Journal of Financial Econometrics

Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas

Estimating Systematic Risk under Extremely Adverse Market Conditions

Comment on: Price Discovery in High Resolution

Extreme Conditional Tail Moment Estimation under Serial Dependence

Hark the Shark: Realized Volatility Modelling with Measurement Errors and Nonlinear Dependencies

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns

A Quantile Regression Approach to Estimate the Variance of Financial Returns

The VIX, the Variance Premium, and Expected Returns

Fractional Integration and Fat Tails for Realized Covariance Kernels

Realized Volatility Forecasting with Neural Networks

A Jump and Smile Ride: Jump and Variance Risk Premia in Option Pricing

Time-varying coefficient estimation in SURE models. Application to portfolio management.

Comment on: Price Discovery in High Resolution*

Model and Moment Selection in Factor Copula Models

Limit Theory for Forecasts of Extreme Distortion Risk Measures and Expectiles

Unified Inference for an AR Process Regardless of Finite or Infinite Variance GARCH Errors

Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates

Comment on: Price discovery in high resolution