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

(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
1 |
2 |
2 |
966 |
3 |
10 |
33 |
1,756 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
0 |
4 |
25 |
450 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
206 |
3 |
7 |
21 |
552 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
1 |
19 |
0 |
0 |
5 |
102 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
1 |
56 |
0 |
0 |
5 |
143 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
0 |
155 |
0 |
0 |
29 |
562 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
0 |
182 |
0 |
2 |
28 |
520 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
0 |
1 |
49 |
0 |
0 |
3 |
90 |

An Empirical Investigation of Continuous-Time Equity Return Models |
0 |
0 |
2 |
496 |
2 |
4 |
42 |
1,230 |

Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
813 |
1 |
1 |
10 |
1,849 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
6 |
1,575 |
2 |
9 |
52 |
3,518 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
2 |
4 |
97 |
2 |
7 |
21 |
324 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
114 |
0 |
0 |
4 |
430 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
0 |
0 |
2 |
127 |
1 |
2 |
16 |
463 |

Consistent Inference for Predictive Regressions in Persistent Economic Systems |
0 |
0 |
2 |
26 |
0 |
0 |
8 |
25 |

Consistent Inference for Predictive Regressions in Persistent VAR Economies |
0 |
0 |
1 |
54 |
2 |
2 |
15 |
211 |

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions |
0 |
1 |
4 |
17 |
1 |
2 |
8 |
21 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
1 |
116 |
0 |
0 |
22 |
334 |

Construction and Interpretation of Model-Free Implied Volatility |
1 |
1 |
2 |
275 |
3 |
7 |
20 |
916 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
0 |
1 |
19 |
286 |

Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
0 |
371 |
0 |
1 |
15 |
912 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
420 |
0 |
0 |
3 |
945 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
170 |
1 |
6 |
16 |
474 |

Cross-Sectional Dispersion of Risk in Trading Time |
0 |
0 |
0 |
7 |
0 |
0 |
6 |
26 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
0 |
550 |
6 |
18 |
49 |
1,898 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
32 |
1 |
1 |
10 |
206 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
0 |
34 |
1 |
2 |
7 |
258 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
0 |
70 |
0 |
1 |
17 |
380 |

Duration-Based Volatility Estimation |
0 |
0 |
9 |
277 |
6 |
9 |
33 |
630 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
496 |
3 |
6 |
41 |
1,025 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
2 |
5 |
12 |
1,079 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
1 |
2 |
34 |
819 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
490 |
0 |
0 |
2 |
1,594 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
176 |
2 |
5 |
28 |
508 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
1 |
237 |
1 |
2 |
21 |
511 |

Financial Risk Measurement for Financial Risk Management |
1 |
1 |
5 |
199 |
2 |
3 |
14 |
561 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
5 |
6 |
36 |
1,282 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
1 |
548 |
2 |
8 |
21 |
1,634 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
2 |
5 |
8 |
33 |
6 |
10 |
45 |
110 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
0 |
35 |
2 |
3 |
5 |
134 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
0 |
5 |
1 |
1 |
8 |
53 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
1 |
2 |
2 |
77 |
1 |
3 |
19 |
270 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
73 |
2 |
7 |
36 |
307 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
0 |
1 |
62 |
2 |
2 |
30 |
306 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
286 |
4 |
9 |
32 |
984 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
475 |
3 |
10 |
43 |
2,197 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
2 |
354 |
0 |
0 |
34 |
1,251 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
988 |
0 |
0 |
8 |
2,147 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
5 |
1,251 |
1 |
3 |
23 |
2,947 |

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications |
0 |
0 |
1 |
232 |
0 |
5 |
28 |
668 |

