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

A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data |
0 |
0 |
1 |
352 |
1 |
3 |
14 |
917 |

Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data |
1 |
2 |
7 |
81 |
1 |
3 |
14 |
214 |

Closed-Form Likelihood Expansions for Multivariate Diffusions |
0 |
0 |
7 |
176 |
0 |
1 |
14 |
438 |

Consumption and Portfolio Choice with Option-Implied State Prices |
0 |
0 |
0 |
78 |
0 |
0 |
7 |
236 |

Disentangling Volatility from Jumps |
0 |
0 |
1 |
236 |
0 |
0 |
4 |
292 |

Dynamic Equilibrium and Volatility in Financial Asset Markets |
0 |
0 |
0 |
352 |
0 |
3 |
28 |
1,459 |

Dynamic Equilibrium and Volatility in Financial Asset Markets |
0 |
0 |
0 |
1 |
0 |
2 |
35 |
307 |

Edgeworth Expansions for Realized Volatility and Related Estimators |
0 |
0 |
2 |
111 |
0 |
1 |
12 |
334 |

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions |
1 |
1 |
2 |
69 |
1 |
1 |
3 |
178 |

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions |
0 |
1 |
6 |
370 |
1 |
8 |
17 |
982 |

Goodness-of-fit tests for regression using kernel methods |
0 |
1 |
3 |
151 |
0 |
1 |
5 |
381 |

High Frequency Market Microstructure Noise Estimates and Liquidity Measures |
1 |
3 |
4 |
244 |
3 |
14 |
46 |
763 |

High Frequency Traders: Taking Advantage of Speed |
3 |
3 |
4 |
80 |
4 |
5 |
14 |
125 |

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise |
0 |
0 |
0 |
243 |
0 |
0 |
7 |
802 |

Luxury Goods and the Equity Premium |
0 |
0 |
0 |
505 |
2 |
4 |
11 |
2,106 |

Market Response to Policy Initiatives during the Global Financial Crisis |
0 |
1 |
6 |
188 |
1 |
5 |
23 |
497 |

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach |
0 |
0 |
3 |
415 |
0 |
0 |
5 |
1,495 |

Maximum Likelihood Estimation of Stochastic Volatility Models |
0 |
0 |
0 |
678 |
2 |
2 |
20 |
1,608 |

Modeling Financial Contagion Using Mutually Exciting Jump Processes |
0 |
2 |
7 |
113 |
1 |
4 |
19 |
365 |

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
569 |
0 |
4 |
12 |
1,933 |

Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices |
0 |
0 |
0 |
1 |
0 |
3 |
13 |
427 |

Nonparametric Option Pricing under Shape Restrictions |
0 |
0 |
3 |
209 |
1 |
1 |
9 |
592 |

Nonparametric Pricing of Interest Rate Derivative Securities |
0 |
0 |
1 |
332 |
0 |
0 |
3 |
992 |

Nonparametric Risk Management and Implied Risk Aversion |
0 |
2 |
4 |
472 |
2 |
6 |
12 |
1,198 |

Principal Component Analysis of High Frequency Data |
0 |
2 |
11 |
84 |
2 |
6 |
34 |
66 |

Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion |
0 |
0 |
2 |
168 |
0 |
0 |
9 |
928 |

Testing Continuous-Time Models of the Spot Interest Rate |
0 |
0 |
1 |
336 |
0 |
2 |
13 |
1,059 |

The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions |
0 |
0 |
0 |
80 |
2 |
2 |
11 |
777 |

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency |
0 |
0 |
2 |
48 |
1 |
1 |
8 |
110 |

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise |
0 |
0 |
0 |
190 |
0 |
0 |
5 |
514 |

Ultra high frequency volatility estimation with dependent microstructure noise |
0 |
1 |
4 |
253 |
1 |
2 |
15 |
797 |

Variable Selection for Portfolio Choice |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
432 |

Variable Selection for Portfolio Choice |
0 |
0 |
3 |
445 |
0 |
5 |
17 |
1,024 |

Variable Selection for Portfolio Choice |
0 |
0 |
3 |
129 |
0 |
1 |
8 |
362 |

Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) |
0 |
0 |
1 |
72 |
0 |
0 |
3 |
245 |

Total Working Papers |
6 |
19 |
88 |
7,832 |
26 |
90 |
475 |
24,955 |