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A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
0 |
0 |
0 |
23 |
1 |
1 |
10 |
90 |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
573 |

A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS |
0 |
0 |
36 |
36 |
2 |
4 |
18 |
18 |

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
0 |
0 |
3 |
40 |
2 |
3 |
19 |
107 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
4 |
1 |
1 |
13 |
32 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
3 |
2 |
3 |
10 |
23 |

A spectral EM algorithm for dynamic factor models |
2 |
4 |
24 |
30 |
3 |
8 |
22 |
31 |

A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
2 |
48 |
1 |
2 |
9 |
104 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
1,121 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
361 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
20 |
1 |
3 |
6 |
61 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
914 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
0 |
11 |
0 |
1 |
5 |
52 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
2 |
4 |
12 |
391 |

Constrained Indirect Inference Estimation |
1 |
1 |
2 |
98 |
1 |
1 |
5 |
262 |

Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
6 |

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS |
0 |
0 |
0 |
8 |
0 |
1 |
11 |
62 |

DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
0 |
0 |
0 |
48 |
0 |
1 |
11 |
124 |

DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS |
0 |
0 |
3 |
54 |
2 |
5 |
21 |
77 |

DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
0 |
1 |
1 |
41 |
1 |
2 |
12 |
84 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
110 |
0 |
1 |
7 |
481 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
2 |
2 |
27 |
0 |
3 |
12 |
94 |

Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
0 |
4 |
68 |

Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
74 |
0 |
1 |
7 |
242 |

Dynamic Specification Tests for Static Factor Models |
1 |
1 |
2 |
64 |
2 |
5 |
18 |
211 |

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
0 |
0 |
0 |
142 |
1 |
1 |
10 |
397 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
1 |
85 |
0 |
1 |
12 |
327 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
0 |
144 |
0 |
0 |
5 |
381 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
6 |

FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION |
0 |
0 |
6 |
32 |
2 |
7 |
34 |
47 |

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
442 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
1 |
52 |
1 |
4 |
10 |
17 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
6 |
6 |
1 |
4 |
10 |
10 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
258 |

INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS |
0 |
0 |
0 |
193 |
1 |
2 |
14 |
548 |

IS A NORMAL COPULA THE RIGHT COPULA? |
0 |
0 |
11 |
11 |
1 |
3 |
15 |
15 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
1 |
18 |
814 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
3 |
26 |
0 |
1 |
17 |
69 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
1 |
1 |
1 |
1 |
5 |
6 |
6 |

Is a normal copula the right copula? |
1 |
3 |
33 |
33 |
1 |
2 |
16 |
16 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
33 |
2 |
2 |
7 |
111 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
5 |
172 |
0 |
3 |
13 |
717 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
1,410 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
1 |
230 |
0 |
0 |
5 |
1,081 |

Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
1 |
3 |
10 |
16 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
52 |
0 |
2 |
6 |
222 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
109 |
0 |
1 |
5 |
279 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
7 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
158 |
0 |
1 |
17 |
453 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
15 |

MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
0 |
10 |
0 |
1 |
10 |
78 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
553 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
211 |

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

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 |
0 |
2 |
324 |
0 |
2 |
15 |
681 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
1 |
9 |
1,239 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
1 |
615 |
0 |
1 |
3 |
1,012 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
1 |
2 |
0 |
0 |
4 |
8 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
1 |
1 |
51 |
2 |
4 |
11 |
159 |

NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS |
0 |
1 |
1 |
33 |
1 |
4 |
14 |
20 |

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS |
0 |
0 |
1 |
42 |
1 |
2 |
17 |
171 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
1 |
1 |
1 |
1 |
4 |
5 |
5 |

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
0 |
0 |
0 |
59 |
0 |
0 |
9 |
236 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
1 |
1 |
4 |
216 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
1 |
80 |
1 |
1 |
5 |
257 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
2 |
134 |
0 |
0 |
12 |
617 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
0 |
4 |
17 |
821 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
278 |
0 |
0 |
1 |
1,148 |

SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS |
0 |
0 |
0 |
54 |
1 |
2 |
12 |
122 |

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
0 |
125 |
1 |
1 |
11 |
489 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
0 |
4 |
224 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
59 |
0 |
0 |
4 |
273 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
83 |
2 |
3 |
15 |
329 |

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
0 |
0 |
0 |
43 |
0 |
0 |
11 |
129 |

TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
0 |
1 |
46 |
1 |
7 |
16 |
72 |

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
0 |
0 |
2 |
60 |
2 |
5 |
28 |
205 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
16 |
1 |
1 |
6 |
85 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
1 |
94 |
0 |
1 |
6 |
206 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
1 |
1 |
1 |
64 |
1 |
3 |
5 |
183 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
325 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
641 |

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
541 |

UNDERIDENTIFICATION? |
0 |
0 |
3 |
61 |
0 |
2 |
19 |
160 |

Underidentification? |
0 |
1 |
2 |
65 |
0 |
3 |
17 |
257 |

Underidentification? |
0 |
0 |
5 |
257 |
2 |
5 |
34 |
1,009 |

VALUATION OF VIX DERIVATIVES |
0 |
0 |
3 |
76 |
1 |
1 |
26 |
209 |

VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION |
0 |
0 |
2 |
10 |
0 |
0 |
11 |
16 |

Valuation of VIX Derivatives |
0 |
0 |
0 |
21 |
2 |
2 |
7 |
75 |

Valuation of vix derivatives |
0 |
0 |
0 |
12 |
0 |
1 |
13 |
80 |

Volatility-related exchange traded assets: an econometric investigation |
1 |
2 |
3 |
52 |
1 |
3 |
10 |
16 |

Volatiltiy and Links Between National Stock Markets |
3 |
8 |
14 |
348 |
3 |
12 |
56 |
980 |

Total Working Papers |
10 |
28 |
195 |
5,512 |
63 |
187 |
997 |
27,317 |