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Publisher: Oxford University Press   (Total: 370 journals)

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Showing 1 - 200 of 370 Journals sorted alphabetically
Acta Biochimica et Biophysica Sinica     Hybrid Journal   (Followers: 6, SJR: 0.881, h-index: 38)
Adaptation     Hybrid Journal   (Followers: 8, SJR: 0.111, h-index: 4)
Aesthetic Surgery J.     Hybrid Journal   (Followers: 6, SJR: 1.538, h-index: 35)
African Affairs     Hybrid Journal   (Followers: 59, SJR: 1.512, h-index: 46)
Age and Ageing     Hybrid Journal   (Followers: 84, SJR: 1.611, h-index: 107)
Alcohol and Alcoholism     Hybrid Journal   (Followers: 15, SJR: 0.935, h-index: 80)
American Entomologist     Full-text available via subscription   (Followers: 6)
American Historical Review     Hybrid Journal   (Followers: 129, SJR: 0.652, h-index: 43)
American J. of Agricultural Economics     Hybrid Journal   (Followers: 41, SJR: 1.441, h-index: 77)
American J. of Epidemiology     Hybrid Journal   (Followers: 158, SJR: 3.047, h-index: 201)
American J. of Hypertension     Hybrid Journal   (Followers: 21, SJR: 1.397, h-index: 111)
American J. of Jurisprudence     Hybrid Journal   (Followers: 15)
American J. of Legal History     Full-text available via subscription   (Followers: 4, 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: 12, SJR: 0.185, h-index: 22)
Analysis     Hybrid Journal   (Followers: 24)
Annals of Botany     Hybrid Journal   (Followers: 35, SJR: 1.912, h-index: 124)
Annals of Occupational Hygiene     Hybrid Journal   (Followers: 26, SJR: 0.837, h-index: 57)
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  
AoB Plants     Open Access   (Followers: 4, SJR: 0.78, h-index: 10)
Applied Economic Perspectives and Policy     Hybrid Journal   (Followers: 19, SJR: 0.884, h-index: 31)
Applied Linguistics     Hybrid Journal   (Followers: 51, 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: 21)
Arbitration Law Reports and Review     Hybrid Journal   (Followers: 12)
Archives of Clinical Neuropsychology     Hybrid Journal   (Followers: 27, SJR: 0.96, h-index: 71)
Aristotelian Society Supplementary Volume     Hybrid Journal   (Followers: 2, SJR: 0.102, h-index: 20)
Arthropod Management Tests     Hybrid Journal   (Followers: 2)
Astronomy & Geophysics     Hybrid Journal   (Followers: 47, SJR: 0.144, h-index: 15)
Behavioral Ecology     Hybrid Journal   (Followers: 48, SJR: 1.698, h-index: 92)
Bioinformatics     Hybrid Journal   (Followers: 300, SJR: 4.643, h-index: 271)
Biology Methods and Protocols     Hybrid Journal  
Biology of Reproduction     Full-text available via subscription   (Followers: 9, SJR: 1.646, h-index: 149)
Biometrika     Hybrid Journal   (Followers: 19, SJR: 2.801, h-index: 90)
BioScience     Hybrid Journal   (Followers: 28, 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: 16, SJR: 1.955, h-index: 55)
BJA : British J. of Anaesthesia     Hybrid Journal   (Followers: 142, SJR: 2.314, h-index: 133)
BJA Education     Hybrid Journal   (Followers: 67, SJR: 0.272, h-index: 20)
Brain     Hybrid Journal   (Followers: 61, 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: 4, SJR: 1.771, h-index: 50)
British J. for the Philosophy of Science     Hybrid Journal   (Followers: 34, SJR: 1.267, h-index: 38)
British J. of Aesthetics     Hybrid Journal   (Followers: 25, SJR: 0.217, h-index: 18)
British J. of Criminology     Hybrid Journal   (Followers: 517, SJR: 1.373, h-index: 62)
British J. of Social Work     Hybrid Journal   (Followers: 81, 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: 27)
Bulletin of the London Mathematical Society     Hybrid Journal   (Followers: 3, SJR: 1.474, h-index: 31)
Cambridge J. of Economics     Hybrid Journal   (Followers: 56, SJR: 0.957, h-index: 59)
Cambridge J. of Regions, Economy and Society     Hybrid Journal   (Followers: 11, SJR: 1.067, h-index: 22)
Cambridge Quarterly     Hybrid Journal   (Followers: 10, SJR: 0.1, h-index: 7)
Capital Markets Law J.     Hybrid Journal  
Carcinogenesis     Hybrid Journal   (Followers: 2, SJR: 2.439, h-index: 167)
Cardiovascular Research     Hybrid Journal   (Followers: 11, SJR: 2.897, h-index: 175)
Cerebral Cortex     Hybrid Journal   (Followers: 40, 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: 6, SJR: 0.211, h-index: 18)
Chinese J. of Comparative Law     Hybrid Journal   (Followers: 3)
Chinese J. of Intl. Law     Hybrid Journal   (Followers: 21, 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: 11, SJR: 0.191, h-index: 8)
