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A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
0 |
0 |
0 |
23 |
1 |
2 |
11 |
91 |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
3 |
4 |
6 |
576 |

A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS |
1 |
1 |
37 |
37 |
1 |
5 |
19 |
19 |

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
0 |
0 |
3 |
40 |
1 |
3 |
19 |
108 |

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

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

A spectral EM algorithm for dynamic factor models |
1 |
5 |
24 |
31 |
2 |
9 |
20 |
33 |

A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
1 |
48 |
0 |
2 |
8 |
104 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
1,121 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
361 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
20 |
1 |
4 |
7 |
62 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
914 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
0 |
11 |
4 |
4 |
8 |
56 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
3 |
12 |
391 |

Constrained Indirect Inference Estimation |
0 |
1 |
2 |
98 |
0 |
1 |
4 |
262 |

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

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

DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
0 |
0 |
0 |
48 |
0 |
0 |
10 |
124 |

DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS |
0 |
0 |
3 |
54 |
0 |
4 |
17 |
77 |

DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
0 |
1 |
1 |
41 |
3 |
5 |
15 |
87 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
110 |
0 |
1 |
5 |
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 |
1 |
1 |
5 |
69 |

Duality in mean-variance frontiers with conditioning information |
1 |
1 |
1 |
75 |
1 |
2 |
8 |
243 |

Dynamic Specification Tests for Static Factor Models |
0 |
1 |
2 |
64 |
0 |
4 |
17 |
211 |

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
0 |
0 |
0 |
142 |
0 |
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 |
4 |
381 |

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

FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION |
1 |
1 |
6 |
33 |
5 |
9 |
32 |
52 |

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

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

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
1 |
52 |
0 |
3 |
9 |
17 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
258 |

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

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

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
2 |
2 |
19 |
816 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
3 |
26 |
1 |
1 |
18 |
70 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
1 |
1 |
0 |
3 |
6 |
6 |

Is a normal copula the right copula? |
0 |
2 |
6 |
33 |
0 |
1 |
12 |
16 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
33 |
4 |
6 |
9 |
115 |

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

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
5 |
172 |
1 |
2 |
14 |
718 |

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 |
0 |
2 |
9 |
16 |

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

Likelihood-based estimation of latent generalised ARCH structures |
1 |
1 |
1 |
2 |
1 |
2 |
5 |
8 |

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

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
16 |

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

MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
0 |
10 |
0 |
0 |
9 |
78 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
553 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
211 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
0 |
0 |
0 |
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 |
1 |
324 |
2 |
4 |
13 |
683 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
2 |
3 |
9 |
1,241 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
1 |
615 |
1 |
2 |
4 |
1,013 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
1 |
1 |
4 |
9 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
1 |
1 |
51 |
1 |
5 |
12 |
160 |

NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS |
0 |
1 |
1 |
33 |
3 |
5 |
15 |
23 |

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

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
1 |
1 |
1 |
4 |
6 |
6 |

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
0 |
0 |
0 |
59 |
3 |
3 |
12 |
239 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
1 |
2 |
5 |
217 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
1 |
80 |
1 |
2 |
5 |
258 |

Pricing Options on Assets with Predictable White Noise Returns |
2 |
2 |
4 |
136 |
2 |
2 |
13 |
619 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
2 |
3 |
18 |
823 |

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 |
3 |
12 |
123 |

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
0 |
125 |
1 |
2 |
12 |
490 |

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 |
5 |
15 |
331 |

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
2 |
2 |
2 |
45 |
4 |
4 |
13 |
133 |

TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
0 |
1 |
46 |
0 |
6 |
16 |
72 |

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
0 |
0 |
1 |
60 |
0 |
3 |
27 |
205 |

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

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
1 |
94 |
3 |
3 |
8 |
209 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
1 |
1 |
64 |
3 |
6 |
7 |
186 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
325 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
641 |

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
2 |
3 |
5 |
543 |

UNDERIDENTIFICATION? |
0 |
0 |
3 |
61 |
1 |
3 |
18 |
161 |

Underidentification? |
0 |
1 |
2 |
65 |
1 |
4 |
16 |
258 |

Underidentification? |
1 |
1 |
6 |
258 |
1 |
5 |
32 |
1,010 |

VALUATION OF VIX DERIVATIVES |
2 |
2 |
5 |
78 |
3 |
4 |
28 |
212 |

VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION |
0 |
0 |
2 |
10 |
5 |
5 |
16 |
21 |

Valuation of VIX Derivatives |
0 |
0 |
0 |
21 |
1 |
3 |
8 |
76 |

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

Volatility-related exchange traded assets: an econometric investigation |
1 |
2 |
4 |
53 |
5 |
6 |
12 |
21 |

Volatiltiy and Links Between National Stock Markets |
0 |
6 |
14 |
348 |
2 |
10 |
52 |
982 |

Total Working Papers |
13 |
35 |
175 |
5,525 |
88 |
226 |
1,005 |
27,405 |