| 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 |
2 |
13 |
328 |
0 |
2 |
22 |
685 |
| A comparison of financial duration models via density forecasts |
1 |
3 |
15 |
19 |
13 |
30 |
95 |
836 |
| An international analysis of earnings, stock prices and bond yields |
4 |
6 |
26 |
151 |
9 |
20 |
113 |
499 |
| An international analysis of earnings, stock prices and bond yields |
1 |
2 |
11 |
199 |
3 |
9 |
54 |
733 |
| Asymmetric ACD models: introducing price information in ACD models with a two state transition model |
5 |
9 |
20 |
20 |
9 |
19 |
55 |
861 |
| Co-integration and leadership in the European off-season fresh fruit market |
1 |
3 |
7 |
8 |
2 |
13 |
28 |
528 |
| Commonalities in the order book |
1 |
1 |
8 |
74 |
1 |
3 |
22 |
212 |
| Commonalities in the order book |
0 |
0 |
1 |
1 |
0 |
1 |
6 |
6 |
| Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio |
1 |
5 |
34 |
35 |
5 |
20 |
121 |
122 |
| Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison |
0 |
0 |
0 |
0 |
48 |
67 |
212 |
1,049 |
| How does liquidity react to stress periods in a limit order market? |
0 |
4 |
15 |
115 |
3 |
16 |
62 |
379 |
| How large is liquidity risk in an automated auction market ? |
0 |
1 |
3 |
3 |
0 |
4 |
14 |
14 |
| How large is liquidity risk in an automated auction market? |
0 |
1 |
10 |
173 |
4 |
9 |
36 |
367 |
| IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis |
2 |
13 |
100 |
869 |
36 |
97 |
453 |
2,776 |
| IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis |
1 |
2 |
14 |
14 |
1 |
4 |
32 |
32 |
| Implied volatility indices as leading indicators of stock index returns ? |
0 |
5 |
24 |
24 |
0 |
7 |
68 |
71 |
| International stock return predictability: statistical evidence and economic significance |
0 |
2 |
18 |
21 |
2 |
12 |
66 |
79 |
| Intraday value-at-risk |
3 |
6 |
23 |
24 |
10 |
20 |
65 |
697 |
| Market risk in commodity markets: a VaR approach |
4 |
10 |
60 |
63 |
7 |
30 |
141 |
147 |
| Market-wide liquidity co-movements, volatility regimes and market cap sizes |
0 |
6 |
20 |
23 |
0 |
15 |
85 |
93 |
| Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models |
0 |
0 |
0 |
0 |
3 |
9 |
42 |
475 |
| Modelling daily value-at-risk using realized volatility and arch type models |
4 |
14 |
50 |
473 |
11 |
41 |
143 |
1,206 |
| Short-term market timing using the Bond-Equity Yield Ratio |
0 |
1 |
22 |
24 |
2 |
8 |
107 |
114 |
| The Asian financial crisis: the start of a regime switch in volatility |
1 |
2 |
9 |
9 |
1 |
3 |
30 |
32 |
| The information content of implied volatility in agricultural commodity markets |
2 |
3 |
15 |
17 |
7 |
24 |
76 |
79 |
| The information content of implied volatility indexes for forecasting volatility and market risk |
1 |
3 |
22 |
24 |
3 |
9 |
48 |
51 |
| The information content of the Bond-Equity Yield Ratio: better than a random walk? |
4 |
8 |
27 |
30 |
20 |
48 |
158 |
164 |
| The logarithmic ACD model: an application to market microstructure and NASDAQ |
2 |
4 |
12 |
12 |
3 |
10 |
38 |
1,728 |
| The moments of Log-ACD models |
0 |
0 |
4 |
4 |
6 |
15 |
33 |
33 |
| Time transformations, intraday data and volatility models |
1 |
3 |
18 |
20 |
3 |
7 |
56 |
776 |
| VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS |
0 |
0 |
0 |
0 |
14 |
36 |
158 |
1,555 |
| Value-at-risk for long and short trading positions |
2 |
6 |
21 |
23 |
3 |
11 |
51 |
811 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
5 |
5 |
3 |
5 |
27 |
27 |
| Volatility regimes and the provisions of liquidity in order book markets |
2 |
4 |
11 |
84 |
3 |
12 |
45 |
259 |
| Total Working Papers |
43 |
129 |
638 |
2,889 |
235 |
636 |
2,762 |
17,496 |
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