| 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 |
338 |
0 |
2 |
3 |
822 |
| A general multivariate threshold GARCH model with dynamic conditional correlations |
0 |
0 |
0 |
221 |
0 |
1 |
4 |
522 |
| Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent |
0 |
0 |
0 |
172 |
1 |
1 |
1 |
560 |
| Accurate Yield Curve Scenarios Generation using Functional Gradient Descent |
0 |
0 |
0 |
211 |
0 |
1 |
1 |
734 |
| An Empirical Analysis of the Ross Recovery Theorem |
0 |
0 |
3 |
145 |
0 |
1 |
10 |
429 |
| Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
1 |
1 |
2 |
127 |
2 |
3 |
9 |
407 |
| Beta Regimes for the Yield Curve |
0 |
0 |
0 |
92 |
0 |
0 |
0 |
556 |
| Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators |
0 |
0 |
0 |
171 |
0 |
0 |
0 |
351 |
| Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines |
0 |
0 |
1 |
83 |
0 |
0 |
2 |
326 |
| Forecasting Implied Volatility Surfaces |
0 |
0 |
0 |
239 |
0 |
0 |
2 |
593 |
| Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks |
1 |
1 |
1 |
93 |
1 |
1 |
2 |
282 |
| Lassoing the HAR model: A Model Selection Perspective on Realized Volatility Dynamics |
0 |
0 |
0 |
149 |
0 |
0 |
2 |
496 |
| Missing in Asynchronicity: A Kalman-EM Approach for Multivariate Realized Covariance Estimation |
0 |
0 |
0 |
123 |
0 |
1 |
2 |
399 |
| Modeling Tick-by-Tick Realized Correlations |
0 |
0 |
1 |
203 |
0 |
0 |
1 |
473 |
| Modeling and Forecasting Short-term Interest Rates: The Benefits of Smooth Regimes, Macroeconomic Variables, and Bagging |
0 |
0 |
0 |
105 |
0 |
0 |
1 |
266 |
| Option trading strategies based on semi-parametric implied volatility surface prediction |
0 |
0 |
3 |
332 |
1 |
1 |
5 |
917 |
| Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
0 |
0 |
75 |
0 |
1 |
5 |
216 |
| Oracle Properties and Finite Sample Inference of the Adaptive Lasso for Time Series Regression Models |
0 |
0 |
1 |
17 |
0 |
0 |
3 |
71 |
| Realized Correlation Tick-by-Tick |
0 |
0 |
1 |
228 |
0 |
0 |
3 |
643 |
| Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects |
0 |
0 |
0 |
103 |
1 |
1 |
1 |
298 |
| Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process |
0 |
0 |
1 |
82 |
0 |
0 |
2 |
271 |
| Splines for Financial Volatility |
0 |
0 |
0 |
153 |
0 |
0 |
0 |
411 |
| Testing the lag structure of assets’ realized volatility dynamics |
0 |
0 |
1 |
95 |
2 |
2 |
6 |
209 |
| Volatility Forecasting: Downside Risk, Jumps and Leverage Effect |
0 |
0 |
0 |
151 |
0 |
0 |
1 |
413 |
| Yield Curve Predictability, Regimes, and Macroeconomic Information: A Data-Driven Approach |
0 |
0 |
0 |
279 |
0 |
0 |
1 |
507 |
| Total Working Papers |
2 |
2 |
15 |
3,987 |
8 |
16 |
67 |
11,172 |
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