| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| Backtesting Value-at-Risk: A Duration-Based Approach |
0 |
1 |
5 |
1,363 |
0 |
2 |
20 |
4,482 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
196 |
0 |
0 |
3 |
481 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
1 |
548 |
0 |
0 |
8 |
1,741 |
| Cointegration and long-horizon forecasting |
0 |
0 |
1 |
616 |
1 |
1 |
6 |
1,563 |
| Company Flexibility, the Value of Management and Managerial Compensation |
0 |
0 |
0 |
151 |
0 |
0 |
3 |
787 |
| Correlation Dynamics and International Diversification Benefits |
0 |
0 |
2 |
88 |
0 |
0 |
5 |
133 |
| Création de valeur, gestion de risque et options réelles |
0 |
0 |
2 |
795 |
0 |
0 |
4 |
3,079 |
| Dating the Turning Points of Nordic Business Cycles |
0 |
1 |
1 |
190 |
1 |
4 |
13 |
575 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
1 |
11 |
0 |
1 |
7 |
91 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
421 |
0 |
1 |
5 |
961 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
80 |
| Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore |
0 |
0 |
1 |
101 |
0 |
0 |
3 |
291 |
| Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? |
0 |
0 |
0 |
47 |
0 |
0 |
3 |
306 |
| Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? |
0 |
1 |
3 |
154 |
1 |
3 |
9 |
547 |
| Does Realized Skewness Predict the Cross-Section of Equity Returns? |
0 |
2 |
6 |
130 |
2 |
6 |
24 |
353 |
| Dynamic Diversification in Corporate Credit |
0 |
0 |
1 |
44 |
0 |
1 |
8 |
99 |
| Equity Portfolio Management Using Option Price Information |
0 |
0 |
0 |
30 |
0 |
1 |
27 |
128 |
| Estimation Risk in Financial Risk Management |
0 |
4 |
6 |
1,117 |
0 |
4 |
14 |
3,331 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
0 |
3 |
174 |
0 |
0 |
11 |
457 |
| Evaluating Value-at-Risk models with desk-level data |
0 |
0 |
2 |
333 |
0 |
3 |
10 |
898 |
| Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options |
0 |
1 |
2 |
111 |
0 |
2 |
7 |
228 |
| Factor Structure in Commodity Futures Return and Volatility |
0 |
0 |
3 |
77 |
1 |
3 |
14 |
163 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
0 |
206 |
0 |
0 |
5 |
579 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
0 |
227 |
0 |
0 |
1 |
666 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
0 |
1 |
1 |
575 |
0 |
1 |
5 |
1,939 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
237 |
1 |
2 |
25 |
510 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
4 |
198 |
1 |
2 |
14 |
559 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
1 |
176 |
2 |
5 |
36 |
506 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
1 |
1 |
2 |
213 |
1 |
3 |
8 |
413 |
| Forecasting with Option Implied Information |
0 |
1 |
4 |
155 |
1 |
2 |
8 |
339 |
| Forward-Looking Betas |
1 |
3 |
11 |
140 |
2 |
7 |
58 |
488 |
| From Inflation to Growth: Eight Years of Transition |
0 |
0 |
5 |
301 |
1 |
2 |
11 |
906 |
| GARCH Option Valuation: Theory and Evidence |
0 |
0 |
9 |
215 |
0 |
1 |
19 |
411 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
0 |
511 |
0 |
1 |
8 |
1,734 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
331 |
1 |
1 |
5 |
907 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
597 |
1 |
1 |
7 |
1,575 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
1 |
1 |
790 |
0 |
2 |
6 |
2,788 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
2 |
58 |
2 |
3 |
16 |
218 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
1 |
46 |
0 |
0 |
5 |
164 |
| Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
130 |
0 |
0 |
0 |
453 |
| Is Poland Ready for Inflation Targeting? |
0 |
0 |
0 |
215 |
0 |
0 |
3 |
673 |
| Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach |
0 |
0 |
0 |
53 |
0 |
2 |
19 |
223 |
| Is the Potential for International Diversification Disappearing? |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
25 |
| Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
146 |
0 |
0 |
0 |
521 |
| Let's Get "Real" about Using Economic Data |
0 |
0 |
0 |
95 |
0 |
0 |
2 |
