| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Scientific Classification of Volatility Models |
0 |
0 |
1 |
86 |
0 |
0 |
6 |
171 |
| A Survey on the Four Families of Performance Measures |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
32 |
| A generalized Dynamic Conditional Correlation Model for Portfolio Risk Evaluation |
0 |
0 |
1 |
207 |
0 |
0 |
5 |
567 |
| A multilevel factor approach for the analysis of CDS commonality and risk contribution |
1 |
2 |
8 |
8 |
2 |
6 |
18 |
18 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? |
0 |
0 |
8 |
28 |
1 |
4 |
20 |
54 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data? |
0 |
0 |
0 |
12 |
0 |
1 |
8 |
46 |
| Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures related for Intra-Day Data? |
0 |
0 |
1 |
39 |
0 |
1 |
24 |
72 |
| Asset Allocation Strategies Based On Penalized Quantile Regression |
0 |
1 |
1 |
21 |
1 |
2 |
8 |
59 |
| Asset Allocation Strategies Based on Penalized Quantile Regression |
0 |
0 |
0 |
21 |
3 |
5 |
6 |
38 |
| Backward/forward optimal combination of performance measures for equity screening |
0 |
0 |
1 |
30 |
1 |
2 |
6 |
136 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
34 |
1 |
1 |
5 |
86 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
1 |
19 |
0 |
1 |
7 |
90 |
| Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
29 |
0 |
0 |
8 |
85 |
| CDS Industrial Sector Indices, credit and liquidity risk |
0 |
0 |
1 |
64 |
3 |
5 |
8 |
206 |
| Chasing Volatility. A Persistent Multiplicative Error Model With Jumps |
2 |
3 |
4 |
20 |
2 |
3 |
8 |
75 |
| Chasing volatility - A persistent multiplicative error model with jumps |
0 |
0 |
4 |
90 |
0 |
0 |
11 |
110 |
| Comparing and selecting performance measures for ranking assets |
0 |
1 |
1 |
55 |
0 |
1 |
3 |
209 |
| Comparing and selecting performance measures using rank correlations |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
135 |
| Conditional jumps in volatility and their economic determinants |
0 |
0 |
0 |
49 |
1 |
1 |
5 |
164 |
| Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach |
2 |
3 |
7 |
7 |
2 |
4 |
9 |
9 |
| Contagion between Real Estate and Financial Markets: A Bayesian Quantile-on-Quantile Approach |
2 |
5 |
23 |
23 |
6 |
20 |
68 |
68 |
| Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
28 |
1 |
3 |
7 |
79 |
| Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
38 |
| Dating EU15 Monthly Business Cycle Jointly Using GDP and IPI |
0 |
0 |
0 |
81 |
2 |
2 |
3 |
400 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models |
0 |
0 |
0 |
10 |
0 |
0 |
5 |
67 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models |
0 |
0 |
0 |
43 |
0 |
0 |
4 |
83 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models |
0 |
0 |
1 |
98 |
2 |
2 |
8 |
215 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
27 |
0 |
1 |
11 |
99 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
38 |
1 |
5 |
12 |
127 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
0 |
0 |
59 |
0 |
2 |
10 |
117 |
| Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models |
0 |
1 |
8 |
141 |
3 |
11 |
45 |
422 |
| Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets |
1 |
1 |
10 |
22 |
1 |
3 |
19 |
24 |
| Dynamic Principal Components: a New Class of Multivariate GARCH Models |
1 |
2 |
5 |
90 |
3 |
7 |
20 |
159 |
| Ensemble properties of high frequency data and intraday trading rules |
0 |
0 |
1 |
34 |
3 |
4 |
6 |
93 |
| Estimation and model-based combination of causality networks |
1 |
1 |
5 |
33 |
1 |
1 |
11 |
53 |
| Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model |
0 |
0 |
0 |
9 |
1 |
2 |
3 |
82 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
34 |
1 |
2 |
7 |
80 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
46 |
0 |
2 |
7 |
88 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
40 |
0 |
1 |
7 |
120 |
| Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
8 |
1 |
2 |