Option Panels in Pure-Jump Settings |
0 |
0 |
1 |
24 |
0 |
0 |
4 |
68 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
28 |
4 |
7 |
22 |
171 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
6 |
0 |
1 |
2 |
63 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
1 |
1 |
8 |
129 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
815 |
1 |
3 |
18 |
2,068 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
3 |
691 |
1 |
1 |
15 |
1,592 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
1 |
568 |
0 |
2 |
4 |
1,178 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
417 |
0 |
2 |
8 |
872 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
394 |
1 |
2 |
8 |
817 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
147 |
0 |
5 |
19 |
475 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
180 |
2 |
2 |
6 |
798 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
217 |
0 |
0 |
2 |
666 |

Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
1 |
3 |
274 |
2 |
5 |
51 |
963 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
0 |
143 |
0 |
0 |
4 |
555 |

Realized Beta: Persistence and Predictability |
0 |
0 |
1 |
508 |
0 |
0 |
10 |
901 |

Realized Volatility and Multipower Variation |
0 |
0 |
1 |
114 |
0 |
0 |
2 |
272 |

Realized beta: Persistence and predictability |
0 |
1 |
2 |
216 |
2 |
7 |
26 |
604 |

Realized volatility |
0 |
0 |
10 |
317 |
10 |
20 |
80 |
1,071 |

Reflecting on the VPIN Dispute |
0 |
0 |
2 |
51 |
0 |
1 |
7 |
126 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
0 |
160 |
1 |
1 |
6 |
525 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
2 |
353 |
4 |
10 |
37 |
941 |

Short-Term Market Risks Implied by Weekly Options |
0 |
1 |
2 |
27 |
2 |
4 |
13 |
112 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
1 |
354 |
1 |
1 |
10 |
1,006 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
0 |
161 |
1 |
2 |
5 |
517 |

Stochastic Volatility |
0 |
0 |
2 |
207 |
0 |
0 |
5 |
283 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
1 |
3 |
11 |
1,352 |

Stochastic Volatility: Origins and Overview |
0 |
1 |
1 |
340 |
1 |
2 |
4 |
686 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
246 |
1 |
2 |
8 |
309 |

Stochastic Volatility: Origins and Overview |
1 |
1 |
1 |
110 |
4 |
7 |
21 |
206 |

Stochastic volatility |
1 |
2 |
2 |
159 |
2 |
5 |
18 |
332 |

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions |
0 |
0 |
2 |
16 |
0 |
0 |
3 |
27 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
321 |
0 |
1 |
1 |
855 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
1 |
523 |
3 |
10 |
38 |
1,265 |

The Distribution of Exchange Rate Volatility |
1 |
1 |
2 |
547 |
3 |
8 |
17 |
1,405 |

The Distribution of Stock Return Volatility |
0 |
0 |
0 |
904 |
2 |
5 |
29 |
2,360 |

The Distribution of Stock Return Volatility |
0 |
0 |
0 |
837 |
0 |
0 |
10 |
2,231 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
1 |
45 |
0 |
1 |
4 |
110 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
0 |
0 |
44 |
2 |
5 |
15 |
132 |

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets |
1 |
1 |
1 |
49 |
2 |
3 |
22 |
160 |

The Risk Premia Embedded in Index Options |
0 |
0 |
0 |
108 |
3 |
6 |
40 |
216 |

The Risk Premia Embedded in Index Options |
0 |
1 |
4 |
31 |
3 |
10 |
52 |
128 |

Time-Varying Periodicity in Intraday Volatility |
0 |
0 |
3 |
42 |
1 |
1 |
11 |
79 |

Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span |
0 |
0 |
0 |
37 |
3 |
3 |
14 |
116 |

VPIN and the Flash Crash |
0 |
1 |
1 |
125 |
0 |
2 |
12 |
419 |

Volatility Forecasting |
0 |
0 |
0 |
945 |
0 |
1 |
13 |
1,254 |

Volatility Forecasting |
1 |
3 |
9 |
548 |
4 |
8 |
43 |
947 |

Volatility forecasting |
0 |
1 |
1 |
330 |
0 |
2 |
19 |
695 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
0 |
4 |
58 |
1 |
1 |
8 |
92 |

Total Working Papers |
11 |
30 |
133 |
26,925 |
144 |
349 |
1,847 |
72,047 |