Classical Receptions J.     Hybrid Journal   (Followers: 17, SJR: 0.1, h-index: 3)
Clinical Infectious Diseases     Hybrid Journal   (Followers: 60, SJR: 4.742, h-index: 261)
Clinical Kidney J.     Open Access   (Followers: 4, SJR: 0.338, h-index: 19)
Community Development J.     Hybrid Journal   (Followers: 24, SJR: 0.47, h-index: 28)
Computer J.     Hybrid Journal   (Followers: 7, SJR: 0.371, h-index: 47)
Conservation Physiology     Open Access   (Followers: 2)
Contemporary Women's Writing     Hybrid Journal   (Followers: 11, SJR: 0.111, h-index: 3)
Contributions to Political Economy     Hybrid Journal   (Followers: 6, SJR: 0.313, h-index: 10)
Critical Values     Full-text available via subscription  
Current Legal Problems     Hybrid Journal   (Followers: 25)
Current Zoology     Full-text available via subscription   (SJR: 0.999, h-index: 20)
Database : The J. of Biological Databases and Curation     Open Access   (Followers: 11, SJR: 1.068, h-index: 24)
Digital Scholarship in the Humanities     Hybrid Journal   (Followers: 12)
Diplomatic History     Hybrid Journal   (Followers: 18, SJR: 0.296, h-index: 22)
DNA Research     Open Access   (Followers: 4, SJR: 2.42, h-index: 77)
Dynamics and Statistics of the Climate System     Open Access   (Followers: 3)
Early Music     Hybrid Journal   (Followers: 14, SJR: 0.124, h-index: 11)
Economic Policy     Hybrid Journal   (Followers: 56, SJR: 2.052, h-index: 52)
ELT J.     Hybrid Journal   (Followers: 25, SJR: 1.26, h-index: 23)
English Historical Review     Hybrid Journal   (Followers: 46, SJR: 0.311, h-index: 10)
English: J. of the English Association     Hybrid Journal   (Followers: 13, 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: 1)
Environmental History     Hybrid Journal   (Followers: 25, SJR: 0.197, h-index: 25)
EP-Europace     Hybrid Journal   (Followers: 2, SJR: 2.201, h-index: 71)
Epidemiologic Reviews     Hybrid Journal   (Followers: 10, SJR: 3.917, h-index: 81)
ESHRE Monographs     Hybrid Journal  
Essays in Criticism     Hybrid Journal   (Followers: 15, SJR: 0.1, h-index: 6)
European Heart J.     Hybrid Journal   (Followers: 49, SJR: 6.997, h-index: 227)
European Heart J. - Cardiovascular Imaging     Hybrid Journal   (Followers: 9, 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: 8, SJR: 0.152, h-index: 31)
European J. of Cardio-Thoracic Surgery     Hybrid Journal   (Followers: 8, SJR: 1.568, h-index: 104)
European J. of Intl. Law     Hybrid Journal   (Followers: 154, 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: 22, SJR: 1.284, h-index: 64)
European Review of Agricultural Economics     Hybrid Journal   (Followers: 12, SJR: 1.549, h-index: 42)
European Review of Economic History     Hybrid Journal   (Followers: 27, SJR: 0.628, h-index: 24)
European Sociological Review     Hybrid Journal   (Followers: 39, SJR: 2.061, h-index: 53)
Evolution, Medicine, and Public Health     Open Access   (Followers: 11)
Family Practice     Hybrid Journal   (Followers: 11, SJR: 1.048, h-index: 77)
Fems Microbiology Ecology     Hybrid Journal   (Followers: 8, SJR: 1.687, h-index: 115)
Fems Microbiology Letters     Hybrid Journal   (Followers: 20, SJR: 1.126, h-index: 118)
Fems Microbiology Reviews     Hybrid Journal   (Followers: 25, SJR: 7.587, h-index: 150)
Fems Yeast Research     Hybrid Journal   (Followers: 13, SJR: 1.213, h-index: 66)
Foreign Policy Analysis     Hybrid Journal   (Followers: 21, SJR: 0.859, h-index: 10)
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: 30, SJR: 0.123, h-index: 10)
French Studies     Hybrid Journal   (Followers: 19, 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: 10, SJR: 3.22, h-index: 39)
Geophysical J. Intl.     Hybrid Journal   (Followers: 32, SJR: 1.839, h-index: 119)
German History     Hybrid Journal   (Followers: 25, SJR: 0.437, h-index: 13)
GigaScience     Open Access   (Followers: 3)
Global Summitry     Hybrid Journal  
Glycobiology     Hybrid Journal   (Followers: 14, SJR: 1.692, h-index: 101)
Health and Social Work     Hybrid Journal   (Followers: 47, SJR: 0.505, h-index: 40)
Health Education Research     Hybrid Journal   (Followers: 12, SJR: 0.814, h-index: 80)
Health Policy and Planning     Hybrid Journal   (Followers: 21, 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: 27, SJR: 0.313, h-index: 20)
Holocaust and Genocide Studies     Hybrid Journal   (Followers: 23, SJR: 0.115, h-index: 13)
Human Molecular Genetics     Hybrid Journal   (Followers: 9, SJR: 4.288, h-index: 233)
