| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
0 |
271 |
0 |
4 |
15 |
806 |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
1 |
94 |
2 |
3 |
12 |
372 |
| A Feasible Central Limit Theory for Realised Volatility Under Leverage |
0 |
0 |
1 |
125 |
0 |
2 |
13 |
626 |
| A central limit theorem for realised power and bipower variations of continuous semimartingales |
0 |
0 |
0 |
29 |
0 |
2 |
8 |
124 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
1 |
92 |
0 |
1 |
7 |
369 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
16 |
| Ambit processes and stochastic partial differential equations |
0 |
0 |
0 |
113 |
0 |
2 |
9 |
306 |
| Assessing Gamma kernels and BSS/LSS processes |
0 |
0 |
0 |
88 |
1 |
3 |
8 |
79 |
| Assessing Relative Volatility/Intermittency/Energy Dissipation |
0 |
0 |
0 |
15 |
0 |
6 |
9 |
54 |
| Basics of Levy processes |
0 |
1 |
2 |
108 |
2 |
5 |
18 |
267 |
| Basics of Levy processes |
0 |
0 |
0 |
59 |
1 |
5 |
14 |
202 |
| Bipower variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
37 |
1 |
4 |
11 |
114 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
3 |
136 |
1 |
18 |
45 |
571 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
2 |
90 |
0 |
14 |
34 |
358 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
1 |
42 |
0 |
2 |
18 |
105 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
1 |
5 |
9 |
268 |
| Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
0 |
0 |
367 |
0 |
8 |
20 |
1,294 |
| Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
0 |
1 |
31 |
0 |
3 |
18 |
153 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
0 |
1 |
5 |
19 |
56 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
3 |
13 |
24 |
778 |
| Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
0 |
1 |
3 |
532 |
0 |
17 |
34 |
1,323 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
1 |
0 |
11 |
73 |
169 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
2 |
473 |
4 |
16 |
37 |
1,178 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
2 |
9 |
20 |
617 |
| Estimating quadratic variation using realised volatility |
0 |
0 |
0 |
329 |
2 |
8 |
17 |
1,003 |
| Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
0 |
3 |
14 |
298 |
| How accurate is the asymptotic approximation to the distribution of realised volatility? |
1 |
1 |
1 |
399 |
1 |
8 |
22 |
1,139 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
0 |
2 |
7 |
691 |
| Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
0 |
78 |
2 |
6 |
16 |
182 |
| Integer-valued trawl processes: A class of stationary infinitely divisible processes |
2 |
2 |
2 |
2 |
2 |
3 |
15 |
19 |
| Integrated OU Processes |
0 |
1 |
1 |
316 |
2 |
6 |
16 |
780 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
1 |
3 |
8 |
321 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
186 |
0 |
3 |
24 |
565 |
| Limit theorems for functionals of higher order differences of Brownian semi-stationary processes |
0 |
0 |
0 |
30 |
1 |
5 |
14 |
132 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
1 |
2 |
6 |
208 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
0 |
1 |
13 |
400 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
39 |
| Measuring and forecasting financial variability using realised variance with and without a model |
0 |
0 |
0 |
199 |
0 |
1 |
10 |
972 |
| Measuring downside risk - realised semivariance |
0 |
0 |
1 |
113 |
1 |
5 |
18 |
356 |
| Measuring downside risk — realised semivariance |
0 |
0 |
1 |
169 |
5 |
14 |
29 |
403 |
| Measuring downside risk-realised semivariance |
0 |
1 |
2 |
350 |
1 |
11 |
39 |
1,277 |
| Modelling and measuring volatility |
0 |
0 |
1 |
20 |
4 |
6 |
10 |
49 |
| Modelling and measuring volatility |
0 |
0 |
0 |
259 |
0 |
3 |
10 |
381 |
| Modelling electricity forward markets by ambit fields |
0 |
0 |
0 |
108 |
0 |
4 |
14 |
265 |
| Modelling energy spot prices by Lévy semistationary processes |
0 |
0 |
1 |
118 |
0 |
7 |
24 |
205 |
| Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes |
0 |
0 |
0 |
19 |
0 |
2 |
12 |
88 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
1 |
3 |
11 |
282 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
0 |
4 |
12 |
310 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
0 |
1 |
5 |
11 |
32 |
| Multipower Variation for Brownian Semistationary Processes |
0 |
0 |
0 |
37 |
2 |
3 |
9 |
138 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
1 |
10 |
21 |
278 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
10 |
0 |
3 |
8 |
103 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
1 |
8 |
19 |
443 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
6 |
48 |
244 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
0 |
4 |
17 |
224 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
0 |
5 |
23 |
405 |
| Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics |
0 |
0 |
0 |
2 |
1 |
2 |
8 |
340 |
| Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
0 |
220 |
1 |
3 |
14 |
504 |
| Normal Modified Stable Processes |
0 |
0 |
0 |
43 |
0 |
4 |
15 |
130 |
| Normal modified stable processes |
0 |
0 |
0 |
186 |
0 |
4 |
13 |
570 |
| Power Variation and Time Change |
0 |
0 |
0 |
168 |
0 |
6 |
13 |
487 |
| Power and bipower variation with stochastic volatility and jumps |
0 |
0 |
1 |
847 |
2 |
19 |
61 |
2,070 |
| Power variation & stochastic volatility: a review and some new results |
0 |
0 |
