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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 1 372 3 20 42 1,060
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 1 97 0 7 16 349
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 1 6 14 483
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 3 8 269
Disentangling Volatility from Jumps 0 0 0 238 0 5 9 320
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 354 1 4 6 1,486
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 9 15 349
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 4 10 367
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 6 10 1,051
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 4 8 227
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 2 3 4 414
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 249 1 7 14 839
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 1 4 9 362
High frequency market microstructure noise estimates and liquidity measures 0 0 2 145 2 8 18 445
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 5 9 14 874
How and When are High-Frequency Stock Returns Predictable? 7 21 72 329 14 58 189 699
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 1 21 1 8 16 60
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 3 5 42
Luxury Goods and the Equity Premium 0 0 1 15 0 4 16 328
Luxury Goods and the Equity Premium 0 0 0 513 1 6 15 2,186
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 8 13 660
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 1 9 15 1,564
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 0 693 4 10 21 1,696
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 1 2 150 4 14 26 524
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 6 11 197
Non-Standard Errors 0 0 0 8 0 9 13 45
Non-Standard Errors 0 0 2 44 4 18 38 470
Non-Standard Errors 0 0 0 19 7 22 26 50
Non-Standard Errors 0 0 0 27 0 6 20 163
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 2 11 18 2,035
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 5 486
Nonparametric Option Pricing under Shape Restrictions 0 0 0 215 1 9 25 694
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 0 15 21 1,078
Nonparametric Risk Management and Implied Risk Aversion 0 0 1 499 3 16 24 1,326
Nonstandard errors 0 0 1 12 2 11 28 71
Portfolio Choice in Markets with Contagion 0 0 0 21 2 10 13 121
Principal Component Analysis of High Frequency Data 0 0 1 122 5 14 23 197
So Many Jumps, So Few News 0 0 1 19 4 12 22 47
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 0 3 7 957
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 346 3 10 15 1,140
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 2 5 8 822
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 2 6 14 176
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 0 9 22 257
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 0 200 2 13 20 587
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 2 12 19 890
Variable Selection for Portfolio Choice 0 0 0 136 0 7 12 492
Variable Selection for Portfolio Choice 0 0 0 1 0 6 16 537
Variable Selection for Portfolio Choice 0 0 0 454 2 11 17 1,187
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 2 4 9 59
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 1 7 11 77
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 3 5 270
Total Working Papers 7 22 89 9,108 89 476 975 31,085
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 3 19 3 17 30 90
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 0 2 124 0 7 25 632
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 1 1 1 22 1 5 12 140
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 4 24 284
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 2 5 13 86
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 0 5 60 1 7 24 151
Comment 0 0 0 10 0 1 4 81
Disentangling diffusion from jumps 1 1 2 97 1 9 14 339
Do option markets correctly price the probabilities of movement of the underlying asset? 0 1 1 491 1 4 12 1,059
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 0 2 6 266
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 1 6 10 149
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 1 2 5 20
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 0 82 0 4 8 292
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 2 97 1 3 6 222
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 5 11 46
Fisher's Information for Discretely Sampled Lévy Processes 0 1 2 32 0 5 10 148
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 0 4 10 410
High frequency market making: The role of speed 1 4 9 23 3 17 34 60
High frequency traders and the price process 0 1 3 57 1 8 21 166
High-frequency factor models and regressions 0 1 5 36 1 11 32 184
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 1 2 131 3 16 33 644
Implied Stochastic Volatility Models 1 3 5 34 1 9 17 67
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 1 5 16 126
Market response to policy initiatives during the global financial crisis 1 1 1 117 1 14 25 544
Market-based estimation of stochastic volatility models 0 0 0 26 4 6 11 131
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 7 12 534
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 2 5 4 12 22 32
Modeling financial contagion using mutually exciting jump processes 0 0 10 166 2 11 43 580
Mutual excitation in Eurozone sovereign CDS 0 1 1 48 0 7 13 156
Nonparametric Pricing of Interest Rate Derivative Securities 0 1 2 551 0 5 12 1,652
Nonparametric option pricing under shape restrictions 0 0 2 109 1 9 25 545
Nonparametric risk management and implied risk aversion 0 0 3 524 3 11 30 1,317
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 1 5 7 239
Out of sample forecasts of quadratic variation 0 0 1 83 0 6 15 340
Portfolio Choice in Markets with Contagion 0 0 0 14 0 4 7 50
Principal Component Analysis of High-Frequency Data 0 0 0 14 0 7 14 62
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 0 3 10 84
Semimartingale: Itô or not ? 0 0 0 9 2 2 3 55
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 1 5 11 60
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 1 2 5 236
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 689 0 7 29 2,144
Testing for jumps in noisy high frequency data 1 1 1 47 5 8 13 262
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 1 5 13 404
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 1 2 37 0 6 20 327
The term structure of equity and variance risk premia 0 0 1 21 6 11 24 88
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 2 141 1 3 9 395
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 2 14 25 510
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 0 1 9 75 1 12 31 259
Variable Selection for Portfolio Choice 0 0 1 116 0 5 11 588
Total Journal Articles 6 20 81 4,701 61 343 817 17,256

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 1 6 20 296
Total Books 0 0 0 0 1 6 20 296

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 1 2 2 17 1 9 11 69
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 3 4 6 36
Total Chapters 1 2 2 24 4 13 17 105
1 registered items for which data could not be found
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