Human Reproduction     Hybrid Journal   (Followers: 78, SJR: 2.271, h-index: 179)
Human Reproduction Update     Hybrid Journal   (Followers: 18, SJR: 4.678, h-index: 128)
Human Rights Law Review     Hybrid Journal   (Followers: 58, SJR: 0.7, h-index: 21)
ICES J. of Marine Science: J. du Conseil     Hybrid Journal   (Followers: 54, SJR: 1.233, h-index: 88)
ICSID Review     Hybrid Journal   (Followers: 9)
ILAR J.     Hybrid Journal   (Followers: 1, 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   (Followers: 2, 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: 8, SJR: 1.37, h-index: 81)
Industrial Law J.     Hybrid Journal   (Followers: 29, SJR: 0.184, h-index: 15)
Information and Inference     Free  
Integrative and Comparative Biology     Hybrid Journal   (Followers: 8, 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: 5, SJR: 0.743, h-index: 35)
Intl. Affairs     Hybrid Journal   (Followers: 51, SJR: 1.264, h-index: 53)
Intl. Data Privacy Law     Hybrid Journal   (Followers: 27)
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: 32, SJR: 1.593, h-index: 69)
Intl. J. of Constitutional Law     Hybrid Journal   (Followers: 59, SJR: 0.613, h-index: 19)
Intl. J. of Epidemiology     Hybrid Journal   (Followers: 129, SJR: 4.381, h-index: 145)
Intl. J. of Law and Information Technology     Hybrid Journal   (Followers: 4, SJR: 0.247, h-index: 8)
Intl. J. of Law, Policy and the Family     Hybrid Journal   (Followers: 28, SJR: 0.307, h-index: 15)
Intl. J. of Lexicography     Hybrid Journal   (Followers: 8, 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: 8, SJR: 0.906, h-index: 33)
Intl. J. of Refugee Law     Hybrid Journal   (Followers: 32, SJR: 0.231, h-index: 21)
Intl. J. of Transitional Justice     Hybrid Journal   (Followers: 13, 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: 30, SJR: 1.339, h-index: 19)
Intl. Relations of the Asia-Pacific     Hybrid Journal   (Followers: 17, SJR: 0.539, h-index: 17)
Intl. Studies Perspectives     Hybrid Journal   (Followers: 7, SJR: 0.998, h-index: 28)
Intl. Studies Quarterly     Hybrid Journal   (Followers: 37, SJR: 2.184, h-index: 68)
Intl. Studies Review     Hybrid Journal   (Followers: 18, 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: 2, SJR: 0.102, h-index: 4)
J. of African Economies     Hybrid Journal   (Followers: 15, SJR: 0.647, h-index: 30)
J. of American History     Hybrid Journal   (Followers: 39, SJR: 0.286, h-index: 34)
J. of Analytical Toxicology     Hybrid Journal   (Followers: 13, SJR: 1.038, h-index: 60)
J. of Antimicrobial Chemotherapy     Hybrid Journal   (Followers: 13, SJR: 2.157, h-index: 149)
J. of Antitrust Enforcement     Hybrid Journal   (Followers: 1)
J. of Applied Poultry Research     Hybrid Journal   (Followers: 3, SJR: 0.563, h-index: 43)
J. of Biochemistry     Hybrid Journal   (Followers: 43, SJR: 1.341, h-index: 96)
J. of Chromatographic Science     Hybrid Journal   (Followers: 16, SJR: 0.448, h-index: 42)
J. of Church and State     Hybrid Journal   (Followers: 11, SJR: 0.167, h-index: 11)
J. of Competition Law and Economics     Hybrid Journal   (Followers: 34, SJR: 0.442, h-index: 16)
J. of Complex Networks     Hybrid Journal   (Followers: 1, SJR: 1.165, h-index: 5)
J. of Conflict and Security Law     Hybrid Journal   (Followers: 12, 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)
J. of Design History     Hybrid Journal   (Followers: 15, SJR: 0.166, h-index: 14)
J. of Economic Entomology     Full-text available via subscription   (Followers: 6, SJR: 0.894, h-index: 76)
J. of Economic Geography     Hybrid Journal   (Followers: 36, SJR: 2.909, h-index: 69)
J. of Environmental Law     Hybrid Journal   (Followers: 23, SJR: 0.457, h-index: 20)
J. of European Competition Law & Practice     Hybrid Journal   (Followers: 18)
J. of Experimental Botany     Hybrid Journal   (Followers: 14, SJR: 2.798, h-index: 163)
J. of Financial Econometrics     Hybrid Journal   (Followers: 21, SJR: 1.314, h-index: 27)
J. of Global Security Studies     Hybrid Journal   (Followers: 3)
J. of Heredity     Hybrid Journal   (Followers: 3, SJR: 1.024, h-index: 76)
J. of Hindu Studies     Hybrid Journal   (Followers: 7, SJR: 0.186, h-index: 3)
J. of Hip Preservation Surgery     Open Access  
J. of Human Rights Practice     Hybrid Journal   (Followers: 20, SJR: 0.399, h-index: 10)
J. of Infectious Diseases     Hybrid Journal   (Followers: 40, SJR: 4, h-index: 209)
J. of Insect Science     Open Access   (Followers: 9, SJR: 0.388, h-index: 31)

