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Journal of Financial Econometrics aims to address substantive statistical issues raised by the tremendous growth of the financial industry over the last decades.

We have created a collection of the Journal's top downloaded papers of 2015, covering a range of engaging topics, from market risk, to exchange rate prediction, to uninformed trades.

All of the papers included in the collection below will be free to read online until the end of 2016.

Components of Market Risk and Return
John M. Maheu and Thomas H. McCurdy
(2007) 5 (4): 560-590

Comparison of Volatility Measures: a Risk Management Perspective
Christian T. Brownlees and Giampiero M. Gallo
(2010) 8 (1): 29-56

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?
Jiahan Li, Ilias Tsiakas, and Wei Wang
(Spring 2015) 13 (2): 293-341

A Simple Approximate Long-Memory Model of Realized Volatility
Fulvio Corsi
(2009) 7 (2): 174-196

Time-Varying Arrival Rates of Informed and Uninformed Trades
David Easley, Robert F. Engle, Maureen O'Hara, and Liuren Wu
(2008) 6 (2): 171-207

Value-at-Risk Prediction: A Comparison of Alternative Strategies
Keith Kuester, Stefan Mittnik, and Marc S. Paolella
(Winter 2006) 4 (1): 53-89

Additive Intensity Regression Models in Corporate Default Analysis
David Lando, Mamdouh Medhat, Mads Stenbo Nielsen, and Søren Feodor Nielsen
(Summer 2013) 11 (3): 443-485

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Lorenzo Cappiello, Robert F. Engle, and Kevin Sheppard
(2006) 4 (4): 537-572

Nonparametric Estimation of Expected Shortfall
Song Xi Chen
(2008) 6 (1): 87-107

Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods
Ulrich Homm and Jörg Breitung
(Winter 2012) 10 (1): 198-231

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