453 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
0 |
0 |
1 |
893 |
| Market Skewness Risk and the Cross-Section of Stock Returns |
0 |
0 |
2 |
54 |
0 |
2 |
11 |
113 |
| Martingale Tests of Value-at-Risk |
0 |
0 |
0 |
1 |
0 |
3 |
19 |
844 |
| Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
0 |
1 |
119 |
0 |
0 |
4 |
356 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
40 |
1 |
1 |
7 |
221 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
2 |
119 |
0 |
0 |
7 |
175 |
| Oil Volatility Risk and Expected Stock Returns |
0 |
0 |
0 |
66 |
0 |
0 |
1 |
164 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
0 |
0 |
3 |
436 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
0 |
0 |
2 |
1,080 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
77 |
0 |
0 |
4 |
352 |
| Optimal prediction under asymmetric loss |
0 |
0 |
1 |
291 |
1 |
1 |
6 |
1,012 |
| Option Anomalies and the Pricing Kernel |
0 |
0 |
2 |
7 |
1 |
2 |
5 |
48 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
1 |
2 |
32 |
0 |
2 |
6 |
147 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
1 |
81 |
0 |
1 |
11 |
280 |
| Option Valuation with Conditional Skewness |
0 |
0 |
1 |
661 |
0 |
0 |
3 |
2,886 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
1 |
75 |
0 |
0 |
9 |
249 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
3 |
322 |
0 |
1 |
13 |
982 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
1 |
1 |
20 |
0 |
1 |
2 |
79 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
1 |
1 |
14 |
1 |
3 |
12 |
86 |
| Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels |
0 |
1 |
1 |
32 |
0 |
1 |
5 |
107 |
| Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk |
0 |
1 |
2 |
39 |
0 |
1 |
5 |
125 |
| Option-Implied Measures of Equity Risk |
0 |
1 |
8 |
161 |
1 |
3 |
19 |
329 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
1 |
568 |
1 |
2 |
5 |
1,178 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
417 |
2 |
2 |
9 |
872 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
0 |
394 |
1 |
2 |
8 |
816 |
| Rare Disasters and Credit Market Puzzles |
0 |
0 |
1 |
38 |
0 |
0 |
1 |
114 |
| Size Matters: The Impact of Capital Market Liberalization on Individual Firms |
0 |
0 |
0 |
189 |
0 |
0 |
0 |
1,087 |
| Testing and Comparing Value-at-Risk Measures |
0 |
0 |
1 |
2,077 |
1 |
1 |
6 |
5,266 |
| Testing, Comparing, and Combining Value at Risk Measures |
0 |
0 |
2 |
620 |
0 |
1 |
8 |
1,277 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
1 |
2 |
95 |
0 |
2 |
11 |
378 |
| The Factor Structure in Equity Options |
0 |
0 |
1 |
32 |
1 |
1 |
14 |
157 |
| The Importance of the Loss Function in Option Pricing |
0 |
0 |
3 |
197 |
0 |
0 |
8 |
845 |
| The Importance of the Loss Function in Option Valuation |
0 |
1 |
1 |
262 |
0 |
3 |
28 |
1,086 |
| The Informational Content of Over-the-Counter Currency Options |
0 |
0 |
0 |
225 |
0 |
0 |
3 |
1,094 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
84 |
0 |
1 |
4 |
206 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well |
1 |
1 |
2 |
248 |
1 |
2 |
8 |
615 |
| The informational content of over-the-counter currency options |
0 |
0 |
0 |
137 |
0 |
0 |
1 |
729 |
| Time-Varying Crash Risk: The Role of Stock Market Liquidity |
1 |
2 |
2 |
62 |
1 |
3 |
6 |
110 |
| Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
87 |
| Value Creation through Real Options Management |
0 |
0 |
0 |
169 |
0 |
0 |
0 |
349 |
| Value creation, risk management, and real options |
0 |
0 |
0 |
761 |
0 |
0 |
5 |
2,592 |
| Volatility Components, Affine Restrictions and Non-Normal Innovations |
0 |
0 |
1 |
68 |
1 |
1 |
5 |
234 |
| Volatility Forecasting |
0 |
0 |
0 |
945 |
1 |
1 |
15 |
1,254 |
| Volatility Forecasting |
2 |
4 |
9 |
547 |
4 |
7 |
45 |
943 |
| Volatility forecasting |
0 |
1 |
1 |
330 |
0 |
4 |
26 |
695 |
| Which Volatility Model for Option Valuation? |
0 |
0 |
0 |
619 |
0 |
0 |
5 |
1,569 |
| Total Working Papers |
6 |
34 |
139 |
24,175 |
38 |
122 |
844 |
