| 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 |
2 |
1,363 |
0 |
2 |
10 |
4,485 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
196 |
0 |
0 |
0 |
481 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
548 |
0 |
1 |
1 |
1,742 |
| Cointegration and long-horizon forecasting |
0 |
0 |
0 |
616 |
0 |
0 |
2 |
1,564 |
| Company Flexibility, the Value of Management and Managerial Compensation |
0 |
0 |
0 |
151 |
0 |
0 |
0 |
787 |
| Correlation Dynamics and International Diversification Benefits |
0 |
1 |
3 |
90 |
0 |
1 |
4 |
136 |
| Création de valeur, gestion de risque et options réelles |
0 |
0 |
0 |
795 |
0 |
0 |
2 |
3,080 |
| Dating the Turning Points of Nordic Business Cycles |
1 |
1 |
2 |
191 |
1 |
2 |
11 |
578 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
91 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
421 |
1 |
2 |
4 |
963 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
9 |
1 |
1 |
1 |
81 |
| Direction-of-Change Forecasts for Asian Equity Markets Based on Conditional Variance, Skewness and Kurtosis Dynamics: Evidence from Hong Kong and Singapore |
0 |
0 |
0 |
101 |
0 |
1 |
1 |
292 |
| Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
306 |
| Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? |
2 |
2 |
7 |
159 |
3 |
10 |
23 |
566 |
| Does Realized Skewness Predict the Cross-Section of Equity Returns? |
0 |
2 |
10 |
137 |
2 |
8 |
33 |
378 |
| Dynamic Diversification in Corporate Credit |
0 |
0 |
2 |
45 |
0 |
0 |
3 |
100 |
| Equity Portfolio Management Using Option Price Information |
0 |
0 |
0 |
30 |
3 |
10 |
23 |
147 |
| Estimation Risk in Financial Risk Management |
3 |
4 |
9 |
1,121 |
5 |
6 |
14 |
3,339 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
1 |
2 |
175 |
0 |
2 |
6 |
461 |
| Evaluating Value-at-Risk models with desk-level data |
0 |
0 |
1 |
334 |
1 |
2 |
9 |
902 |
| Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options |
0 |
0 |
1 |
111 |
0 |
0 |
4 |
229 |
| Factor Structure in Commodity Futures Return and Volatility |
0 |
0 |
1 |
77 |
0 |
1 |
5 |
164 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
0 |
206 |
1 |
1 |
2 |
580 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
1 |
1 |
228 |
0 |
1 |
1 |
667 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
0 |
0 |
1 |
575 |
0 |
0 |
1 |
1,939 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
1 |
177 |
0 |
0 |
16 |
513 |
| Financial Risk Measurement for Financial Risk Management |
0 |
2 |
3 |
239 |
1 |
6 |
20 |
521 |
| Financial Risk Measurement for Financial Risk Management |
1 |
1 |
4 |
201 |
2 |
5 |
13 |
567 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
0 |
0 |
1 |
213 |
0 |
1 |
5 |
415 |
| Forecasting with Option Implied Information |
0 |
2 |
5 |
158 |
0 |
4 |
8 |
344 |
| Forward-Looking Betas |
0 |
2 |
9 |
145 |
1 |
8 |
36 |
506 |
| From Inflation to Growth: Eight Years of Transition |
0 |
0 |
1 |
301 |
1 |
1 |
6 |
908 |
| GARCH Option Valuation: Theory and Evidence |
1 |
1 |
4 |
217 |
2 |
4 |
13 |
419 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
0 |
511 |
0 |
0 |
3 |
1,734 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
1 |
790 |
0 |
2 |
5 |
2,791 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
1 |
332 |
1 |
2 |
5 |
911 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
597 |
0 |
0 |
2 |
1,575 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
1 |
46 |
0 |
0 |
1 |
164 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
1 |
58 |
7 |
13 |
28 |
239 |
| Interest Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
130 |
