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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 1 1 372 1 6 16 1,028
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 1 3 97 2 3 7 337
Closed-Form Likelihood Expansions for Multivariate Diffusions 0 0 0 183 0 1 4 471
Consumption and Portfolio Choice with Option-Implied State Prices 0 0 0 81 0 1 4 264
Disentangling Volatility from Jumps 0 0 0 238 0 0 2 312
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 0 1 1 1 3 337
Dynamic Equilibrium and Volatility in Financial Asset Markets 0 0 1 354 0 0 2 1,481
Edgeworth Expansions for Realized Volatility and Related Estimators 0 0 0 112 0 2 5 360
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 380 0 0 2 1,042
Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions 0 0 0 78 0 0 4 221
Goodness-of-fit tests for regression using kernel methods 0 0 0 154 0 0 2 411
High Frequency Market Microstructure Noise Estimates and Liquidity Measures 0 0 1 248 0 1 5 828
High Frequency Traders: Taking Advantage of Speed 0 0 0 142 0 2 7 356
High frequency market microstructure noise estimates and liquidity measures 0 2 3 145 0 3 11 430
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 0 248 0 0 3 860
How and When are High-Frequency Stock Returns Predictable? 9 20 68 290 26 50 164 588
Inference on Risk Premia in Continuous-Time Asset Pricing Models 0 1 1 21 0 3 5 48
Le redressement des Tables de Contingence: Deux nouvelles approches 0 0 0 0 0 0 2 38
Luxury Goods and the Equity Premium 1 1 1 15 1 2 11 317
Luxury Goods and the Equity Premium 0 0 1 513 0 1 10 2,175
Market Response to Policy Initiatives during the Global Financial Crisis 0 0 0 213 0 2 7 650
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach 0 0 1 426 0 0 2 1,550
Maximum Likelihood Estimation of Stochastic Volatility Models 0 0 2 693 0 0 10 1,677
Modeling Financial Contagion Using Mutually Exciting Jump Processes 0 0 0 148 0 1 7 500
Mutual excitation in eurozone sovereign CDS 0 0 0 58 0 1 3 188
Non-Standard Errors 0 0 3 44 0 2 37 440
Non-Standard Errors 0 0 0 8 0 1 2 34
Non-Standard Errors 0 0 1 27 1 6 29 151
Non-Standard Errors 0 0 1 19 0 2 4 26
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 576 0 0 4 2,019
Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices 0 0 0 1 0 1 3 483
Nonparametric Option Pricing under Shape Restrictions 0 0 1 215 0 0 5 670
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 341 1 1 5 1,060
Nonparametric Risk Management and Implied Risk Aversion 0 0 0 498 0 0 3 1,303
Nonstandard errors 0 0 5 11 4 7 33 51
Portfolio Choice in Markets with Contagion 0 0 0 21 0 0 1 108
Principal Component Analysis of High Frequency Data 0 1 1 122 0 1 9 177
So Many Jumps, So Few News 0 1 19 19 2 6 31 31
Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion 0 0 0 170 0 1 4 952
Testing Continuous-Time Models of the Spot Interest Rate 0 0 1 346 0 0 6 1,126
The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions 0 0 0 83 0 0 3 815
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 1 2 2 55 1 2 6 165
The Term Structure of Variance Swaps and Risk Premia 0 0 0 105 0 1 10 237
Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise 0 0 1 200 0 0 2 568
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 263 0 1 5 873
Variable Selection for Portfolio Choice 0 0 0 454 0 0 3 1,172
Variable Selection for Portfolio Choice 0 0 0 1 0 1 5 524
Variable Selection for Portfolio Choice 0 0 0 136 0 1 6 483
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 1 37 0 1 5 68
When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance 0 0 0 27 0 0 5 53
Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible) 0 0 0 75 0 0 1 266
Total Working Papers 11 30 119 9,064 40 115 525 30,324
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 1 1 17 0 2 6 63
A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data 1 2 3 124 2 4 13 612
An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions 0 0 0 21 1 2 7 132
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data 0 0 0 36 1 2 5 264
Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models 0 0 0 11 1 1 4 75
Closed-form implied volatility surfaces for stochastic volatility models with jumps 1 2 7 58 1 4 22 134
Comment 0 0 0 10 0 0 2 78
Disentangling diffusion from jumps 0 1 1 96 0 1 7 328
Do option markets correctly price the probabilities of movement of the underlying asset? 0 0 0 490 0 1 7 1,050
Dynamic equilibrium and volatility in financial asset markets 0 0 0 27 1 1 3 263
Edgeworth expansions for realized volatility and related estimators 0 0 0 24 0 0 2 140
Entry-Exit Decisions of Foreign Firms and Import Prices 0 0 0 5 0 0 3 17
Estimating affine multifactor term structure models using closed-form likelihood expansions 0 0 1 82 2 2 6 287
Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities 0 1 1 96 0 1 3 218
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 2 5 38
Fisher's Information for Discretely Sampled Lévy Processes 1 1 1 31 3 4 5 143
Goodness-of-fit tests for kernel regression with an application to option implied volatilities 0 0 0 119 0 0 6 401
High frequency market making: The role of speed 0 1 12 16 1 6 28 34
High frequency traders and the price process 0 0 5 54 2 3 16 150
High-frequency factor models and regressions 0 1 3 33 3 4 13 160
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise 0 0 2 129 0 1 7 614
Implied Stochastic Volatility Models 1 1 7 31 2 2 10 53
Increased correlation among asset classes: Are volatility or jumps to blame, or both? 0 0 1 21 1 2 8 114
Market response to policy initiatives during the global financial crisis 0 0 0 116 1 2 9 524
Market-based estimation of stochastic volatility models 0 0 0 26 2 2 5 122
Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach 0 0 0 137 0 0 4 523
Maximum likelihood estimation of latent Markov models using closed-form approximations 0 0 4 4 1 1 14 14
Modeling financial contagion using mutually exciting jump processes 0 4 7 160 1 9 26 550
Mutual excitation in Eurozone sovereign CDS 0 0 0 47 0 1 4 146
Nonparametric Pricing of Interest Rate Derivative Securities 0 0 0 549 2 2 6 1,643
Nonparametric option pricing under shape restrictions 0 1 1 108 2 5 17 527
Nonparametric risk management and implied risk aversion 0 1 3 522 1 3 15 1,293
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment 0 0 0 0 0 0 3 233
Out of sample forecasts of quadratic variation 0 0 1 82 1 2 8 328
Portfolio Choice in Markets with Contagion 0 0 0 14 0 0 2 44
Principal Component Analysis of High-Frequency Data 0 0 1 14 0 3 10 52
Robust consumption and portfolio policies when asset prices can jump 0 0 1 20 2 2 8 77
Semimartingale: Itô or not ? 0 0 0 9 0 0 2 53
Stationarity-based specification tests for diffusions when the process is nonstationary 0 0 0 9 0 1 4 51
Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion 0 0 0 29 0 0 2 232
Testing Continuous-Time Models of the Spot Interest Rate 0 0 2 688 0 1 9 2,117
Testing for jumps in noisy high frequency data 0 0 0 46 1 2 11 252
The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions 0 0 0 40 0 2 4 394
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 35 1 3 13 311
The term structure of equity and variance risk premia 1 1 1 21 3 3 9 72
Transition Densities for Interest Rate and Other Nonlinear Diffusions 0 0 1 140 0 0 6 388
Ultra high frequency volatility estimation with dependent microstructure noise 0 0 0 107 1 1 9 487
Using principal component analysis to estimate a high dimensional factor model with high-frequency data 1 3 7 71 2 5 23 237
Variable Selection for Portfolio Choice 0 1 2 116 0 2 9 581
Total Journal Articles 6 22 78 4,650 43 97 420 16,619

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 2 5 17 285
Total Books 0 0 0 0 2 5 17 285

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Preface 0 0 0 15 0 0 3 59
TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS 0 0 0 7 0 0 2 31
Total Chapters 0 0 0 22 0 0 5 90
1 registered items for which data could not be found
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Statistics updated 2025-08-05