| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
0 |
1 |
2 |
21 |
3 |
6 |
20 |
64 |
| A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
563 |
| A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
0 |
3 |
7 |
31 |
1 |
6 |
16 |
70 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
3 |
1 |
2 |
6 |
14 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
1 |
2 |
2 |
0 |
1 |
8 |
8 |
| A unifying approach to the empirical evaluation of asset pricing models |
0 |
2 |
4 |
36 |
4 |
8 |
25 |
62 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
1 |
7 |
21 |
1,089 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
340 |
| CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
1 |
19 |
2 |
2 |
6 |
51 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
1 |
2 |
17 |
874 |
| Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
3 |
9 |
1 |
3 |
12 |
25 |
| Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
1 |
3 |
15 |
363 |
| Constrained Indirect Inference Estimation |
0 |
0 |
3 |
93 |
0 |
0 |
9 |
247 |
| DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS |
0 |
0 |
1 |
7 |
1 |
2 |
10 |
35 |
| DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
0 |
2 |
8 |
43 |
5 |
7 |
24 |
91 |
| DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
0 |
0 |
2 |
36 |
4 |
5 |
12 |
56 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
1 |
107 |
0 |
0 |
11 |
459 |
| Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
0 |
24 |
1 |
4 |
7 |
71 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
6 |
2 |
6 |
12 |
53 |
| Duality in mean-variance frontiers with conditioning information |
0 |
1 |
8 |
70 |
3 |
6 |
19 |
200 |
| Dynamic Specification Tests for Static Factor Models |
1 |
3 |
8 |
54 |
10 |
32 |
61 |
128 |
| ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
1 |
1 |
3 |
140 |
2 |
4 |
11 |
377 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
3 |
78 |
9 |
27 |
38 |
293 |
| Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
1 |
3 |
10 |
139 |
7 |
10 |
29 |
361 |
| Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
3 |
9 |
413 |
| Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
248 |
| INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS |
0 |
0 |
1 |
190 |
3 |
15 |
22 |
514 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
10 |
24 |
32 |
773 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
1 |
6 |
14 |
0 |
3 |
13 |
32 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
1 |
1 |
3 |
97 |
4 |
4 |
19 |
166 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
32 |
6 |
8 |
10 |
88 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
4 |
6 |
22 |
1,375 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
3 |
224 |
2 |
6 |
21 |
1,048 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
1 |
4 |
156 |
3 |
6 |
16 |
675 |
| Likelihood-based estimation of latent generalised ARCH structures |
2 |
3 |
5 |
50 |
7 |
9 |
19 |
205 |
| Likelihood-based estimation of latent generalised ARCH structures |
1 |
1 |
2 |
107 |
4 |
5 |
11 |
257 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
150 |
5 |
6 |
11 |
415 |
| MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
0 |
8 |
3 |
5 |
12 |
46 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
537 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
199 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
1 |
2 |
12 |
1 |
4 |
10 |
34 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
9 |
| Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
5 |
311 |
1 |
1 |
10 |
638 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
3 |
6 |
28 |
1,185 |
| Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
2 |
611 |
1 |
4 |
10 |
993 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
0 |
43 |
3 |
7 |
17 |
116 |
| ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS |
0 |
0 |
1 |
39 |
7 |
21 |
30 |
133 |
| On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
1 |
5 |
75 |
9 |
27 |
50 |
221 |
| PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
0 |
0 |
1 |
58 |
6 |
18 |
23 |
215 |
| Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
57 |
4 |
7 |
15 |
198 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
1 |
4 |
73 |
0 |
2 |
12 |
224 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
2 |
128 |
0 |
1 |
11 |
587 |
| Quadratic Arch Models |
0 |
0 |
0 |
1 |
5 |
12 |
28 |
755 |
| Risk and Return in the Spanish Stock Market |
0 |
1 |
1 |
275 |
1 |
2 |
6 |
1,140 |
| SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS |
0 |
3 |
45 |
45 |
2 |
15 |
74 |
74 |
| SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
0 |
123 |
1 |
1 |
16 |
469 |
| Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
42 |
1 |
3 |
20 |
210 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
1 |
2 |
3 |
57 |
3 |
9 |
32 |
239 |
| Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
2 |
13 |
69 |
4 |
11 |
55 |
241 |
| TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
0 |
0 |
3 |
40 |
5 |
5 |
16 |
99 |
| TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
33 |
33 |
33 |
4 |
15 |
15 |
15 |
| THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
1 |
4 |
10 |
50 |
5 |
14 |
45 |
135 |
| THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
14 |
5 |
14 |
21 |
64 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
1 |
1 |
2 |
59 |
11 |
25 |
37 |
157 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
3 |
9 |
91 |
2 |
6 |
22 |
182 |
| The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
308 |
| The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
627 |
| The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
4 |
13 |
23 |
524 |
| UNDERIDENTIFICATION? |
0 |
1 |
3 |
49 |
3 |
11 |
31 |
113 |
| Underidentification? |
3 |
4 |
11 |
53 |
7 |
13 |
41 |
138 |
| Underidentification? |
0 |
0 |
4 |
240 |
10 |
31 |
66 |
917 |
| Unobserved Component Time Series Models with ARCH Disturbances |
2 |
4 |
5 |
5 |
7 |
12 |
13 |
13 |
| VALUATION OF VIX DERIVATIVES |
0 |
1 |
6 |
58 |
4 |
8 |
35 |
131 |
| Valuation of VIX Derivatives |
1 |
2 |
5 |
19 |
4 |
8 |
22 |
58 |
| Valuation of vix derivatives |
1 |
1 |
4 |
4 |
6 |
13 |
23 |
23 |
| Volatiltiy and Links Between National Stock Markets |
2 |
9 |
15 |
307 |
7 |
24 |
61 |
828 |
| Total Working Papers |
19 |
98 |
285 |
4,995 |
248 |
610 |
1,568 |
24,898 |