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12 months |
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Last month |
3 months |
12 months |
Total |

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data |
0 |
0 |
1 |
352 |
2 |
3 |
11 |
912 |

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data |
1 |
2 |
4 |
77 |
2 |
5 |
11 |
209 |

Closed-Form Likelihood Expansions for Multivariate Diffusions |
0 |
0 |
7 |
176 |
1 |
1 |
13 |
436 |

Consumption and Portfolio Choice with Option-Implied State Prices |
0 |
0 |
0 |
78 |
1 |
2 |
8 |
236 |

Disentangling Volatility from Jumps |
0 |
1 |
1 |
236 |
0 |
1 |
3 |
291 |

Dynamic Equilibrium and Volatility in Financial Asset Markets |
0 |
0 |
0 |
352 |
5 |
10 |
22 |
1,453 |

Dynamic Equilibrium and Volatility in Financial Asset Markets |
0 |
0 |
0 |
1 |
5 |
12 |
30 |
302 |

Edgeworth Expansions for Realized Volatility and Related Estimators |
0 |
1 |
2 |
111 |
2 |
4 |
15 |
333 |

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions |
0 |
0 |
1 |
68 |
1 |
1 |
4 |
177 |

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions |
0 |
2 |
4 |
368 |
1 |
3 |
9 |
972 |

Goodness-of-fit tests for regression using kernel methods |
1 |
1 |
1 |
149 |
2 |
2 |
6 |
379 |

High Frequency Market Microstructure Noise Estimates and Liquidity Measures |
0 |
0 |
3 |
241 |
4 |
11 |
43 |
746 |

High Frequency Traders: Taking Advantage of Speed |
0 |
0 |
5 |
77 |
1 |
2 |
20 |
120 |

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise |
0 |
0 |
0 |
243 |
0 |
2 |
10 |
800 |

Luxury Goods and the Equity Premium |
0 |
0 |
0 |
505 |
1 |
1 |
10 |
2,101 |

Market Response to Policy Initiatives during the Global Financial Crisis |
0 |
2 |
4 |
186 |
4 |
10 |
20 |
490 |

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach |
0 |
0 |
3 |
415 |
2 |
2 |
7 |
1,495 |

Maximum Likelihood Estimation of Stochastic Volatility Models |
0 |
0 |
0 |
678 |
2 |
6 |
20 |
1,603 |

Modeling Financial Contagion Using Mutually Exciting Jump Processes |
1 |
1 |
7 |
108 |
6 |
6 |
29 |
357 |

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
1 |
1 |
2 |
11 |
424 |

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
569 |
0 |
3 |
11 |
1,929 |

Nonparametric Option Pricing under Shape Restrictions |
1 |
2 |
3 |
209 |
1 |
2 |
8 |
591 |

Nonparametric Pricing of Interest Rate Derivative Securities |
0 |
0 |
1 |
331 |
0 |
0 |
4 |
990 |

Nonparametric Risk Management and Implied Risk Aversion |
0 |
1 |
3 |
470 |
1 |
3 |
9 |
1,192 |

Principal Component Analysis of High Frequency Data |
1 |
2 |
15 |
82 |
2 |
6 |
34 |
56 |

Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion |
0 |
0 |
0 |
166 |
1 |
4 |
9 |
926 |

Testing Continuous-Time Models of the Spot Interest Rate |
0 |
0 |
1 |
336 |
1 |
2 |
13 |
1,055 |

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions |
0 |
0 |
0 |
80 |
2 |
4 |
12 |
775 |

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency |
0 |
2 |
2 |
48 |
2 |
4 |
8 |
108 |

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
0 |
0 |
0 |
190 |
1 |
1 |
6 |
513 |

Ultra high frequency volatility estimation with dependent microstructure noise |
0 |
0 |
6 |
251 |
3 |
4 |
24 |
794 |

Variable Selection for Portfolio Choice |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
432 |

Variable Selection for Portfolio Choice |
1 |
1 |
2 |
128 |
1 |
1 |
7 |
359 |

Variable Selection for Portfolio Choice |
1 |
1 |
3 |
445 |
1 |
1 |
11 |
1,016 |

Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) |
0 |
0 |
1 |
72 |
1 |
1 |
3 |
245 |

Total Working Papers |
7 |
19 |
80 |
7,800 |
60 |
122 |
468 |
24,817 |