| Working Paper |
File Downloads |
Abstract Views |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Fast Subsampling Method for Nonlinear Dynamic Models |
0 |
0 |
3 |
4 |
0 |
0 |
10 |
357 |
| A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence |
1 |
2 |
10 |
130 |
4 |
6 |
53 |
568 |
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives |
1 |
3 |
6 |
31 |
4 |
7 |
24 |
259 |
| A New Index of Belgian Shares |
0 |
1 |
2 |
51 |
3 |
9 |
33 |
462 |
| A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics |
12 |
31 |
103 |
572 |
30 |
77 |
245 |
1,188 |
| A Specification Test For Nonparametric Instrumental Variable Regression |
1 |
2 |
7 |
28 |
1 |
3 |
12 |
60 |
| A fast Subsampling Method for Nonlinear Dynamic Models |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
193 |
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements |
2 |
6 |
20 |
159 |
6 |
17 |
80 |
529 |
| An Autoregressive Conditional Binomial Option Pricing Model |
2 |
9 |
20 |
20 |
3 |
13 |
33 |
33 |
| An Autoregressive Conditional Binomial Option Pricing Model |
3 |
9 |
30 |
347 |
7 |
30 |
90 |
841 |
| An Empirical Estimation in Credit Spread Indices |
1 |
3 |
14 |
98 |
1 |
5 |
24 |
194 |
| An Empirical Investigation in Credit Spread Indices |
1 |
4 |
9 |
310 |
2 |
14 |
29 |
616 |
| An Empirical Investigation in Credit Spread Indices |
4 |
16 |
57 |
602 |
9 |
32 |
125 |
1,388 |
| An Empirical Investigation in Credit Spread Indices |
0 |
1 |
1 |
2 |
0 |
3 |
9 |
357 |
| An autoregressive conditional binomial option pricing model under stochastic rates |
0 |
0 |
0 |
0 |
1 |
5 |
12 |
209 |
| Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility |
2 |
7 |
24 |
35 |
4 |
12 |
48 |
80 |
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data |
2 |
4 |
8 |
8 |
3 |
6 |
15 |
15 |
| Bartlett Identities Tests |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
6 |
| Bartlett Identities Tests |
3 |
6 |
18 |
125 |
5 |
12 |
61 |
574 |
| Bartlett identities tests |
0 |
1 |
1 |
1 |
1 |
3 |
13 |
244 |
| Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates |
0 |
0 |
3 |
3 |
1 |
2 |
5 |
5 |
| Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates |
2 |
4 |
6 |
205 |
4 |
9 |
27 |
642 |
| Convergence of Discrete Time Options Pricing Models under Stochastic Rates |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
1,199 |
| Convergence of discrete time options pricing models under stochastic |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
85 |
| Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels |
3 |
3 |
7 |
124 |
9 |
14 |
41 |
471 |
| Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels |
2 |
3 |
10 |
228 |
12 |
23 |
75 |
1,141 |
| Econométrie de la finance: approches historiques |
0 |
0 |
0 |
0 |
3 |
5 |
28 |
28 |
| Estimation of the term structure from bond data |
0 |
0 |
0 |
0 |
3 |
11 |
32 |
351 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
3 |
5 |
25 |
86 |
6 |
20 |
79 |
246 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
2 |
10 |
43 |
43 |
4 |
24 |
102 |
102 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
10 |
14 |
75 |
310 |
22 |
55 |
249 |
836 |
| Indirect Inference, Nuisance Parameter and Threshold Moving Average |
1 |
3 |
11 |
170 |
5 |
14 |
60 |
1,350 |
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters |
1 |
3 |
18 |
192 |
5 |
11 |
56 |
445 |
| Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility |
3 |
10 |
36 |
189 |
6 |
19 |
91 |
543 |
| Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility |
3 |
9 |
18 |
103 |
5 |
14 |
50 |
283 |
| Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators |
0 |
2 |
5 |
31 |
0 |
6 |
19 |
117 |
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators |
0 |
0 |
1 |
60 |
1 |
2 |
18 |
277 |
| Local Transformation Kernel Density Estimation of Loss Distributions |
0 |
1 |
16 |
40 |
3 |
6 |
41 |
79 |
| Mortality Risk and Real Optimal Asset Allocation for Pension Funds |
1 |
2 |
20 |
241 |
4 |
6 |
29 |
615 |
