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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 2 2 3 375 5 6 60 1,088
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 1 1 98 0 3 28 366
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 0 18 490
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 0 7 273
Disentangling Volatility from Jumps 0 0 0 238 1 1 11 324
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 355 0 1 9 1,491
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 0 1 17 354
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 0 10 370
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 0 7 229
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 1 1 13 1,055
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 1 5 416
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 249 0 2 18 846
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 0 2 16 373
High frequency market microstructure noise estimates and liquidity measures 0 0 1 146 2 5 26 457
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 1 249 0 0 20 880
How and When are High-Frequency Stock Returns Predictable? 2 6 37 340 6 29 146 762
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 0 0 21 0 2 20 69
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 1 1 9 47
Luxury Goods and the Equity Premium 0 0 0 513 0 1 20 2,196
Luxury Goods and the Equity Premium 0 0 0 15 1 2 16 335
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 1 14 664
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 0 426 1 2 24 1,575
Maximum Likelihood Estimation of Stochastic Volatility Models 0 1 1 694 0 2 19 1,701
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 3 151 1 8 40 543
Mutual excitation in eurozone sovereign CDS 0 0 0 58 1 3 14 203
Non-Standard Errors 0 1 1 28 0 2 19 173
Non-Standard Errors 0 0 0 8 1 2 19 53
Non-Standard Errors 0 1 1 45 0 2 39 485
Non-Standard Errors 0 0 0 19 0 4 37 63
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 1 2 11 494
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 1 1 577 1 5 30 2,051
Nonparametric Option Pricing under Shape Restrictions 0 1 2 217 1 2 26 701
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 0 1 21 1,081
Nonparametric Risk Management and Implied Risk Aversion 0 0 1 499 2 3 31 1,335
Nonstandard errors 0 1 1 13 0 3 28 84
Portfolio Choice in Markets with Contagion 0 0 0 21 0 1 18 127
Principal Component Analysis of High Frequency Data 0 0 0 122 0 1 27 204
So Many Jumps, So Few News 0 0 0 19 1 2 21 53
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 2 3 11 963
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 346 0 0 21 1,148
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 0 11 826
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 55 0 0 17 182
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 2 6 31 269
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 1 1 1 201 2 9 36 605
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 1 264 0 2 26 900
Variable Selection for Portfolio Choice 0 0 0 136 0 3 17 500
Variable Selection for Portfolio Choice 0 0 0 1 0 1 16 540
Variable Selection for Portfolio Choice 0 0 1 455 1 5 22 1,195
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 37 0 2 14 82
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 0 8 61
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 8 275
Total Working Papers 5 16 59 9,137 34 135 1,152 31,557
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 19 2 8 38 105
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 0 2 6 130 6 10 61 673
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 1 22 0 0 7 140
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 0 1 23 289
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 0 0 14 90
Closed-form implied volatility surfaces for stochastic volatility models with jumps 0 3 8 66 0 5 31 168
Comment 0 0 0 10 0 0 5 83
Disentangling diffusion from jumps 0 0 2 98 0 0 15 343
Do option markets correctly price the probabilities of movement of the underlying asset? 0 1 5 495 1 3 19 1,070
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 1 1 9 273
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 1 1 10 151
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 1 6 1 5 10 27
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 83 0 1 13 300
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 0 0 97 1 2 9 228
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 5 16 54
Fisher's Information for Discretely Sampled Lévy Processes 0 0 1 32 1 1 8 151
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 1 120 1 3 17 418
High frequency market making: The role of speed 0 0 7 26 2 4 56 98
High frequency traders and the price process 0 1 5 60 1 5 21 174
High-frequency factor models and regressions 1 1 7 40 2 6 38 202
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 5 134 1 8 45 663
Implied Stochastic Volatility Models 1 1 5 36 2 3 23 78
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 0 21 2 2 16 131
Market response to policy initiatives during the global financial crisis 0 0 1 117 0 0 24 548
Market-based estimation of stochastic volatility models 0 0 0 26 0 0 10 132
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 2 4 20 543
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 1 5 1 1 23 39
Modeling financial contagion using mutually exciting jump processes 1 2 8 171 2 12 55 609
Mutual excitation in Eurozone sovereign CDS 0 0 1 48 2 3 17 163
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 1 551 0 0 10 1,654
Nonparametric option pricing under shape restrictions 1 1 3 112 5 6 33 563
Nonparametric risk management and implied risk aversion 0 0 3 526 6 7 39 1,334
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 7 240
Out of sample forecasts of quadratic variation 0 1 1 84 1 2 18 348
Portfolio Choice in Markets with Contagion 0 0 0 14 0 0 10 55
Principal Component Analysis of High-Frequency Data 0 0 0 14 1 7 24 77
Robust consumption and portfolio policies when asset prices can jump 0 0 0 20 0 0 14 91
Semimartingale: Itô or not ? 0 0 0 9 1 2 5 58
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 1 1 11 62
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 1 1 11 244
Testing Continuous-Time Models of the Spot Interest Rate 0 0 0 689 3 6 38 2,156
Testing for jumps in noisy high frequency data 0 0 1 47 1 3 23 275
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 3 13 407
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 0 2 23 336
The term structure of equity and variance risk premia 1 2 3 24 8 13 38 112
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 0 141 1 2 11 401
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 3 110 0 2 41 528
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 1 4 76 4 9 33 274
Variable Selection for Portfolio Choice 0 0 0 116 1 2 13 595
Total Journal Articles 6 16 87 4,754 67 162 1,068 17,753

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 3 18 303
Total Books 0 0 0 0 1 3 18 303

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 1 3 18 1 6 19 79
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 9 40
Total Chapters 0 1 3 25 1 6 28 119
1 registered items for which data could not be found
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