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12 months |
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12 months |
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A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
0 |
30 |
0 |
0 |
3 |
96 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
0 |
30 |
1 |
3 |
4 |
108 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
0 |
15 |
1 |
1 |
2 |
80 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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0 |
0 |
43 |
1 |
2 |
4 |
47 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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0 |
15 |
0 |
0 |
0 |
28 |

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models |
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1 |
4 |
54 |
2 |
5 |
17 |
28 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
0 |
62 |
0 |
0 |
2 |
140 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
0 |
46 |
0 |
0 |
4 |
169 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
0 |
24 |
1 |
1 |
3 |
67 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
0 |
8 |
0 |
1 |
3 |
62 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
0 |
6 |
2 |
2 |
3 |
74 |

Asymmetric Multivariate Stochastic Volatility |
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0 |
0 |
260 |
0 |
0 |
12 |
607 |

Asymmetry and Leverage in Realized Volatility |
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0 |
0 |
16 |
0 |
0 |
2 |
78 |

Asymmetry and Leverage in Realized Volatility |
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0 |
0 |
39 |
0 |
0 |
9 |
113 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
0 |
20 |
2 |
3 |
4 |
125 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
0 |
28 |
1 |
2 |
2 |
127 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
0 |
25 |
1 |
1 |
5 |
97 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
0 |
77 |
1 |
1 |
7 |
129 |

Asymmetry and leverage in realized volatility |
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0 |
0 |
71 |
1 |
1 |
7 |
119 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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0 |
0 |
18 |
1 |
1 |
1 |
20 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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0 |
0 |
13 |
0 |
0 |
2 |
27 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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0 |
0 |
44 |
0 |
0 |
4 |
49 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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1 |
2 |
16 |
1 |
3 |
11 |
44 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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0 |
1 |
2 |
2 |
3 |
9 |
26 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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0 |
2 |
37 |
2 |
4 |
12 |
63 |

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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1 |
2 |
18 |
1 |
3 |
13 |
51 |

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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0 |
0 |
32 |
2 |
2 |
10 |
54 |

Bayesian analysis of realized matrix-exponential GARCH models |
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0 |
0 |
8 |
1 |
1 |
4 |
35 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
34 |
1 |
1 |
8 |
102 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
29 |
1 |
2 |
4 |
93 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
19 |
0 |
0 |
8 |
102 |

Cointegrated Dynamics for A Generalized Long Memory Process |
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0 |
0 |
25 |
1 |
2 |
6 |
26 |

Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates |
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0 |
1 |
25 |
3 |
4 |
10 |
36 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
14 |
0 |
0 |
5 |
70 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
16 |
0 |
0 |
3 |
90 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
73 |
0 |
0 |
3 |
170 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
19 |
0 |
0 |
2 |
75 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
82 |
0 |
0 |
6 |
249 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
7 |
0 |
0 |
3 |
62 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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1 |
1 |
66 |
0 |
1 |
6 |
62 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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0 |
1 |
36 |
0 |
0 |
6 |
40 |

Estimating and forecasting generalized fractional Long memory stochastic volatility models |
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0 |
0 |
25 |
2 |
3 |
8 |
35 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
1 |
49 |
0 |
1 |
16 |
109 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
0 |
37 |
1 |
1 |
4 |
98 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
0 |
16 |
1 |
5 |
16 |
72 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
34 |
0 |
1 |
7 |
91 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
40 |
0 |
0 |
6 |
127 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
46 |
1 |
2 |
6 |
96 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
8 |
0 |
0 |
5 |
76 |

Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
1 |
38 |
1 |
1 |
7 |
77 |

Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks |
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0 |
0 |
28 |
3 |
3 |
27 |
91 |

Forecasting the Volatility of Nikkei 225 Futures |
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1 |
1 |
47 |
3 |
3 |
4 |
52 |

Forecasting the Volatility of Nikkei 225 Futures |
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0 |
0 |
16 |
0 |
1 |
7 |
73 |

Forecasting the volatility of Nikkei 225 futures |
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0 |
0 |
36 |
4 |
5 |
12 |
80 |

Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
0 |
9 |
0 |
3 |
4 |
75 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
0 |
0 |
0 |
26 |
0 |
3 |
9 |
144 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
0 |
35 |
1 |
2 |
6 |
122 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
20 |
0 |
0 |
6 |
44 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
18 |
0 |
0 |
4 |
67 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
1 |
24 |
0 |
0 |
3 |
52 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
1 |
22 |
1 |
1 |
4 |
60 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
63 |
0 |
0 |
3 |
128 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
52 |
0 |
0 |
2 |
118 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
64 |
0 |
0 |
1 |
145 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
23 |
0 |
1 |
7 |
142 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
67 |
1 |
1 |
4 |
125 |

Multivariate Stochastic Volatility |
0 |
0 |
0 |
33 |
1 |
3 |
19 |
175 |

Multivariate stochastic volatility |
0 |
1 |
1 |
261 |
1 |
3 |
9 |
545 |

Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss and T. Mikosch), 365-400. Springer-Verlag: New York. April 2009. ) |
0 |
0 |
1 |
57 |
0 |
2 |
9 |
166 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
2 |
52 |
0 |
2 |
13 |
72 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
2 |
22 |
2 |
4 |
14 |
43 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
16 |
1 |
4 |
17 |
40 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
1 |
41 |
0 |
0 |
5 |
42 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
11 |
0 |
0 |
4 |
36 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
14 |
0 |
0 |
4 |
31 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
0 |
0 |
22 |
0 |
0 |
6 |
63 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
0 |
1 |
89 |
2 |
2 |
6 |
42 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
0 |
0 |
32 |
2 |
3 |
8 |
67 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
0 |
0 |
13 |
1 |
1 |
9 |
46 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
0 |
0 |
26 |
1 |
3 |
5 |
65 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
2 |
2 |
8 |
30 |
2 |
6 |
28 |
70 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
0 |
0 |
0 |
18 |
2 |
3 |
11 |
35 |

The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures |
0 |
0 |
1 |
14 |
1 |
2 |
10 |
21 |

Total Working Papers |
3 |
8 |
36 |
3,096 |
65 |
125 |
584 |
7,698 |