0 |
265 |
1 |
5 |
12 |
690 |
| Power variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
83 |
1 |
5 |
9 |
242 |
| Realised power variation and stochastic volatility models |
0 |
0 |
0 |
346 |
1 |
4 |
16 |
793 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
1 |
10 |
19 |
457 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
7 |
13 |
377 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
397 |
1 |
4 |
11 |
822 |
| Stochastic volatility of volatility in continuous time |
0 |
0 |
0 |
194 |
0 |
4 |
8 |
391 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
0 |
1 |
18 |
353 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
1 |
6 |
19 |
273 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
1 |
6 |
18 |
258 |
| The multivariate supOU stochastic volatility model |
0 |
0 |
0 |
58 |
0 |
1 |
4 |
136 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
0 |
3 |
16 |
446 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
1 |
1 |
1 |
296 |
1 |
6 |
21 |
839 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
400 |
0 |
0 |
11 |
1,018 |
| Total Working Papers |
4 |
9 |
31 |
11,530 |
62 |
415 |
1,326 |
33,633 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A parsimonious and universal description of turbulent velocity increments |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
33 |
| Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes |
0 |
0 |
0 |
52 |
1 |
2 |
6 |
154 |
| Apparent scaling |
0 |
0 |
0 |
122 |
1 |
4 |
13 |
463 |
| Approximating exponential models |
0 |
0 |
1 |
33 |
0 |
5 |
9 |
140 |
| Book reviews |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
29 |
| Comment |
0 |
0 |
0 |
8 |
0 |
2 |
14 |
77 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
1 |
2 |
238 |
4 |
24 |
61 |
783 |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
0 |
0 |
279 |
1 |
4 |
18 |
829 |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
2 |
5 |
17 |
422 |
7 |
30 |
79 |
1,373 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
0 |
1 |
344 |
1 |
18 |
42 |
1,073 |
| Estimating quadratic variation using realized variance |
0 |
1 |
2 |
620 |
0 |
8 |
26 |
1,868 |
| Exact Distributional Results for Random Resistance Trees |
0 |
0 |
0 |
7 |
0 |
1 |
5 |
28 |
| Feller processes of normal inverse Gaussian type |
0 |
0 |
0 |
17 |
0 |
2 |
6 |
87 |
| First hitting time models for the generalized inverse Gaussian distribution |
0 |
1 |
1 |
44 |
1 |
6 |
16 |
128 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
1 |
74 |
1 |
6 |
18 |
284 |
| Infinite Divisibility for Stochastic Processes and Time Change |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
6 |
| Information quantities in non-classical settings |
0 |
0 |
0 |
10 |
0 |
1 |
8 |
39 |
| Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
0 |
28 |
0 |
3 |
13 |
95 |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
0 |
5 |
1 |
3 |
12 |
34 |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
0 |
4 |
12 |
159 |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
0 |
54 |
0 |
2 |
7 |
311 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
7 |
1 |
4 |
16 |
69 |
| Lévy Copulas: Dynamics and Transforms of Upsilon Type |
0 |
0 |
0 |
52 |
1 |
3 |
7 |
172 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
2 |
129 |
2 |
5 |
32 |
466 |
| Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
0 |
1 |
366 |
1 |
4 |
25 |
776 |
| On quantum statistical inference |
0 |
0 |
0 |
26 |
0 |
3 |
13 |
116 |
| On stochastic integration for volatility modulated Lévy-driven Volterra processes |
0 |
0 |
0 |
4 |
0 |
2 |
15 |
82 |
| On the parametrization of autoregressive models by partial autocorrelations |
0 |
0 |
2 |
88 |
1 |
2 |
17 |
226 |
| Power and Bipower Variation with Stochastic Volatility and Jumps |
1 |
2 |
7 |
496 |
10 |
25 |
76 |
1,397 |
| Power variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
10 |
1 |
4 |
13 |
71 |
| Processes of normal inverse Gaussian type |
0 |
1 |
5 |
1,440 |
1 |
3 |
20 |
3,405 |
| Quasi profile and directed likelihoods from estimating functions |
0 |
0 |
0 |
7 |
1 |
6 |
9 |
36 |
| Random Graph Dynamics by Rick Durrett |
0 |
0 |
0 |
118 |
0 |
1 |
5 |
358 |
| Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
3 |
8 |
31 |
622 |
| Regularizing mappings of Lévy measures |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
19 |
| Selfdecomposable Fields |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
9 |
| Semigroups of Upsilon transformations |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
21 |
| Some parametric models on the simplex |
0 |
1 |
6 |
74 |
2 |
5 |
19 |
187 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
16 |
1 |
3 |
11 |
69 |
| Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes |
0 |
1 |
4 |
5 |
0 |
3 |
10 |
16 |
| Stationary and self-similar processes driven by Lévy processes |
0 |
0 |
0 |
9 |
1 |
5 |
9 |
33 |
| Stochastic Volatility of Volatility and Variance Risk Premia |
0 |
0 |
2 |
42 |
1 |
4 |
18 |
128 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
2 |
9 |
17 |
235 |
| Tail Exactness of Multivariate Saddlepoint Approximations |
0 |
0 |
0 |
12 |
2 |
5 |
9 |
43 |
| The interplay between insurance, finance and control |
0 |
0 |
0 |
36 |
0 |
1 |
6 |
89 |
| Total Journal Articles |
3 |
13 |
54 |
5,579 |
50 |
242 |
785 |
16,638 |
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