| Multiariate Wavelet-based sahpe preserving estimation for dependant observation |
1 |
1 |
4 |
35 |
2 |
2 |
12 |
162 |
| Multiregime Term Structure Models |
0 |
1 |
4 |
125 |
1 |
3 |
10 |
375 |
| Multiregime Term Structure Models |
0 |
0 |
0 |
0 |
1 |
1 |
11 |
11 |
| Nonparametric Estimation of Conditional Expected Shortfall |
4 |
8 |
50 |
292 |
7 |
16 |
89 |
548 |
| Nonparametric Estimation of Copulas for Time Series |
5 |
17 |
58 |
308 |
9 |
23 |
93 |
551 |
| Nonparametric Instrumental Variable Estimators of Structural Quantile Effects |
1 |
1 |
3 |
24 |
2 |
4 |
10 |
37 |
| Nonparametric Tests Dependence For Positive Quadrant |
1 |
1 |
4 |
23 |
4 |
4 |
16 |
123 |
| Nonparametric Tests for Positive Quadrant Dependence |
6 |
6 |
21 |
207 |
14 |
31 |
83 |
721 |
| Nonparametric specification analysis of dynamic parametric models |
1 |
1 |
3 |
10 |
2 |
3 |
12 |
28 |
| On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities |
2 |
9 |
32 |
167 |
4 |
15 |
56 |
380 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases |
0 |
1 |
6 |
72 |
0 |
1 |
18 |
183 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases |
2 |
5 |
20 |
271 |
8 |
15 |
73 |
790 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases |
0 |
10 |
37 |
211 |
18 |
57 |
228 |
897 |
| Option Pricing with Discrete Rebalancing |
4 |
7 |
19 |
297 |
6 |
13 |
42 |
595 |
| Option Pricing with Discrete Rebalancing |
1 |
3 |
6 |
6 |
2 |
4 |
7 |
7 |
| Option Pricing with Discrete Rebalancing |
3 |
4 |
15 |
101 |
4 |
9 |
27 |
249 |
| Option pricing with discrete rebalancing |
0 |
0 |
0 |
0 |
2 |
3 |
11 |
107 |
| Pricing Interest Rate-SensitiveCredit Portfolio Derivatives |
1 |
1 |
6 |
20 |
1 |
5 |
19 |
48 |
| Reversed Score and Likelihood Ratio Tests |
0 |
1 |
3 |
74 |
3 |
8 |
29 |
531 |
| Reversed Score and Likelihood Ratio Tests |
0 |
0 |
0 |
44 |
0 |
1 |
22 |
273 |
| Reversed Score and Likelihood Ratio Tests |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
115 |
| Robust Resampling Methods for Time Series |
1 |
1 |
1 |
1 |
4 |
4 |
4 |
4 |
| Robust Subsampling |
0 |
0 |
9 |
27 |
3 |
7 |
31 |
74 |
| SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS |
2 |
8 |
30 |
444 |
9 |
23 |
81 |
779 |
| Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements |
4 |
7 |
27 |
287 |
6 |
18 |
89 |
1,056 |
| Sensitivity Analysis of Values at Risk |
24 |
58 |
145 |
1,252 |
50 |
125 |
409 |
3,181 |
| Sensitivity Analysis of Values at Risk |
2 |
6 |
17 |
21 |
5 |
11 |
44 |
2,263 |
| Sensitivity Analysis of Values at Risk |
4 |
16 |
42 |
663 |
6 |
26 |
72 |
1,212 |
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements |
0 |
0 |
2 |
2 |
0 |
0 |
4 |
4 |
| Sensitivity analysis of values at risk |
0 |
0 |
0 |
1 |
5 |
12 |
36 |
326 |
| Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs |
1 |
1 |
15 |
37 |
6 |
15 |
41 |
83 |
| Testing For Equality Between Two Copulas |
0 |
1 |
13 |
26 |
0 |
2 |
29 |
67 |
| Testing foe Stochastic Dominance Efficiency |
0 |
0 |
0 |
0 |
1 |
4 |
12 |
33 |
| Testing for Concordance Ordering |
1 |
1 |
5 |
33 |
2 |
3 |
23 |
161 |
| Testing for Continuous-Time Models of the Short-Term Interest Rate |
0 |
0 |
0 |
0 |
2 |
3 |
15 |
231 |
| Testing for Stochastic Dominance Efficiency |
2 |
3 |
10 |
122 |
2 |
5 |
23 |
311 |
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data |
2 |
3 |
12 |
12 |
5 |
9 |
40 |
40 |
| Theory and Calibration of Swap Market Models |
21 |
45 |
157 |
1,280 |
38 |
99 |
370 |
2,668 |
| Tikhonov Regularization for Functional Minimum Distance Estimators |
4 |
9 |
31 |
68 |
12 |
28 |
104 |
197 |
| Variance Optimal Cap Pricing Models |
0 |
1 |
3 |
3 |
1 |
3 |
8 |
8 |
| Variance Optimal Cap Pricing Models |
1 |
4 |
24 |
319 |
14 |
29 |
141 |
1,100 |
| Weak Convergence of Hedging Strategies of Contingent Claims |
0 |
0 |
3 |
41 |
0 |
0 |
9 |
124 |
| Weak Convergence of Hedging Strategies of Contingent Claims |
0 |
1 |
8 |
51 |
1 |
3 |
18 |
145 |
| Total Working Papers |
167 |
416 |
1,472 |
11,525 |
441 |
1,146 |
4,421 |
37,786 |