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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 |
0 |
0 |
1 |
971 |
0 |
0 |
4 |
1,811 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
187 |
0 |
0 |
0 |
481 |

A Framework for Exploring the Macroeconomic Determinants of Systematic Risk |
0 |
0 |
0 |
207 |
0 |
1 |
1 |
574 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
57 |
0 |
0 |
1 |
147 |

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
106 |

A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures |
0 |
0 |
0 |
155 |
0 |
0 |
3 |
570 |

A framework for exploring the macroeconomic determinants of systematic risk |
0 |
0 |
0 |
183 |
0 |
0 |
0 |
527 |

A robust neighborhood truncation approach to estimation of integrated quarticity |
0 |
0 |
0 |
50 |
0 |
2 |
3 |
95 |

An Empirical Investigation of Continuous-Time Equity Return Models |
0 |
0 |
1 |
497 |
0 |
1 |
10 |
1,272 |

Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
815 |
0 |
0 |
2 |
1,878 |

Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts |
0 |
0 |
0 |
1,578 |
1 |
4 |
6 |
3,571 |

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification |
0 |
0 |
2 |
103 |
0 |
1 |
6 |
348 |

CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
1 |
2 |
119 |
0 |
1 |
9 |
444 |

Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX |
1 |
4 |
9 |
148 |
1 |
4 |
13 |
502 |

Consistent Inference for Predictive Regressions in Persistent Economic Systems |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
28 |

Consistent Inference for Predictive Regressions in Persistent VAR Economies |
0 |
0 |
0 |
56 |
0 |
0 |
2 |
237 |

Consistent Local Spectrum (LCM) Inference for Predictive Return Regressions |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
25 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
2 |
119 |
1 |
1 |
5 |
343 |

Construction and Interpretation of Model-Free Implied Volatility |
0 |
0 |
0 |
276 |
2 |
3 |
7 |
941 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
61 |
0 |
0 |
2 |
296 |

Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
1 |
373 |
0 |
0 |
4 |
923 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
171 |
0 |
0 |
3 |
490 |

Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
421 |
0 |
0 |
4 |
950 |

Cross-Sectional Dispersion of Risk in Trading Time |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
28 |

DM-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies |
0 |
0 |
0 |
552 |
0 |
1 |
5 |
1,944 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models |
0 |
0 |
0 |
32 |
0 |
0 |
4 |
216 |

Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
269 |

Do bonds span volatility risk in the U.S. Treasury market? a specification test for affine term structure models |
0 |
0 |
0 |
70 |
0 |
0 |
3 |
388 |

Duration-Based Volatility Estimation |
0 |
2 |
7 |
291 |
0 |
3 |
17 |
672 |

EMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
1 |
499 |
0 |
0 |
7 |
1,064 |

Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian |
0 |
0 |
0 |
303 |
0 |
1 |
5 |
1,113 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
1 |
1 |
2 |
494 |
1 |
2 |
5 |
1,602 |

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian |
0 |
0 |
0 |
304 |
0 |
0 |
1 |
840 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
178 |
0 |
0 |
10 |
530 |

Financial Risk Measurement for Financial Risk Management |
0 |
1 |
3 |
247 |
0 |
9 |
19 |
548 |

Financial Risk Measurement for Financial Risk Management |
0 |
0 |
3 |
206 |
0 |
1 |
8 |
581 |

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
1,301 |

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns |
0 |
0 |
0 |
548 |
0 |
0 |
2 |
1,663 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
2 |
37 |
1 |
4 |
13 |
151 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
0 |
1 |
6 |
0 |
2 |
8 |
65 |

Intraday Trading Invariance in the E-mini S&P 500 Futures Market |
0 |
2 |
10 |
51 |
0 |
8 |
27 |
174 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
1 |
1 |
74 |
2 |
3 |
3 |
346 |

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation |
0 |
0 |
0 |
77 |
0 |
0 |
1 |
288 |

Jump-robust volatility estimation using nearest neighbor truncation |
0 |
0 |
1 |
63 |
0 |
1 |
3 |
334 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
1 |
478 |
0 |
1 |
10 |
2,257 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange |
0 |
0 |
0 |
287 |
0 |
0 |
1 |
1,032 |

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange? |
0 |
0 |
0 |
354 |
1 |
1 |
4 |
1,261 |

Modeling and Forecasting Realized Volatility |
0 |
0 |
0 |
991 |
0 |
0 |
7 |
2,165 |

Modeling and Forecasting Realized Volatility |
2 |
2 |
5 |
1,260 |
2 |
3 |
13 |
2,974 |

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 |
0 |
233 |
0 |
0 |
1 |
682 |

