| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model |
0 |
0 |
0 |
0 |
1 |
3 |
6 |
482 |
| A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model |
0 |
2 |
2 |
48 |
2 |
6 |
19 |
433 |
| A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests |
2 |
4 |
16 |
311 |
3 |
14 |
55 |
1,265 |
| A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions |
2 |
5 |
17 |
17 |
7 |
19 |
65 |
65 |
| A General Framework for Observation Driven Time-Varying Parameter Models |
10 |
19 |
69 |
69 |
16 |
40 |
104 |
104 |
| A General Framework for Observation Driven Time-Varying Parameter Models |
4 |
12 |
42 |
42 |
8 |
20 |
33 |
33 |
| A Hybrid Joint Moment Ratio Test for Financial Time Series |
4 |
9 |
20 |
203 |
10 |
23 |
64 |
1,081 |
| A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk |
3 |
3 |
9 |
85 |
4 |
5 |
31 |
325 |
| A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk |
7 |
11 |
42 |
119 |
10 |
22 |
82 |
271 |
| A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests |
1 |
1 |
12 |
203 |
1 |
4 |
42 |
1,498 |
| A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior |
3 |
3 |
8 |
143 |
5 |
7 |
17 |
448 |
| An analytic approach to credit risk of large corporate bond and loan portfolios |
3 |
12 |
46 |
747 |
9 |
24 |
86 |
1,456 |
| Analytic Decision Rules for Financial Stochastic Programs |
0 |
1 |
4 |
351 |
3 |
5 |
20 |
970 |
| Arbitrage and sampling uncertainty in financial stochastic programming models |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
| Arbitrage and sampling uncertainty in financial stochastic programming models |
2 |
2 |
4 |
307 |
3 |
7 |
29 |
969 |
| Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong |
1 |
3 |
33 |
338 |
7 |
19 |
111 |
1,050 |
| Business and Default Cycles for Credit Risk |
16 |
30 |
108 |
689 |
28 |
55 |
188 |
1,358 |
| Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations |
0 |
3 |
7 |
69 |
5 |
18 |
54 |
542 |
| Credit Cycles and Macro Fundamentals |
5 |
9 |
38 |
204 |
12 |
24 |
127 |
529 |
| Credit Cycles and Macro Fundamentals |
5 |
5 |
30 |
89 |
8 |
10 |
77 |
231 |
| De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen |
0 |
1 |
8 |
29 |
3 |
7 |
73 |
291 |
| Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression |
1 |
1 |
4 |
56 |
3 |
5 |
15 |
276 |
| Discrete versus Continuous State Switching Models for Portfolio Credit Risk |
0 |
3 |
16 |
167 |
8 |
21 |
88 |
743 |
| Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model |
2 |
3 |
11 |
50 |
6 |
18 |
79 |
296 |
| Explaining Hedge Fund Investment Styles by Loss Aversion |
3 |
9 |
20 |
774 |
10 |
21 |
80 |
2,098 |
| Forecasting Cross-Sections of Frailty-Correlated Default |
4 |
8 |
27 |
40 |
5 |
14 |
68 |
116 |
| Global Loss Diversification in the Insurance Sector |
0 |
3 |
15 |
22 |
1 |
8 |
63 |
78 |
| Modeling Portfolio Defaults using Hidden Markov Models with Covariates |
1 |
4 |
26 |
95 |
2 |
7 |
55 |
345 |
| Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk |
2 |
6 |
29 |
134 |
9 |
19 |
74 |
380 |
| Nut, gebruik en beperkingen van value-at-risk voor risicomanagement |
0 |
0 |
4 |
87 |
0 |
0 |
11 |
320 |
| On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework |
0 |
0 |
5 |
326 |
3 |
5 |
31 |
828 |
| Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
2 |
| Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data |
0 |
0 |
0 |
1 |
3 |
8 |
33 |
1,043 |
| Outlier robust cointegration analysis |
2 |
3 |
17 |
190 |
4 |
8 |
33 |
433 |
| Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation |
3 |
5 |
31 |
258 |
7 |
14 |
88 |
637 |
| Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models |
6 |
11 |
37 |
122 |
11 |
23 |
110 |
286 |
| Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence |
3 |
5 |
23 |
201 |
12 |
21 |
85 |
872 |
| SETS, Arbitrage Activity, and Stock Price Dynamics |
1 |
2 |
9 |
292 |
2 |
5 |
40 |
1,241 |
| Semi-nonparametric cointegration testing |
3 |
3 |
5 |
128 |
3 |
4 |
11 |
373 |
| Short Patches of Outliers, ARCH and Volatility Modeling |
1 |
1 |
13 |
256 |
4 |
8 |
36 |
912 |
| Stochastic processes, non-normal innovations, and the use of scaling ratios |
3 |
3 |
11 |
66 |
4 |
7 |
19 |
261 |
| Stock Selection, Style Rotation, and Risk |
2 |
4 |
16 |
559 |
9 |
23 |
89 |
1,453 |
| Strategic and tactical asset allocation and the effect of long-run equilibrium relations |
8 |
22 |
82 |
1,730 |
28 |
68 |
243 |
4,816 |
| Tail Behavior of Credit Loss Distributions for General Latent Factor Models |
4 |
11 |
32 |
383 |
9 |
25 |
98 |
996 |
| Tail behavior of credit loss distributions |
5 |
11 |
33 |
285 |
10 |
23 |
90 |
832 |
| Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks |
1 |
5 |
45 |
612 |
2 |
13 |
106 |
1,484 |
| Testing for ARCH in the Presence of Additive Outliers |
0 |
1 |
1 |
1 |
1 |
3 |
3 |
3 |
| Testing for ARCH in the Presence of Additive Outliners |
0 |
0 |
0 |
0 |
0 |
3 |
39 |
1,061 |
| Testing for ARCH in the presence of additive outliers |
1 |
3 |
17 |
240 |
2 |
8 |
41 |
824 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
2 |
| Testing for smooth transition nonlinearity in the presence of outliers |
3 |
4 |
22 |
197 |
4 |
5 |
39 |
653 |
| Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle |
2 |
8 |
37 |
37 |
6 |
23 |
79 |
79 |
| Total Working Papers |
130 |
275 |
1,104 |
11,373 |
317 |
747 |
3,134 |
37,145 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk |
3 |
7 |
11 |
11 |
6 |
19 |
34 |
34 |
| A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior |
0 |
0 |
0 |
0 |
2 |
2 |
5 |
370 |
| A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model |
0 |
0 |
0 |
11 |
0 |
0 |
3 |
137 |
| A note on the relationship between GARCH and symmetric stable processes |
0 |
0 |
2 |
27 |
0 |
0 |
2 |
70 |
| An analytic approach to credit risk of large corporate bond and loan portfolios |
3 |
6 |
17 |
166 |
6 |
9 |
32 |
331 |
| An outlier robust unit root test with an application to the extended Nelson-Plosser data |
1 |
5 |
22 |
70 |
2 |
8 |
43 |
200 |
| Business and default cycles for credit risk |
8 |
12 |
43 |
271 |
14 |
22 |
105 |
667 |
| Classical and Bayesian aspects of robust unit root inference |
0 |
2 |
9 |
39 |
0 |
2 |
12 |
94 |
| Cointegration Testing Using Pseudolikelihood Ratio Tests |
0 |
0 |
0 |
0 |
1 |
4 |
5 |
5 |
| Comprehensive definitions of breakdown points for independent and dependent observations |
0 |
0 |
1 |
4 |
0 |
1 |
6 |
22 |
| Credit cycles and macro fundamentals |
10 |
15 |
41 |
41 |
15 |
21 |
82 |
82 |
| Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression |
0 |
1 |
4 |
71 |
1 |
2 |
14 |
249 |
| Discrete versus continuous state switching models for portfolio credit risk |
0 |
0 |
4 |
20 |
2 |
5 |
19 |
107 |
| Empirical credit cycles and capital buffer formation |
1 |
2 |
16 |
61 |
3 |
6 |
45 |
140 |
| Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] |
0 |
1 |
2 |
17 |
1 |
2 |
7 |
66 |
| Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model |
0 |
1 |
4 |
8 |
0 |
2 |
14 |
38 |
| Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models |
0 |
0 |
0 |
0 |
1 |
13 |
58 |
810 |
| Global loss diversification in the insurance sector |
1 |
1 |
1 |
1 |
4 |
16 |
16 |
16 |
| Hedging Large Portfolios of Options in Discrete Time |
0 |
1 |
11 |
14 |
4 |
9 |
39 |
46 |
| Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods |
1 |
1 |
5 |
8 |
2 |
4 |
14 |
26 |
| Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods |
0 |
0 |
7 |
8 |
2 |
2 |
14 |
18 |
| Modelling Portfolio Defaults Using Hidden Markov Models with Covariates |
3 |
3 |
16 |
26 |
7 |
14 |
83 |
125 |
| Outlier Detection in Cointegration Analysis |
0 |
0 |
0 |
0 |
1 |
1 |
13 |
677 |
| Outlier robust analysis of long-run marketing effects for weekly scanning data |
0 |
0 |
4 |
25 |
0 |
1 |
12 |
91 |
| Positivity conditions for stochastic state space modelling of time series |
1 |
1 |
4 |
9 |
1 |
1 |
13 |
32 |
| Quantile forecasting for credit risk management using possibly misspecified hidden Markov models |
4 |
8 |
31 |
31 |
7 |
14 |
72 |
72 |
| Quantiles for t-statistics based on M-estimators of unit roots |
0 |
0 |
2 |
17 |
0 |
0 |
10 |
220 |
| SETS, arbitrage activity, and stock price dynamics |
0 |
0 |
2 |
17 |
2 |
4 |
9 |
82 |
| Semi-nonparametric cointegration testing |
0 |
0 |
2 |
22 |
1 |
3 |
9 |
88 |
| Short patches of outliers, ARCH and volatility modelling |
0 |
0 |
6 |
30 |
1 |
2 |
19 |
115 |
| Stock selection, style rotation, and risk |
0 |
2 |
4 |
83 |
2 |
5 |
13 |
278 |
| Tail behaviour of credit loss distributions for general latent factor models |
1 |
1 |
7 |
82 |
2 |
7 |
42 |
344 |
| Testing for ARCH in the Presence of Additive Outliers |
1 |
3 |
28 |
168 |
1 |
5 |
44 |
620 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
0 |
0 |
0 |
0 |
4 |
5 |
25 |
344 |
| The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds |
2 |
4 |
11 |
27 |
3 |
5 |
22 |
66 |
| The multi-state latent factor intensity model for credit rating transitions |
2 |
6 |
25 |
34 |
5 |
11 |
68 |
110 |
| Unit Root Tests Based on M Estimators |
0 |
1 |
2 |
2 |
1 |
7 |
9 |
9 |
| Total Journal Articles |
42 |
84 |
344 |
1,421 |
104 |
234 |
1,032 |
6,801 |
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