Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
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 |
1 |
11 |
583 |

A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
1 |
37 |
0 |
2 |
11 |
21 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
3 |
41 |
0 |
1 |
10 |
110 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
0 |
4 |
33 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
1 |
2 |
5 |
0 |
1 |
8 |
26 |

A spectral EM algorithm for dynamic factor models |
1 |
1 |
6 |
32 |
1 |
5 |
19 |
40 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
21 |
21 |
0 |
6 |
12 |
12 |

A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
0 |
48 |
0 |
0 |
2 |
104 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
1,124 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
366 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
20 |
1 |
3 |
12 |
70 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
0 |
6 |
917 |

Conditional means of time series processes and time series processes for conditional means |
0 |
1 |
1 |
12 |
0 |
5 |
13 |
62 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
393 |

Constrained Indirect Inference Estimation |
0 |
1 |
2 |
99 |
0 |
1 |
3 |
263 |

Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
7 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
110 |
0 |
0 |
3 |
481 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
2 |
27 |
1 |
1 |
13 |
96 |

Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
1 |
4 |
72 |

Duality in mean-variance frontiers with conditioning information |
1 |
1 |
2 |
76 |
1 |
2 |
5 |
245 |

Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
2 |
55 |
1 |
3 |
13 |
83 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
41 |
0 |
3 |
11 |
91 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
64 |
1 |
2 |
10 |
213 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
1 |
85 |
1 |
1 |
10 |
328 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
0 |
144 |
1 |
1 |
9 |
387 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
8 |

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
445 |

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
3 |
33 |
1 |
3 |
23 |
58 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
52 |
0 |
1 |
7 |
20 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
6 |
0 |
3 |
9 |
14 |

Finite Underidentification |
20 |
20 |
20 |
20 |
2 |
2 |
2 |
2 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
260 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
3 |
17 |
823 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
3 |
28 |
1 |
2 |
12 |
75 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
1 |
1 |
2 |
3 |
9 |
9 |

Is a Normal Copula the Right Copula? |
1 |
1 |
2 |
12 |
4 |
5 |
12 |
22 |

Is a normal copula the right copula? |
1 |
1 |
5 |
34 |
1 |
2 |
9 |
21 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
1 |
1 |
34 |
0 |
4 |
14 |
120 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
230 |
0 |
0 |
2 |
1,081 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
4 |
172 |
0 |
0 |
9 |
719 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
1,412 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
2 |
6 |
224 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
158 |
1 |
3 |
8 |
456 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
2 |
4 |
8 |
283 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
2 |
1 |
2 |
5 |
10 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
6 |
12 |
564 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
216 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
4 |

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

Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
1 |
3 |
326 |
0 |
3 |
13 |
687 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
1 |
13 |
1,248 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
1 |
615 |
0 |
2 |
6 |
1,016 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
0 |
0 |
5 |
11 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
3 |
53 |
1 |
3 |
15 |
166 |

Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
1 |
33 |
1 |
4 |
13 |
28 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
1 |
1 |
0 |
1 |
7 |
7 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
2 |
6 |
221 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
1 |
81 |
0 |
0 |
5 |
260 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
3 |
136 |
0 |
4 |
10 |
626 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
1 |
4 |
16 |
829 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
278 |
0 |
1 |
2 |
1,150 |

Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
1 |
55 |
2 |
4 |
11 |
129 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
1 |
2 |
4 |
228 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
60 |
0 |
2 |
7 |
277 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
83 |
1 |
5 |
17 |
340 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
16 |
2 |
2 |
6 |
87 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
94 |
0 |
0 |
16 |
220 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
1 |
2 |
65 |
0 |
1 |
24 |
204 |

Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
1 |
46 |
0 |
1 |
16 |
79 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
329 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
644 |

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 |
4 |
543 |

Underidentification? |
1 |
2 |
4 |
260 |
3 |
6 |
28 |
1,021 |

Underidentification? |
0 |
0 |
2 |
66 |
1 |
1 |
13 |
264 |

Underidentification? (Resumen) |
0 |
0 |
0 |
61 |
1 |
1 |
9 |
162 |

Valuation of VIX Derivatives |
0 |
0 |
0 |
21 |
8 |
12 |
20 |
92 |

Valuation of VIX Derivatives |
1 |
7 |
15 |
88 |
3 |
10 |
23 |
225 |

Valuation of vix derivatives |
0 |
1 |
1 |
13 |
1 |
6 |
12 |
89 |

Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
10 |
1 |
3 |
13 |
27 |

Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
4 |
53 |
0 |
1 |
12 |
23 |

Volatiltiy and Links Between National Stock Markets |
4 |
9 |
21 |
358 |
8 |
16 |
50 |
1,002 |

Total Working Papers |
30 |
49 |
151 |
4,856 |
60 |
191 |
818 |
25,210 |