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12 months |
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Last month |
3 months |
12 months |
Total |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
0 |
11 |
583 |

A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
1 |
37 |
0 |
0 |
7 |
21 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
1 |
3 |
6 |
0 |
3 |
9 |
29 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
1 |
3 |
34 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
41 |
0 |
1 |
7 |
111 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
21 |
21 |
1 |
1 |
13 |
13 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
6 |
32 |
1 |
2 |
19 |
42 |

A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
0 |
48 |
0 |
2 |
4 |
106 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
1,124 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
368 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
1 |
1 |
1 |
21 |
1 |
1 |
13 |
71 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
917 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
1 |
12 |
0 |
0 |
11 |
62 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
394 |

Constrained Indirect Inference Estimation |
0 |
0 |
2 |
99 |
0 |
0 |
2 |
263 |

Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
7 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
110 |
0 |
1 |
2 |
482 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
2 |
27 |
0 |
1 |
6 |
97 |

Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
0 |
4 |
72 |

Duality in mean-variance frontiers with conditioning information |
0 |
0 |
2 |
76 |
0 |
0 |
4 |
245 |

Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
1 |
55 |
1 |
2 |
13 |
85 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
41 |
0 |
0 |
9 |
91 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
64 |
0 |
3 |
10 |
216 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
0 |
85 |
0 |
0 |
2 |
328 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
0 |
144 |
0 |
1 |
7 |
388 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
8 |

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
446 |

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
1 |
33 |
1 |
3 |
21 |
61 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
52 |
0 |
0 |
7 |
20 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
6 |
1 |
1 |
9 |
15 |

Finite Underidentification |
0 |
0 |
20 |
20 |
0 |
1 |
3 |
3 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
261 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
1 |
2 |
12 |
825 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
2 |
28 |
0 |
1 |
8 |
76 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
1 |
1 |
0 |
0 |
8 |
9 |

Is a Normal Copula the Right Copula? |
1 |
1 |
2 |
13 |
3 |
5 |
15 |
27 |

Is a normal copula the right copula? |
0 |
0 |
4 |
34 |
0 |
2 |
9 |
23 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
1 |
34 |
0 |
2 |
13 |
122 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
1,412 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
172 |
0 |
2 |
7 |
721 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
230 |
0 |
0 |
0 |
1,081 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
2 |
7 |
285 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
2 |
1 |
4 |
8 |
14 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
158 |
0 |
2 |
6 |
458 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
1 |
5 |
225 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
0 |
11 |
564 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
217 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
3 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
1 |
1 |
1 |
0 |
1 |
2 |
5 |

Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
2 |
326 |
0 |
1 |
9 |
688 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
2 |
12 |
1,250 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
0 |
615 |
0 |
1 |
6 |
1,017 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
1 |
2 |
5 |
13 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
3 |
53 |
0 |
2 |
13 |
168 |

Neglected Serial Correlation Tests in UCARIMA Models |
1 |
1 |
2 |
34 |
1 |
3 |
15 |
31 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
1 |
1 |
0 |
2 |
8 |
9 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
0 |
6 |
221 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
1 |
2 |
82 |
0 |
2 |
6 |
262 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
2 |
136 |
0 |
0 |
9 |
626 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
1 |
2 |
14 |
831 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
278 |
0 |
1 |
3 |
1,151 |

Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
1 |
55 |
0 |
1 |
10 |
130 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
3 |
7 |
231 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
60 |
0 |
0 |
4 |
277 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
83 |
1 |
3 |
17 |
343 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
16 |
0 |
0 |
3 |
87 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
94 |
0 |
0 |
15 |
220 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
1 |
3 |
66 |
1 |
2 |
26 |
206 |

Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
0 |
46 |
1 |
2 |
16 |
81 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
330 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
645 |

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
543 |

Underidentification? |
0 |
1 |
4 |
261 |
1 |
7 |
24 |
1,028 |

Underidentification? |
0 |
0 |
2 |
66 |
0 |
0 |
10 |
264 |

Underidentification? (Resumen) |
0 |
0 |
0 |
61 |
0 |
2 |
6 |
164 |

Valuation of VIX Derivatives |
1 |
4 |
16 |
92 |
3 |
7 |
24 |
232 |

Valuation of VIX Derivatives |
0 |
0 |
0 |
21 |
1 |
3 |
22 |
95 |

Valuation of vix derivatives |
0 |
0 |
1 |
13 |
0 |
1 |
11 |
90 |

Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
10 |
0 |
0 |
11 |
27 |

Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
3 |
53 |
0 |
1 |
11 |
24 |

Volatiltiy and Links Between National Stock Markets |
9 |
14 |
32 |
372 |
15 |
26 |
60 |
1,028 |

Total Working Papers |
13 |
26 |
151 |
4,882 |
40 |
132 |
753 |
25,342 |