7 |
70 |
| Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models |
0 |
0 |
0 |
37 |
1 |
1 |
6 |
64 |
| Forecasting realized (co)variances with a block structure Wishart autoregressive model |
0 |
0 |
0 |
79 |
1 |
1 |
11 |
231 |
| Forecasting temperature indices with timevarying long-memory models |
0 |
0 |
1 |
80 |
3 |
3 |
8 |
271 |
| I Fondi Immobiliari Italiani: Nav Discount E Valutazioni Degli Esperti Indipendenti |
0 |
1 |
2 |
45 |
1 |
5 |
11 |
138 |
| Market linkages, variance spillovers and correlation stability: empirical evidences of financial contagion |
0 |
0 |
1 |
137 |
2 |
2 |
4 |
383 |
| Market volatility, optimal portfolios and naive asset allocations |
0 |
0 |
1 |
61 |
1 |
1 |
5 |
189 |
| Measuring Sovereign Contagion in Europe |
0 |
1 |
4 |
120 |
0 |
3 |
13 |
231 |
| Measuring Sovereign Contagion in Europe |
0 |
1 |
2 |
120 |
0 |
1 |
12 |
158 |
| Measuring sovereign contagion in Europe |
1 |
1 |
1 |
253 |
1 |
1 |
3 |
516 |
| Measuring sovereign contagion in Europe |
0 |
2 |
3 |
50 |
8 |
15 |
26 |
113 |
| Measuring the Behavioral Component of Financial Fluctuations: An Analysis Based on the S&P 500 |
0 |
0 |
0 |
76 |
0 |
1 |
5 |
91 |
| Methodological aspects of time series back-calculation |
0 |
0 |
0 |
58 |
0 |
0 |
1 |
236 |
| Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options |
0 |
0 |
5 |
111 |
2 |
2 |
16 |
227 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
0 |
0 |
0 |
48 |
2 |
2 |
14 |
142 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
0 |
0 |
0 |
32 |
1 |
2 |
9 |
62 |
| Model Selection and Testing of Conditional and Stochastic Volatility Models |
0 |
0 |
0 |
64 |
2 |
4 |
16 |
93 |
| Model based Monte Carlo pricing of energy and temperature quanto options |
0 |
0 |
0 |
57 |
1 |
1 |
3 |
130 |
| Modeling and forecasting realized range volatility |
0 |
0 |
1 |
101 |
2 |
2 |
6 |
130 |
| Modelling and forecasting wind speed intensity for weather risk management |
0 |
0 |
0 |
186 |
0 |
1 |
6 |
692 |
| Multi-jumps |
0 |
1 |
1 |
17 |
0 |
1 |
5 |
76 |
| Multi-jumps |
0 |
0 |
0 |
57 |
0 |
0 |
2 |
103 |
| Multivariate ARCH with spatial effects for stock sector and size |
0 |
0 |
2 |
124 |
0 |
0 |
3 |
223 |
| Networks in risk spillovers: A multivariate GARCH perspective |
0 |
1 |
31 |
31 |
0 |
2 |
30 |
30 |
| Networks in risk spillovers: a multivariate GARCH perspective |
0 |
0 |
6 |
93 |
1 |
2 |
30 |
208 |
| On the (Ab)Use of Omega? |
0 |
0 |
1 |
54 |
2 |
5 |
12 |
166 |
| On the (Ab)Use of Omega? |
0 |
0 |
0 |
0 |
1 |
6 |
23 |
23 |
| On the Predictability of Stock Prices: A Case for High and Low Prices |
0 |
0 |
1 |
52 |
0 |
3 |
19 |
216 |
| On the Predictability of Stock Prices: a Case for High and Low Prices |
0 |
0 |
0 |
14 |
2 |
4 |
10 |
97 |
| On the Predictability of Stock Prices: a Case for High and Low Prices |
0 |
0 |
0 |
81 |
2 |
3 |
9 |
128 |
| Option pricing with non-Gaussian scaling and infinite-state switching volatility |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
39 |
| Precious Metals Under the Microscope: A High-Frequency Analysis |
0 |
0 |
1 |
44 |
2 |
4 |
6 |
117 |
| Price convergence within and between the Italian electricity day-ahead and dispatching services markets |
0 |
0 |
4 |
23 |
1 |
2 |
10 |
43 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
44 |
1 |
1 |
7 |
101 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
41 |
1 |
1 |
5 |
132 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
48 |
2 |
2 |
8 |
142 |
| Ranking Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
51 |
0 |
0 |
8 |
122 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
32 |
0 |
0 |
10 |
100 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
48 |
2 |
3 |
10 |
97 |
| Ranking Multivariate GARCH Models by Problem Dimension: An Empirical Evaluation |
0 |
0 |
0 |
76 |
1 |
2 |
9 |
82 |
| Ranking Multivariate GARCH Models by Problem Dimension:An Empirical Evaluation |
0 |
0 |
1 |
