| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Diagnostic Criterion for Approximate Factor Structure |
0 |
0 |
1 |
5 |
0 |
0 |
2 |
43 |
| A Fast Subsampling Method for Nonlinear Dynamic Models |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
404 |
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
51 |
| A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
62 |
| A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence |
0 |
0 |
0 |
164 |
1 |
1 |
1 |
793 |
| A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
357 |
| A New Index of Belgian Shares |
0 |
0 |
0 |
57 |
0 |
1 |
1 |
541 |
| A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics |
1 |
1 |
5 |
852 |
1 |
1 |
7 |
1,889 |
| A Specification Test For Nonparametric Instrumental Variable Regression |
0 |
0 |
0 |
64 |
0 |
0 |
0 |
197 |
| A diagnostic criterion for approximate factor structure |
0 |
0 |
1 |
20 |
1 |
1 |
4 |
48 |
| A fast Subsampling Method for Nonlinear Dynamic Models |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
243 |
| A higher-order correct fast moving-average bootstrap for dependent data |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
5 |
| A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements |
0 |
0 |
0 |
234 |
0 |
0 |
0 |
799 |
| A penalized two-pass regression to predict stock returns with time-varying risk premia |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
6 |
| A penalized two-pass regression to predict stock returns with time-varying risk premia |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| A penalized two-pass regression to predict stock returns with time-varying risk premia |
0 |
0 |
1 |
84 |
0 |
0 |
1 |
44 |
| An Autoregressive Conditional Binomial Option Pricing Model |
0 |
0 |
0 |
86 |
1 |
1 |
3 |
241 |
| An Autoregressive Conditional Binomial Option Pricing Model |
0 |
0 |
0 |
446 |
0 |
0 |
1 |
1,114 |
| An Empirical Estimation in Credit Spread Indices |
0 |
0 |
0 |
117 |
0 |
0 |
0 |
269 |
| An Empirical Investigation in Credit Spread Indices |
0 |
0 |
0 |
708 |
0 |
3 |
6 |
1,638 |
| An Empirical Investigation in Credit Spread Indices |
0 |
0 |
1 |
340 |
1 |
1 |
4 |
729 |
| An Empirical Investigation in Credit Spread Indices |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
419 |
| An auto-regressive conditional binomial option pricing model |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| An autoregressive conditional binomial option pricing model under stochastic rates |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
259 |
| Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility |
0 |
0 |
0 |
76 |
0 |
0 |
2 |
220 |
| Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
93 |
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
15 |
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
45 |
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
85 |
| Backtesting marginal expected shortfalland related systemic risk measures |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
11 |
| Bartlett Identities Tests |
0 |
0 |
0 |
163 |
0 |
1 |
3 |
762 |
| Bartlett Identities Tests |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
142 |
| Bartlett identities tests |
0 |
0 |
0 |
11 |
0 |
1 |
3 |
329 |
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
46 |
| Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates |
0 |
0 |
0 |
29 |
0 |
1 |
2 |
103 |
| Convergence of Discrete Time Options Pricing Models under Stochastic Rates |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,243 |
| Convergence of discrete time option pricing models under stochastic interest rates |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Convergence of discrete time options pricing models under stochastic |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
106 |
| Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
36 |
| Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
3 |
| Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels |
0 |
0 |
0 |
175 |
0 |
0 |
2 |
630 |
| Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels |
0 |
0 |
1 |
256 |
0 |
0 |
3 |
1,328 |
| Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps |
0 |
0 |
1 |
11 |
0 |
0 |
3 |
92 |
| Early exercise decision in American options with dividends, stochastic volatility and jumps |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
60 |
| Econométrie de la Finance: approches historiques |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
112 |
| Eigenvalue tests for the number of latent factors in short panels |
0 |
0 |
0 |
15 |
0 |
0 |
4 |
12 |
| Eigenvalue tests for the number of latent factors in short panels |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
| Estimation of Large Dimensional Conditional Factor Models in Finance |
0 |
0 |
1 |
45 |
1 |
1 |
2 |
68 |
| Estimation of large dimensional conditional factor models in finance |
0 |
0 |
1 |
3 |
1 |
1 |
3 |
10 |
| Estimation of the term structure from bond data |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
483 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
0 |
0 |
0 |
130 |
0 |
0 |
0 |
511 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
0 |
1 |
2 |
156 |
0 |
3 |
5 |
577 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
1 |
2 |
2 |
600 |
2 |
6 |
13 |
2,142 |
| False discoveries in mutual fund performance: Measuring luck in estimated alphas |
0 |
0 |
0 |
55 |
0 |
0 |
0 |
219 |
| Forecast Intervals in ARCH Exponential Smoothing |
0 |
0 |
0 |
13 |
1 |
1 |
1 |
105 |
| High-Frequency Jump Analysis of the Bitcoin Market |
0 |
0 |
1 |
38 |
0 |
1 |
4 |
113 |
| High-Frequency Jump Analysis of the Bitcoin Market |
0 |
0 |
0 |
28 |
0 |
1 |
3 |
68 |
| High-frequency jump analysis of the bitcoin market |
0 |
0 |
0 |
1 |
1 |
2 |
2 |
3 |
| Indirect Inference, Nuisance Parameter and Threshold Moving Average |
0 |
0 |
0 |
188 |
0 |
0 |
0 |
1,586 |
| Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified |
0 |
0 |
2 |
16 |
0 |
1 |
9 |
62 |
| Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters |
0 |
0 |
0 |
231 |
0 |
0 |
1 |
613 |
| Latent Factor Analysis in Short Panels |
0 |
0 |
1 |
23 |
0 |
2 |
5 |
19 |
| Latent Factor Analysis in Short Panels |
0 |
0 |
1 |
2 |
0 |
1 |
4 |
9 |
| Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility |
0 |
0 |
0 |
238 |
0 |
0 |
3 |
767 |
| Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility |
0 |
0 |
0 |
118 |
0 |
0 |
1 |
362 |
| Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators |
0 |
0 |
0 |
39 |
0 |
1 |
1 |
197 |
| Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators |
0 |
0 |
0 |
79 |
0 |
0 |
1 |
391 |
| Local Transformation Kernel Density Estimation of Loss Distributions |
0 |
0 |
0 |
75 |
0 |
0 |
1 |
288 |
| Mortality Risk and Real Optimal Asset Allocation for Pension Funds |
0 |
0 |
0 |
284 |
0 |
0 |
0 |
731 |
| Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
4 |
| Multiariate Wavelet-based sahpe preserving estimation for dependant observation |
0 |
0 |
0 |
42 |
0 |
1 |
1 |
229 |
| Multiregime Term Structure Models |
0 |
0 |
0 |
131 |
1 |
2 |
2 |
428 |
| Multiregime Term Structure Models |
0 |
0 |
0 |
5 |
0 |
1 |
2 |
51 |
| Non-Standard Errors |
0 |
0 |
4 |
109 |
0 |
3 |
25 |
291 |
| Non-Standard Errors |
0 |
0 |
1 |
42 |
6 |
12 |
56 |
432 |
| Nonparametric Estimation of Conditional Expected Shortfall |
0 |
0 |
1 |
533 |
3 |
3 |
6 |
1,163 |
| Nonparametric Estimation of Copulas for Time Series |
0 |
0 |
1 |
462 |
0 |
0 |
2 |
896 |
| Nonparametric Instrumental Variable Estimators of Structural Quantile Effects |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
169 |
| Nonparametric Tests Dependence For Positive Quadrant |
0 |
0 |
0 |
36 |
1 |
2 |
2 |
191 |
| Nonparametric Tests for Positive Quadrant Dependence |
0 |
0 |
0 |
253 |
0 |
1 |
2 |
952 |
| Nonparametric estimation of copulas for time series |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
6 |
| On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
24 |
| On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities |
0 |
0 |
