| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Financial Duration Models via Density Forecasts |
0 |
1 |
18 |
325 |
0 |
2 |
33 |
680 |
| A comparison of financial duration models via density forecasts |
2 |
9 |
11 |
15 |
6 |
23 |
89 |
802 |
| An international analysis of earnings, stock prices and bond yields |
2 |
5 |
31 |
141 |
9 |
14 |
110 |
462 |
| An international analysis of earnings, stock prices and bond yields |
2 |
3 |
12 |
195 |
7 |
10 |
53 |
716 |
| Asymmetric ACD models: introducing price information in ACD models with a two state transition model |
2 |
5 |
9 |
9 |
4 |
16 |
40 |
838 |
| Co-integration and leadership in the European off-season fresh fruit market |
0 |
1 |
5 |
5 |
2 |
3 |
25 |
515 |
| Commonalities in the order book |
1 |
2 |
11 |
73 |
2 |
7 |
28 |
207 |
| Commonalities in the order book |
0 |
0 |
1 |
1 |
0 |
0 |
5 |
5 |
| Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio |
6 |
13 |
24 |
24 |
14 |
38 |
87 |
87 |
| Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison |
0 |
0 |
0 |
0 |
19 |
44 |
190 |
974 |
| How does liquidity react to stress periods in a limit order market? |
1 |
5 |
20 |
108 |
5 |
20 |
74 |
354 |
| How large is liquidity risk in an automated auction market ? |
0 |
0 |
1 |
1 |
1 |
4 |
8 |
8 |
| How large is liquidity risk in an automated auction market? |
0 |
3 |
18 |
171 |
1 |
8 |
48 |
356 |
| IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis |
12 |
28 |
106 |
846 |
41 |
100 |
443 |
2,632 |
| IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis |
3 |
5 |
10 |
10 |
4 |
11 |
25 |
25 |
| Implied volatility indices as leading indicators of stock index returns ? |
1 |
3 |
16 |
16 |
3 |
11 |
60 |
60 |
| International stock return predictability: statistical evidence and economic significance |
2 |
3 |
16 |
16 |
8 |
17 |
62 |
62 |
| Intraday value-at-risk |
3 |
4 |
15 |
16 |
3 |
9 |
60 |
673 |
| Market risk in commodity markets: a VaR approach |
5 |
12 |
47 |
47 |
14 |
29 |
105 |
105 |
| Market-wide liquidity co-movements, volatility regimes and market cap sizes |
3 |
7 |
17 |
17 |
9 |
28 |
72 |
72 |
| Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models |
0 |
0 |
0 |
0 |
1 |
11 |
46 |
464 |
| Modelling daily value-at-risk using realized volatility and arch type models |
5 |
11 |
50 |
453 |
15 |
36 |
138 |
1,150 |
| Short-term market timing using the Bond-Equity Yield Ratio |
2 |
7 |
20 |
20 |
5 |
24 |
101 |
101 |
| The Asian financial crisis: the start of a regime switch in volatility |
1 |
2 |
6 |
6 |
1 |
6 |
28 |
28 |
| The information content of implied volatility in agricultural commodity markets |
1 |
2 |
13 |
13 |
6 |
14 |
49 |
49 |
| The information content of implied volatility indexes for forecasting volatility and market risk |
2 |
4 |
18 |
18 |
4 |
12 |
39 |
39 |
| The information content of the Bond-Equity Yield Ratio: better than a random walk? |
3 |
6 |
22 |
22 |
12 |
32 |
100 |
100 |
| The logarithmic ACD model: an application to market microstructure and NASDAQ |
0 |
2 |
8 |
8 |
1 |
6 |
40 |
1,716 |
| The moments of Log-ACD models |
0 |
0 |
4 |
4 |
2 |
6 |
18 |
18 |
| Time transformations, intraday data and volatility models |
2 |
7 |
14 |
16 |
4 |
16 |
53 |
765 |
| VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS |
0 |
0 |
0 |
0 |
12 |
42 |
134 |
1,504 |
| Value-at-risk for long and short trading positions |
1 |
4 |
14 |
16 |
1 |
10 |
63 |
797 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
5 |
5 |
1 |
3 |
19 |
19 |
| Volatility regimes and the provisions of liquidity in order book markets |
1 |
2 |
14 |
79 |
4 |
9 |
53 |
245 |
| Total Working Papers |
63 |
156 |
576 |
2,696 |
221 |
621 |
2,498 |
16,628 |
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