| 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 |
1 |
1 |
94 |
4 |
6 |
8 |
368 |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
0 |
271 |
2 |
6 |
9 |
799 |
| A Feasible Central Limit Theory for Realised Volatility Under Leverage |
0 |
0 |
1 |
125 |
6 |
7 |
9 |
622 |
| A central limit theorem for realised power and bipower variations of continuous semimartingales |
0 |
0 |
0 |
29 |
1 |
5 |
7 |
122 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
14 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
1 |
92 |
3 |
3 |
4 |
366 |
| Ambit processes and stochastic partial differential equations |
0 |
0 |
0 |
113 |
4 |
4 |
8 |
304 |
| Assessing Gamma kernels and BSS/LSS processes |
0 |
0 |
0 |
88 |
4 |
4 |
6 |
76 |
| Assessing Relative Volatility/Intermittency/Energy Dissipation |
0 |
0 |
0 |
15 |
3 |
3 |
3 |
48 |
| Basics of Levy processes |
0 |
0 |
1 |
107 |
7 |
10 |
12 |
261 |
| Basics of Levy processes |
0 |
0 |
0 |
59 |
2 |
6 |
10 |
196 |
| Bipower variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
37 |
3 |
3 |
6 |
109 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
3 |
135 |
9 |
14 |
27 |
551 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
2 |
89 |
5 |
10 |
22 |
342 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
2 |
3 |
6 |
262 |
| Discrete-valued Levy processes and low latency financial econometrics |
1 |
1 |
1 |
42 |
9 |
11 |
14 |
101 |
| Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
0 |
1 |
367 |
4 |
6 |
9 |
1,281 |
| Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
1 |
2 |
31 |
3 |
10 |
16 |
149 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
0 |
4 |
8 |
12 |
47 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
6 |
9 |
11 |
764 |
| Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
0 |
2 |
4 |
531 |
4 |
9 |
17 |
1,303 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
1 |
17 |
55 |
60 |
156 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
1 |
3 |
473 |
6 |
11 |
24 |
1,162 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
2 |
7 |
11 |
608 |
| Estimating quadratic variation using realised volatility |
0 |
0 |
2 |
329 |
2 |
5 |
9 |
993 |
| Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
6 |
9 |
9 |
293 |
| How accurate is the asymptotic approximation to the distribution of realised volatility? |
0 |
0 |
1 |
398 |
5 |
7 |
13 |
1,128 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
2 |
2 |
3 |
687 |
| Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
0 |
78 |
3 |
5 |
5 |
171 |
| Integer-valued trawl processes: A class of stationary infinitely divisible processes |
0 |
0 |
0 |
0 |
7 |
9 |
12 |
15 |
| Integrated OU Processes |
0 |
0 |
1 |
315 |
3 |
5 |
10 |
772 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
186 |
5 |
11 |
20 |
561 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
3 |
4 |
5 |
318 |
| Limit theorems for functionals of higher order differences of Brownian semi-stationary processes |
0 |
0 |
0 |
30 |
5 |
7 |
9 |
126 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
0 |
2 |
5 |
7 |
36 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
4 |
9 |
10 |
397 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
1 |
4 |
5 |
206 |
| Measuring and forecasting financial variability using realised variance with and without a model |
0 |
0 |
1 |
199 |
5 |
7 |
9 |
970 |
| Measuring downside risk - realised semivariance |
0 |
0 |
0 |
112 |
3 |
5 |
8 |
345 |
| Measuring downside risk — realised semivariance |
0 |
0 |
1 |
168 |
3 |
6 |
13 |
385 |
| Measuring downside risk-realised semivariance |
0 |
1 |
1 |
349 |
9 |
14 |
25 |
1,263 |
| Modelling and measuring volatility |
0 |
0 |
2 |
20 |
1 |
3 |
6 |
43 |
| Modelling and measuring volatility |
0 |
0 |
2 |
259 |
1 |
3 |
10 |
377 |
| Modelling electricity forward markets by ambit fields |
0 |
0 |
0 |
108 |
5 |
7 |
10 |
260 |
| Modelling energy spot prices by Lévy semistationary processes |
0 |
0 |
2 |
118 |
5 |
12 |
17 |
196 |
| Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes |
0 |
0 |
0 |
19 |
5 |
7 |
11 |
86 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
0 |
4 |
5 |
6 |
27 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
3 |
6 |
8 |
279 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
1 |
3 |
5 |
302 |
| Multipower Variation for Brownian Semistationary Processes |
0 |
0 |
0 |
37 |
2 |
4 |
5 |
134 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
3 |
3 |
9 |
265 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
10 |
2 |
4 |
6 |
100 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
6 |
14 |
18 |
400 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
12 |
32 |
41 |
237 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
5 |
8 |
13 |
220 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
3 |
5 |
11 |
434 |
| 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 |
5 |
337 |
| Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
0 |
220 |
6 |
8 |
10 |
498 |
| Normal Modified Stable Processes |
0 |
0 |
1 |
43 |
5 |
8 |
13 |
126 |
| Normal modified stable processes |
0 |
0 |
0 |
186 |
2 |
4 |
8 |
565 |
| Power Variation and Time Change |
0 |
0 |
0 |
168 |
3 |
6 |
6 |
480 |
| Power and bipower variation with stochastic volatility and jumps |
0 |
1 |
2 |
847 |
7 |
25 |
