journal   (Followers: 10, SJR: 0.102, h-index: 3)
Gastroenterology Report     Open Access   (Followers: 2)
Genome Biology and Evolution     Open Access   (Followers: 12, SJR: 3.22, h-index: 39)
Geophysical J. Intl.     Hybrid Journal   (Followers: 35, SJR: 1.839, h-index: 119)
German History     Hybrid Journal   (Followers: 22, SJR: 0.437, h-index: 13)
GigaScience     Open Access   (Followers: 3)
Global Summitry     Hybrid Journal   (Followers: 1)
Glycobiology     Hybrid Journal   (Followers: 14, SJR: 1.692, h-index: 101)
Health and Social Work     Hybrid Journal   (Followers: 55, SJR: 0.505, h-index: 40)
Health Education Research     Hybrid Journal   (Followers: 13, SJR: 0.814, h-index: 80)
Health Policy and Planning     Hybrid Journal   (Followers: 24, SJR: 1.628, h-index: 66)
Health Promotion Intl.     Hybrid Journal   (Followers: 21, SJR: 0.664, h-index: 60)
History Workshop J.     Hybrid Journal   (Followers: 29, SJR: 0.313, h-index: 20)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 26, SJR: 0.115, h-index: 13)
Human Communication Research     Hybrid Journal   (Followers: 13, SJR: 2.199, h-index: 61)
Human Molecular Genetics     Hybrid Journal   (Followers: 8, SJR: 4.288, h-index: 233)
Human Reproduction     Hybrid Journal   (Followers: 72, SJR: 2.271, h-index: 179)
Human Reproduction Update     Hybrid Journal   (Followers: 17, SJR: 4.678, h-index: 128)
Human Rights Law Review     Hybrid Journal   (Followers: 60, SJR: 0.7, h-index: 21)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 51, SJR: 1.233, h-index: 88)
ICSID Review     Hybrid Journal   (Followers: 12)
ILAR J.     Hybrid Journal   (Followers: 2, SJR: 1.099, h-index: 51)
IMA J. of Applied Mathematics     Hybrid Journal   (SJR: 0.329, h-index: 26)
IMA J. of Management Mathematics     Hybrid Journal   (SJR: 0.351, h-index: 20)
IMA J. of Mathematical Control and Information     Hybrid Journal   (Followers: 2, SJR: 0.661, h-index: 28)
IMA J. of Numerical Analysis - advance access     Hybrid Journal   (SJR: 2.032, h-index: 44)
Industrial and Corporate Change     Hybrid Journal   (Followers: 10, SJR: 1.37, h-index: 81)
Industrial Law J.     Hybrid Journal   (Followers: 34, SJR: 0.184, h-index: 15)
Inflammatory Bowel Diseases     Hybrid Journal   (Followers: 42, SJR: 1.994, h-index: 107)
Information and Inference     Free  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 7, SJR: 1.911, h-index: 90)
Interacting with Computers     Hybrid Journal   (Followers: 10, SJR: 0.529, h-index: 59)
Interactive CardioVascular and Thoracic Surgery     Hybrid Journal   (Followers: 6, SJR: 0.743, h-index: 35)
Intl. Affairs     Hybrid Journal   (Followers: 56, SJR: 1.264, h-index: 53)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 31)
Intl. Health     Hybrid Journal   (Followers: 5, SJR: 0.835, h-index: 15)
Intl. Immunology     Hybrid Journal   (Followers: 3, SJR: 1.613, h-index: 111)
Intl. J. for Quality in Health Care     Hybrid Journal   (Followers: 34, SJR: 1.593, h-index: 69)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 64, SJR: 0.613, h-index: 19)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 196, SJR: 4.381, h-index: 145)
Intl. J. of Law and Information Technology     Hybrid Journal   (Followers: 5, SJR: 0.247, h-index: 8)
Intl. J. of Law, Policy and the Family     Hybrid Journal   (Followers: 30, SJR: 0.307, h-index: 15)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 10, SJR: 0.404, h-index: 18)
Intl. J. of Low-Carbon Technologies     Open Access   (Followers: 1, SJR: 0.457, h-index: 12)
Intl. J. of Neuropsychopharmacology     Open Access   (Followers: 3, SJR: 1.69, h-index: 79)
Intl. J. of Public Opinion Research     Hybrid Journal   (Followers: 9, SJR: 0.906, h-index: 33)
Intl. J. of Refugee Law     Hybrid Journal   (Followers: 35, SJR: 0.231, h-index: 21)
Intl. J. of Transitional Justice     Hybrid Journal   (Followers: 12, SJR: 0.833, h-index: 12)
Intl. Mathematics Research Notices     Hybrid Journal   (Followers: 1, SJR: 2.052, h-index: 42)
Intl. Political Sociology     Hybrid Journal   (Followers: 36, SJR: 1.339, h-index: 19)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 22, SJR: 0.539, h-index: 17)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 9, SJR: 0.998, h-index: 28)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 44, SJR: 2.184, h-index: 68)
Intl. Studies Review     Hybrid Journal   (Followers: 20, SJR: 0.783, h-index: 38)
ISLE: Interdisciplinary Studies in Literature and Environment     Hybrid Journal   (Followers: 1, SJR: 0.155, h-index: 4)
ITNOW     Hybrid Journal   (Followers: 1, SJR: 0.102, h-index: 4)
J. of African Economies     Hybrid Journal   (Followers: 14, SJR: 0.647, h-index: 30)
J. of American History     Hybrid Journal   (Followers: 45, SJR: 0.286, h-index: 34)
J. of Analytical Toxicology     Hybrid Journal   (Followers: 14, SJR: 1.038, h-index: 60)
J. of Antimicrobial Chemotherapy     Hybrid Journal   (Followers: 14, SJR: 2.157, h-index: 149)
J. of Antitrust Enforcement     Hybrid Journal   (Followers: 1)
J. of Applied Poultry Research     Hybrid Journal   (Followers: 4, SJR: 0.563, h-index: 43)
J. of Biochemistry     Hybrid Journal   (Followers: 41, SJR: 1.341, h-index: 96)
J. of Burn Care & Research     Hybrid Journal   (Followers: 9, SJR: 0.713, h-index: 57)
J. of Chromatographic Science     Hybrid Journal   (Followers: 18, SJR: 0.448, h-index: 42)
J. of Church and State     Hybrid Journal   (Followers: 11, SJR: 0.167, h-index: 11)
J. of Communication     Hybrid Journal   (Followers: 50, SJR: 3.327, h-index: 82)
J. of Competition Law and Economics     Hybrid Journal   (Followers: 35, SJR: 0.442, h-index: 16)
J. of Complex Networks     Hybrid Journal   (Followers: 2, SJR: 1.165, h-index: 5)
J. of Computer-Mediated Communication     Open Access   (Followers: 26, SJR: 2.878, h-index: 80)
J. of Conflict and Security Law     Hybrid Journal   (Followers: 13, SJR: 0.196, h-index: 15)
J. of Consumer Research     Full-text available via subscription   (Followers: 41, SJR: 4.896, h-index: 121)
J. of Crohn's and Colitis     Hybrid Journal   (Followers: 9, SJR: 1.543, h-index: 37)
J. of Cybersecurity     Hybrid Journal   (Followers: 3)
J. of Deaf Studies and Deaf Education     Hybrid Journal   (Followers: 8, SJR: 0.69, h-index: 36)

