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12 months |
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A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
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0 |
0 |
23 |
0 |
0 |
5 |
79 |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
570 |

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
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0 |
0 |
37 |
0 |
0 |
7 |
88 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
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0 |
0 |
3 |
0 |
0 |
2 |
19 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
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1 |
3 |
0 |
0 |
2 |
12 |

A unifying approach to the empirical evaluation of asset pricing models |
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0 |
6 |
45 |
1 |
1 |
8 |
92 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
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0 |
0 |
0 |
0 |
1 |
10 |
1,110 |

An Index of Co-Movements in Financial Time Series |
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0 |
0 |
0 |
2 |
2 |
8 |
353 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
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0 |
1 |
20 |
0 |
0 |
2 |
55 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
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0 |
0 |
1 |
0 |
3 |
6 |
909 |

Conditional means of time series processes and time series processes for conditional means |
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0 |
0 |
11 |
0 |
0 |
1 |
47 |

Constrained EMM and Indirect Inference Estimation |
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0 |
0 |
0 |
0 |
0 |
4 |
378 |

Constrained Indirect Inference Estimation |
0 |
0 |
1 |
95 |
0 |
0 |
4 |
254 |

Constrained indirect inference estimation |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
3 |

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS |
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0 |
0 |
8 |
1 |
1 |
7 |
51 |

DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
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0 |
2 |
48 |
0 |
0 |
7 |
113 |

DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS |
1 |
1 |
3 |
51 |
1 |
3 |
18 |
55 |

DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
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0 |
1 |
40 |
0 |
0 |
4 |
71 |

Did the EMS Reduce the Cost of Capital? |
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0 |
1 |
110 |
0 |
0 |
3 |
469 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
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0 |
0 |
25 |
0 |
0 |
4 |
82 |

Duality in Mean-Variance Frontiers with Conditioning Information |
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0 |
1 |
7 |
0 |
0 |
3 |
64 |

Duality in mean-variance frontiers with conditioning information |
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0 |
0 |
73 |
0 |
1 |
9 |
233 |

Dynamic Specification Tests for Static Factor Models |
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0 |
1 |
62 |
0 |
2 |
14 |
191 |

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
1 |
1 |
2 |
142 |
1 |
2 |
5 |
387 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
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0 |
3 |
84 |
1 |
2 |
13 |
315 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
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1 |
1 |
144 |
0 |
1 |
2 |
374 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
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0 |
0 |
0 |
0 |
0 |
1 |
2 |

Factor Representing Portfolios in Large Asset Markets |
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0 |
0 |
0 |
0 |
0 |
3 |
431 |

Has the EMS Reduced the Cost of Capital? |
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0 |
0 |
0 |
0 |
0 |
2 |
254 |

INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS |
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0 |
1 |
192 |
0 |
0 |
11 |
533 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
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0 |
0 |
2 |
2 |
2 |
5 |
794 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
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0 |
0 |
23 |
0 |
0 |
3 |
52 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
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0 |
1 |
101 |
0 |
0 |
6 |
198 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
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0 |
1 |
33 |
0 |
0 |
3 |
104 |

Least Squares Predictions and Mean-Variance Analysis |
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0 |
1 |
229 |
0 |
1 |
13 |
1,075 |

Least Squares Predictions and Mean-Variance Analysis |
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0 |
3 |
167 |
0 |
0 |
8 |
703 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
1,398 |

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

Likelihood-based estimation of latent generalised ARCH structures |
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0 |
0 |
0 |
0 |
0 |
5 |
9 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
155 |
0 |
1 |
3 |
433 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
108 |
0 |
0 |
1 |
273 |

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

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
51 |
0 |
0 |
1 |
215 |

MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
0 |
10 |
1 |
6 |
13 |
66 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
549 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
207 |

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

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

Mean Variance Portfolio Allocation with a Value at Risk Constraint |
1 |
2 |
5 |
318 |
3 |
6 |
16 |
659 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
1 |
12 |
1,230 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
1 |
1 |
1 |
614 |
1 |
1 |
3 |
1,008 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
1 |
1 |
1 |
2 |
3 |
3 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
0 |
49 |
0 |
1 |
7 |
146 |

NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS |
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0 |
32 |
32 |
0 |
0 |
5 |
5 |

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS |
0 |
0 |
1 |
41 |
0 |
0 |
6 |
154 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
1 |
1 |
83 |
0 |
2 |
9 |
266 |

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
1 |
1 |
1 |
59 |
1 |
1 |
5 |
226 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
1 |
58 |
0 |
0 |
4 |
211 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
0 |
77 |
1 |
1 |
5 |
248 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
1 |
132 |
0 |
2 |
5 |
604 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
2 |
2 |
14 |
800 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
278 |
0 |
0 |
1 |
1,147 |

SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS |
0 |
0 |
2 |
54 |
0 |
0 |
7 |
108 |

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
0 |
125 |
0 |
1 |
3 |
478 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
1 |
2 |
4 |
219 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
59 |
1 |
2 |
12 |
268 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
1 |
2 |
82 |
0 |
3 |
25 |
312 |

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
0 |
1 |
3 |
43 |
0 |
1 |
10 |
117 |

TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
2 |
4 |
45 |
0 |
3 |
9 |
54 |

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
0 |
0 |
1 |
57 |
0 |
0 |
13 |
174 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
1 |
16 |
0 |
1 |
5 |
79 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
1 |
93 |
0 |
0 |
2 |
199 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
1 |
2 |
61 |
1 |
3 |
7 |
175 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
318 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
634 |

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 |
5 |
537 |

UNDERIDENTIFICATION? |
0 |
1 |
4 |
57 |
0 |
1 |
13 |
138 |

Underidentification? |
1 |
2 |
4 |
252 |
3 |
7 |
14 |
968 |

Underidentification? |
0 |
1 |
2 |
63 |
0 |
5 |
34 |
236 |

VALUATION OF VIX DERIVATIVES |
1 |
4 |
7 |
73 |
1 |
5 |
21 |
181 |

Valuation of VIX Derivatives |
0 |
0 |
2 |
21 |
0 |
0 |
6 |
67 |

Valuation of vix derivatives |
0 |
0 |
3 |
12 |
0 |
2 |
20 |
66 |

Volatiltiy and Links Between National Stock Markets |
0 |
4 |
13 |
334 |
4 |
13 |
46 |
919 |

Total Working Papers |
7 |
25 |
128 |
5,341 |
32 |
103 |
605 |
26,632 |