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

(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
1 |
3 |
8 |
954 |
1 |
6 |
19 |
1,662 |

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

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
1 |
203 |
0 |
1 |
6 |
483 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
0 |
1 |
7 |
114 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
2 |
18 |
1 |
1 |
7 |
76 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
2 |
150 |
1 |
2 |
16 |
411 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
1 |
181 |
1 |
2 |
6 |
430 |

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

An Empirical Investigation of Continuous-Time Equity Return Models |
0 |
1 |
14 |
483 |
0 |
6 |
31 |
1,120 |

Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
803 |
0 |
1 |
12 |
1,792 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
2 |
3 |
1,559 |
0 |
3 |
8 |
3,387 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
1 |
10 |
80 |
0 |
6 |
35 |
207 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
111 |
0 |
1 |
8 |
397 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
1 |
1 |
5 |
91 |
3 |
6 |
25 |
304 |

Construction and Interpretation of Model-Free Implied Volatility |
2 |
4 |
7 |
252 |
3 |
9 |
30 |
773 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
2 |
4 |
109 |
1 |
5 |
14 |
255 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
0 |
0 |
7 |
220 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
1 |
355 |
2 |
3 |
38 |
823 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
1 |
1 |
1 |
169 |
1 |
1 |
7 |
422 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
417 |
1 |
1 |
8 |
910 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
2 |
2 |
2 |
541 |
4 |
4 |
16 |
1,759 |

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 |
6 |
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 |
10 |
209 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
1 |
3 |
66 |
0 |
1 |
9 |
308 |

Duration-Based Volatility Estimation |
0 |
2 |
4 |
238 |
0 |
3 |
16 |
499 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
1 |
487 |
1 |
1 |
12 |
891 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
1 |
2 |
7 |
299 |
3 |
6 |
15 |
1,027 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
484 |
2 |
2 |
10 |
1,556 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
1 |
1 |
303 |
1 |
2 |
9 |
758 |

Financial Risk Measurement for Financial Risk Management |
2 |
2 |
4 |
162 |
3 |
5 |
21 |
351 |

Financial Risk Measurement for Financial Risk Management |
0 |
2 |
9 |
218 |
1 |
6 |
34 |
358 |

Financial Risk Measurement for Financial Risk Management |
1 |
2 |
10 |
172 |
3 |
6 |
26 |
450 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
1 |
3 |
20 |
1,167 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
1 |
1 |
1 |
540 |
2 |
4 |
14 |
1,536 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
1 |
1 |
21 |
21 |
1 |
1 |
4 |
4 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
2 |
6 |
10 |
61 |
2 |
9 |
21 |
191 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
69 |
0 |
2 |
7 |
215 |

Jump-robust volatility estimation using nearest neighbor truncation |
1 |
1 |
3 |
56 |
2 |
2 |
16 |
192 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
2 |
278 |
0 |
2 |
13 |
865 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
2 |
4 |
10 |
466 |
3 |
10 |
55 |
1,978 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
1 |
1 |
339 |
0 |
5 |
27 |
1,070 |

Modeling and Forecasting Realized Volatility |
1 |
2 |
3 |
1,229 |
2 |
3 |
22 |
2,810 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
977 |
1 |
2 |
19 |
2,057 |

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 |
1 |
6 |
16 |
570 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
5 |
0 |
0 |
8 |
30 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
0 |
2 |
5 |
85 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
19 |
0 |
0 |
6 |
89 |

Parametric and Nonparametric Volatility Measurement |
0 |
2 |
8 |
799 |
0 |
3 |
24 |
1,956 |

Parametric and Nonparametric Volatility Measurement |
0 |
2 |
6 |
681 |
3 |
7 |
27 |
1,498 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
2 |
560 |
0 |
1 |
14 |
1,117 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
413 |
0 |
0 |
7 |
820 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
389 |
0 |
2 |
7 |
758 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
3 |
5 |
141 |
2 |
8 |
20 |
368 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
1 |
2 |
215 |
0 |
3 |
10 |
624 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
178 |
0 |
1 |
8 |
756 |

Real-time price discovery in global stock, bond and foreign exchange markets |
2 |
5 |
6 |
261 |
2 |
7 |
20 |
807 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
2 |
5 |
138 |
0 |
2 |
19 |
505 |

Realized Beta: Persistence and Predictability |
1 |
3 |
6 |
487 |
1 |
3 |
16 |
829 |

Realized Volatility and Multipower Variation |
0 |
0 |
3 |
108 |
0 |
0 |
17 |
233 |

Realized beta: Persistence and predictability |
1 |
3 |
4 |
190 |
2 |
5 |
21 |
427 |

Realized volatility |
0 |
3 |
8 |
255 |
3 |
11 |
49 |
796 |

Reflecting on the VPIN Dispute |
0 |
1 |
6 |
45 |
1 |
7 |
19 |
86 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
4 |
8 |
145 |
2 |
9 |
22 |
384 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
3 |
3 |
347 |
2 |
4 |
25 |
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 |
1 |
18 |
923 |

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 |
0 |
1 |
21 |
470 |

Stochastic Volatility |
1 |
2 |
9 |
199 |
2 |
3 |
19 |
244 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
0 |
2 |
44 |
1,287 |

Stochastic Volatility: Origins and Overview |
0 |
1 |
2 |
102 |
0 |
1 |
7 |
145 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
2 |
333 |
0 |
0 |
12 |
646 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
245 |
0 |
1 |
13 |
262 |

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

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
316 |
0 |
0 |
11 |
811 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
2 |
537 |
1 |
2 |
13 |
1,337 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
518 |
0 |
0 |
4 |
1,178 |

The Distribution of Stock Return Volatility |
0 |
1 |
1 |
895 |
1 |
3 |
14 |
2,173 |

The Distribution of Stock Return Volatility |
0 |
0 |
1 |
813 |
1 |
3 |
20 |
2,162 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
1 |
38 |
1 |
2 |
9 |
59 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
0 |
8 |
32 |
1 |
4 |
32 |
70 |

The Risk Premia Embedded in Index Options |
0 |
0 |
7 |
100 |
0 |
1 |
31 |
102 |

VPIN and the Flash Crash |
0 |
1 |
5 |
105 |
1 |
6 |
36 |
289 |

Volatility Forecasting |
0 |
0 |
8 |
531 |
0 |
1 |
15 |
816 |

Volatility Forecasting |
0 |
1 |
4 |
933 |
1 |
4 |
17 |
1,153 |

Volatility forecasting |
0 |
0 |
0 |
320 |
1 |
3 |
11 |
583 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
2 |
31 |
31 |
31 |
4 |
8 |
8 |
8 |

Total Working Papers |
28 |
114 |
316 |
25,671 |
82 |
262 |
1,431 |
63,167 |