1 |
253 |
0 |
0 |
2 |
685 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases |
0 |
0 |
0 |
322 |
1 |
2 |
5 |
1,267 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases |
0 |
0 |
0 |
100 |
1 |
2 |
2 |
276 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases |
0 |
0 |
0 |
255 |
0 |
0 |
1 |
1,167 |
| Option Pricing with Discrete Rebalancing |
0 |
0 |
0 |
137 |
0 |
2 |
3 |
429 |
| Option Pricing with Discrete Rebalancing |
0 |
0 |
0 |
312 |
0 |
0 |
1 |
683 |
| Option Pricing with Discrete Rebalancing |
0 |
0 |
1 |
11 |
0 |
0 |
1 |
58 |
| Option pricing with discrete rebalancing |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
154 |
| Option pricing with discrete rebalancing |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Predictability Hidden by Anomalous Observations |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
47 |
| Predictability Hidden by Anomalous Observations |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
35 |
| Predictability Hidden by Anomalous Observations |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
51 |
| Quasi Indirect Inference for Diffusion Processes |
0 |
0 |
0 |
9 |
0 |
1 |
1 |
51 |
| Quasi-indirect inference for diffusion processes |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
25 |
| Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply |
0 |
0 |
1 |
15 |
0 |
1 |
5 |
59 |
| Reversed Score and Likelihood Ratio Tests |
0 |
0 |
0 |
48 |
0 |
0 |
3 |
333 |
| Reversed Score and Likelihood Ratio Tests |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
146 |
| Reversed Score and Likelihood Ratio Tests |
0 |
0 |
0 |
91 |
0 |
1 |
2 |
611 |
| Robust Resampling Methods for Time Series |
0 |
0 |
1 |
68 |
0 |
0 |
2 |
211 |
| Robust Subsampling |
0 |
0 |
0 |
50 |
0 |
0 |
0 |
214 |
| SOME STATISTICAL PITFALLS IN COPULA MODELING FOR FINANCIAL APPLICATIONS |
0 |
1 |
1 |
540 |
0 |
2 |
3 |
1,057 |
| Saddlepoint Approximations for Spatial Panel Data Models |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
19 |
| Saddlepoint approximations for spatial panel data models |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
17 |
| Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements |
0 |
0 |
0 |
358 |
1 |
2 |
3 |
1,386 |
| Sensitivity Analysis of Values at Risk |
0 |
0 |
1 |
1,595 |
1 |
1 |
3 |
4,351 |
| Sensitivity Analysis of Values at Risk |
0 |
0 |
2 |
767 |
0 |
2 |
5 |
1,450 |
| Sensitivity Analysis of Values at Risk |
0 |
1 |
2 |
78 |
0 |
1 |
3 |
2,450 |
| Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
77 |
| Sensitivity analysis of Values at Risk |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
| Sensitivity analysis of values at risk |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
465 |
| Skill, scale, and value creation in the mutual fund industry |
0 |
0 |
2 |
7 |
0 |
0 |
9 |
24 |
| Spanning Tests for Markowitz Stochastic Dominance |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
37 |
| Spanning Tests for Markowitz Stochastic Dominance |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
49 |
| Spanning analysis of stock market anomalies under Prospect Stochastic Dominance |
0 |
0 |
1 |
5 |
0 |
0 |
2 |
26 |
| Spanning analysis of stock market anomalies under Prospect Stochastic Dominance |
1 |
1 |
1 |
8 |
1 |
1 |
3 |
27 |
| Spanning analysis of stock market anomalies under prospect stochastic dominance |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
4 |
| Spanning tests for markowitz stochastic dominance |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
| Swag: A Wrapper Method for Sparse Learning |
1 |
1 |
1 |
12 |
3 |
3 |
6 |
35 |
| Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs |
0 |
0 |
0 |
111 |
0 |
1 |
4 |
418 |
| Testing For Equality Between Two Copulas |
0 |
0 |
0 |
60 |
0 |
0 |
1 |
194 |
| Testing foe Stochastic Dominance Efficiency |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
126 |
| Testing for Concordance Ordering |
0 |
0 |
0 |
69 |
0 |
1 |
1 |
324 |
