Journals Journal of Financial Econometrics
Name
Journal of Financial Econometrics
Subjects
Economics
Dynamic conditional moments
Dynamic mixture models
Endogenous sampling
Microstructure of financial markets
Econometrics
Finance
Dynamic conditional moments
Dynamic mixture models
Endogenous sampling
Microstructure of financial markets
Econometrics
Finance
ISSN
1479-8417
Description
Financial econometrics has become one of the most active areas of research in econometrics. The Journal of Financial Econometrics is dedicated to this fast-growing field. The Journal addresses substantive statistical issues raised by the tremendous growth of the financial industry over the last decades. The goal of the Journal is to reflect and advance the relationship between econometrics and finance, both at the methodological and at the empirical levels. The Journal's scope encompasses the themes that animate the field today. Estimation, testing, learning, prediction and calibration in the framework of asset pricing or risk management represent the core focus. More specifically, the scope includes topics relating to volatility processes, continuous-time processes, dynamic conditional moments, extreme values, long memory, dynamic mixture models, endogenous sampling, transaction data, and microstructure of financial markets. Methodological issues associated with the econometrics of experimental and behavioral finance are also of interest.
Impact Factor (2 years)
1.902
Publisher
Oxford University Press
Journal Webpage
Journal type
Subscription Journal
Journals Publications
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