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12 months |
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Last month |
3 months |
12 months |
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(Understanding, Optimizing, Using and Forecasting) Realized Volatility and Correlation |
0 |
1 |
3 |
963 |
2 |
7 |
15 |
1,699 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
205 |
1 |
7 |
17 |
509 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
1 |
3 |
11 |
406 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
55 |
0 |
2 |
8 |
126 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
18 |
0 |
1 |
6 |
87 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
1 |
1 |
2 |
153 |
12 |
27 |
37 |
496 |

A framework for exploring the macroeconomic determinants of systematic risk |
1 |
1 |
1 |
182 |
2 |
6 |
11 |
447 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
0 |
0 |
46 |
0 |
1 |
8 |
83 |

An Empirical Investigation of Continuous-Time Equity Return Models |
0 |
1 |
4 |
492 |
4 |
10 |
29 |
1,168 |

Analytic Evaluation of Volatility Forecasts |
0 |
1 |
2 |
812 |
1 |
5 |
14 |
1,824 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
3 |
1,568 |
0 |
3 |
16 |
3,422 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
1 |
1 |
88 |
1 |
6 |
21 |
259 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
0 |
111 |
0 |
3 |
9 |
419 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
0 |
1 |
7 |
118 |
3 |
5 |
32 |
400 |

Consistent Inference for Predictive Regressions in Persistent VAR Economies |
0 |
0 |
3 |
52 |
0 |
2 |
23 |
178 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
6 |
267 |
4 |
10 |
26 |
852 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
1 |
4 |
115 |
4 |
7 |
20 |
284 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
1 |
61 |
1 |
5 |
14 |
250 |

Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
1 |
3 |
370 |
1 |
7 |
23 |
876 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
170 |
0 |
2 |
12 |
444 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
419 |
0 |
2 |
12 |
931 |

Cross-Sectional Dispersion of Risk in Trading Time |
0 |
1 |
6 |
6 |
0 |
2 |
8 |
8 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
3 |
549 |
1 |
6 |
24 |
1,799 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
32 |
0 |
4 |
18 |
175 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
0 |
34 |
2 |
6 |
19 |
239 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
2 |
68 |
0 |
2 |
16 |
339 |

Duration-Based Volatility Estimation |
5 |
5 |
8 |
257 |
7 |
9 |
25 |
563 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
2 |
493 |
2 |
5 |
22 |
930 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
1 |
303 |
2 |
5 |
15 |
1,057 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
0 |
2 |
9 |
773 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
2 |
488 |
2 |
5 |
15 |
1,578 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
4 |
171 |
3 |
6 |
37 |
432 |

Financial Risk Measurement for Financial Risk Management |
1 |
2 |
7 |
231 |
4 |
12 |
50 |
441 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
2 |
191 |
2 |
8 |
24 |
510 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
2 |
7 |
19 |
1,204 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
0 |
543 |
0 |
2 |
14 |
1,578 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
5 |
5 |
1 |
6 |
25 |
25 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
3 |
33 |
2 |
11 |
32 |
93 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
4 |
75 |
0 |
3 |
11 |
230 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
2 |
72 |
0 |
5 |
14 |
234 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
0 |
3 |
61 |
4 |
6 |
21 |
232 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
474 |
1 |
10 |
34 |
2,080 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
1 |
4 |
286 |
3 |
14 |
31 |
921 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
1 |
3 |
352 |
1 |
12 |
33 |
1,172 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
1 |
986 |
2 |
6 |
27 |
2,124 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
2 |
1,242 |
2 |
8 |
27 |
2,887 |

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 |
2 |
229 |
2 |
9 |
19 |
604 |

Option Panels in Pure-Jump Settings |
0 |
0 |
3 |
23 |
0 |
2 |
17 |
57 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
0 |
3 |
6 |
104 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
1 |
6 |
1 |
4 |
10 |
53 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
4 |
27 |
1 |
3 |
12 |
116 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
2 |
688 |
3 |
6 |
26 |
1,558 |

