| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
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 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
105 |
1 |
2 |
16 |
468 |
| A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
81 |
| A reduced form framework for modeling volatility of speculative prices based on realized variation measures |
1 |
1 |
4 |
96 |
2 |
4 |
35 |
355 |
| ANALYTICAL EVALUATION OF VOLATILITY FORECASTS |
0 |
0 |
0 |
360 |
0 |
1 |
10 |
982 |
| Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts |
0 |
0 |
0 |
3 |
11 |
27 |
128 |
4,520 |
| Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence |
0 |
0 |
1 |
15 |
3 |
5 |
20 |
107 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
112 |
| Comment |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
141 |
| Consistent inference for predictive regressions in persistent economic systems |
0 |
0 |
1 |
1 |
0 |
0 |
9 |
12 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
1 |
167 |
0 |
1 |
8 |
560 |
| Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
226 |
0 |
0 |
4 |
665 |
| Discussion |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
88 |
| Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
1 |
50 |
1 |
1 |
10 |
327 |
| Editor Report 2005 |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
85 |
| Editor's Report 2004 |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
48 |
| Editorial Announcement |
0 |
0 |
0 |
55 |
0 |
0 |
2 |
186 |
| Editors' Report 2006 |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
50 |
| Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study |
0 |
0 |
1 |
359 |
1 |
4 |
10 |
768 |
| Estimating continuous-time stochastic volatility models of the short-term interest rate |
0 |
0 |
7 |
766 |
5 |
7 |
35 |
1,490 |
| Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
14 |
0 |
2 |
9 |
109 |
| Exploring Return Dynamics via Corridor Implied Volatility |
0 |
1 |
3 |
10 |
0 |
2 |
11 |
76 |
| Forecasting financial market volatility: Sample frequency vis-a-vis forecast horizon |
2 |
3 |
9 |
540 |
3 |
7 |
41 |
1,343 |
| GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
2 |
6 |
33 |
1,236 |
| GMM and QML asymptotic standard deviations in stochastic volatility models: Comments on Ruiz (1994) |
0 |
0 |
0 |
69 |
1 |
2 |
4 |
245 |
| Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
1 |
2 |
195 |
3 |
5 |
16 |
635 |
| INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
8 |
| Intraday and interday volatility in the Japanese stock market |
0 |
1 |
8 |
220 |
0 |
7 |
23 |
859 |
| Intraday periodicity and volatility persistence in financial markets |
2 |
9 |
20 |
1,226 |
4 |
19 |
77 |
2,431 |
| Jump-robust volatility estimation using nearest neighbor truncation |
2 |
5 |
14 |
130 |
5 |
11 |
57 |
501 |
| Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
5 |
566 |
1 |
2 |
29 |
1,841 |
| Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
1,158 |
5 |
12 |
59 |
3,528 |
| 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 |
1 |
1 |
4 |
121 |
10 |
17 |
45 |
471 |
| Parametric Inference and Dynamic State Recovery From Option Panels |
0 |
0 |
0 |
6 |
3 |
3 |
15 |
95 |
| Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
3 |
347 |
5 |
12 |
32 |
1,140 |
| Realized volatility forecasting and market microstructure noise |
0 |
0 |
4 |
119 |
3 |
10 |
33 |
439 |
| Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
| Reflecting on the VPIN dispute |
0 |
0 |
0 |
20 |
0 |
1 |
5 |
105 |
| Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility |
0 |
0 |
4 |
745 |
2 |
3 |
36 |
1,729 |
| Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility |
1 |
3 |
15 |
630 |
11 |
18 |
91 |
1,704 |
| SIMULATION-BASED ECONOMETRIC METHODS |
1 |
1 |
3 |
65 |
1 |
1 |
5 |
179 |
| Short-Term Market Risks Implied by Weekly Options |
0 |
0 |
3 |
10 |
0 |
0 |
11 |
86 |
| Some Reflections on Analysis of High-Frequency Data |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
723 |
| THE ECONOMETRICS OF FINANCIAL MARKETS |
0 |
0 |
1 |
54 |
0 |
0 |
5 |
225 |
| Tail risk and return predictability for the Japanese equity market |
0 |
0 |
3 |
8 |
0 |
1 |
10 |
23 |
| The Distribution of Realized Exchange Rate Volatility |
1 |
1 |
3 |
199 |
2 |
5 |
18 |
636 |
| The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets |
0 |
1 |
3 |
11 |
0 |
4 |
18 |
41 |
| The distribution of realized stock return volatility |
1 |
5 |
28 |
836 |
12 |
29 |
113 |
2,075 |
| The fine structure of equity-index option dynamics |
0 |
0 |
0 |
17 |
1 |
1 |
4 |
106 |
| The risk premia embedded in index options |
0 |
2 |
17 |
113 |
3 |
14 |
68 |
389 |
| Time-Varying Periodicity in Intraday Volatility |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
11 |
| Towards a unified framework for high and low frequency return volatility modeling |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
5 |
| Unified inference for nonlinear factor models from panels with fixed and large time span |
0 |
2 |
3 |
5 |
2 |
4 |
16 |
69 |
| VPIN and the flash crash |
1 |
5 |
7 |
64 |
1 |
9 |
40 |
407 |
| Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns |
0 |
0 |
0 |
164 |
1 |
1 |
4 |
639 |
| Total Journal Articles |
13 |
42 |
180 |
9,935 |
105 |
260 |
1,226 |
35,163 |
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