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A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS |
0 |
0 |
2 |
23 |
1 |
2 |
12 |
77 |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
569 |

A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS |
0 |
0 |
5 |
37 |
0 |
0 |
9 |
81 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
17 |

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

A unifying approach to the empirical evaluation of asset pricing models |
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0 |
2 |
39 |
0 |
1 |
15 |
85 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
3 |
6 |
12 |
1,107 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
348 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
1 |
1 |
1 |
20 |
1 |
1 |
2 |
54 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
2 |
16 |
905 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
1 |
11 |
0 |
1 |
16 |
47 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
377 |

Constrained Indirect Inference Estimation |
1 |
1 |
2 |
95 |
1 |
3 |
6 |
253 |

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

DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS |
0 |
0 |
0 |
8 |
0 |
1 |
7 |
45 |

DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION |
0 |
0 |
2 |
46 |
0 |
0 |
10 |
106 |

DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS |
0 |
1 |
11 |
49 |
1 |
4 |
27 |
42 |

DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS |
0 |
0 |
2 |
39 |
2 |
2 |
11 |
69 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
2 |
109 |
0 |
0 |
7 |
468 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
1 |
25 |
0 |
1 |
7 |
79 |

Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
61 |

Duality in mean-variance frontiers with conditioning information |
0 |
0 |
3 |
73 |
0 |
1 |
23 |
227 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
61 |
0 |
2 |
35 |
180 |

ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS |
0 |
1 |
1 |
141 |
0 |
1 |
5 |
383 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
1 |
3 |
82 |
0 |
2 |
9 |
305 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
1 |
143 |
0 |
1 |
6 |
373 |

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

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
1 |
12 |
429 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
253 |

INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS |
0 |
0 |
1 |
191 |
0 |
1 |
8 |
525 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
1 |
8 |
791 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
4 |
23 |
0 |
2 |
11 |
51 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
1 |
2 |
101 |
1 |
2 |
22 |
195 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
32 |
0 |
0 |
10 |
101 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
1,395 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
2 |
228 |
2 |
2 |
12 |
1,066 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
7 |
164 |
0 |
0 |
13 |
696 |

Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
51 |
0 |
1 |
8 |
215 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
108 |
0 |
0 |
10 |
272 |

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

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
1 |
155 |
0 |
0 |
10 |
431 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
5 |

MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION |
0 |
0 |
2 |
10 |
2 |
3 |
9 |
56 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
545 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
203 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
2 |
14 |
0 |
1 |
10 |
47 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
16 |

Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
2 |
2 |
315 |
3 |
5 |
7 |
648 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
3 |
4 |
29 |
1,223 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
2 |
613 |
1 |
1 |
10 |
1,006 |

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

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
4 |
49 |
0 |
1 |
14 |
140 |

ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS |
0 |
0 |
1 |
40 |
1 |
1 |
12 |
150 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
6 |
82 |
1 |
2 |
18 |
259 |

PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION |
0 |
0 |
0 |
58 |
0 |
2 |
5 |
223 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
57 |
0 |
2 |
7 |
209 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
1 |
77 |
1 |
1 |
12 |
244 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
2 |
131 |
2 |
2 |
12 |
601 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
2 |
4 |
29 |
793 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
1 |
278 |
0 |
0 |
3 |
1,147 |

SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS |
0 |
1 |
8 |
54 |
0 |
1 |
20 |
104 |

SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH |
0 |
0 |
2 |
125 |
1 |
1 |
7 |
476 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
0 |
3 |
215 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
58 |
1 |
3 |
14 |
259 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
6 |
80 |
2 |
6 |
40 |
297 |

TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH |
0 |
1 |
1 |
41 |
0 |
3 |
9 |
111 |

TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS |
0 |
0 |
3 |
42 |
2 |
2 |
17 |
48 |

THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY |
0 |
0 |
5 |
56 |
0 |
1 |
22 |
164 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
1 |
15 |
1 |
2 |
9 |
77 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
59 |
0 |
1 |
8 |
170 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
1 |
2 |
93 |
0 |
1 |
11 |
198 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
318 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
632 |

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 |
11 |
537 |

UNDERIDENTIFICATION? |
0 |
1 |
5 |
54 |
1 |
3 |
13 |
129 |

Underidentification? |
0 |
1 |
6 |
62 |
2 |
8 |
62 |
217 |

Underidentification? |
0 |
0 |
6 |
248 |
1 |
1 |
29 |
955 |

VALUATION OF VIX DERIVATIVES |
1 |
2 |
7 |
69 |
1 |
3 |
29 |
165 |

Valuation of VIX Derivatives |
0 |
0 |
1 |
20 |
0 |
1 |
4 |
63 |

Valuation of vix derivatives |
0 |
1 |
4 |
10 |
0 |
5 |
18 |
52 |

Volatiltiy and Links Between National Stock Markets |
1 |
5 |
18 |
327 |
3 |
13 |
54 |
892 |

Total Working Papers |
5 |
23 |
158 |
5,256 |
50 |
147 |
984 |
26,293 |