| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series |
0 |
0 |
0 |
161 |
0 |
3 |
11 |
435 |
| A generalized dynamic conditional correlation model for many asset returns |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| A generalized dynamic conditional correlation model for many asset returns |
3 |
11 |
53 |
634 |
9 |
26 |
112 |
1,274 |
| Analytical quasi maximum likelihood inference in multivariate volatility models |
2 |
5 |
26 |
231 |
4 |
11 |
49 |
520 |
| Analytical quasi maximum likelihood inference in multivariate volatility models |
0 |
1 |
1 |
1 |
0 |
2 |
2 |
2 |
| Asymptotic theory for a factor GARCH model |
3 |
7 |
25 |
25 |
4 |
11 |
38 |
38 |
| Deciding between GARCH and stochastic volatility via strong decision rules |
3 |
13 |
32 |
32 |
10 |
31 |
67 |
67 |
| Discrete Time Option Pricing with Flexible Volatility Estimation |
0 |
0 |
0 |
28 |
1 |
2 |
9 |
189 |
| Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
8 |
| Durations, Volume and the Prediction of Financial Returns in Transaction Time |
1 |
3 |
13 |
401 |
2 |
7 |
33 |
673 |
| Dynamic stochastic copula models: Estimation, inference and applications |
6 |
17 |
97 |
97 |
14 |
46 |
141 |
141 |
| Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models |
0 |
0 |
0 |
114 |
2 |
4 |
17 |
421 |
| Estimating autocorrelations in the presence of deterministic trends |
0 |
2 |
30 |
30 |
2 |
13 |
37 |
37 |
| Estimation of temporally aggregated multivariate GARCH models |
1 |
1 |
5 |
5 |
2 |
3 |
9 |
9 |
| Estimation of temporally aggregated multivariate GARCH models |
1 |
3 |
10 |
10 |
1 |
4 |
19 |
19 |
| Flexible Stochastic Volatility Structures for High Frequency Financial Data |
0 |
0 |
0 |
43 |
0 |
0 |
6 |
206 |
| Foreign Exchange Rates Have Surprising Volatility |
0 |
0 |
0 |
141 |
2 |
10 |
33 |
509 |
| Fourth moments of multivariate GARCH processes |
1 |
3 |
11 |
11 |
3 |
9 |
25 |
25 |
| Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
151 |
1 |
2 |
16 |
830 |
| Multivariate mixed normal conditional heteroskedasticity |
5 |
10 |
26 |
117 |
7 |
23 |
79 |
346 |
| Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
1 |
1 |
0 |
1 |
6 |
6 |
| Option Pricing under Linear Autoregressive Dynamics, Heteroskedasticity, and Conditional Leptokurtosis |
0 |
0 |
0 |
117 |
2 |
4 |
22 |
568 |
| Ridge regression revisited |
1 |
7 |
9 |
9 |
6 |
23 |
27 |
27 |
| Semi-Parametric Modelling of Correlation Dynamics |
1 |
1 |
2 |
2 |
2 |
5 |
7 |
7 |
| Semiparametric multivariate GARCH models |
3 |
4 |
13 |
13 |
5 |
8 |
20 |
20 |
| Semiparametric multivariate volatility models |
1 |
1 |
4 |
4 |
1 |
2 |
7 |
7 |
| Simple approximations for option pricing under mean reversion and stochastic volatility |
5 |
12 |
62 |
638 |
10 |
34 |
136 |
1,325 |
| Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
1 |
1 |
1 |
0 |
1 |
1 |
1 |
| Temporal aggregation of multivariate GARCH processes |
0 |
0 |
2 |
2 |
0 |
1 |
3 |
3 |
| Temporal aggregation of multivariate GARCH processes |
3 |
7 |
29 |
235 |
6 |
20 |
79 |
510 |
| Testing for Causality in Variance using Multivariate GARCH Models |
6 |
15 |
82 |
182 |
8 |
28 |
149 |
375 |
| Testing for Linear Autoregressive Dynamics under Heteroskedasticity |
0 |
0 |
0 |
0 |
1 |
3 |
10 |
88 |
| Testing for causality in variance using multivariate GARCH models |
0 |
1 |
2 |
2 |
1 |
5 |
9 |
9 |
| Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
1 |
1 |
1 |
0 |
1 |
1 |
1 |
| Testing for vector autoregressive dynamics under heteroskedasticity |
3 |
5 |
25 |
220 |
10 |
17 |
63 |
668 |
| The Euro Introduction and Non-Euro Currencies |
1 |
3 |
22 |
161 |
3 |
8 |
72 |
647 |
| Time-Varying Market Price of Risk in the CAPM-Approaches, Empirical Evidence and Implications |
0 |
0 |
0 |
155 |
2 |
9 |
38 |
863 |
| Volatility impulse response functions for multivariate GARCH models |
2 |
9 |
11 |
14 |
7 |
17 |
54 |
1,027 |
| Volatility impulse response functions for multivariate GARCH models |
5 |
10 |
23 |
23 |
6 |
15 |
35 |
35 |
| Total Working Papers |
57 |
153 |
618 |
4,012 |
135 |
412 |
1,451 |
11,937 |