43 |
2,051 |
| Power variation & stochastic volatility: a review and some new results |
0 |
0 |
1 |
265 |
6 |
6 |
7 |
684 |
| Power variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
83 |
2 |
4 |
4 |
237 |
| Realised power variation and stochastic volatility models |
0 |
0 |
1 |
346 |
2 |
6 |
8 |
784 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
1 |
5 |
8 |
445 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
2 |
3 |
7 |
369 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
1 |
397 |
1 |
3 |
5 |
815 |
| Stochastic volatility of volatility in continuous time |
0 |
0 |
0 |
194 |
2 |
3 |
6 |
387 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
7 |
9 |
12 |
251 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
8 |
11 |
16 |
351 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
6 |
11 |
13 |
267 |
| The multivariate supOU stochastic volatility model |
0 |
0 |
0 |
58 |
0 |
1 |
1 |
133 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
400 |
5 |
5 |
10 |
1,016 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
295 |
6 |
11 |
14 |
830 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
6 |
7 |
7 |
437 |
| Total Working Papers |
3 |
10 |
42 |
11,518 |
314 |
579 |
865 |
33,100 |
| 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 |
1 |
1 |
3 |
29 |
| Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes |
0 |
0 |
1 |
52 |
1 |
3 |
6 |
152 |
| Apparent scaling |
0 |
0 |
0 |
122 |
0 |
4 |
9 |
458 |
| Approximating exponential models |
0 |
0 |
1 |
33 |
2 |
3 |
5 |
135 |
| Book reviews |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
26 |
| Comment |
0 |
0 |
0 |
8 |
6 |
9 |
10 |
73 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
1 |
2 |
237 |
3 |
16 |
36 |
756 |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
0 |
1 |
279 |
1 |
7 |
16 |
822 |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
0 |
5 |
16 |
417 |
8 |
21 |
59 |
1,336 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
0 |
0 |
343 |
5 |
9 |
20 |
1,048 |
| Estimating quadratic variation using realized variance |
1 |
1 |
1 |
619 |
7 |
12 |
17 |
1,859 |
| Exact Distributional Results for Random Resistance Trees |
0 |
0 |
0 |
7 |
2 |
4 |
4 |
27 |
| Feller processes of normal inverse Gaussian type |
0 |
0 |
0 |
17 |
2 |
4 |
4 |
85 |
| First hitting time models for the generalized inverse Gaussian distribution |
0 |
0 |
0 |
43 |
3 |
8 |
9 |
120 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
1 |
74 |
5 |
7 |
10 |
276 |
| Infinite Divisibility for Stochastic Processes and Time Change |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
| Information quantities in non-classical settings |
0 |
0 |
0 |
10 |
3 |
5 |
6 |
36 |
| Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
0 |
28 |
4 |
7 |
9 |
90 |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
1 |
5 |
2 |
7 |
9 |
29 |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
3 |
5 |
8 |
155 |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
0 |
54 |
2 |
3 |
5 |
309 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
7 |
3 |
6 |
10 |
63 |
| Lévy Copulas: Dynamics and Transforms of Upsilon Type |
0 |
0 |
0 |
52 |
1 |
2 |
4 |
169 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
1 |
1 |
4 |
129 |
11 |
17 |
28 |
460 |
| Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
0 |
3 |
366 |
3 |
10 |
21 |
770 |
| On quantum statistical inference |
0 |
0 |
0 |
26 |
5 |
8 |
10 |
111 |
| On stochastic integration for volatility modulated Lévy-driven Volterra processes |
0 |
0 |
0 |
4 |
4 |
9 |
13 |
80 |
| On the parametrization of autoregressive models by partial autocorrelations |
0 |
0 |
3 |
88 |
2 |
7 |
19 |
224 |
| Power and Bipower Variation with Stochastic Volatility and Jumps |
1 |
2 |
8 |
493 |
8 |
24 |
53 |
1,366 |
| Power variation for Gaussian processes with stationary increments |
0 |
0 |
0 |
10 |
2 |
8 |
8 |
66 |
| Processes of normal inverse Gaussian type |
1 |
2 |
3 |
1,438 |
2 |
4 |
14 |
3,399 |
| Quasi profile and directed likelihoods from estimating functions |
0 |
0 |
0 |
7 |
3 |
3 |
4 |
30 |
| Random Graph Dynamics by Rick Durrett |
0 |
0 |
1 |
118 |
3 |
3 |
5 |
357 |
| Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
7 |
11 |
22 |
610 |
| Regularizing mappings of Lévy measures |
0 |
0 |
0 |
0 |
2 |
3 |
3 |
14 |
| Selfdecomposable Fields |
0 |
0 |
0 |
0 |
3 |
4 |
6 |
6 |
| Semigroups of Upsilon transformations |
0 |
0 |
0 |
0 |
1 |
6 |
8 |
19 |
| Some parametric models on the simplex |
1 |
2 |
5 |
72 |
2 |
4 |
16 |
179 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
16 |
2 |
7 |
8 |
66 |
| Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes |
2 |
2 |
3 |
4 |
4 |
4 |
7 |
13 |
| Stationary and self-similar processes driven by Lévy processes |
0 |
0 |
0 |
9 |
1 |
2 |
4 |
26 |
| Stochastic Volatility of Volatility and Variance Risk Premia |
1 |
2 |
2 |
42 |
4 |
9 |
12 |
120 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
5 |
6 |
8 |
226 |
| Tail Exactness of Multivariate Saddlepoint Approximations |
0 |
0 |
0 |
12 |
1 |
4 |
4 |
38 |
| The interplay between insurance, finance and control |
0 |
0 |
0 |
36 |
2 |
4 |
5 |
88 |
| Total Journal Articles |
8 |
18 |
56 |
5,562 |
142 |
304 |
542 |
16,324 |
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