| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? |
1 |
1 |
3 |
1,215 |
1 |
2 |
7 |
2,440 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
1 |
1 |
260 |
0 |
1 |
3 |
624 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
1 |
2 |
380 |
0 |
1 |
2 |
1,025 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
0 |
1 |
1 |
842 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
3 |
88 |
1 |
4 |
9 |
324 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
1 |
133 |
0 |
2 |
5 |
526 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
1 |
1 |
700 |
1 |
2 |
12 |
1,896 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
1 |
2 |
370 |
1 |
1 |
5 |
1,009 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
0 |
0 |
3 |
331 |
| Model confidence sets for forecasting models |
0 |
0 |
2 |
265 |
2 |
3 |
9 |
667 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
1 |
71 |
0 |
1 |
4 |
257 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
196 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
207 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
0 |
0 |
2 |
382 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
0 |
0 |
2 |
720 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
0 |
0 |
3 |
300 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
154 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
0 |
319 |
0 |
0 |
1 |
917 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
2 |
2 |
364 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
1 |
7 |
438 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
1 |
1 |
240 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
254 |
| Subsampling realised kernels |
0 |
0 |
0 |
75 |
0 |
0 |
2 |
335 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
0 |
0 |
0 |
1,792 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
669 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
145 |
| The Model Confidence Set |
0 |
0 |
3 |
219 |
0 |
0 |
6 |
730 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
99 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
1 |
280 |
0 |
0 |
4 |
526 |
| Total Working Papers |
3 |
7 |
20 |
6,503 |
7 |
22 |
94 |
18,409 |
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