| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Financial Duration Models via Density Forecasts |
0 |
0 |
1 |
362 |
1 |
2 |
5 |
807 |
| A Monthly Volatility Index for the US Economy |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
46 |
| A Multivariate Hill Estimator |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| A comparison of financial duration models via density forecast |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
61 |
| A comparison of financial duration models via density forecasts |
0 |
0 |
1 |
81 |
0 |
1 |
2 |
1,141 |
| A model for vast panels of volatilities |
0 |
0 |
0 |
85 |
1 |
1 |
2 |
167 |
| A simple two-component model for the distribution of intraday returns |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
48 |
| Aggregation of linear models for panel data |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
22 |
| Aggregation of linear models for panel data |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
46 |
| Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices |
0 |
1 |
1 |
55 |
0 |
2 |
2 |
80 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
0 |
1 |
1 |
170 |
| Does the open limit order book matter in explaining informational volatility? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
| Does the open limit order book matter in explaining long run volatility ? |
0 |
1 |
1 |
118 |
0 |
1 |
2 |
434 |
| Estimation of stable distributions by indirect inference |
0 |
0 |
0 |
74 |
1 |
1 |
1 |
255 |
| Estimation of stable distributions with indirect inference |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
50 |
| High frequency finance |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
41 |
| High frequency financial econometrics. Recent developments |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
74 |
| How relevant is infrastructure to growth in East Asia ? |
0 |
0 |
2 |
150 |
1 |
2 |
6 |
317 |
| Indirect estimation of elliptical stable distributions |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
88 |
| Indirect inference of elliptical fat tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
29 |
| Inference for vast dimensional elliptical distributions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
39 |
| Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation |
0 |
0 |
0 |
80 |
0 |
0 |
1 |
242 |
| Latest developments in heavy-tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
50 |
| Macro Surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
| Macro surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
| Macro surprises and short-term behaviour in bond futures |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
108 |
| Marginal quantiles for stationary processes |
0 |
0 |
1 |
15 |
0 |
1 |
2 |
59 |
| Market liquidity as dynamic factors |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
59 |
| On sample marginal quantiles for stationary processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
34 |
| On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach |
0 |
0 |
0 |
15 |
0 |
1 |
2 |
389 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
1 |
172 |
0 |
0 |
1 |
430 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
1 |
65 |
0 |
0 |
1 |
168 |
| Optimal portfolios with end-of-period target |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
25 |
| Quantifying and understanding dysfunctions in financial markets |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
40 |
| Quantitative Finance Group: Activity Report 2010-2012 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
32 |
| Rank-based testing in linear models with stable errors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
23 |
| Seminonparametric models for financial durations |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
| Short Selling in the Tails |
0 |
1 |
2 |
43 |
0 |
1 |
4 |
74 |
| Statistical Estimation of Portfolios for Dependent Financial Returns |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
20 |
| TailCoR |
0 |
0 |
0 |
42 |
1 |
2 |
3 |
199 |
| Temporal aggregation of univariate and multivariate time series models: A survey |
1 |
1 |
4 |
452 |
1 |
3 |
15 |
966 |
| Temporal aggregation of univariate and multivariate time series models: a survey |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
41 |
| Temporal aggregation of univariate linear time series models |
0 |
0 |
1 |
96 |
0 |
0 |
2 |
286 |
| Testing conditional asymmetry. A residual based approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
40 |
| Testing weak exogeneity in the exponential family: an application to financial point processes |
0 |
0 |
0 |
29 |
0 |
1 |
1 |
150 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
44 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
28 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
166 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
45 |
1 |
1 |
2 |
165 |
| The method of simulated quantiles |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
23 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
66 |
0 |
0 |
2 |
1,219 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
38 |
| Using intra annual information to forecast the annual state deficit. The case of France |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
26 |
| Using intra annual information to forecast the annual state deficits: the case of France |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
126 |
| What pieces of LOB information are informative? An empirical analysis of a pure order driven market |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
15 |
| What pieces of limit order book information are informative ? |
0 |
0 |
0 |
117 |
0 |
0 |
0 |
444 |
| Which model to match? |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
91 |
| Total Working Papers |
1 |
4 |
17 |
2,382 |
8 |
27 |
81 |
9,806 |
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