Option Panels in Pure-Jump Settings |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
71 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
64 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
200 |

Parametric Inference and Dynamic State Recovery from Option Panels |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
149 |

Parametric and Nonparametric Volatility Measurement |
1 |
1 |
9 |
827 |
1 |
3 |
14 |
2,106 |

Parametric and Nonparametric Volatility Measurement |
0 |
0 |
0 |
692 |
0 |
0 |
4 |
1,600 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
419 |
0 |
0 |
4 |
892 |

Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
0 |
3 |
8 |
1,190 |

Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
395 |
0 |
0 |
1 |
849 |

Real-Time Detection of Local No-Arbitrage Violations |
2 |
2 |
12 |
12 |
4 |
6 |
16 |
16 |

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
149 |
1 |
4 |
9 |
507 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
181 |
1 |
1 |
3 |
801 |

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets |
0 |
0 |
1 |
218 |
0 |
0 |
3 |
670 |

Real-time price discovery in global stock, bond and foreign exchange markets |
0 |
0 |
2 |
276 |
1 |
1 |
4 |
998 |

Real-time price discovery in stock, bond and foreign exchange markets |
0 |
0 |
0 |
143 |
0 |
0 |
0 |
556 |

Realized Beta: Persistence and Predictability |
0 |
0 |
3 |
515 |
0 |
1 |
5 |
912 |

Realized Volatility and Multipower Variation |
0 |
0 |
1 |
115 |
0 |
0 |
1 |
273 |

Realized beta: Persistence and predictability |
0 |
0 |
0 |
218 |
0 |
1 |
13 |
632 |

Realized volatility |
1 |
1 |
3 |
324 |
2 |
3 |
14 |
1,160 |

Reflecting on the VPIN Dispute |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
131 |

Roughing It Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
1 |
4 |
165 |
1 |
4 |
13 |
545 |

Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility |
0 |
0 |
1 |
354 |
1 |
2 |
4 |
982 |

Short-Term Market Risks Implied by Weekly Options |
0 |
1 |
2 |
33 |
0 |
1 |
6 |
128 |

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 |
162 |
0 |
0 |
3 |
527 |

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 |
354 |
0 |
0 |
1 |
1,019 |

Stochastic Volatility |
0 |
0 |
3 |
213 |
0 |
0 |
5 |
295 |

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature |
0 |
0 |
0 |
7 |
0 |
3 |
9 |
1,373 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
111 |
0 |
0 |
2 |
224 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
247 |
0 |
0 |
1 |
311 |

Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
341 |
0 |
0 |
2 |
692 |

Stochastic volatility |
0 |
0 |
2 |
163 |
0 |
0 |
9 |
351 |

Testing for Parameter Instability and Structural Change in Persistent Predictive Regressions |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
30 |

The Distribution of Exchange Rate Volatility |
1 |
1 |
2 |
530 |
1 |
1 |
5 |
1,313 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
551 |
1 |
2 |
8 |
1,441 |

The Distribution of Exchange Rate Volatility |
0 |
0 |
0 |
322 |
0 |
0 |
0 |
858 |

The Distribution of Stock Return Volatility |
0 |
0 |
0 |
906 |
0 |
3 |
11 |
2,397 |

The Distribution of Stock Return Volatility |
0 |
0 |
0 |
839 |
0 |
0 |
0 |
2,234 |

The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
113 |

The Pricing of Short-Term market Risk: Evidence from Weekly Options |
0 |
0 |
0 |
44 |
1 |
1 |
1 |
145 |

The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets |
0 |
0 |
2 |
53 |
0 |
0 |
5 |
175 |

The Risk Premia Embedded in Index Options |
0 |
0 |
0 |
109 |
0 |
1 |
3 |
253 |

The Risk Premia Embedded in Index Options |
0 |
0 |
0 |
34 |
0 |
1 |
4 |
167 |

Time-Varying Periodicity in Intraday Volatility |
0 |
0 |
0 |
45 |
1 |
2 |
6 |
89 |

Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
120 |

VPIN and the Flash Crash |
0 |
0 |
1 |
131 |
0 |
1 |
4 |
431 |

Volatility Forecasting |
0 |
0 |
1 |
558 |
0 |
2 |
15 |
993 |

Volatility Forecasting |
2 |
2 |
2 |
950 |
2 |
2 |
3 |
1,268 |

Volatility forecasting |
0 |
0 |
1 |
335 |
0 |
2 |
13 |
729 |

Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
0 |
2 |
65 |
2 |
4 |
7 |
108 |

Total Working Papers |
11 |
23 |
113 |
27,212 |
32 |
115 |
524 |
74,135 |