| 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 |
0 |
1 |
1,369 |
1 |
4 |
6 |
4,507 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
549 |
2 |
2 |
5 |
1,749 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
196 |
0 |
1 |
2 |
485 |
| Cointegration and long-horizon forecasting |
0 |
0 |
1 |
618 |
0 |
0 |
4 |
1,576 |
| Company Flexibility, the Value of Management and Managerial Compensation |
0 |
0 |
0 |
151 |
0 |
0 |
0 |
788 |
| Correlation Dynamics and International Diversification Benefits |
0 |
0 |
2 |
92 |
0 |
0 |
4 |
141 |
| Création de valeur, gestion de risque et options réelles |
0 |
0 |
0 |
795 |
0 |
0 |
5 |
3,085 |
| Dating the Turning Points of Nordic Business Cycles |
0 |
0 |
0 |
193 |
0 |
0 |
1 |
582 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
1 |
11 |
0 |
0 |
3 |
86 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
422 |
0 |
0 |
2 |
969 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
11 |
0 |
1 |
3 |
95 |
| Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore |
0 |
0 |
2 |
103 |
1 |
1 |
6 |
298 |
| Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? |
0 |
0 |
0 |
48 |
0 |
0 |
0 |
307 |
| Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? |
0 |
0 |
5 |
174 |
2 |
2 |
9 |
609 |
| Does Realized Skewness Predict the Cross-Section of Equity Returns? |
1 |
1 |
5 |
150 |
1 |
3 |
26 |
429 |
| Dynamic Diversification in Corporate Credit |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
103 |
| Equity Portfolio Management Using Option Price Information |
0 |
0 |
0 |
31 |
0 |
0 |
2 |
176 |
| Estimation Risk in Financial Risk Management |
0 |
0 |
3 |
1,139 |
3 |
6 |
15 |
3,374 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
0 |
0 |
177 |
0 |
0 |
1 |
469 |
| Evaluating Value-at-Risk models with desk-level data |
0 |
0 |
2 |
336 |
1 |
1 |
7 |
916 |
| Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options |
0 |
0 |
0 |
111 |
1 |
1 |
4 |
233 |
| Factor Structure in Commodity Futures Return and Volatility |
1 |
1 |
1 |
79 |
1 |
1 |
3 |
171 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
1 |
230 |
0 |
2 |
5 |
675 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
1 |
3 |
212 |
0 |
2 |
6 |
593 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
0 |
0 |
0 |
576 |
0 |
0 |
2 |
1,943 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
1 |
207 |
0 |
1 |
4 |
585 |
| Financial Risk Measurement for Financial Risk Management |
0 |
1 |
3 |
181 |
1 |
4 |
13 |
543 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
0 |
247 |
0 |
0 |
4 |
552 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
0 |
0 |
1 |
215 |
0 |
0 |
1 |
417 |
| Forecasting with Option Implied Information |
0 |
2 |
3 |
172 |
0 |
3 |
10 |
380 |
| Forward-Looking Betas |
0 |
1 |
2 |
153 |
1 |
2 |
7 |
558 |
| From Inflation to Growth: Eight Years of Transition |
0 |
0 |
0 |
302 |
0 |
0 |
1 |
917 |
| GARCH Option Valuation: Theory and Evidence |
0 |
1 |
1 |
223 |
1 |
2 |
13 |
454 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
513 |
0 |
1 |
4 |
1,742 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
790 |
1 |
1 |
2 |
2,796 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
1 |
1 |
333 |
0 |
1 |
1 |
914 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
597 |
0 |
0 |
1 |
1,581 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
0 |
58 |
0 |
0 |
2 |
257 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
0 |
47 |
0 |
0 |
4 |
173 |
| Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
131 |
0 |
0 |
1 |
458 |
| Is Poland Ready for Inflation Targeting? |
0 |
0 |
0 |
215 |
0 |
0 |
1 |
674 |
| Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach |
0 |
0 |
1 |
55 |
0 |
0 |
10 |
243 |
| Is the Potential for International Diversification Disappearing? |
0 |
0 |
0 |
4 |
1 |
2 |
2 |
27 |
| Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
146 |
0 |
0 |
2 |
523 |
| Let's Get "Real" about Using Economic Data |
0 |
0 |
0 |
95 |
0 |
0 |
2 |
455 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
0 |
0 |
