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12 months |
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Last month |
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12 months |
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A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
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15 |
0 |
0 |
6 |
72 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
0 |
30 |
2 |
2 |
9 |
101 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
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30 |
2 |
5 |
14 |
85 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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43 |
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1 |
1 |
37 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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1 |
15 |
1 |
1 |
9 |
23 |

Alternative Asymmetric Stochastic Volatility Models |
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24 |
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58 |

Alternative Asymmetric Stochastic Volatility Models |
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1 |
8 |
0 |
0 |
10 |
56 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
46 |
3 |
3 |
7 |
162 |

Alternative Asymmetric Stochastic Volatility Models |
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62 |
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0 |
7 |
136 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
1 |
6 |
2 |
2 |
7 |
58 |

Asymmetric Multivariate Stochastic Volatility |
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0 |
260 |
1 |
1 |
8 |
590 |

Asymmetry and Leverage in Realized Volatility |
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1 |
39 |
0 |
0 |
7 |
97 |

Asymmetry and Leverage in Realized Volatility |
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0 |
1 |
16 |
0 |
0 |
7 |
71 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
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77 |
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3 |
10 |
111 |

Asymmetry and Long Memory in Volatility Modelling |
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1 |
20 |
0 |
1 |
10 |
110 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
0 |
28 |
1 |
1 |
10 |
118 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
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25 |
0 |
1 |
8 |
81 |

Asymmetry and leverage in realized volatility |
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0 |
1 |
71 |
1 |
1 |
9 |
107 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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44 |
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42 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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13 |
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10 |
20 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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18 |
2 |
3 |
7 |
17 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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1 |
12 |
12 |
2 |
4 |
19 |
19 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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33 |
33 |
4 |
6 |
41 |
41 |

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

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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13 |
1 |
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9 |
27 |

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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31 |
2 |
4 |
17 |
39 |

Bayesian analysis of realized matrix-exponential GARCH models |
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6 |
1 |
3 |
11 |
23 |

Block Structure Multivariate Stochastic Volatility Models |
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29 |
0 |
0 |
8 |
85 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
1 |
19 |
0 |
1 |
7 |
90 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
34 |
1 |
1 |
5 |
86 |

Cointegrated Dynamics for A Generalized Long Memory Process |
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1 |
3 |
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15 |

Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates |
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1 |
19 |
19 |
3 |
5 |
18 |
18 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
19 |
1 |
3 |
10 |
67 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
7 |
0 |
1 |
4 |
55 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
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16 |
1 |
2 |
11 |
81 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
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73 |
1 |
2 |
9 |
161 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
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82 |
0 |
2 |
8 |
230 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
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14 |
0 |
3 |
15 |
59 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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0 |
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65 |
0 |
0 |
5 |
50 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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0 |
0 |
35 |
0 |
0 |
7 |
28 |

Estimating and forecasting generalized fractional Long memory stochastic volatility models |
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25 |
0 |
0 |
4 |
23 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
48 |
2 |
2 |
6 |
86 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
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36 |
1 |
1 |
10 |
86 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
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16 |
0 |
1 |
8 |
51 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
8 |
1 |
2 |
7 |
70 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
40 |
0 |
1 |
7 |
120 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
46 |
0 |
2 |
7 |
88 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
34 |
1 |
2 |
7 |
80 |

Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
37 |
1 |
1 |
6 |
64 |

Forecasting Volatility and Co-volatility of Crude Oil and Gold Futures: Effects of Leverage, Jumps, Spillovers, and Geopolitical Risks |
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28 |
28 |
28 |
9 |
27 |
27 |
27 |

Forecasting the Volatility of Nikkei 225 Futures |
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1 |
16 |
0 |
0 |
13 |
60 |

Forecasting the Volatility of Nikkei 225 Futures |
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0 |
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46 |
4 |
5 |
15 |
38 |

Forecasting the volatility of Nikkei 225 futures |
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2 |
35 |
0 |
2 |
19 |
61 |

Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
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2 |
2 |
10 |
63 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
0 |
35 |
1 |
2 |
9 |
108 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
26 |
2 |
4 |
11 |
126 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
21 |
2 |
3 |
9 |
53 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
18 |
0 |
0 |
1 |
61 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
1 |
23 |
1 |
1 |
4 |
45 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
20 |
0 |
1 |
2 |
30 |

Modelling and Forecasting Noisy Realized Volatility |
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0 |
1 |
64 |
1 |
1 |
10 |
141 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
63 |
3 |
3 |
7 |
122 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
52 |
1 |
4 |
10 |
110 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
23 |
1 |
1 |
8 |
128 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
67 |
0 |
0 |
6 |
116 |

Multivariate Stochastic Volatility |
0 |
0 |
2 |
32 |
1 |
4 |
12 |
139 |

Multivariate stochastic volatility |
0 |
0 |
0 |
260 |
2 |
3 |
8 |
530 |

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 |
2 |
56 |
1 |
1 |
10 |
154 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
20 |
1 |
3 |
10 |
24 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
50 |
0 |
0 |
12 |
51 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
16 |
1 |
2 |
6 |
19 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
39 |
0 |
2 |
12 |
27 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
13 |
0 |
1 |
8 |
19 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
10 |
1 |
1 |
9 |
26 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
1 |
1 |
21 |
0 |
2 |
10 |
43 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
0 |
0 |
87 |
0 |
0 |
7 |
28 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
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0 |
0 |
25 |
0 |
0 |
7 |
57 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
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0 |
0 |
13 |
0 |
0 |
5 |
32 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
0 |
1 |
32 |
0 |
0 |
10 |
52 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
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0 |
17 |
17 |
5 |
12 |
20 |
20 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
0 |
0 |
18 |
18 |
3 |
5 |
13 |
13 |

The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures |
0 |
0 |
13 |
13 |
0 |
0 |
3 |
3 |

Total Working Papers |
2 |
31 |
188 |
2,980 |
82 |
174 |
778 |
6,529 |