72,341 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| Backtesting Value-at-Risk: A Duration-Based Approach |
0 |
7 |
18 |
562 |
3 |
17 |
65 |
1,577 |
| Beta Risk in the Cross-Section of Equities |
1 |
1 |
5 |
8 |
1 |
3 |
14 |
34 |
| Capturing Option Anomalies with a Variance-Dependent Pricing Kernel |
0 |
1 |
5 |
56 |
1 |
5 |
16 |
151 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
444 |
| Correlation dynamics and international diversification benefits |
0 |
0 |
1 |
33 |
0 |
0 |
12 |
126 |
| Does realized skewness predict the cross-section of equity returns? |
2 |
8 |
54 |
307 |
5 |
25 |
151 |
916 |
| Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options |
1 |
1 |
11 |
115 |
3 |
6 |
32 |
344 |
| Evaluating Interval Forecasts |
0 |
0 |
0 |
3 |
3 |
28 |
130 |
2,492 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
1 |
1 |
6 |
121 |
1 |
4 |
22 |
323 |
| Factor Structure in Commodity Futures Return and Volatility |
0 |
1 |
3 |
9 |
1 |
2 |
14 |
50 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
1 |
2 |
45 |
1 |
6 |
11 |
263 |
| From Inflation to Growth |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
83 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
0 |
1 |
193 |
0 |
0 |
6 |
656 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
1 |
190 |
0 |
0 |
4 |
754 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
1 |
1 |
7 |
341 |
1 |
1 |
21 |
1,090 |
| Illiquidity Premia in the Equity Options Market |
0 |
1 |
2 |
6 |
0 |
3 |
12 |
60 |
| Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1,038 |
| Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach |
2 |
3 |
9 |
88 |
2 |
3 |
22 |
280 |
| Let's get "real" about using economic data |
1 |
2 |
2 |
71 |
2 |
4 |
12 |
310 |
| Market skewness risk and the cross section of stock returns |
2 |
8 |
27 |
373 |
4 |
18 |
55 |
1,019 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
8 |
0 |
0 |
5 |
45 |
| Oil volatility risk and expected stock returns |
0 |
0 |
1 |
11 |
0 |
1 |
22 |
89 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
5 |
68 |
0 |
0 |
12 |
236 |
| Option Valuation with Conditional Heteroskedasticity and Nonnormality |
0 |
1 |
7 |
71 |
0 |
1 |
18 |
190 |
| Option valuation with conditional skewness |
0 |
4 |
15 |
206 |
0 |
7 |
26 |
485 |
| Option valuation with long-run and short-run volatility components |
0 |
3 |
10 |
275 |
1 |
9 |
31 |
900 |
| Option valuation with observable volatility and jump dynamics |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
78 |
| Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk |
0 |
1 |
3 |
8 |
1 |
3 |
17 |
37 |
| Option-Implied Measures of Equity Risk |
0 |
3 |
10 |
73 |
0 |
5 |
17 |
191 |
| Rare Disasters, Credit, and Option Market Puzzles |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| Size matters: The impact of financial liberalization on individual firms |
0 |
0 |
0 |
32 |
0 |
1 |
4 |
133 |
| Testing and comparing Value-at-Risk measures |
0 |
1 |
1 |
254 |
0 |
4 |
9 |
688 |
| The Accuracy of Density Forecasts from Foreign Exchange Options |
0 |
0 |
1 |
57 |
0 |
1 |
6 |
158 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
1 |
33 |
0 |
1 |
5 |
100 |
| The Factor Structure in Equity Options |
0 |
0 |
3 |
13 |
0 |
0 |
8 |
54 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
10 |
0 |
0 |
4 |
61 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well |
0 |
0 |
4 |
70 |
0 |
3 |
24 |
251 |
| The importance of the loss function in option valuation |
0 |
0 |
3 |
124 |
1 |
4 |
20 |
428 |
| Towards a global financial architecture: capital mobility and risk management issues |
0 |
0 |
0 |
42 |
0 |
0 |
2 |
200 |
| Volatility Components, Affine Restrictions, and Nonnormal Innovations |
0 |
0 |
0 |
32 |
0 |
0 |
2 |
122 |
| Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
2 |
6 |
48 |
2 |
5 |
12 |
184 |
| Which GARCH Model for Option Valuation? |
0 |
2 |
3 |
70 |
1 |
4 |
18 |
176 |
| Total Journal Articles |
11 |
53 |
227 |
4,075 |
34 |
174 |
872 |
16,820 |
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