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.

The Journal features a Practitioners' Corner section that emphasizes the practical side of the contents of each issue and places the articles within a broader perspective. Practitioners are invited to submit their reactions to make this section a lively forum for current ideas, where new issues and trends emerge.

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

The Journal of Financial Econometrics Online