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Working Paper File Downloads Abstract Views
Last month 3 months 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 0 371 2 5 7 1,018
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 2 96 0 0 4 333
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 1 2 469
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 1 1 261
Disentangling Volatility from Jumps 0 0 0 238 0 1 2 311
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 0 0 1 334
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 1 1 354 0 1 1 1,480
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 1 2 2 357
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 1 2 3 219
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 1 1 1,041
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 1 1 410
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 248 0 0 4 825
High Frequency Traders: Taking Advantage of Speed 0 0 1 142 0 1 6 353
High frequency market microstructure noise estimates and liquidity measures 0 0 1 143 2 3 9 427
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 1 2 4 860
How and When are High-Frequency Stock Returns Predictable? 3 12 64 257 7 26 145 510
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 20 0 1 2 44
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 1 9 37
Luxury Goods and the Equity Premium 0 0 0 14 2 3 8 312
Luxury Goods and the Equity Premium 0 0 1 513 0 1 8 2,171
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 3 8 647
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 1 426 0 0 1 1,549
Maximum Likelihood Estimation of Stochastic Volatility Models 1 1 4 693 1 2 17 1,675
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 0 2 11 498
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 1 1 186
Non-Standard Errors 0 0 1 8 0 0 2 32
Non-Standard Errors 0 0 1 42 6 12 56 432
Non-Standard Errors 0 1 4 27 4 16 81 143
Non-Standard Errors 0 0 1 19 0 0 4 24
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 1 1 3 2,017
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 0 1 481
Nonparametric Option Pricing under Shape Restrictions 0 0 2 215 1 3 5 669
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 341 0 1 4 1,057
Nonparametric Risk Management and Implied Risk Aversion 0 0 2 498 1 1 5 1,302
Nonstandard errors 0 1 11 11 4 11 43 43
Portfolio Choice in Markets with Contagion 0 0 0 21 0 0 1 108
Principal Component Analysis of High Frequency Data 0 0 0 121 0 1 10 174
So Many Jumps, So Few News 0 1 18 18 4 8 25 25
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 1 2 2 950
Testing Continuous-Time Models of the Spot Interest Rate 0 1 2 346 1 3 10 1,125
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 2 2 814
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 1 53 0 2 4 162
The Term Structure of Variance Swaps and Risk Premia 0 0 1 105 0 7 9 235
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 200 0 0 2 567
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 1 263 1 2 6 871
Variable Selection for Portfolio Choice 0 0 0 136 0 1 7 480
Variable Selection for Portfolio Choice 0 0 0 1 0 2 3 521
Variable Selection for Portfolio Choice 0 0 0 454 0 0 2 1,170
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 1 37 1 2 3 66
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 1 2 3 50
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 0 265
Total Working Papers 4 18 125 9,019 43 140 551 30,110
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Hausman test for the presence of market microstructure noise in high frequency data 0 0 0 16 2 2 5 60
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 1 2 122 1 6 13 607
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 0 1 4 128
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 0 1 260
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 1 2 73
Closed-form implied volatility surfaces for stochastic volatility models with jumps 1 3 18 55 3 6 33 127
Comment 0 0 0 10 1 1 1 77
Disentangling diffusion from jumps 0 0 1 95 0 3 6 325
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 3 490 1 2 10 1,047
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 0 0 260
Edgeworth expansions for realized volatility and related estimators 0 0 1 24 0 1 2 139
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 1 1 1 15
Estimating affine multifactor term structure models using closed-form likelihood expansions 1 1 1 82 3 3 6 284
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 0 95 0 0 4 216
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 9 0 1 3 35
Fisher's Information for Discretely Sampled Lévy Processes 0 0 0 30 0 0 0 138
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 0 1 8 400
High frequency market making: The role of speed 2 4 14 14 3 7 26 26
High frequency traders and the price process 0 1 13 54 1 3 25 145
High-frequency factor models and regressions 0 0 1 31 0 0 9 152
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 4 129 0 1 9 611
Implied Stochastic Volatility Models 1 2 9 29 2 4 15 50
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 1 2 21 1 3 7 110
Market response to policy initiatives during the global financial crisis 0 0 3 116 0 2 18 519
Market-based estimation of stochastic volatility models 0 0 0 26 0 1 3 120
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 0 3 8 522
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 2 3 3 1 5 10 10
Modeling financial contagion using mutually exciting jump processes 0 0 16 156 0 5 40 537
Mutual excitation in Eurozone sovereign CDS 0 0 2 47 0 0 7 143
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 2 549 1 2 5 1,640
Nonparametric option pricing under shape restrictions 0 0 2 107 1 5 23 520
Nonparametric risk management and implied risk aversion 0 1 7 521 2 5 23 1,287
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 2 2 232
Out of sample forecasts of quadratic variation 0 0 2 82 1 3 8 325
Portfolio Choice in Markets with Contagion 0 0 2 14 0 1 4 43
Principal Component Analysis of High-Frequency Data 0 0 3 14 0 2 14 48
Robust consumption and portfolio policies when asset prices can jump 0 0 1 20 0 2 9 74
Semimartingale: Itô or not ? 0 0 2 9 0 1 4 52
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 0 1 2 49
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 1 1 231
Testing Continuous-Time Models of the Spot Interest Rate 0 0 5 688 2 3 14 2,115
Testing for jumps in noisy high frequency data 0 0 1 46 0 2 12 249
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 1 2 391
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 35 1 2 12 307
The term structure of equity and variance risk premia 0 0 2 20 0 0 4 64
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 0 139 0 2 6 386
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 2 107 2 4 13 485
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 1 2 66 0 5 22 228
Variable Selection for Portfolio Choice 0 1 2 115 0 2 9 577
Total Journal Articles 5 18 131 4,620 30 109 465 16,439

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
High-Frequency Financial Econometrics 0 0 0 0 0 3 13 276
Total Books 0 0 0 0 0 3 13 276

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 0 15 2 2 2 58
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 1 3 30
Total Chapters 0 0 0 22 2 3 5 88
1 registered items for which data could not be found
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Statistics updated 2025-03-03