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Econometric Reviews, Volume 27 Issue 1 - 3 2008

2008 Impact Factor now 1.220 up from 0.771 in 2007!
ISSN: 1532-4168 (electronic) 0747-4938 (paper)
Publication Frequency: 6 issues per year
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Original Articles
Realized Volatility and Long Memory: An Overview
Esfandiar Maasoumi; Michael McAleer
Pages 1 – 9
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Realized Volatility: A Review
Michael McAleer; Marcelo C. Medeiros
Pages 10 – 45
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The Volatility of Realized Volatility
Fulvio Corsi;  Stefan Mittnik;  Christian Pigorsch; Uta Pigorsch
Pages 46 – 78
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Moving Average-Based Estimators of Integrated Variance
Peter R. Hansen;  Jeremy Large; Asger Lunde
Pages 79 – 111
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Nonparametric Estimation Methods of Integrated Multivariate Volatilities
Toshiya Hoshikawa;  Keiji Nagai;  Taro Kanatani; Yoshihiko Nishiyama
Pages 112 – 138
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Edgeworth Corrections for Realized Volatility
Sílvia Gonçalves; Nour Meddahi
Pages 139 – 162
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Using High-Frequency Data in Dynamic Portfolio Choice
Federico M. Bandi;  Jeffrey R. Russell; Yinghua Zhu
Pages 163 – 198
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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Michiel de Pooter;  Martin Martens; Dick van Dijk
Pages 199 – 229
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Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?
Jim E. Griffin; Roel C. A. Oomen
Pages 230 – 253
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Refined Inference on Long Memory in Realized Volatility
Offer Lieberman; Peter C. B. Phillips
Pages 254 – 267
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Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
Afonso Gonçalves da Silva; Peter M. Robinson
Pages 268 – 297
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Why Aggregate Long Memory Time Series?
Leonardo Rocha Souza
Pages 298 – 316
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