| Testing for Continuous-Time Models of the Short-Term Interest Rate |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
326 |
| Testing for Stochastic Dominance Efficiency |
0 |
0 |
0 |
155 |
0 |
1 |
1 |
452 |
| Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
58 |
| Testing for continuous-time models of the short-term interest rate |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
36 |
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data |
0 |
0 |
0 |
81 |
0 |
0 |
1 |
294 |
| The Cross-Sectional Distribution of Fund Skill Measures |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
5 |
| The Cross-Sectional Distribution of Fund Skill Measures |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
20 |
| Theory and Calibration of Swap Market Models |
0 |
0 |
0 |
1,596 |
0 |
0 |
2 |
3,514 |
| Tikhonov Regularization for Functional Minimum Distance Estimators |
1 |
1 |
1 |
109 |
1 |
2 |
2 |
415 |
| Time-Varying Risk Premia in Large International Equity Markets |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
79 |
| Time-Varying Risk Premia in Large International Equity Markets |
0 |
0 |
2 |
60 |
1 |
2 |
4 |
244 |
| Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets |
0 |
0 |
0 |
17 |
1 |
2 |
5 |
96 |
| Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets |
0 |
0 |
0 |
17 |
0 |
2 |
2 |
123 |
| Time-varying risk premium in large cross-sectional equity datasets |
0 |
0 |
1 |
67 |
2 |
5 |
10 |
115 |
| Valuing American Options Using Fast Recursive Projections |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
16 |
| Valuing American options using fast recursive projections |
1 |
1 |
1 |
2 |
2 |
3 |
7 |
9 |
| Valuing American options using fast recursive projections |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
65 |
| Valuing American options using fast recursive projections |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Variance Optimal Cap Pricing Models |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
36 |
| Variance Optimal Cap Pricing Models |
0 |
0 |
0 |
348 |
0 |
0 |
0 |
1,246 |
| We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
92 |
| Weak Convergence of Hedging Strategies of Contingent Claims |
0 |
0 |
0 |
48 |
0 |
1 |
2 |
164 |
| Weak Convergence of Hedging Strategies of Contingent Claims |
0 |
0 |
0 |
82 |
0 |
1 |
2 |
247 |
| Wealth Effect on Portfolio Allocation in Incomplete Markets |
0 |
1 |
2 |
8 |
0 |
2 |
3 |
26 |
| Total Working Papers |
6 |
11 |
53 |
16,320 |
45 |
120 |
377 |
56,521 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Specification Test for Nonparametric Instrumental Variable Regression |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
50 |
| A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary |
0 |
0 |
0 |
761 |
0 |
0 |
1 |
2,068 |
| A diagnostic criterion for approximate factor structure |
0 |
0 |
7 |
40 |
0 |
0 |
22 |
112 |
| A fast subsampling method for nonlinear dynamic models |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
146 |
| A higher-order correct fast moving-average bootstrap for dependent data |
0 |
0 |
2 |
2 |
1 |
2 |
4 |
7 |
| A penalized two-pass regression to predict stock returns with time-varying risk premia |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
4 |
| Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
14 |
| Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
0 |
1 |
4 |
7 |
0 |
6 |
15 |
23 |
| CONSISTENCY OF ASYMMETRIC KERNEL DENSITY ESTIMATORS AND SMOOTHED HISTOGRAMS WITH APPLICATION TO INCOME DATA |
0 |
0 |
1 |
34 |
1 |
1 |
3 |
134 |
| Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
29 |
| Compound and exchange options in the affine term structure model |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
46 |
| Convergence of discrete time option pricing models under stochastic interest rates |
0 |
0 |
0 |
286 |
1 |
1 |
1 |
1,222 |
| Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps |
0 |
0 |
1 |
9 |
0 |
0 |
5 |
48 |
| Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
19 |
| Estimation de modèles de la structure par terme des taux d'intérêt |
