We use cookies to enhance your experience on our website. By continuing to use our website, you are agreeing to our use of cookies. You can change your cookie settings at any time. Find out more Skip to Main Content

About the Journal

"The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."

Robert Engle, Nobel Prize in Economics 2003, Stern School of Business, NYU


"Financial econometrics is one of the greatest on going success stories of recent decades, and the Journal of Financial Econometrics has emerged quickly as the definitive journal of record. It is beautifully poised to continue the fine tradition that it has established, leading the charge in the ongoing development of the econometrics of financial markets."

Francis X. Diebold, University of Pennsylvania


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.

Book reviews will occasionally be published, as will special issues on a single theme.

IMPACT FACTOR AND RANKINGS


Year Impact Factor Ssi: Business, Finance Ssi: Economics
2015 1.205 38 out of 94 117 out of 344
2014 1.302 26 out of 88 95 out of 333
2013 1.163 29 out of 89 106 out of 332
2012 0.976 36 out of 86 137 out of 332
2011 1.175 25 out of 86 97 out of 320
2010 0.846 30 out of 74 131 out of 304
2009 0.897 26 out of 52 102 out of 245

Abstracting and Indexing Services


Journal of Financial Econometrics is covered by the following abstracting/indexing services:

Current Contents® /Social and Behavioral Sciences
EconLit
Finance Literature Database
Journal Citation Reports /Social Sciences Edition
PROQUEST DATABASE : ABI/INFORM Complete
PROQUEST DATABASE : ABI/INFORM Global
PROQUEST DATABASE : ProQuest 5000
PROQUEST DATABASE : ProQuest 5000 International
PROQUEST DATABASE : ProQuest Central
PROQUEST DATABASE : ProQuest International Academic Research Library
PROQUEST DATABASE : ProQuest Research Library
PROQUEST DATABASE : ProQuest Wilson Databases
RePEc (Research Papers in Economics)
Scopus
Social Sciences Citation Index®
Social Scisearch®
Statistical Theory & Method Abstracts (STMA-Z)
The Standard Periodical Directory
Wilson OmniFile Full Text Mega Edition

This Feature Is Available To Subscribers Only

Sign In or Create an Account

This PDF is available to Subscribers Only

View Article Abstract & Purchase Options

For full access to this pdf, sign in to an existing account, or purchase an annual subscription.

Subscribe Now