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12 months |
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A Fractionally Integrated Wishart Stochastic Volatility Model |
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30 |
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0 |
0 |
98 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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0 |
0 |
16 |
0 |
0 |
0 |
84 |

A Fractionally Integrated Wishart Stochastic Volatility Model |
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30 |
0 |
0 |
0 |
111 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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15 |
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0 |
0 |
29 |

A Multivariate Asymmetric Long Memory Conditional Volatility Model with X, Regularity and Asymptotics |
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43 |
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0 |
1 |
49 |

A Penalised OLS Framework for High-Dimensional Multivariate Stochastic Volatility Models |
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1 |
1 |
60 |
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2 |
2 |
51 |

Alternative Asymmetric Stochastic Volatility Models |
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9 |
0 |
0 |
1 |
69 |

Alternative Asymmetric Stochastic Volatility Models |
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62 |
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0 |
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146 |

Alternative Asymmetric Stochastic Volatility Models |
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1 |
7 |
0 |
0 |
1 |
77 |

Alternative Asymmetric Stochastic Volatility Models |
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24 |
1 |
3 |
5 |
76 |

Alternative Asymmetric Stochastic Volatility Models |
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0 |
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47 |
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0 |
2 |
181 |

Asymmetric Multivariate Stochastic Volatility |
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261 |
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0 |
2 |
614 |

Asymmetry and Leverage in Realized Volatility |
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1 |
1 |
18 |
0 |
1 |
1 |
83 |

Asymmetry and Leverage in Realized Volatility |
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0 |
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39 |
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0 |
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115 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
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77 |
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0 |
0 |
131 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
1 |
26 |
0 |
0 |
4 |
102 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
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28 |
0 |
0 |
0 |
129 |

Asymmetry and Long Memory in Volatility Modelling |
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0 |
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20 |
0 |
0 |
0 |
132 |

Asymmetry and leverage in realized volatility |
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71 |
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1 |
125 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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19 |
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1 |
23 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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13 |
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0 |
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34 |

Asymptotic Theory for Extended Asymmetric Multivariate GARCH Processes |
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45 |
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0 |
0 |
53 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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1 |
19 |
0 |
2 |
3 |
52 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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0 |
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2 |
0 |
1 |
1 |
37 |

Asymptotic Theory for Rotated Multivariate GARCH Models |
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38 |
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0 |
1 |
71 |

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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18 |
0 |
1 |
1 |
60 |

Bayesian Analysis of Realized Matrix-Exponential GARCH Models |
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33 |
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0 |
2 |
69 |

Bayesian analysis of realized matrix-exponential GARCH models |
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8 |
1 |
1 |
1 |
40 |

Block Structure Multivariate Stochastic Volatility Models |
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34 |
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0 |
0 |
108 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
19 |
1 |
1 |
1 |
105 |

Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
30 |
0 |
0 |
2 |
115 |

Cointegrated Dynamics for A Generalized Long Memory Process |
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25 |
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0 |
1 |
29 |

Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates |
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0 |
0 |
26 |
0 |
0 |
1 |
44 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
82 |
0 |
0 |
1 |
254 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
1 |
18 |
1 |
1 |
2 |
99 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
1 |
20 |
0 |
0 |
1 |
79 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
14 |
0 |
0 |
0 |
76 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
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73 |
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0 |
0 |
175 |

Dynamic Conditional Correlations for Asymmetric Processes |
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0 |
0 |
7 |
0 |
0 |
0 |
67 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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0 |
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66 |
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0 |
0 |
63 |

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models |
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0 |
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37 |
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0 |
0 |
45 |

Estimating and forecasting generalized fractional Long memory stochastic volatility models |
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25 |
0 |
0 |
0 |
39 |

Estimation of High Dimensional Vector Autoregression via Sparse Precision Matrix |
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11 |
53 |
1 |
4 |
23 |
78 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
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17 |
0 |
0 |
5 |
96 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
0 |
51 |
1 |
1 |
1 |
119 |

Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance |
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0 |
0 |
37 |
1 |
1 |
1 |
104 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
8 |
0 |
0 |
1 |
81 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
40 |
0 |
0 |
0 |
133 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
0 |
46 |
0 |
0 |
0 |
100 |

Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
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0 |
1 |
35 |
0 |
0 |
1 |
97 |

Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models |
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0 |
38 |
0 |
0 |
0 |
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 |
28 |
2 |
2 |
6 |
129 |

Forecasting the Volatility of Nikkei 225 Futures |
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1 |
18 |
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1 |
84 |

Forecasting the Volatility of Nikkei 225 Futures |
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0 |
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48 |
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0 |
1 |
60 |

Forecasting the volatility of Nikkei 225 futures |
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0 |
0 |
36 |
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0 |
1 |
88 |

High-Dimensional Sparse Multivariate Stochastic Volatility Models |
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0 |
1 |
38 |
0 |
0 |
1 |
5 |

Leverage and Feedback E ects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
9 |
0 |
0 |
0 |
78 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
0 |
36 |
0 |
0 |
0 |
129 |

Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing |
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0 |
1 |
28 |
1 |
1 |
2 |
150 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
21 |
0 |
0 |
2 |
51 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
24 |
0 |
0 |
0 |
56 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
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0 |
0 |
18 |
0 |
0 |
2 |
69 |

Matrix Exponential Stochastic Volatility with Cross Leverage |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
64 |

Modelling and Forecasting Noisy Realized Volatility |
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0 |
0 |
67 |
0 |
0 |
0 |
127 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
64 |
0 |
0 |
0 |
149 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
63 |
0 |
0 |
0 |
130 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
145 |

Modelling and Forecasting Noisy Realized Volatility |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
122 |

Multivariate Stochastic Volatility |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
183 |

Multivariate stochastic volatility |
0 |
1 |
1 |
263 |
0 |
1 |
3 |
557 |

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. ) |
2 |
2 |
3 |
62 |
2 |
4 |
9 |
183 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
47 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
86 |

Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers |
0 |
0 |
0 |
22 |
0 |
0 |
5 |
56 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
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0 |
0 |
14 |
0 |
0 |
0 |
37 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
11 |
1 |
1 |
2 |
42 |

Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
45 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
0 |
0 |
90 |
0 |
0 |
0 |
43 |

Realized Stochastic Volatility with General Asymmetry and Long Memory |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
67 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
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0 |
0 |
13 |
0 |
0 |
1 |
50 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
69 |

The Impact of Jumps and Leverage in Forecasting Co-Volatility |
0 |
1 |
1 |
34 |
0 |
1 |
1 |
71 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
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0 |
0 |
32 |
1 |
1 |
1 |
83 |

The Impact of Jumps and Leverage in Forecasting the Co-Volatility of Oil and Gold Futures |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
46 |

The Impact of jumps and leverage in forecasting the co-volatility of oil and gold futures |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
25 |

Total Working Papers |
2 |
6 |
28 |
3,241 |
14 |
30 |
111 |
8,350 |