40 |
2 |
3 |
12 |
181 |
| Ranking multivariate GARCH models by problem dimension |
0 |
0 |
0 |
77 |
1 |
1 |
11 |
185 |
| Rational learning for risk-averse investors by conditioning on behavioral choices |
1 |
1 |
1 |
26 |
1 |
1 |
5 |
82 |
| Risk Spillovers in International Equity Portfolios |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
54 |
| Risk spillovers in international equity portfolios |
0 |
0 |
1 |
57 |
2 |
2 |
6 |
109 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
48 |
1 |
1 |
9 |
89 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
1 |
57 |
0 |
0 |
13 |
212 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
1 |
16 |
0 |
1 |
7 |
66 |
| Robust Ranking of Multivariate GARCH Models by Problem Dimension |
0 |
0 |
0 |
4 |
0 |
0 |
9 |
57 |
| Spatial effects in multivariate ARCH |
0 |
0 |
1 |
129 |
0 |
1 |
3 |
270 |
| Structured Multivariate Volatility Models |
0 |
0 |
0 |
109 |
1 |
1 |
2 |
228 |
| Stylized Facts and Dynamic Modeling of High-frequency Data on Precious Metals |
0 |
0 |
3 |
70 |
1 |
1 |
9 |
173 |
| Systemic co-jumps |
2 |
2 |
5 |
35 |
5 |
9 |
22 |
67 |
| Systemic risk for financial institutions of major petroleum-based economies: The role of oil |
0 |
0 |
1 |
48 |
0 |
2 |
9 |
29 |
| Ten Things You Should Know About DCC |
0 |
0 |
0 |
84 |
1 |
2 |
8 |
134 |
| Ten Things You Should Know About DCC |
0 |
0 |
1 |
2 |
0 |
0 |
7 |
43 |
| Ten Things You Should Know About DCC |
0 |
0 |
0 |
39 |
0 |
0 |
7 |
53 |
| Ten Things You Should Know About DCC |
0 |
0 |
2 |
32 |
1 |
4 |
18 |
123 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
3 |
0 |
0 |
6 |
52 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
1 |
10 |
0 |
1 |
13 |
63 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
1 |
1 |
1 |
12 |
4 |
5 |
18 |
81 |
| Ten Things You Should Know About the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
29 |
0 |
0 |
8 |
71 |
| Ten Things you should know about DCC |
0 |
0 |
0 |
7 |
1 |
1 |
6 |
50 |
| Ten Things you should know about the Dynamic Conditional Correlation Representation |
0 |
0 |
0 |
27 |
0 |
2 |
9 |
164 |
| The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode |
0 |
0 |
1 |
50 |
1 |
4 |
12 |
49 |
| The Dynamic Impact of Uncertainty in Causing and Forecasting the Distribution of Oil Returns and Risk |
0 |
0 |
2 |
48 |
2 |
3 |
11 |
93 |
| The Long-Run Oil-Natural Gas Price Relationship And The Shale Gas Revolution |
1 |
3 |
7 |
61 |
2 |
6 |
23 |
115 |
| The Value of Protecting Venice from the Acqua Alta Phenomenon under Different Local Sea Level Rises |
0 |
0 |
5 |
43 |
0 |
2 |
12 |
96 |
| The impact of network connectivity on factor exposures, asset pricing and portfolio diversification |
1 |
5 |
14 |
60 |
3 |
8 |
38 |
119 |
| Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH |
0 |
0 |
0 |
25 |
2 |
2 |
6 |
83 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
14 |
1 |
1 |
6 |
71 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
2 |
2 |
2 |
6 |
44 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
35 |
0 |
0 |
7 |
70 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
11 |
0 |
0 |
5 |
72 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
11 |
1 |
1 |
4 |
63 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
0 |
37 |
1 |
1 |
7 |
124 |
| Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH |
0 |
0 |
1 |
141 |
1 |
1 |
6 |
317 |
| Time-Varying Persistence in US Inflation |
0 |
0 |
0 |
37 |
0 |
1 |
9 |
143 |
| Variance Clustering Improved Dynamic Conditional Correlation MGARCH Estimators |
0 |
0 |
1 |
66 |
0 |
0 |
6 |
186 |
| Volatility Threshold Dynamic Conditional Correlations: An International Analysis |
0 |
0 |
3 |
152 |
0 |
0 |
17 |
436 |
| Volatility jumps and their economic determinants |
3 |
3 |
5 |
56 |
3 |
4 |
11 |
107 |
| Total Working Papers |
20 |
43 |
219 |
6,187 |
130 |
273 |
1,230 |
16,012 |
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