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12 months |
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(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
0 |
1 |
7 |
951 |
2 |
3 |
19 |
1,656 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
1 |
177 |
3 |
5 |
13 |
378 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
2 |
203 |
2 |
2 |
9 |
482 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
1 |
2 |
10 |
113 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
1 |
1 |
2 |
18 |
2 |
2 |
11 |
75 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
3 |
150 |
1 |
2 |
23 |
409 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
181 |
2 |
2 |
6 |
428 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
0 |
2 |
45 |
2 |
2 |
10 |
67 |

An Empirical Investigation of Continuous-Time Equity Return Models |
1 |
2 |
14 |
482 |
2 |
4 |
37 |
1,114 |

Analytic Evaluation of Volatility Forecasts |
0 |
0 |
2 |
803 |
4 |
5 |
14 |
1,791 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
1 |
1 |
1,557 |
1 |
2 |
10 |
3,384 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
1 |
14 |
79 |
1 |
11 |
44 |
201 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
111 |
1 |
3 |
7 |
396 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
0 |
0 |
4 |
90 |
1 |
5 |
27 |
298 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
2 |
7 |
248 |
3 |
9 |
30 |
764 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
1 |
2 |
107 |
1 |
2 |
13 |
250 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
1 |
2 |
355 |
0 |
8 |
50 |
820 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
1 |
4 |
9 |
220 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
417 |
2 |
4 |
9 |
909 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
168 |
2 |
3 |
7 |
421 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
0 |
539 |
0 |
2 |
17 |
1,755 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
31 |
1 |
2 |
8 |
150 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
0 |
33 |
1 |
4 |
11 |
209 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
3 |
65 |
0 |
1 |
11 |
307 |

Duration-Based Volatility Estimation |
1 |
1 |
2 |
236 |
2 |
2 |
15 |
496 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
1 |
487 |
1 |
1 |
13 |
890 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
1 |
1 |
5 |
297 |
2 |
3 |
13 |
1,021 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
302 |
1 |
1 |
12 |
756 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
1 |
1 |
484 |
2 |
3 |
10 |
1,554 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
11 |
216 |
3 |
7 |
35 |
352 |

Financial Risk Measurement for Financial Risk Management |
0 |
2 |
10 |
170 |
2 |
7 |
32 |
444 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
160 |
1 |
3 |
19 |
346 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
2 |
4 |
26 |
1,164 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
1 |
539 |
4 |
7 |
12 |
1,532 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
69 |
2 |
3 |
10 |
213 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
4 |
55 |
1 |
2 |
14 |
182 |

Jump-robust volatility estimation using nearest neighbor truncation |
1 |
1 |
2 |
55 |
3 |
3 |
26 |
190 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
4 |
6 |
462 |
7 |
18 |
65 |
1,968 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
1 |
1 |
4 |
278 |
4 |
5 |
20 |
863 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
0 |
338 |
2 |
3 |
38 |
1,065 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
977 |
4 |
6 |
21 |
2,055 |

Modeling and Forecasting Realized Volatility |
1 |
1 |
2 |
1,227 |
4 |
6 |
24 |
2,807 |

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 |
0 |
0 |
2 |
220 |
3 |
5 |
15 |
564 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
0 |
1 |
5 |
83 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
19 |
2 |
2 |
10 |
89 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
1 |
1 |
5 |
2 |
3 |
11 |
30 |

Parametric and Nonparametric Volatility Measurement |
0 |
1 |
4 |
679 |
2 |
6 |
24 |
1,491 |

Parametric and Nonparametric Volatility Measurement |
1 |
3 |
6 |
797 |
3 |
8 |
26 |
1,953 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
1 |
413 |
1 |
2 |
9 |
820 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
4 |
560 |
3 |
4 |
19 |
1,116 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
389 |
2 |
2 |
7 |
756 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
1 |
2 |
3 |
138 |
3 |
7 |
19 |
360 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
1 |
1 |
2 |
214 |
2 |
3 |
13 |
621 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
178 |
1 |
2 |
12 |
755 |

Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
1 |
256 |
1 |
3 |
17 |
800 |

Real-time price discovery in stock, bond and foreign exchange markets |
1 |
1 |
3 |
136 |
3 |
4 |
22 |
503 |

Realized Beta: Persistence and Predictability |
0 |
1 |
6 |
484 |
2 |
3 |
22 |
826 |

Realized Volatility and Multipower Variation |
0 |
0 |
4 |
108 |
1 |
3 |
24 |
233 |

Realized beta: Persistence and predictability |
0 |
0 |
1 |
187 |
1 |
6 |
22 |
422 |

Realized volatility |
0 |
1 |
7 |
252 |
1 |
8 |
54 |
785 |

Reflecting on the VPIN Dispute |
0 |
2 |
6 |
44 |
1 |
5 |
14 |
79 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
2 |
5 |
141 |
2 |
5 |
27 |
375 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
2 |
344 |
3 |
8 |
27 |
808 |

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 |
1 |
5 |
24 |
469 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
3 |
336 |
2 |
4 |
24 |
922 |

Stochastic Volatility |
1 |
2 |
10 |
197 |
2 |
6 |
24 |
241 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
3 |
13 |
53 |
1,285 |

Stochastic Volatility: Origins and Overview |
0 |
1 |
1 |
101 |
1 |
2 |
9 |
144 |

Stochastic Volatility: Origins and Overview |
1 |
1 |
2 |
333 |
1 |
7 |
17 |
646 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
245 |
3 |
5 |
16 |
261 |

Stochastic volatility |
0 |
0 |
3 |
150 |
0 |
2 |
18 |
266 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
518 |
2 |
2 |
8 |
1,178 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
3 |
537 |
4 |
6 |
16 |
1,335 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
316 |
2 |
5 |
15 |
811 |

The Distribution of Stock Return Volatility |
0 |
1 |
2 |
813 |
3 |
4 |
22 |
2,159 |

The Distribution of Stock Return Volatility |
0 |
0 |
0 |
894 |
2 |
3 |
15 |
2,170 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
1 |
38 |
1 |
1 |
9 |
57 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
1 |
21 |
32 |
3 |
8 |
49 |
66 |

The Risk Premia Embedded in Index Options |
0 |
1 |
13 |
100 |
3 |
7 |
38 |
101 |

VPIN and the Flash Crash |
1 |
1 |
7 |
104 |
3 |
8 |
38 |
283 |

Volatility Forecasting |
1 |
1 |
11 |
531 |
2 |
7 |
17 |
815 |

Volatility Forecasting |
0 |
0 |
5 |
932 |
1 |
5 |
15 |
1,149 |

Volatility forecasting |
0 |
0 |
0 |
320 |
1 |
3 |
11 |
580 |

Total Working Papers |
16 |
49 |
264 |
25,537 |
162 |
366 |
1,647 |
62,902 |