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Journal Cover Journal of Financial Econometrics
  [SJR: 1.314]   [H-I: 27]   [21 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  [370 journals]
  • Introduction to the 2016 Hal White Memorial Lecture
    • Pages: 331 - 332
      Abstract: Every year the Society for Financial Econometrics celebrates the fundamental contributions made by the late colleague and friend Hal White to econometric theory and practice. Central to the celebration is a lecture given during a plenary session of the Society’s Annual Conference by an established scholar. The lecture is subsequently published in the journal.
      PubDate: 2017-07-05
      DOI: 10.1093/jjfinec/nbx017
      Issue No: Vol. 15, No. 3 (2017)
       
  • Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Almeida C; Ardison K, Garcia R, et al.
      Pages: 333 - 376
      Abstract: This paper introduces a new tail-risk measure based on the risk-neutral excess expected shortfall of a cross-section of stock returns. We propose a novel way to risk neutralize the returns without relying on option price information. Empirically, we illustrate our methodology by estimating a tail-risk measure over a long historical period based on a set of size and book-to-market portfolios. We find that a risk premium is associated with long-short strategies with portfolio sorts based on tail-risk sensitivities of individual securities. Our tail-risk index also provides meaningful information about future market returns and aggregate macroeconomic conditions. Results are robust to the cross-sectional information and other parameters selected to compute the tail-risk measure.
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbx007
      Issue No: Vol. 15, No. 3 (2017)
       
  • Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Camponovo L; Scaillet O, Trojani F.
      Pages: 377 - 387
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbx004
      Issue No: Vol. 15, No. 3 (2017)
       
  • Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Dobrev D; Schaumburg E.
      Pages: 388 - 409
      Abstract: We consider the non-parametric measure of tail risk (TR) proposed by Almeida, Ardison, Garcia and Vicente (2017) and illustrate the impact of some of the trade-offs involved when computing it both on real data and in controlled experiments with known dynamics of TR. We also propose an extremely simple to compute conditionally normal benchmark approximation of TR as a baseline to compare against other tail risk measures that aim to capture deviations from conditional normality. Given the empirical challenges associated with identifying and estimating tail risk, we strongly advocate evaluating tail risk measures in simple stylized models with well-understood properties and calibrated to real data as a useful device for understanding the behavior of alternative TR implementations as a function of specific features of the model.
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbx003
      Issue No: Vol. 15, No. 3 (2017)
       
  • Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Jacobs K.
      Pages: 410 - 412
      Abstract: I would like to thank the authors for this interesting contribution to the tail-risk literature. The paper proposes a new measure of tail risk. It differs from existing measures in the following way. First, it is a measure under the risk neutral as opposed to the physical distribution. Second, while existing measures under the risk-neutral distribution are obtained from option data directly, this paper proceeds in a very different way. It first uses information under the physical measure and subsequently risk neutralizes it. Third, the information under the physical measure is obtained from returns. This makes it possible to construct long time series of the tail measure, because we only have a few decades of option data, but much longer time series of returns.
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbx005
      Issue No: Vol. 15, No. 3 (2017)
       
  • Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Bali TG.
      Pages: 413 - 417
      PubDate: 2017-03-15
      DOI: 10.1093/jjfinec/nbw015
      Issue No: Vol. 15, No. 3 (2017)
       
  • Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    • Authors: Almeida C; Ardison K, Garcia R, et al.
      Pages: 418 - 426
      Abstract: The discussions focus on different aspects of the paper and are quite complementary. Dobrev and Schaumburg look closely at our implementation choices and analyse the sensitivity of the measure to these choices. Camponovo, Scaillet, and Trojani propose to use robust predictive regression methods to analyze our results. From a theoretical point of view, Kris Jacobs addresses the applicability of our risk neutralization procedure from a risk management perspective. Finally, Turan Bali proposes a handful of future research topics. This rejoinder provides additional material to the main paper and addresses the points raised by the discussants.
      PubDate: 2017-03-16
      DOI: 10.1093/jjfinec/nbx006
      Issue No: Vol. 15, No. 3 (2017)
       
