Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
584 |

A Spectral EM Algorithm for Dynamic Factor Models |
0 |
2 |
2 |
39 |
0 |
3 |
5 |
24 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
1 |
3 |
35 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
1 |
4 |
7 |
0 |
1 |
7 |
30 |

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
41 |
0 |
1 |
4 |
112 |

A spectral EM algorithm for dynamic factor models |
0 |
1 |
2 |
33 |
0 |
2 |
11 |
44 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
21 |
21 |
0 |
3 |
19 |
19 |

A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
0 |
48 |
0 |
2 |
4 |
108 |

An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
1,124 |

An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
2 |
2 |
9 |
370 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
1 |
21 |
0 |
0 |
9 |
71 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
917 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
1 |
12 |
0 |
0 |
6 |
62 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
394 |

Constrained Indirect Inference Estimation |
0 |
0 |
1 |
99 |
0 |
0 |
1 |
263 |

Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
8 |

Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
110 |
0 |
1 |
2 |
483 |

Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
1 |
28 |
1 |
1 |
6 |
100 |

Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
72 |

Duality in mean-variance frontiers with conditioning information |
0 |
0 |
1 |
76 |
0 |
0 |
2 |
245 |

Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
1 |
55 |
0 |
1 |
9 |
86 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
65 |
0 |
0 |
6 |
217 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
41 |
0 |
0 |
4 |
91 |

Empirical Evaluation of Overspecified Asset Pricing Models |
1 |
8 |
27 |
27 |
1 |
8 |
11 |
11 |

Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
1 |
1 |
86 |
0 |
1 |
3 |
330 |

Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
1 |
1 |
145 |
0 |
1 |
9 |
390 |

Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
1 |
1 |
2 |
0 |
1 |
3 |
9 |

Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
447 |

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
1 |
1 |
34 |
1 |
4 |
13 |
65 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
6 |
0 |
2 |
8 |
18 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
1 |
1 |
53 |
1 |
2 |
5 |
22 |

Finite Underidentification |
0 |
1 |
21 |
21 |
0 |
1 |
4 |
4 |

Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
262 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
2 |
12 |
828 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
2 |
28 |
0 |
0 |
6 |
76 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
10 |

Is a Normal Copula the Right Copula? |
1 |
1 |
3 |
14 |
1 |
2 |
14 |
29 |

Is a normal copula the right copula? |
0 |
0 |
1 |
34 |
1 |
2 |
9 |
25 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
1 |
34 |
0 |
1 |
8 |
123 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
1,414 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
1 |
1 |
231 |
1 |
4 |
4 |
1,085 |

Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
172 |
0 |
1 |
4 |
722 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
1 |
7 |
286 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
2 |
3 |
9 |
17 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
1 |
4 |
226 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
158 |
1 |
1 |
6 |
459 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
1 |
2 |
13 |
566 |

Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
218 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
1 |
1 |
1 |
1 |
1 |
1 |
2 |
5 |

Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
1 |
2 |
2 |
0 |
1 |
3 |
6 |

Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
2 |
326 |
2 |
3 |
8 |
691 |

Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
2 |
4 |
13 |
1,254 |

Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
0 |
615 |
0 |
0 |
4 |
1,017 |

Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
1 |
2 |
6 |
15 |

Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
2 |
53 |
0 |
1 |
9 |
169 |

Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
1 |
34 |
0 |
0 |
8 |
31 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
1 |
2 |
1 |
2 |
6 |
12 |

Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
1 |
5 |
222 |

Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
2 |
82 |
1 |
3 |
7 |
265 |

Pricing Options on Assets with Predictable White Noise Returns |
0 |
1 |
1 |
137 |
0 |
1 |
9 |
628 |

Quadratic Arch Models |
0 |
0 |
0 |
1 |
4 |
5 |
13 |
836 |

Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
278 |
1 |
3 |
6 |
1,154 |

Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
1 |
55 |
1 |
1 |
8 |
131 |

Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
2 |
9 |
233 |

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
60 |
0 |
1 |
5 |
278 |

Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
83 |
1 |
4 |
16 |
347 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
1 |
1 |
17 |
1 |
3 |
5 |
90 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
94 |
0 |
6 |
17 |
226 |

Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
2 |
66 |
1 |
2 |
22 |
208 |

Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
0 |
46 |
0 |
0 |
9 |
81 |

The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
330 |

The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
645 |

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 |
0 |
543 |

Underidentification? |
0 |
0 |
1 |
66 |
1 |
1 |
7 |
265 |

Underidentification? |
0 |
0 |
3 |
261 |
0 |
4 |
24 |
1,034 |

Underidentification? (Resumen) |
0 |
0 |
0 |
61 |
0 |
0 |
3 |
164 |

Valuation of VIX Derivatives |
0 |
0 |
0 |
21 |
1 |
6 |
26 |
102 |

Valuation of VIX Derivatives |
0 |
3 |
17 |
95 |
0 |
6 |
27 |
239 |

Valuation of vix derivatives |
0 |
0 |
1 |
13 |
1 |
2 |
12 |
92 |

Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
10 |
0 |
0 |
7 |
28 |

Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
0 |
53 |
1 |
1 |
4 |
25 |

Volatiltiy and Links Between National Stock Markets |
3 |
3 |
30 |
378 |
6 |
9 |
62 |
1,044 |

Total Working Papers |
6 |
30 |
167 |
4,937 |
43 |
141 |
676 |
25,511 |