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Journal Cover Journal of Financial Econometrics
  [SJR: 1.314]   [H-I: 27]   [23 followers]  Follow
    
   Hybrid Journal Hybrid journal (It can contain Open Access articles)
   ISSN (Print) 1479-8409 - ISSN (Online) 1479-8417
   Published by Oxford University Press Homepage  [392 journals]
  • Identification-Robust Inference on Risk Premia of Mimicking Portfolios of
           Non-traded Factors
    • Authors: Kleibergen F; Zhan Z.
      Pages: 155 - 190
      Abstract: Mimicking portfolios of economic (non-traded) factors are commonly constructed by projecting the factors on a set of base assets. When these factors are associated with small betas, the beta-estimator using their mimicking portfolios has non-standard limit behavior. This jeopardizes inference on risk premia in the commonly used Fama and MacBeth (1973) two-pass procedure. Using sorting or the average excess returns on the mimicking portfolios to estimate the risk premia leads to similar non-standard behavior. We therefore propose a novel test for the risk premia on mimicking portfolios. Its validity does not depend on the magnitude of the betas. Simulation evidence suggests that it performs well in terms of size and power. We use it to analyze the risk premium on the leverage factor of Adrian, Etula, and Muir (2014). Our results indicate that the leverage factor is a weak factor which leads to substantially different results for its risk premium.
      PubDate: Mon, 12 Mar 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby005
      Issue No: Vol. 16, No. 2 (2018)
       
  • Testing High-Dimensional Linear Asset Pricing Models
    • Authors: Lan W; Feng L, Luo R.
      Pages: 191 - 210
      Abstract: We propose in this article a new procedure, based on random projections, for testing widely used linear asset pricing models (Sharpe, 1964; Linter, 1965; Fama and French, 1993). This new testing procedure is particularly suitable when the number of assets N is much larger than the number of observations T, and outperforms the existing methods by admitting the covariance matrix of the idiosyncratic term to be nonsparse. Under some mild conditions, we show theoretically that the test statistic is asymptotically normal as long as min⁡{N,T} goes to infinity. The finite sample performance is investigated by extensive Monte Carlo experiments. The practical utility of the new testing procedure is further justified by treating the U.S. stock market. Employing this new testing procedure, we found that the Fama–French (FF) three-factor model (Fama and French, 1993) is better than the capital asset pricing model (Sharpe, 1964) in explaining the mean–variance efficiency of the U.S. stock market.
      PubDate: Mon, 12 Feb 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby002
      Issue No: Vol. 16, No. 2 (2018)
       