0 |
1 |
1 |
17 |
0 |
1 |
1 |
72 |
| Factors and risk premia in individual international stock returns |
0 |
0 |
3 |
20 |
1 |
2 |
12 |
62 |
| False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas |
0 |
1 |
6 |
246 |
1 |
6 |
21 |
793 |
| Hedge Fund Managers: Luck and Dynamic Assessment |
0 |
0 |
1 |
29 |
1 |
1 |
6 |
133 |
| High-Frequency Jump Analysis of the Bitcoin Market* |
1 |
1 |
2 |
19 |
2 |
3 |
16 |
86 |
| Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
255 |
| Instrumental Models and Indirect Encompassing |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
268 |
| Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News |
0 |
0 |
2 |
47 |
1 |
3 |
11 |
277 |
| Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
103 |
| LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
67 |
| Local Transformation Kernel Density Estimation of Loss Distributions |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
115 |
| Local multiplicative bias correction for asymmetric kernel density estimators |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
161 |
| Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall |
0 |
0 |
0 |
115 |
1 |
2 |
3 |
263 |
| Nonparametric Instrumental Variable Estimation of Structural Quantile Effects |
0 |
0 |
0 |
26 |
0 |
1 |
3 |
185 |
| On ill‐posedness of nonparametric instrumental variable regression with convexity constraints |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
28 |
| On the way to recovery: A nonparametric bias free estimation of recovery rate densities |
0 |
0 |
2 |
209 |
0 |
0 |
7 |
508 |
| Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases |
0 |
0 |
0 |
10 |
1 |
1 |
3 |
43 |
| Option pricing with discrete rebalancing |
0 |
0 |
0 |
85 |
0 |
0 |
0 |
246 |
| Path dependent options on yields in the affine term structure model |
0 |
0 |
1 |
367 |
0 |
0 |
4 |
1,207 |
| Pricing American options under stochastic volatility and stochastic interest rates |
0 |
0 |
2 |
61 |
1 |
1 |
11 |
207 |
| QUASI-INDIRECT INFERENCE FOR DIFFUSION PROCESSES |
0 |
0 |
1 |
25 |
1 |
1 |
2 |
85 |
| Robust subsampling |
0 |
0 |
0 |
27 |
1 |
1 |
1 |
118 |
| Saddlepoint Approximations for Spatial Panel Data Models |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
6 |
| Semiparametric methods in econometrics |
0 |
0 |
0 |
109 |
0 |
2 |
2 |
233 |
| Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements |
0 |
0 |
0 |
63 |
0 |
1 |
5 |
214 |
| Sensitivity analysis of Values at Risk |
0 |
2 |
10 |
462 |
0 |
5 |
16 |
1,044 |
| Skill, Scale, and Value Creation in the Mutual Fund Industry |
0 |
0 |
3 |
27 |
0 |
2 |
19 |
96 |
| Spanning tests for Markowitz stochastic dominance |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
22 |
| THEORY AND CALIBRATION OF SWAP MARKET MODELS |
1 |
1 |
2 |
56 |
1 |
1 |
4 |
157 |
| Technical trading revisited: False discoveries, persistence tests, and transaction costs |
1 |
3 |
8 |
134 |
4 |
9 |
27 |
509 |
| Testing for Concordance Ordering |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
24 |
| Testing for Stochastic Dominance Efficiency |
0 |
0 |
0 |
59 |
1 |
3 |
4 |
188 |
| Testing for continuous-time models of the short-term interest rate |
0 |
0 |
0 |
131 |
0 |
0 |
1 |
295 |
| Testing for equality between two copulas |
0 |
0 |
0 |
71 |
1 |
1 |
3 |
190 |
| Testing for symmetry and conditional symmetry using asymmetric kernels |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
34 |
| Testing for threshold effect in ARFIMA models: Application to US unemployment rate data |
0 |
0 |
0 |
50 |
0 |
0 |
0 |
167 |
| Tikhonov regularization for nonparametric instrumental variable estimators |
0 |
0 |
1 |
28 |
0 |
0 |
3 |
150 |
| Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets |
0 |
2 |
4 |
51 |
0 |
2 |
15 |
183 |
| Unemployment insurance and mortgages |
0 |
0 |
0 |
18 |
0 |
1 |
1 |
109 |
| Total Journal Articles |
3 |
12 |
64 |
3,884 |
22 |
63 |
267 |
12,825 |
LogEc is hosted by the
Örebro University School of Business.