2 |
896 |
| Market Skewness Risk and the Cross-Section of Stock Returns |
0 |
0 |
1 |
59 |
4 |
4 |
5 |
138 |
| Martingale Tests of Value-at-Risk |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
867 |
| Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
0 |
0 |
122 |
0 |
1 |
2 |
370 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
120 |
0 |
0 |
1 |
180 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
44 |
0 |
0 |
3 |
236 |
| Oil Volatility Risk and Expected Stock Returns |
0 |
0 |
1 |
68 |
0 |
3 |
6 |
175 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
0 |
0 |
0 |
1,082 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
77 |
0 |
4 |
7 |
361 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
0 |
1 |
5 |
441 |
| Optimal prediction under asymmetric loss |
0 |
0 |
1 |
293 |
0 |
1 |
5 |
1,021 |
| Option Anomalies and the Pricing Kernel |
0 |
1 |
1 |
12 |
0 |
1 |
2 |
66 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
0 |
82 |
0 |
0 |
1 |
285 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
2 |
2 |
35 |
0 |
2 |
3 |
155 |
| Option Valuation with Conditional Skewness |
0 |
0 |
2 |
666 |
0 |
3 |
6 |
2,906 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
0 |
77 |
2 |
2 |
3 |
259 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
1 |
328 |
0 |
0 |
4 |
1,003 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
81 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
92 |
| Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels |
0 |
0 |
0 |
32 |
1 |
1 |
2 |
113 |
| Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
138 |
| Option-Implied Measures of Equity Risk |
0 |
0 |
5 |
166 |
1 |
2 |
9 |
339 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
0 |
569 |
0 |
0 |
0 |
1,190 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
2 |
421 |
0 |
0 |
6 |
898 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
2 |
397 |
0 |
1 |
5 |
854 |
| Rare Disasters and Credit Market Puzzles |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
119 |
| Size Matters: The Impact of Capital Market Liberalization on Individual Firms |
0 |
0 |
0 |
189 |
1 |
3 |
4 |
1,091 |
| Testing and Comparing Value-at-Risk Measures |
0 |
0 |
1 |
2,082 |
1 |
1 |
7 |
5,288 |
| Testing, Comparing, and Combining Value at Risk Measures |
0 |
0 |
1 |
622 |
0 |
0 |
1 |
1,283 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
1 |
2 |
2 |
99 |
2 |
4 |
8 |
399 |
| The Factor Structure in Equity Options |
0 |
1 |
1 |
34 |
0 |
1 |
2 |
166 |
| The Importance of the Loss Function in Option Pricing |
0 |
0 |
0 |
197 |
0 |
0 |
1 |
846 |
| The Importance of the Loss Function in Option Valuation |
0 |
0 |
1 |
266 |
0 |
1 |
6 |
1,105 |
| The Informational Content of Over-the-Counter Currency Options |
0 |
0 |
0 |
225 |
0 |
0 |
1 |
1,097 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
84 |
1 |
1 |
3 |
211 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well |
0 |
1 |
1 |
252 |
0 |
2 |
4 |
634 |
| The informational content of over-the-counter currency options |
0 |
0 |
0 |
137 |
0 |
0 |
1 |
732 |
| Time-Varying Crash Risk: The Role of Stock Market Liquidity |
0 |
0 |
1 |
65 |
1 |
4 |
8 |
125 |
| 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 |
1 |
1 |
764 |
0 |
1 |
2 |
2,598 |
| Volatility Components, Affine Restrictions and Non-Normal Innovations |
0 |
0 |
0 |
69 |
0 |
0 |
0 |
236 |
| Volatility Forecasting |
0 |
0 |
3 |
561 |
1 |
1 |
8 |
1,001 |
| Volatility Forecasting |
0 |
0 |
2 |
950 |
0 |
1 |
8 |
1,274 |
| Volatility forecasting |
0 |
0 |
3 |
338 |
0 |
0 |
6 |
735 |
| Which Volatility Model for Option Valuation? |
0 |
0 |
0 |
621 |
0 |
0 |
0 |
1,572 |
| Total Working Papers |
3 |
17 |
76 |
24,465 |
33 |
90 |
356 |
73,702 |
| 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 |
2 |
2 |
581 |
1 |
5 |
14 |
1,643 |
| Beta Risk in the Cross-Section of Equities |
0 |
0 |
0 |
9 |
0 |
1 |
4 |
50 |
| Capturing Option Anomalies with a Variance-Dependent Pricing Kernel |
0 |
1 |
5 |
75 |
0 |
1 |
7 |
