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12 months |
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12 months |
Total |

(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
0 |
0 |
5 |
955 |
1 |
3 |
15 |
1,668 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
1 |
1 |
204 |
1 |
3 |
7 |
487 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
1 |
2 |
5 |
182 |
1 |
2 |
11 |
384 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
1 |
18 |
0 |
1 |
4 |
77 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
0 |
2 |
5 |
116 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
1 |
151 |
0 |
0 |
5 |
412 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
0 |
181 |
2 |
2 |
7 |
433 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
1 |
1 |
46 |
0 |
1 |
3 |
68 |

An Empirical Investigation of Continuous-Time Equity Return Models |
1 |
2 |
5 |
485 |
1 |
3 |
15 |
1,125 |

Analytic Evaluation of Volatility Forecasts |
1 |
2 |
3 |
806 |
4 |
5 |
13 |
1,799 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
3 |
1,559 |
0 |
2 |
11 |
3,393 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
0 |
4 |
82 |
2 |
4 |
28 |
218 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
0 |
111 |
0 |
1 |
5 |
398 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
1 |
2 |
3 |
93 |
3 |
6 |
20 |
313 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
3 |
109 |
0 |
0 |
8 |
256 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
4 |
10 |
256 |
3 |
8 |
32 |
787 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
4 |
9 |
363 |
1 |
7 |
23 |
835 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
1 |
3 |
9 |
225 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
169 |
2 |
3 |
8 |
426 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
1 |
418 |
0 |
1 |
7 |
912 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
2 |
5 |
544 |
1 |
3 |
13 |
1,766 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
31 |
2 |
3 |
5 |
153 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
1 |
34 |
0 |
2 |
7 |
212 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
1 |
66 |
0 |
0 |
3 |
309 |

Duration-Based Volatility Estimation |
2 |
2 |
6 |
241 |
2 |
4 |
11 |
505 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
1 |
2 |
489 |
0 |
1 |
5 |
894 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
2 |
5 |
301 |
0 |
3 |
13 |
1,031 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
303 |
0 |
0 |
4 |
759 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
1 |
484 |
0 |
1 |
6 |
1,557 |

Financial Risk Measurement for Financial Risk Management |
1 |
3 |
8 |
176 |
1 |
3 |
18 |
455 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
3 |
163 |
1 |
5 |
16 |
359 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
5 |
220 |
0 |
3 |
21 |
366 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
0 |
2 |
11 |
1,171 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
2 |
541 |
2 |
6 |
22 |
1,547 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
1 |
25 |
25 |
1 |
4 |
14 |
14 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
69 |
0 |
1 |
7 |
217 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
2 |
3 |
10 |
65 |
2 |
5 |
20 |
200 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
0 |
4 |
58 |
1 |
2 |
11 |
198 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
11 |
469 |
3 |
12 |
49 |
1,999 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
1 |
2 |
279 |
0 |
2 |
9 |
867 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
1 |
4 |
342 |
1 |
5 |
17 |
1,079 |

Modeling and Forecasting Realized Volatility |
0 |
1 |
5 |
1,231 |
0 |
1 |
12 |
2,813 |

Modeling and Forecasting Realized Volatility |
0 |
2 |
2 |
979 |
1 |
4 |
14 |
2,063 |

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 |
1 |
4 |
224 |
0 |
1 |
15 |
574 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
0 |
2 |
9 |
91 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
20 |
0 |
1 |
5 |
92 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
5 |
0 |
2 |
6 |
33 |

Parametric and Nonparametric Volatility Measurement |
0 |
2 |
5 |
683 |
2 |
4 |
20 |
1,505 |

Parametric and Nonparametric Volatility Measurement |
1 |
2 |
7 |
801 |
1 |
2 |
15 |
1,960 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
3 |
415 |
0 |
1 |
6 |
824 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
1 |
2 |
2 |
562 |
2 |
5 |
10 |
1,122 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
390 |
0 |
0 |
6 |
760 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
5 |
141 |
1 |
5 |
24 |
377 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
178 |
0 |
3 |
8 |
761 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
2 |
215 |
1 |
2 |
8 |
626 |

Real-time price discovery in global stock, bond and foreign exchange markets |
1 |
3 |
10 |
265 |
1 |
5 |
17 |
814 |

Real-time price discovery in stock, bond and foreign exchange markets |
1 |
1 |
5 |
140 |
1 |
2 |
9 |
508 |

Realized Beta: Persistence and Predictability |
0 |
3 |
7 |
490 |
0 |
3 |
10 |
833 |

Realized Volatility and Multipower Variation |
0 |
1 |
1 |
109 |
0 |
2 |
6 |
236 |

Realized beta: Persistence and predictability |
0 |
1 |
9 |
196 |
0 |
5 |
29 |
445 |

Realized volatility |
1 |
2 |
8 |
259 |
3 |
10 |
36 |
813 |

Reflecting on the VPIN Dispute |
0 |
0 |
4 |
46 |
1 |
1 |
15 |
89 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
1 |
1 |
9 |
148 |
1 |
1 |
20 |
390 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
5 |
349 |
4 |
10 |
25 |
825 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
1 |
1 |
1 |
158 |
1 |
1 |
10 |
474 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
1 |
1 |
337 |
0 |
5 |
13 |
931 |

Stochastic Volatility |
0 |
0 |
4 |
199 |
1 |
1 |
11 |
246 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
1 |
3 |
21 |
1,293 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
245 |
0 |
1 |
7 |
263 |

Stochastic Volatility: Origins and Overview |
0 |
2 |
5 |
337 |
0 |
6 |
16 |
655 |

Stochastic Volatility: Origins and Overview |
0 |
2 |
4 |
104 |
0 |
4 |
8 |
150 |

Stochastic volatility |
0 |
0 |
0 |
150 |
0 |
1 |
3 |
267 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
316 |
0 |
2 |
7 |
813 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
537 |
0 |
1 |
9 |
1,338 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
518 |
0 |
2 |
4 |
1,180 |

The Distribution of Stock Return Volatility |
0 |
0 |
1 |
895 |
1 |
1 |
8 |
2,175 |

The Distribution of Stock Return Volatility |
2 |
2 |
6 |
818 |
2 |
3 |
15 |
2,170 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
1 |
39 |
0 |
0 |
5 |
61 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
2 |
3 |
5 |
36 |
2 |
10 |
27 |
85 |

The Risk Premia Embedded in Index Options |
0 |
0 |
2 |
101 |
4 |
6 |
16 |
110 |

VPIN and the Flash Crash |
0 |
1 |
4 |
107 |
2 |
5 |
25 |
300 |

Volatility Forecasting |
0 |
0 |
1 |
531 |
2 |
6 |
18 |
826 |

Volatility Forecasting |
0 |
0 |
1 |
933 |
1 |
5 |
15 |
1,159 |

Volatility forecasting |
0 |
1 |
2 |
322 |
2 |
4 |
12 |
589 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
0 |
35 |
35 |
0 |
3 |
21 |
21 |

Total Working Papers |
20 |
72 |
321 |
25,809 |
77 |
266 |
1,114 |
63,650 |