  • Is Imperfection Better' Evidence from Predicting Stock and Bond
           Returns*
    • Authors: Lučivjanská K.
      Pages: 244 - 270
      Abstract: The standard predictive regression assumes expected returns to be perfectly correlated with predictors. In the recently introduced predictive system, imperfect predictors account only for a partial variance in expected returns. However, the out-of-sample benefits of relaxing the assumption of perfect correlation are unclear. We compare the performance of the two models from an investor’s perspective. In the Bayesian setup, we allow for various distributions of R2 to account for different degrees of optimism about predictability. We find that relaxing the assumption of perfect predictors does not pay off out-of-sample. Furthermore, extreme optimism or pessimism reduces the performance of both models.
      PubDate: Mon, 12 Feb 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby003
      Issue No: Vol. 16, No. 2 (2018)
       
  • Measuring the Frequency Dynamics of Financial Connectedness and Systemic
           Risk*
    • Authors: Baruník J; Křehlík T.
      Pages: 271 - 296
      Abstract: We propose a new framework for measuring connectedness among financial variables that arise due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an empirical application, we document the rich time-frequency dynamics of volatility connectedness in U.S. financial institutions. Economically, periods in which connectedness is created at high frequencies are periods when stock markets seem to process information rapidly and calmly, and a shock to one asset in the system will have an impact mainly in the short term. When the connectedness is created at lower frequencies, it suggests that shocks are persistent and are being transmitted for longer periods.
      PubDate: Sat, 17 Feb 2018 00:00:00 GMT
      DOI: 10.1093/jjfinec/nby001
      Issue No: Vol. 16, No. 2 (2018)
       
  • Testing Slope Homogeneity in Quantile Regression Panel Data with an
           Application to the Cross-Section of Stock Returns*
    • Authors: Galvao A; Juhl T, Montes-Rojas G, et al.
      Pages: 211 - 243
      Abstract: This article proposes tests for slope homogeneity across individuals in quantile regression fixed effects panel data models. The tests are based on the Swamy statistic. We establish the asymptotic null distribution of the tests under large panels. A prominent advantage of the proposed tests is that they are easy to implement in empirical applications. Monte Carlo experiments show evidence that the tests have good finite sample performance in terms of size and power. The tests are then applied to study the cross-section of firms’ excess asset returns using financial data on U.S. firms. The tests allow us to assess, for a given quantile of the distribution of excess returns, whether the linear effect of the pricing factors in standard linear asset pricing models is the same across stocks. The results confirm the validity of those models for the mean and central quantiles. However, for tail quantiles, the slope homogeneity tests reject the null hypothesis providing empirical evidence of pricing anomalies. This suggests that the effect of firm characteristics on the distribution of excess returns is heterogeneous across stocks during booms and busts.
      PubDate: Fri, 05 May 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx016
      Issue No: Vol. 16, No. 2 (2017)
       
  • Can Volatility Models Explain Extreme Events'*
    • Authors: Trapin L.
      Pages: 297 - 315
      Abstract: This paper revisits several existing volatility models by the light of extremal dependence, that is, serial dependence in extreme returns. First, we investigate the extremal properties of different high-frequency-based volatility processes and show that only a subset of them can generate dependence in the extremes. Second, we corroborate the empirical evidence on extremal dependence in financial returns, showing that extreme returns present strong and persistent correlation and that extreme negative returns are much more correlated than positive ones. Finally, a large empirical analysis suggests that only models exhibiting extremal dependence and endowed with a leverage component can appropriately explain extreme events.
      PubDate: Fri, 13 Oct 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx031
      Issue No: Vol. 16, No. 2 (2017)
       
  • Structural Volatility Impulse Response Function and Asymptotic Inference
    • Authors: Liu X.
      Pages: 316 - 339
      Abstract: This paper traces contemporaneous effects of independent shocks on predicted future volatilities through time. The shocks are identified through time-varying heteroscedasticity. I obtain the explicit functions of volatility impulse responses for a structural system of simultaneity. The asymptotic distributions of the derived functions are also studied in analytical forms for statistical inference. The potential of this new framework is empirically illustrated in a structural system of the U.S. commodity and stock markets.
      PubDate: Fri, 06 Oct 2017 00:00:00 GMT
      DOI: 10.1093/jjfinec/nbx029
      Issue No: Vol. 16, No. 2 (2017)
       
 
 
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