| 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)? |
4 |
17 |
49 |
1,035 |
7 |
31 |
96 |
1,742 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
2 |
10 |
282 |
0 |
8 |
49 |
623 |
| Choosing the best volatility models: the model confidence set approach |
3 |
5 |
17 |
210 |
9 |
16 |
55 |
585 |
| Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models |
0 |
0 |
4 |
69 |
0 |
0 |
9 |
218 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
5 |
11 |
36 |
145 |
7 |
24 |
93 |
304 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
4 |
11 |
50 |
2 |
8 |
32 |
149 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
3 |
20 |
53 |
3 |
10 |
52 |
168 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
7 |
11 |
49 |
241 |
12 |
28 |
130 |
594 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
8 |
14 |
58 |
567 |
12 |
23 |
141 |
1,519 |
| Model confidence sets for forecasting models |
2 |
4 |
23 |
130 |
4 |
11 |
66 |
241 |
| Realized Variance and IID Market Microstructure Noise |
0 |
7 |
28 |
265 |
0 |
9 |
75 |
708 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
1 |
2 |
15 |
67 |
4 |
9 |
41 |
188 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
1 |
1 |
4 |
80 |
3 |
4 |
18 |
223 |
| Subsampling realised kernels |
1 |
3 |
11 |
29 |
5 |
14 |
34 |
97 |
| Subsampling realised kernels |
1 |
4 |
8 |
37 |
3 |
9 |
29 |
128 |
| Subsampling realised kernels |
1 |
5 |
12 |
32 |
2 |
12 |
42 |
128 |
| Testing the Significance of Calendar Effects |
4 |
15 |
57 |
316 |
7 |
30 |
127 |
720 |
| Testing the significance of calendar effects |
8 |
21 |
117 |
443 |
15 |
47 |
260 |
1,036 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
1 |
2 |
12 |
422 |
2 |
4 |
40 |
1,309 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
2 |
6 |
17 |
94 |
9 |
28 |
79 |
388 |
| Trades and Quotes: A Bivariate Point Process |
0 |
1 |
20 |
238 |
3 |
10 |
54 |
651 |
| Wavelet Estimation of Integrated Volatility |
1 |
4 |
24 |
235 |
2 |
8 |
48 |
391 |
| Total Working Papers |
52 |
142 |
602 |
5,040 |
111 |
343 |
1,570 |
12,110 |
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