0 |
0 |
2 |
455 |
| Is Poland Ready for Inflation Targeting? |
0 |
0 |
0 |
215 |
0 |
0 |
0 |
673 |
| Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach |
0 |
0 |
0 |
53 |
0 |
0 |
3 |
224 |
| Is the Potential for International Diversification Disappearing? |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
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 |
0 |
453 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
0 |
0 |
1 |
894 |
| Market Skewness Risk and the Cross-Section of Stock Returns |
0 |
0 |
2 |
55 |
1 |
1 |
9 |
117 |
| Martingale Tests of Value-at-Risk |
0 |
0 |
0 |
1 |
3 |
3 |
16 |
856 |
| Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
0 |
2 |
120 |
1 |
3 |
6 |
361 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
1 |
41 |
0 |
0 |
3 |
223 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
119 |
0 |
0 |
1 |
175 |
| Oil Volatility Risk and Expected Stock Returns |
0 |
0 |
0 |
66 |
0 |
0 |
0 |
164 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
0 |
0 |
0 |
1,080 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
77 |
0 |
0 |
1 |
352 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
0 |
0 |
0 |
436 |
| Optimal prediction under asymmetric loss |
0 |
0 |
0 |
291 |
0 |
1 |
2 |
1,013 |
| Option Anomalies and the Pricing Kernel |
0 |
0 |
0 |
7 |
0 |
2 |
5 |
50 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
1 |
32 |
0 |
0 |
2 |
147 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
0 |
81 |
0 |
0 |
1 |
280 |
| Option Valuation with Conditional Skewness |
0 |
0 |
2 |
662 |
1 |
1 |
4 |
2,889 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
0 |
75 |
0 |
0 |
2 |
249 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
1 |
4 |
325 |
0 |
1 |
9 |
988 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
1 |
14 |
0 |
0 |
7 |
89 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
2 |
21 |
0 |
0 |
2 |
80 |
| Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels |
0 |
0 |
1 |
32 |
0 |
0 |
3 |
107 |
| Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk |
0 |
0 |
2 |
40 |
1 |
2 |
6 |
130 |
| Option-Implied Measures of Equity Risk |
0 |
0 |
2 |
161 |
0 |
1 |
7 |
330 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
418 |
2 |
3 |
9 |
877 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
2 |
569 |
0 |
2 |
5 |
1,181 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
395 |
5 |
13 |
23 |
836 |
| Rare Disasters and Credit Market Puzzles |
0 |
0 |
1 |
38 |
0 |
0 |
3 |
116 |
| 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 |
0 |
1 |
5 |
5,269 |
| Testing, Comparing, and Combining Value at Risk Measures |
0 |
0 |
0 |
620 |
0 |
1 |
6 |
1,280 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
1 |
95 |
0 |
0 |
8 |
382 |
| The Factor Structure in Equity Options |
0 |
1 |
1 |
33 |
1 |
2 |
9 |
161 |
| The Importance of the Loss Function in Option Pricing |
0 |
0 |
1 |
197 |
0 |
0 |
1 |
845 |
| The Importance of the Loss Function in Option Valuation |
0 |
1 |
2 |
263 |
1 |
2 |
7 |
1,089 |
| The Informational Content of Over-the-Counter Currency Options |
0 |
0 |
0 |
225 |
0 |
0 |
0 |
1,094 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
84 |
0 |
0 |
1 |
206 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well |
0 |
0 |
1 |
248 |
1 |
1 |
5 |
618 |
| The informational content of over-the-counter currency options |
0 |
0 |
0 |
137 |
0 |
0 |
1 |
730 |
| Time-Varying Crash Risk: The Role of Stock Market Liquidity |
0 |
1 |
3 |
63 |
0 |
1 |
7 |
112 |
| 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 |
1 |
1 |
2,593 |
