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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 |
0 |
1 |
6 |
955 |
0 |
2 |
15 |
1,665 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
1 |
1 |
1 |
204 |
1 |
2 |
5 |
485 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
1 |
4 |
4 |
181 |
1 |
4 |
12 |
383 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
1 |
1 |
4 |
115 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
1 |
18 |
1 |
1 |
5 |
77 |

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

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
0 |
181 |
0 |
1 |
5 |
431 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
1 |
1 |
2 |
46 |
1 |
1 |
6 |
68 |

An Empirical Investigation of Continuous-Time Equity Return Models |
1 |
1 |
6 |
484 |
1 |
1 |
18 |
1,123 |

Analytic Evaluation of Volatility Forecasts |
0 |
1 |
1 |
804 |
0 |
2 |
11 |
1,794 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
3 |
1,559 |
1 |
3 |
10 |
3,392 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
0 |
7 |
82 |
0 |
3 |
29 |
214 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
0 |
111 |
0 |
0 |
6 |
397 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
1 |
1 |
4 |
92 |
3 |
5 |
23 |
310 |

Construction and Interpretation of Model-Free Implied Volatility |
1 |
1 |
8 |
253 |
1 |
3 |
28 |
780 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
4 |
109 |
0 |
1 |
10 |
256 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
1 |
2 |
8 |
223 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
1 |
4 |
6 |
360 |
1 |
5 |
25 |
829 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
1 |
1 |
418 |
0 |
1 |
6 |
911 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
169 |
0 |
0 |
5 |
423 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
2 |
3 |
5 |
544 |
2 |
5 |
15 |
1,765 |

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 |
2 |
150 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
1 |
1 |
34 |
0 |
1 |
5 |
210 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
2 |
66 |
0 |
0 |
5 |
309 |

Duration-Based Volatility Estimation |
0 |
0 |
5 |
239 |
1 |
2 |
14 |
502 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
2 |
488 |
0 |
1 |
7 |
893 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
1 |
1 |
4 |
300 |
1 |
1 |
11 |
1,029 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
484 |
1 |
1 |
6 |
1,557 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
303 |
0 |
1 |
5 |
759 |

Financial Risk Measurement for Financial Risk Management |
1 |
2 |
9 |
174 |
1 |
3 |
21 |
453 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
9 |
219 |
1 |
6 |
27 |
364 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
3 |
162 |
1 |
3 |
17 |
355 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
1 |
2 |
12 |
1,170 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
1 |
2 |
541 |
2 |
7 |
18 |
1,543 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
1 |
3 |
25 |
25 |
3 |
6 |
13 |
13 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
1 |
2 |
8 |
63 |
1 |
3 |
16 |
196 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
69 |
0 |
1 |
7 |
216 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
2 |
5 |
58 |
1 |
5 |
11 |
197 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
278 |
0 |
0 |
7 |
865 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
2 |
12 |
469 |
5 |
11 |
46 |
1,992 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
1 |
2 |
4 |
342 |
1 |
4 |
17 |
1,075 |

Modeling and Forecasting Realized Volatility |
1 |
2 |
5 |
1,231 |
1 |
3 |
15 |
2,813 |

Modeling and Forecasting Realized Volatility |
1 |
1 |
1 |
978 |
1 |
3 |
11 |
2,060 |

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 |
2 |
4 |
223 |
0 |
2 |
15 |
573 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
1 |
5 |
8 |
90 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
1 |
2 |
20 |
1 |
3 |
6 |
92 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
5 |
0 |
1 |
7 |
31 |

Parametric and Nonparametric Volatility Measurement |
1 |
1 |
6 |
800 |
1 |
3 |
16 |
1,959 |

Parametric and Nonparametric Volatility Measurement |
1 |
1 |
6 |
682 |
1 |
1 |
21 |
1,502 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
1 |
1 |
2 |
561 |
2 |
2 |
10 |
1,119 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
3 |
415 |
1 |
3 |
9 |
824 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
390 |
0 |
1 |
6 |
760 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
5 |
141 |
2 |
5 |
22 |
374 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
178 |
3 |
5 |
11 |
761 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
2 |
215 |
1 |
1 |
9 |
625 |

Real-time price discovery in global stock, bond and foreign exchange markets |
1 |
2 |
8 |
263 |
2 |
3 |
19 |
811 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
5 |
139 |
1 |
1 |
14 |
507 |

Realized Beta: Persistence and Predictability |
0 |
0 |
5 |
487 |
0 |
0 |
12 |
830 |

Realized Volatility and Multipower Variation |
0 |
0 |
1 |
108 |
1 |
2 |
9 |
235 |

Realized beta: Persistence and predictability |
1 |
4 |
10 |
196 |
1 |
11 |
29 |
441 |

Realized volatility |
0 |
1 |
7 |
257 |
3 |
7 |
41 |
806 |

Reflecting on the VPIN Dispute |
0 |
0 |
5 |
46 |
0 |
1 |
15 |
88 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
8 |
147 |
0 |
3 |
20 |
389 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
4 |
348 |
1 |
4 |
20 |
816 |

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 |
2 |
17 |
473 |

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 |
2 |
4 |
17 |
928 |

Stochastic Volatility |
0 |
0 |
5 |
199 |
0 |
1 |
12 |
245 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
1 |
4 |
30 |
1,291 |

Stochastic Volatility: Origins and Overview |
2 |
3 |
5 |
337 |
4 |
5 |
14 |
653 |

Stochastic Volatility: Origins and Overview |
2 |
2 |
4 |
104 |
3 |
3 |
7 |
149 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
245 |
0 |
0 |
7 |
262 |

Stochastic volatility |
0 |
0 |
0 |
150 |
0 |
0 |
6 |
266 |

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

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
537 |
0 |
0 |
10 |
1,337 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
316 |
1 |
1 |
8 |
812 |

The Distribution of Stock Return Volatility |
0 |
3 |
4 |
816 |
0 |
5 |
14 |
2,167 |

The Distribution of Stock Return Volatility |
0 |
0 |
1 |
895 |
0 |
1 |
9 |
2,174 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
1 |
39 |
0 |
1 |
8 |
61 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
1 |
3 |
33 |
3 |
8 |
22 |
78 |

The Risk Premia Embedded in Index Options |
0 |
1 |
4 |
101 |
1 |
3 |
17 |
105 |

VPIN and the Flash Crash |
0 |
1 |
5 |
106 |
0 |
4 |
27 |
295 |

Volatility Forecasting |
0 |
0 |
1 |
531 |
1 |
3 |
16 |
821 |

Volatility Forecasting |
0 |
0 |
3 |
933 |
2 |
3 |
14 |
1,156 |

Volatility forecasting |
0 |
1 |
1 |
321 |
0 |
2 |
8 |
585 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
3 |
35 |
35 |
2 |
9 |
20 |
20 |

Total Working Papers |
25 |
70 |
318 |
25,762 |
79 |
230 |
1,153 |
63,463 |