Parametric and Nonparametric Volatility Measurement |
0 |
3 |
8 |
813 |
0 |
5 |
17 |
2,001 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
564 |
3 |
5 |
23 |
1,153 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
416 |
2 |
5 |
14 |
847 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
393 |
5 |
10 |
22 |
789 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
1 |
1 |
145 |
0 |
6 |
25 |
418 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
217 |
0 |
3 |
14 |
654 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
0 |
179 |
0 |
1 |
8 |
778 |

Real-time price discovery in global stock, bond and foreign exchange markets |
1 |
1 |
2 |
270 |
5 |
16 |
28 |
863 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
2 |
143 |
0 |
1 |
15 |
532 |

Realized Beta: Persistence and Predictability |
0 |
0 |
6 |
504 |
1 |
5 |
28 |
873 |

Realized Volatility and Multipower Variation |
0 |
0 |
2 |
113 |
2 |
4 |
20 |
260 |

Realized beta: Persistence and predictability |
0 |
2 |
5 |
211 |
2 |
11 |
37 |
537 |

Realized volatility |
2 |
7 |
25 |
292 |
7 |
20 |
75 |
910 |

Reflecting on the VPIN Dispute |
0 |
0 |
1 |
49 |
0 |
2 |
10 |
113 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
4 |
158 |
0 |
5 |
27 |
493 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
1 |
351 |
4 |
10 |
25 |
871 |

Short-Term Market Risks Implied by Weekly Options |
0 |
0 |
7 |
22 |
1 |
9 |
33 |
69 |

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 |
159 |
1 |
3 |
10 |
490 |

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility |
0 |
0 |
4 |
349 |
1 |
3 |
19 |
969 |

Stochastic Volatility |
0 |
0 |
1 |
204 |
1 |
4 |
15 |
268 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
1 |
5 |
21 |
1,333 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
108 |
0 |
2 |
10 |
170 |

Stochastic Volatility: Origins and Overview |
0 |
1 |
1 |
246 |
1 |
5 |
16 |
283 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
339 |
1 |
4 |
14 |
676 |

Stochastic volatility |
0 |
0 |
2 |
155 |
1 |
3 |
16 |
300 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
2 |
520 |
3 |
5 |
16 |
1,200 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
3 |
542 |
2 |
5 |
17 |
1,365 |

The Distribution of Exchange Rate Volatility |
0 |
2 |
3 |
321 |
2 |
6 |
17 |
840 |

The Distribution of Stock Return Volatility |
0 |
1 |
5 |
836 |
0 |
3 |
12 |
2,211 |

The Distribution of Stock Return Volatility |
0 |
1 |
2 |
902 |
3 |
18 |
43 |
2,239 |

The Fine Structure of Equity-Index Option Dynamics |
1 |
1 |
2 |
44 |
1 |
3 |
12 |
83 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
0 |
1 |
42 |
2 |
7 |
11 |
107 |

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets |
0 |
0 |
10 |
45 |
3 |
9 |
34 |
105 |

The Risk Premia Embedded in Index Options |
0 |
1 |
4 |
20 |
2 |
10 |
22 |
38 |

The Risk Premia Embedded in Index Options |
0 |
0 |
1 |
106 |
1 |
5 |
13 |
141 |

Time-Varying Periodicity in Intraday Volatility |
0 |
1 |
5 |
36 |
0 |
5 |
22 |
57 |

Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span |
0 |
0 |
3 |
36 |
0 |
2 |
19 |
57 |

VPIN and the Flash Crash |
0 |
1 |
4 |
121 |
3 |
9 |
33 |
378 |

Volatility Forecasting |
0 |
0 |
0 |
533 |
1 |
5 |
18 |
855 |

Volatility Forecasting |
1 |
1 |
3 |
942 |
5 |
10 |
31 |
1,212 |

Volatility forecasting |
0 |
0 |
0 |
328 |
2 |
7 |
26 |
624 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
0 |
5 |
48 |
0 |
2 |
19 |
58 |

Total Working Papers |
13 |
45 |
248 |
26,545 |
156 |
568 |
1,931 |
67,496 |