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12 months |
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Last month |
3 months |
12 months |
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(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
0 |
1 |
7 |
954 |
1 |
3 |
17 |
1,664 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
203 |
1 |
1 |
4 |
484 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
177 |
0 |
1 |
10 |
379 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
1 |
18 |
0 |
1 |
5 |
76 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
0 |
0 |
5 |
114 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
1 |
1 |
151 |
0 |
2 |
10 |
412 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
181 |
1 |
2 |
6 |
431 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
0 |
1 |
45 |
0 |
0 |
6 |
67 |

An Empirical Investigation of Continuous-Time Equity Return Models |
0 |
0 |
11 |
483 |
0 |
2 |
29 |
1,122 |

Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
803 |
0 |
0 |
10 |
1,792 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
3 |
1,559 |
2 |
4 |
11 |
3,391 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
2 |
8 |
82 |
2 |
6 |
32 |
213 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
111 |
0 |
0 |
7 |
397 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
0 |
1 |
4 |
91 |
2 |
6 |
24 |
307 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
4 |
109 |
1 |
2 |
13 |
256 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
2 |
7 |
252 |
0 |
7 |
29 |
777 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
1 |
2 |
8 |
222 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
1 |
2 |
3 |
357 |
2 |
5 |
27 |
826 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
1 |
1 |
169 |
0 |
2 |
6 |
423 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
1 |
1 |
1 |
418 |
1 |
2 |
9 |
911 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
2 |
2 |
541 |
1 |
6 |
14 |
1,761 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
31 |
0 |
0 |
4 |
150 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
0 |
33 |
0 |
0 |
9 |
209 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
2 |
66 |
0 |
1 |
7 |
309 |

Duration-Based Volatility Estimation |
0 |
1 |
5 |
239 |
1 |
2 |
16 |
501 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
1 |
2 |
488 |
1 |
3 |
11 |
893 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
1 |
6 |
299 |
0 |
4 |
13 |
1,028 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
484 |
0 |
2 |
6 |
1,556 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
303 |
0 |
1 |
6 |
758 |

Financial Risk Measurement for Financial Risk Management |
0 |
2 |
3 |
162 |
1 |
5 |
19 |
353 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
7 |
172 |
0 |
3 |
22 |
450 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
8 |
218 |
0 |
1 |
27 |
358 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
1 |
3 |
18 |
1,169 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
1 |
1 |
540 |
1 |
3 |
14 |
1,537 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
1 |
3 |
23 |
23 |
1 |
5 |
8 |
8 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
69 |
1 |
1 |
8 |
216 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
2 |
7 |
61 |
0 |
4 |
18 |
193 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
1 |
3 |
56 |
0 |
2 |
12 |
192 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
278 |
0 |
0 |
9 |
865 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
1 |
4 |
12 |
468 |
2 |
8 |
45 |
1,983 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
1 |
2 |
340 |
1 |
2 |
20 |
1,072 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
977 |
0 |
1 |
11 |
2,057 |

Modeling and Forecasting Realized Volatility |
1 |
2 |
4 |
1,230 |
1 |
3 |
16 |
2,811 |

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications |
1 |
2 |
4 |
222 |
1 |
3 |
16 |
572 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
5 |
0 |
0 |
7 |
30 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
3 |
3 |
7 |
88 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
19 |
0 |
0 |
4 |
89 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
5 |
681 |
0 |
6 |
23 |
1,501 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
6 |
799 |
1 |
1 |
22 |
1,957 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
2 |
414 |
0 |
1 |
7 |
821 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
2 |
560 |
0 |
0 |
10 |
1,117 |

Practical volatility and correlation modeling for financial market risk management |
0 |
1 |
1 |
390 |
0 |
1 |
6 |
759 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
5 |
141 |
1 |
4 |
21 |
370 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
178 |
1 |
1 |
7 |
757 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
2 |
215 |
0 |
0 |
8 |
624 |

Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
2 |
6 |
261 |
0 |
3 |
19 |
808 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
1 |
5 |
139 |
0 |
1 |
15 |
506 |

Realized Beta: Persistence and Predictability |
0 |
1 |
5 |
487 |
0 |
2 |
13 |
830 |

Realized Volatility and Multipower Variation |
0 |
0 |
1 |
108 |
0 |
0 |
11 |
233 |

Realized beta: Persistence and predictability |
3 |
6 |
9 |
195 |
8 |
13 |
28 |
438 |

Realized volatility |
1 |
2 |
8 |
257 |
4 |
10 |
52 |
803 |

Reflecting on the VPIN Dispute |
0 |
1 |
6 |
46 |
1 |
3 |
18 |
88 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
3 |
9 |
147 |
2 |
6 |
22 |
388 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
3 |
347 |
0 |
2 |
19 |
812 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
0 |
336 |
1 |
3 |
14 |
925 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
0 |
157 |
2 |
3 |
22 |
473 |

Stochastic Volatility |
0 |
1 |
9 |
199 |
1 |
3 |
18 |
245 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
0 |
0 |
37 |
1,287 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
2 |
102 |
0 |
1 |
6 |
146 |

Stochastic Volatility: Origins and Overview |
1 |
2 |
4 |
335 |
1 |
3 |
13 |
649 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
245 |
0 |
0 |
10 |
262 |

Stochastic volatility |
0 |
0 |
1 |
150 |
0 |
0 |
10 |
266 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
518 |
0 |
0 |
3 |
1,178 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
316 |
0 |
0 |
9 |
811 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
537 |
0 |
1 |
12 |
1,337 |

The Distribution of Stock Return Volatility |
0 |
0 |
1 |
813 |
1 |
2 |
15 |
2,163 |

The Distribution of Stock Return Volatility |
0 |
0 |
1 |
895 |
1 |
2 |
11 |
2,174 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
1 |
1 |
39 |
0 |
2 |
8 |
60 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
1 |
1 |
4 |
33 |
2 |
3 |
22 |
72 |

The Risk Premia Embedded in Index Options |
1 |
1 |
5 |
101 |
1 |
1 |
22 |
103 |

VPIN and the Flash Crash |
1 |
1 |
6 |
106 |
3 |
6 |
33 |
294 |

Volatility Forecasting |
0 |
0 |
3 |
933 |
1 |
2 |
12 |
1,154 |

Volatility Forecasting |
0 |
0 |
8 |
531 |
2 |
4 |
16 |
820 |

Volatility forecasting |
0 |
0 |
0 |
320 |
1 |
2 |
8 |
584 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
1 |
4 |
33 |
33 |
3 |
10 |
14 |
14 |

Total Working Papers |
16 |
65 |
305 |
25,708 |
68 |
216 |
1,251 |
63,301 |