| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Bootstrap Approach for Generalized Autocontour Testing |
0 |
0 |
0 |
49 |
2 |
2 |
2 |
64 |
| A Bootstrap Approach for Generalized Autocontour Testing. Implications for VIX Forecast Densities |
0 |
0 |
0 |
56 |
0 |
0 |
1 |
79 |
| A comment on the dynamic factor model with dynamic factors |
0 |
1 |
3 |
70 |
0 |
1 |
10 |
153 |
| A powerful test for conditional heteroscedasticity for financial time series with highly persistent volatilities |
0 |
0 |
0 |
221 |
1 |
1 |
1 |
653 |
| An overview of probabilistic and time series models in finance |
0 |
0 |
0 |
394 |
0 |
1 |
2 |
634 |
| Asymmetric Observation Errors in Optimal Control of Stochastic Quadratic Linear Systems and Application to Modelling Volatility |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
288 |
| Asymmetric long memory GARCH: a reply to Hwang's model |
0 |
0 |
0 |
92 |
0 |
0 |
1 |
326 |
| Bootstrap Predictive Inference for Arima Processes |
0 |
0 |
1 |
7 |
1 |
1 |
2 |
50 |
| Bootstrap forecast of multivariate VAR models without using the backward representation |
0 |
0 |
1 |
158 |
1 |
2 |
3 |
388 |
| Bootstrap prediction intervals for VaR and ES in the context of GARCH models |
0 |
0 |
1 |
190 |
2 |
3 |
4 |
519 |
| Bootstrap prediction intervals for power-transformed time series |
0 |
0 |
0 |
143 |
0 |
0 |
1 |
431 |
| Bootstrap prediction intervals in State Space models |
0 |
0 |
1 |
222 |
0 |
2 |
5 |
473 |
| Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters |
0 |
0 |
0 |
53 |
1 |
1 |
1 |
176 |
| Comparing Forecasts of Extremely Large Conditional Covariance Matrices |
0 |
0 |
1 |
58 |
1 |
3 |
5 |
134 |
| Comparing sample and plug-in moments in asymmetric Garch Models |
0 |
0 |
1 |
9 |
0 |
0 |
1 |
55 |
| Comparing univariate and multivariate models to forecast portfolio value-at-risk |
0 |
1 |
2 |
390 |
0 |
3 |
9 |
1,417 |
| DETECTING LEVEL SHIFTS IN THE PRESENCE OF CONDITIONAL HETEROSCEDASTICITY |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
115 |
| Dealing with idiosyncratic cross-correlation when constructing confidence regions for PC factors |
0 |
0 |
1 |
1 |
0 |
1 |
5 |
5 |
| Detecting level shifts in the presence of conditional heteroscedasticity |
0 |
0 |
0 |
86 |
0 |
1 |
1 |
228 |
| Determining the number of factors after stationary univariate transformations |
0 |
0 |
0 |
38 |
0 |
1 |
2 |
78 |
| Economic activity and climate change |
0 |
0 |
1 |
14 |
1 |
1 |
6 |
24 |
| Effects of Level Outliers on the Identification and Estimation of GARCH Models |
0 |
0 |
0 |
175 |
0 |
0 |
1 |
390 |
| Effects of parameter estimation on prediction densities a bootstrap approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
| Estimación de la volatilidad de la inflación en presencia de observaciones atípicas y heteroscedasticidad condicional |
0 |
0 |
0 |
8 |
1 |
2 |
2 |
44 |
| Estimating and Forecasting GARCH Volatility in the Presence of Outiers |
0 |
0 |
0 |
74 |
0 |
0 |
0 |
127 |
| Estimation methods for stochastic volatility models: a survey |
0 |
0 |
0 |
1,230 |
0 |
1 |
4 |
2,047 |
| Expecting the unexpected: Stressed scenarios for economic growth |
0 |
1 |
12 |
17 |
1 |
3 |
29 |
34 |
| Expecting the unexpected: economic growth under stress |
0 |
1 |
5 |
27 |
1 |
3 |
15 |
63 |
| Expecting the unexpected: economic growth under stress |
0 |
0 |
2 |
27 |
1 |
1 |
8 |
101 |
| Finite sample properties of a QML estimator of stochastic volatility models with long memory |
0 |
1 |
1 |
3 |
0 |
1 |
1 |
30 |
| Forecasting returns and volatilities in GARCH processes using the bootstrap |
0 |
0 |
3 |
15 |
0 |
0 |
5 |
38 |
| GARCH models with leverage effect: differences and similarities |
0 |
0 |
0 |
1,082 |
0 |
1 |
6 |
4,102 |
| Growth in Stress |
0 |
0 |
0 |
14 |
1 |
1 |
1 |
69 |
| Identification of asymmetric conditional heteroscedasticity in the presence of outliers |
0 |
0 |
0 |
41 |
0 |
1 |
1 |
55 |
| International vulnerability of inflation |
2 |
5 |
6 |
6 |
3 |
4 |
9 |
9 |
| Is stochastic volatility more flexible than garch? |
1 |
1 |
2 |
252 |
3 |
4 |
5 |
520 |
| MGARCH models: tradeoff between feasibility and flexibility |
0 |
0 |
1 |
59 |
1 |
2 |
4 |
183 |
| Measuring financial risk: comparison of alternative procedures to estimate VaR and ES |
0 |
2 |
3 |
491 |
1 |
5 |
8 |
1,265 |