  • Forecasting Stock Returns Using Option-Implied State Prices *
    • Authors: Metaxoglou K; Smith A.
      Pages: 427 - 473
      Abstract: Options prices embed the risk preferences that determine expected returns in asset pricing models. Therefore, functions of options prices should predict returns. In this paper, we show that the State Prices of Conditional Quantiles (SPOCQ)—functions of options prices introduced in Metaxoglou and Smith (2016)—exhibit strong predictive ability for the U.S. equity premium. These SPOCQ series provide estimates of the market’s willingness to pay for insurance against outcomes in various quantiles of the return distribution. They also relate to expected returns in prominent asset pricing models. Our SPOCQ series that captures relative risk aversion exhibits strong predictive ability for S&P 500 returns at horizons between 6 and 18 months, both in the full sample, 1990–2012, and out of sample. Our SPOCQ series that captures volatility aversion, however, exhibits no predictive ability due to the lack of skewness in the return distribution for the horizons considered.
      PubDate: 2017-03-28
      DOI: 10.1093/jjfinec/nbx009
      Issue No: Vol. 15, No. 3 (2017)
       
  • A New Measure of Vector Dependence, with Applications to Financial Risk
           and Contagion
    • Authors: Medovikov I; Prokhorov A.
      Pages: 474 - 503
      Abstract: We propose a new nonparametric measure of association between an arbitrary number of random vectors. The measure is based on the empirical copula process for the multivariate marginals, corresponding to the vectors, and is robust to the within-vector dependence. It is confined to the [0,1] interval and covers the entire range of dependence from vector independence to a monotone relationship element-wise. We study the properties of the new measure under several well-known copulas and provide a nonparametric estimator of the measure, along with its asymptotic theory, under fairly general assumptions. To illustrate the applicability of the new measure, we use it in applications to financial contagion, systemic risk, and portfolio choice. Specifically, we test for contagion effects between equity markets in North and South America, Europe and Asia, surrounding the financial crisis of 2008 and find strong evidence of previously unknown contagion patterns. In the context of sovereign bonds and credit default swaps, we study the evolution of systemic risk in European financial markets and uncover large differences from previous estimates. Finally, based on a real-time portfolio utilizing the new systemic risk estimates, we illustrate the implications of the new measure for portfolio choice and risk management.
      PubDate: 2017-04-19
      DOI: 10.1093/jjfinec/nbx015
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Rejoinder on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Almeida C; Ardison K, Garcia R, et al.
      Pages: 504 - 504
      Abstract: The following change has been made:
      PubDate: 2017-04-17
      DOI: 10.1093/jjfinec/nbx010
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Jacobs K.
      Pages: 504 - 506
      Abstract: The following changes have been made:
      PubDate: 2017-04-17
      DOI: 10.1093/jjfinec/nbx011
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Camponovo L; Scaillet O, Trojani F.
      Pages: 505 - 505
      Abstract: doi:10.1093/jjfinec/nbx004
      PubDate: 2017-04-17
      DOI: 10.1093/jjfinec/nbx012
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Dobrev D; Schaumburg E.
      Pages: 505 - 506
      Abstract: The following change has been made:
      PubDate: 2017-04-17
      DOI: 10.1093/jjfinec/nbx013
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Bali TG.
      Pages: 506 - 506
      Abstract: The following change has been made:
      PubDate: 2017-04-17
      DOI: 10.1093/jjfinec/nbx014
      Issue No: Vol. 15, No. 3 (2017)
       
  • Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the
           Macroeconomy
    • Authors: Dobrev D; Schaumburg E.
      Pages: 507 - 507
      Abstract: The order of the tables in Appendix A was published in the incorrect order. The table legends and notes remain in the correct order, however the tables themselves have moved as follows: A.1. moved to A.6.A.2. moved to A.5.A.3. moved to A.4.A.4. moved to A.3.A.5. moved to A.8.A.6. moved to A.7.A.7. moved to A.6.A.8. moved to A.1.
      DOI : https://doi.org/10.1093/jjfinec/nbx003.
      PubDate: 2017-07-19
      Issue No: Vol. 15, No. 3 (2017)
       
 
 
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