| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A general multivariate threshold GARCH model with dynamic conditional correlations |
0 |
0 |
0 |
221 |
1 |
1 |
3 |
523 |
| A general multivariate threshold GARCH model with dynamic conditional correlations |
0 |
0 |
0 |
338 |
1 |
1 |
3 |
823 |
| Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent |
0 |
0 |
0 |
172 |
1 |
2 |
4 |
563 |
| Accurate Yield Curve Scenarios Generation using Functional Gradient Descent |
0 |
0 |
0 |
211 |
1 |
1 |
3 |
736 |
| An Empirical Analysis of the Ross Recovery Theorem |
0 |
1 |
2 |
146 |
1 |
2 |
7 |
433 |
| Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
0 |
0 |
1 |
127 |
1 |
2 |
6 |
409 |
| Beta Regimes for the Yield Curve |
0 |
0 |
0 |
92 |
1 |
1 |
1 |
557 |
| Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators |
0 |
0 |
0 |
171 |
1 |
1 |
1 |
352 |
| Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines |
0 |
1 |
1 |
84 |
1 |
3 |
4 |
330 |
| Forecasting Implied Volatility Surfaces |
0 |
0 |
0 |
239 |
1 |
2 |
4 |
596 |
| Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks |
0 |
0 |
1 |
93 |
0 |
1 |
3 |
283 |
| Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics |
0 |
0 |
0 |
149 |
1 |
4 |
4 |
500 |
| Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation |
0 |
0 |
0 |
123 |
1 |
1 |
3 |
400 |
| Modeling Tick-by-Tick Realized Correlations |
0 |
0 |
0 |
203 |
0 |
1 |
1 |
474 |
| Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging |
0 |
0 |
0 |
105 |
1 |
2 |
6 |
271 |
| Option trading strategies based on semi-parametric implied volatility surface prediction |
0 |
0 |
1 |
332 |
0 |
0 |
6 |
921 |
| Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
0 |
1 |
17 |
1 |
1 |
2 |
72 |
| Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
1 |
1 |
76 |
2 |
5 |
7 |
222 |
| Realized Correlation Tick-by-Tick |
0 |
1 |
2 |
229 |
1 |
2 |
4 |
646 |
| Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects |
0 |
0 |
0 |
103 |
1 |
3 |
4 |
301 |
| Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process |
0 |
0 |
0 |
82 |
3 |
4 |
5 |
275 |
| Splines for Financial Volatility |
0 |
0 |
0 |
153 |
0 |
1 |
2 |
413 |
| Testing the lag structure of assets’ realized volatility dynamics |
0 |
0 |
0 |
95 |
1 |
2 |
4 |
211 |
| Volatility Forecasting: Downside Risk, Jumps and Leverage Effect |
0 |
0 |
0 |
151 |
0 |
0 |
2 |
414 |
| Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach |
0 |
0 |
0 |
279 |
0 |
0 |
2 |
509 |
| Total Working Papers |
0 |
4 |
10 |
3,991 |
22 |
43 |
91 |
11,234 |