| Model uncertainty and the forecast accuracy of ARMA models: A survey |
0 |
0 |
3 |
140 |
0 |
1 |
17 |
283 |
| Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market |
0 |
1 |
3 |
261 |
0 |
2 |
7 |
830 |
| Modelling long-memory volatilities with leverage effect: ALMSV versus FIEGARCH |
0 |
0 |
0 |
386 |
1 |
1 |
1 |
1,010 |
| Modelos de memoria larga para series económicas y financieras |
0 |
0 |
0 |
576 |
0 |
2 |
2 |
2,096 |
| More is not always better: back to the Kalman filter in dynamic factor models |
0 |
0 |
1 |
124 |
0 |
0 |
6 |
278 |
| Outliers and conditional autoregressive heteroscedasticity in time series |
0 |
0 |
0 |
269 |
1 |
3 |
3 |
745 |
| Prediction Regions for Interval-valued Time Series |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
32 |
| Prediction Regions for Interval-valued Time Series |
0 |
0 |
1 |
52 |
1 |
1 |
3 |
66 |
| Prediction with univariate time series models: The Iberia case |
0 |
0 |
0 |
108 |
0 |
1 |
3 |
923 |
| Properties of the sample autocorrelations in autoregressive stochastic volatllity models |
0 |
0 |
0 |
97 |
0 |
0 |
0 |
242 |
| Quasi-Maximum Likelihood Estimation of Stochastic Variance Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
45 |
| Relaciones dinámicas en el mercado internacional de carne de vacuno |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
25 |
| Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk |
0 |
0 |
0 |
64 |
0 |
0 |
3 |
124 |
| SPURIOUS AND HIDDEN VOLATILITY |
0 |
0 |
0 |
39 |
1 |
1 |
1 |
146 |
| Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment |
0 |
1 |
2 |
72 |
1 |
3 |
5 |
153 |
| Spurious and hidden volatility |
0 |
0 |
0 |
71 |
1 |
1 |
1 |
211 |
| Stochastic volatility models and the Taylor effect |
0 |
0 |
0 |
398 |
0 |
0 |
1 |
1,757 |
| Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| Testing for conditional heteroscedasticity in the components of inflation |
0 |
0 |
0 |
84 |
0 |
0 |
1 |
412 |
| The relation between the level and uncertainty of inflation |
0 |
0 |
0 |
37 |
0 |
0 |
0 |
348 |
| The uncertainty of conditional returns, volatilities and correlations in DCC models |
0 |
0 |
0 |
52 |
3 |
3 |
5 |
157 |
| Unobserved component models with asymmetric conditional variances |
0 |
0 |
0 |
114 |
0 |
0 |
0 |
329 |
| Using auxiliary residuals to detect conditional heteroscedasticity in inflation |
0 |
0 |
1 |
72 |
1 |
1 |
5 |
346 |
| Which univariate time series model predicts quicker a crisis? The Iberia case |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
15 |
| Total Working Papers |
3 |
15 |
59 |
8,816 |
33 |
75 |
233 |
25,956 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| 30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial |
0 |
0 |
2 |
22 |
2 |
2 |
8 |
53 |
| A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
8 |
| A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
57 |
| Accurate Confidence Regions for Principal Components Factors |
1 |
1 |
1 |
9 |
1 |
1 |
2 |
23 |
| Asymmetric long memory GARCH: a reply to Hwang's model |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
102 |
| Asymmetric stochastic volatility models: Properties and particle filter-based simulated maximum likelihood estimation |
0 |
0 |
1 |
10 |
0 |
0 |
3 |
27 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
121 |
| Bootstrap multi-step forecasts of non-Gaussian VAR models |
0 |
0 |
0 |
23 |
0 |
3 |
4 |
99 |
| Bootstrap prediction for returns and volatilities in GARCH models |
0 |
2 |
11 |
352 |
2 |
9 |
26 |
706 |
| Bootstrap prediction intervals for power-transformed time series |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
57 |
| Bootstrap prediction intervals in state–space models |
0 |
0 |
0 |
27 |
1 |
1 |
1 |
85 |
| Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters |
0 |
0 |
1 |
26 |
0 |
0 |
2 |
122 |
| Bootstrap predictive inference for ARIMA processes |
0 |
0 |
0 |
56 |
0 |
0 |
1 |
196 |
| Bootstrapping Financial Time Series |
0 |
0 |
2 |
336 |
1 |
3 |
12 |
686 |
| Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
271 |
| Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection |
0 |
0 |
0 |
5 |
0 |
0 |
5 |
42 |
| Conditionally heteroscedastic unobserved component models and their reduced form |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
70 |