186 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
456 |
| Correlation dynamics and international diversification benefits |
0 |
0 |
2 |
46 |
0 |
3 |
24 |
187 |
| Does realized skewness predict the cross-section of equity returns? |
0 |
2 |
34 |
437 |
1 |
8 |
90 |
1,266 |
| Dynamic Dependence and Diversification in Corporate Credit* |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options |
1 |
1 |
7 |
147 |
2 |
3 |
17 |
419 |
| Estimation risk in financial risk management |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
3 |
| Evaluating Interval Forecasts |
0 |
0 |
0 |
3 |
4 |
14 |
85 |
2,758 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
0 |
2 |
133 |
0 |
1 |
11 |
361 |
| Factor Structure in Commodity Futures Return and Volatility |
1 |
1 |
1 |
12 |
1 |
1 |
3 |
60 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
1 |
52 |
1 |
1 |
7 |
287 |
| From Inflation to Growth |
0 |
0 |
0 |
31 |
1 |
1 |
1 |
86 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
0 |
0 |
194 |
0 |
0 |
0 |
657 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
0 |
0 |
1 |
757 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
1 |
3 |
347 |
1 |
3 |
8 |
1,115 |
| Illiquidity Premia in the Equity Options Market |
1 |
1 |
1 |
8 |
1 |
1 |
2 |
70 |
| Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1,040 |
| Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach |
0 |
0 |
1 |
96 |
1 |
1 |
12 |
315 |
| Let's get "real" about using economic data |
0 |
0 |
1 |
73 |
1 |
1 |
3 |
317 |
| Market skewness risk and the cross section of stock returns |
0 |
1 |
5 |
413 |
3 |
5 |
22 |
1,136 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
2 |
11 |
0 |
0 |
3 |
54 |
| Oil volatility risk and expected stock returns |
0 |
0 |
4 |
17 |
0 |
3 |
12 |
119 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
1 |
72 |
1 |
1 |
3 |
248 |
| Option Valuation with Conditional Heteroskedasticity and Nonnormality |
0 |
1 |
6 |
81 |
0 |
4 |
16 |
223 |
| Option valuation with conditional skewness |
0 |
1 |
3 |
221 |
1 |
3 |
5 |
514 |
| Option valuation with long-run and short-run volatility components |
0 |
0 |
2 |
283 |
0 |
0 |
4 |
928 |
| Option valuation with observable volatility and jump dynamics |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
87 |
| Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk |
0 |
1 |
1 |
13 |
1 |
3 |
8 |
60 |
| Option-Implied Measures of Equity Risk |
0 |
0 |
2 |
78 |
0 |
5 |
11 |
219 |
| Rare Disasters, Credit, and Option Market Puzzles |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
7 |
| Size matters: The impact of financial liberalization on individual firms |
0 |
0 |
0 |
33 |
0 |
0 |
2 |
141 |
| Testing and comparing Value-at-Risk measures |
0 |
1 |
6 |
269 |
0 |
2 |
10 |
718 |
| The Accuracy of Density Forecasts from Foreign Exchange Options |
0 |
0 |
1 |
58 |
0 |
0 |
5 |
167 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
1 |
36 |
0 |
0 |
5 |
115 |
| The Factor Structure in Equity Options |
0 |
0 |
0 |
13 |
0 |
2 |
6 |
64 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
1 |
11 |
0 |
1 |
2 |
67 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well |
0 |
0 |
2 |
81 |
1 |
1 |
12 |
281 |
| The State Price Density Implied by Crude Oil Futures and Option Prices |
0 |
0 |
4 |
16 |
0 |
0 |
9 |
36 |
| The importance of the loss function in option valuation |
0 |
0 |
2 |
141 |
0 |
2 |
11 |
483 |
| Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity* |
0 |
0 |
1 |
4 |
0 |
1 |
6 |
16 |
| Towards a global financial architecture: capital mobility and risk management issues |
0 |
0 |
0 |
44 |
1 |
1 |
1 |
205 |
| Volatility Components, Affine Restrictions, and Nonnormal Innovations |
0 |
0 |
0 |
32 |
1 |
2 |
3 |
127 |
| Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices |
2 |
2 |
6 |
71 |
2 |
2 |
11 |
235 |
| Which GARCH Model for Option Valuation? |
1 |
3 |
4 |
82 |
2 |
5 |
10 |
202 |
| Total Journal Articles |
6 |
19 |
115 |
4,537 |
28 |
88 |
475 |
18,488 |
LogEc is hosted by the
Örebro University School of Business.