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

A general multivariate threshold GARCH model with dynamic conditional correlations |
0 |
1 |
1 |
213 |
0 |
4 |
8 |
477 |

A general multivariate threshold GARCH model with dynamic conditional correlations |
0 |
0 |
1 |
337 |
0 |
3 |
6 |
797 |

Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent |
0 |
0 |
0 |
167 |
1 |
3 |
6 |
528 |

Accurate Yield Curve Scenarios Generation using Functional Gradient Descent |
0 |
0 |
0 |
208 |
0 |
1 |
5 |
708 |

An Empirical Analysis of the Ross Recovery Theorem |
2 |
11 |
37 |
102 |
5 |
22 |
75 |
248 |

Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
0 |
2 |
4 |
108 |
0 |
4 |
22 |
302 |

Beta Regimes for the Yield Curve |
1 |
2 |
3 |
81 |
3 |
7 |
20 |
457 |

Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators |
0 |
1 |
4 |
161 |
1 |
4 |
18 |
315 |

Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines |
0 |
1 |
4 |
71 |
1 |
6 |
26 |
271 |

Forecasting Implied Volatility Surfaces |
1 |
1 |
3 |
223 |
2 |
6 |
18 |
504 |

Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks |
0 |
0 |
1 |
86 |
0 |
0 |
9 |
200 |

Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics |
1 |
2 |
8 |
126 |
1 |
8 |
29 |
382 |

Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation |
0 |
8 |
20 |
107 |
0 |
20 |
47 |
291 |

Modeling Tick-by-Tick Realized Correlations |
0 |
0 |
1 |
191 |
0 |
3 |
16 |
425 |

Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging |
0 |
0 |
0 |
96 |
0 |
1 |
6 |
231 |

Option trading strategies based on semi-parametric implied volatility surface prediction |
1 |
3 |
14 |
251 |
6 |
9 |
64 |
702 |

Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
0 |
2 |
60 |
2 |
5 |
14 |
121 |

Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
2 |
2 |
14 |
0 |
3 |
8 |
36 |

Realized Correlation Tick-by-Tick |
0 |
0 |
0 |
220 |
0 |
4 |
10 |
594 |

Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects |
0 |
0 |
1 |
100 |
2 |
3 |
8 |
278 |

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process |
0 |
0 |
0 |
77 |
0 |
1 |
4 |
246 |

Splines for Financial Volatility |
0 |
1 |
3 |
147 |
0 |
3 |
19 |
381 |

Testing the lag structure of assets’ realized volatility dynamics |
1 |
4 |
8 |
67 |
1 |
8 |
25 |
87 |

Volatility Forecasting: Downside Risk, Jumps and Leverage Effect |
0 |
0 |
4 |
140 |
1 |
6 |
33 |
342 |

Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach |
0 |
0 |
2 |
265 |
0 |
1 |
9 |
462 |

Total Working Papers |
7 |
39 |
123 |
3,618 |
26 |
135 |
505 |
9,385 |