| Determining the number of factors after stationary univariate transformations |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
40 |
| Dynamic factor models: Does the specification matter? |
0 |
0 |
1 |
5 |
0 |
0 |
3 |
18 |
| Effects of outliers on the identification and estimation of GARCH models |
0 |
1 |
1 |
94 |
0 |
2 |
4 |
243 |
| Effects of parameter estimation on prediction densities: a bootstrap approach |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
88 |
| Estimating GARCH volatility in the presence of outliers |
0 |
2 |
2 |
22 |
1 |
3 |
4 |
78 |
| Estimating Non-stationary Common Factors: Implications for Risk Sharing |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
38 |
| Estimation methods for stochastic volatility models: a survey |
1 |
1 |
1 |
355 |
1 |
1 |
6 |
810 |
| Evaluation of ionic liquids as absorbents for ammonia absorption refrigeration cycles using COSMO-based process simulations |
0 |
0 |
1 |
64 |
0 |
0 |
4 |
250 |
| Expecting the unexpected: Stressed scenarios for economic growth |
0 |
2 |
3 |
3 |
2 |
7 |
11 |
11 |
| Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components |
1 |
3 |
41 |
86 |
1 |
7 |
70 |
137 |
| Factor extraction using Kalman filter and smoothing: This is not just another survey |
1 |
1 |
5 |
23 |
2 |
4 |
18 |
100 |
| Finite sample properties of a QML estimator of stochastic volatility models with long memory |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
152 |
| Frontiers in VaR forecasting and backtesting |
1 |
2 |
15 |
205 |
1 |
2 |
28 |
423 |
| Growth in stress |
1 |
2 |
3 |
20 |
3 |
5 |
6 |
77 |
| Identification of asymmetric conditional heteroscedasticity in the presence of outliers |
0 |
0 |
0 |
3 |
2 |
3 |
5 |
35 |
| Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
3 |
| Introduction to nonlinearities, business cycles, and forecasting |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
193 |
| MGARCH models: Trade-off between feasibility and flexibility |
0 |
0 |
0 |
28 |
1 |
2 |
5 |
156 |
| Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
60 |
| Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
225 |
| Modelos de memoria larga para series económicas y financieras |
0 |
1 |
1 |
96 |
1 |
4 |
4 |
512 |
| Multivariate Stochastic Variance Models |
0 |
4 |
5 |
1,457 |
2 |
7 |
17 |
3,503 |
| Optimal portfolios with minimum capital requirements |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
105 |
| Prediction intervals in conditionally heteroscedastic time series with stochastic components |
0 |
0 |
0 |
15 |
1 |
1 |
2 |
129 |
| Prediction intervals in conditionally heteroscedastic time series with stochastic components |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
29 |
| Prediction regions for interval‐valued time series |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
34 |
| Properties of the Sample Autocorrelations of Nonlinear Transformations in Long-Memory Stochastic Volatility Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
79 |
| QML and GMM estimators of stochastic volatility models: Response to Andersen and Sorensen |
0 |
0 |
0 |
47 |
1 |
1 |
1 |
95 |
| Quasi-maximum likelihood estimation of stochastic volatility models |
0 |
0 |
6 |
711 |
1 |
1 |
14 |
1,318 |
| Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities |
0 |
0 |
6 |
77 |
0 |
0 |
9 |
189 |
| Stock market regulations and international financial integration: the case of Spain |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
23 |
| Testing for Conditional Heteroscedasticity in the Components of Inflation |
0 |
0 |
0 |
38 |
0 |
1 |
1 |
166 |
| The factor structure of exchange rates volatility: global and intermittent factors |
0 |
0 |
2 |
2 |
0 |
1 |
5 |
5 |
| The uncertainty of conditional returns, volatilities and correlations in DCC models |
0 |
0 |
0 |
8 |
0 |
5 |
6 |
57 |
| Threshold stochastic volatility: Properties and forecasting |
0 |
0 |
1 |
19 |
0 |
1 |
4 |
55 |
| UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
38 |
| Unobserved component models with asymmetric conditional variances |
0 |
0 |
0 |
39 |
0 |
1 |
2 |
126 |
| Unobserved component time series models with Arch disturbances |
0 |
0 |
6 |
648 |
1 |
1 |
10 |
1,144 |
| Total Journal Articles |
6 |
22 |
119 |
5,326 |
29 |
82 |
316 |
13,469 |
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