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12 months |
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A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
0 |
0 |
0 |
23 |
0 |
0 |
3 |
80 |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
570 |

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
0 |
0 |
0 |
37 |
1 |
1 |
8 |
89 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
3 |
0 |
0 |
3 |
13 |

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

A spectral EM algorithm for dynamic factor models |
1 |
3 |
7 |
7 |
3 |
6 |
12 |
12 |

A unifying approach to the empirical evaluation of asset pricing models |
1 |
1 |
8 |
47 |
1 |
2 |
11 |
96 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
1,112 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
357 |

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

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
910 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
0 |
11 |
1 |
1 |
1 |
48 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
379 |

Constrained Indirect Inference Estimation |
0 |
0 |
1 |
96 |
1 |
1 |
5 |
258 |

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

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS |
0 |
0 |
0 |
8 |
0 |
0 |
6 |
51 |

DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
0 |
0 |
2 |
48 |
1 |
1 |
8 |
114 |

DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS |
0 |
0 |
2 |
51 |
3 |
4 |
17 |
59 |

DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
0 |
0 |
1 |
40 |
0 |
1 |
3 |
72 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
1 |
110 |
2 |
6 |
8 |
476 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
0 |
25 |
0 |
0 |
3 |
82 |

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

Duality in mean-variance frontiers with conditioning information |
0 |
0 |
1 |
74 |
0 |
1 |
8 |
235 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
62 |
1 |
3 |
14 |
194 |

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
0 |
0 |
1 |
142 |
0 |
0 |
4 |
387 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
2 |
84 |
0 |
0 |
10 |
315 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
1 |
144 |
1 |
2 |
4 |
377 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
3 |

FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION |
1 |
2 |
27 |
27 |
5 |
8 |
18 |
18 |

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
3 |
5 |
434 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
51 |
51 |
1 |
1 |
8 |
8 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
255 |

INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS |
0 |
0 |
2 |
193 |
0 |
0 |
9 |
534 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
1 |
2 |
6 |
797 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
52 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
2 |
3 |
104 |
1 |
4 |
9 |
204 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
1 |
33 |
2 |
2 |
5 |
106 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
1 |
229 |
0 |
0 |
10 |
1,076 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
3 |
167 |
0 |
0 |
8 |
704 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
1,399 |

Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
7 |

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

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
108 |
0 |
1 |
2 |
274 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
1 |
2 |
157 |
0 |
2 |
5 |
436 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
51 |
0 |
0 |
1 |
216 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
1 |
1 |
1 |
0 |
1 |
2 |
3 |

MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
0 |
10 |
1 |
1 |
13 |
69 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
551 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
209 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
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 |
3 |
8 |
323 |
4 |
7 |
22 |
670 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
2 |
2 |
9 |
1,232 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
1 |
614 |
0 |
0 |
3 |
1,009 |

Mean-variance portfolio allocation with a value at risk constraint |
1 |
1 |
1 |
2 |
1 |
1 |
4 |
5 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
1 |
50 |
0 |
1 |
8 |
148 |

NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS |
0 |
0 |
32 |
32 |
1 |
2 |
7 |
7 |

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS |
0 |
0 |
1 |
41 |
0 |
0 |
4 |
154 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
1 |
2 |
84 |
0 |
1 |
8 |
267 |

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
0 |
0 |
1 |
59 |
0 |
0 |
4 |
227 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
1 |
58 |
0 |
0 |
3 |
212 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
1 |
2 |
79 |
1 |
4 |
9 |
253 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
1 |
132 |
1 |
1 |
5 |
606 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
1 |
2 |
12 |
805 |

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

SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS |
0 |
0 |
0 |
54 |
1 |
2 |
7 |
111 |

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
0 |
125 |
0 |
0 |
2 |
478 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
1 |
5 |
220 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
59 |
0 |
0 |
10 |
269 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
1 |
3 |
83 |
2 |
3 |
19 |
316 |

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
0 |
0 |
2 |
43 |
1 |
2 |
8 |
119 |

TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
0 |
3 |
45 |
0 |
1 |
8 |
56 |

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
1 |
1 |
3 |
59 |
1 |
2 |
14 |
178 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
1 |
16 |
0 |
0 |
2 |
79 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
93 |
1 |
1 |
3 |
201 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
2 |
4 |
63 |
1 |
3 |
9 |
179 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
320 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
636 |

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 |
1 |
538 |

UNDERIDENTIFICATION? |
0 |
1 |
4 |
58 |
2 |
4 |
14 |
143 |

Underidentification? |
0 |
0 |
1 |
63 |
2 |
4 |
25 |
242 |

Underidentification? |
0 |
0 |
4 |
252 |
3 |
6 |
23 |
978 |

VALUATION OF VIX DERIVATIVES |
0 |
0 |
4 |
73 |
1 |
2 |
19 |
184 |

VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION |
0 |
0 |
8 |
8 |
0 |
1 |
5 |
5 |

Valuation of VIX Derivatives |
0 |
0 |
1 |
21 |
0 |
0 |
5 |
68 |

Valuation of vix derivatives |
0 |
0 |
2 |
12 |
1 |
2 |
16 |
68 |

Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
49 |
49 |
2 |
2 |
8 |
8 |

Volatiltiy and Links Between National Stock Markets |
0 |
0 |
7 |
334 |
6 |
9 |
38 |
930 |

Total Working Papers |
6 |
21 |
270 |
5,511 |
70 |
131 |
630 |
26,860 |