| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
3 |
10 |
40 |
261 |
6 |
17 |
74 |
548 |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
5 |
7 |
21 |
259 |
7 |
16 |
38 |
570 |
| Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? |
4 |
8 |
23 |
218 |
5 |
20 |
52 |
554 |
| Conditional Dependency of Financial Series: An Application of Copulas |
3 |
6 |
9 |
11 |
6 |
18 |
82 |
758 |
| Conditional Dependency of Financial Series: The Copula-GARCH Model |
4 |
11 |
62 |
456 |
6 |
16 |
91 |
881 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
8 |
21 |
30 |
31 |
36 |
116 |
231 |
1,771 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
1 |
4 |
32 |
432 |
5 |
22 |
98 |
1,186 |
| Conditional dependency of financial series: an application of copulas |
4 |
10 |
50 |
491 |
8 |
17 |
86 |
859 |
| Density-Embedding Functions |
0 |
0 |
0 |
0 |
0 |
3 |
29 |
348 |
| Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis |
2 |
3 |
9 |
11 |
8 |
14 |
60 |
780 |
| Entropy densities |
0 |
0 |
3 |
79 |
0 |
0 |
7 |
235 |
| Estimating Gram-Charlier Expansions with Positivity Constraints |
6 |
13 |
18 |
19 |
14 |
30 |
93 |
1,943 |
| Estimation of Jump-Diffusion Process vis Empirical Characteristic Function |
5 |
17 |
72 |
454 |
12 |
37 |
150 |
994 |
| Fourth order pseudo maximum likelihood methods |
1 |
3 |
26 |
26 |
4 |
11 |
43 |
43 |
| New Extreme-Value Dependance Measures and Finance Applications |
1 |
5 |
28 |
155 |
5 |
15 |
63 |
571 |
| New Extreme-Value Dependence Measures and Finance Applications |
2 |
10 |
42 |
268 |
8 |
22 |
80 |
626 |
| On Stock Market Returns and Returns on Investments |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
986 |
| Portfolio allocation in transition economies |
0 |
0 |
3 |
96 |
0 |
0 |
12 |
299 |
| Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data |
1 |
6 |
21 |
192 |
5 |
16 |
61 |
406 |
| Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election |
1 |
4 |
18 |
162 |
8 |
27 |
108 |
1,155 |
| Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election |
1 |
2 |
4 |
5 |
2 |
12 |
49 |
2,740 |
| Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral |
1 |
1 |
3 |
3 |
3 |
17 |
39 |
942 |
| Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities |
3 |
7 |
24 |
184 |
9 |
21 |
63 |
551 |
| Testing for differences in the tails of stock-market returns |
0 |
2 |
9 |
173 |
0 |
10 |
30 |
340 |
| The Allocation of Assets Under Higher Moments |
0 |
4 |
14 |
125 |
3 |
12 |
30 |
272 |
| The Economic Value of Distributional Timing |
0 |
2 |
11 |
18 |
0 |
3 |
23 |
39 |
| The Impact of News on Higher Moments |
0 |
3 |
19 |
40 |
1 |
11 |
39 |
78 |
| The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets |
2 |
2 |
4 |
5 |
2 |
8 |
49 |
1,152 |
| The Tail Behavior of Stock Returns: Emerging versus Mature Markets |
0 |
5 |
21 |
285 |
1 |
11 |
64 |
832 |
| Total Working Papers |
58 |
166 |
616 |
4,459 |
165 |
523 |
1,850 |
22,459 |
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