| Volatility Components, Affine Restrictions and Non-Normal Innovations |
0 |
0 |
0 |
68 |
1 |
1 |
2 |
235 |
| Volatility Forecasting |
0 |
2 |
2 |
947 |
0 |
5 |
7 |
1,259 |
| Volatility Forecasting |
0 |
1 |
10 |
553 |
1 |
3 |
32 |
962 |
| Volatility forecasting |
0 |
1 |
3 |
332 |
1 |
3 |
13 |
701 |
| Which Volatility Model for Option Valuation? |
0 |
0 |
0 |
619 |
0 |
0 |
0 |
1,569 |
| Total Working Papers |
8 |
29 |
124 |
24,240 |
53 |
151 |
560 |
72,664 |
| 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 |
1 |
18 |
567 |
3 |
8 |
48 |
1,594 |
| Beta Risk in the Cross-Section of Equities |
0 |
0 |
1 |
8 |
0 |
1 |
4 |
35 |
| Capturing Option Anomalies with a Variance-Dependent Pricing Kernel |
1 |
2 |
6 |
59 |
2 |
4 |
14 |
157 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
446 |
| Correlation dynamics and international diversification benefits |
0 |
0 |
3 |
36 |
1 |
5 |
12 |
137 |
| Does realized skewness predict the cross-section of equity returns? |
1 |
6 |
45 |
336 |
4 |
23 |
118 |
994 |
| Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options |
0 |
0 |
8 |
119 |
6 |
7 |
28 |
360 |
| Evaluating Interval Forecasts |
0 |
0 |
0 |
3 |
15 |
29 |
96 |
2,546 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
0 |
5 |
124 |
1 |
1 |
14 |
330 |
| Factor Structure in Commodity Futures Return and Volatility |
0 |
0 |
2 |
10 |
0 |
1 |
7 |
54 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
1 |
3 |
47 |
0 |
1 |
14 |
269 |
| From Inflation to Growth |
0 |
0 |
0 |
31 |
1 |
1 |
1 |
84 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
0 |
0 |
193 |
0 |
0 |
0 |
656 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
0 |
190 |
1 |
1 |
1 |
755 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
1 |
2 |
6 |
343 |
1 |
3 |
11 |
1,096 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
2 |
7 |
1 |
1 |
6 |
63 |
| Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,038 |
| Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach |
1 |
1 |
8 |
90 |
1 |
4 |
16 |
287 |
| Let's get "real" about using economic data |
0 |
0 |
2 |
71 |
0 |
0 |
5 |
311 |
| Market skewness risk and the cross section of stock returns |
1 |
5 |
24 |
384 |
4 |
10 |
53 |
1,043 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
8 |
0 |
1 |
3 |
47 |
| Oil volatility risk and expected stock returns |
0 |
0 |
1 |
12 |
1 |
2 |
17 |
97 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
1 |
69 |
0 |
0 |
5 |
240 |
| Option Valuation with Conditional Heteroskedasticity and Nonnormality |
0 |
1 |
5 |
73 |
2 |
4 |
9 |
196 |
| Option valuation with conditional skewness |
0 |
1 |
11 |
208 |
2 |
5 |
22 |
494 |
| Option valuation with long-run and short-run volatility components |
1 |
1 |
10 |
277 |
1 |
3 |
24 |
907 |
| Option valuation with observable volatility and jump dynamics |
0 |
1 |
1 |
19 |
0 |
1 |
1 |
79 |
| Option-Based Estimation of the Price of Coskewness and Cokurtosis Risk |
0 |
1 |
4 |
11 |
1 |
2 |
12 |
45 |
| Option-Implied Measures of Equity Risk |
0 |
1 |
9 |
75 |
3 |
4 |
16 |
198 |
| Rare Disasters, Credit, and Option Market Puzzles |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Size matters: The impact of financial liberalization on individual firms |
0 |
0 |
1 |
33 |
0 |
0 |
4 |
136 |
| Testing and comparing Value-at-Risk measures |
0 |
1 |
3 |
256 |
0 |
1 |
10 |
692 |
| The Accuracy of Density Forecasts from Foreign Exchange Options |
0 |
0 |
0 |
57 |
0 |
0 |
1 |
158 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
1 |
2 |
35 |
0 |
2 |
8 |
107 |
| The Factor Structure in Equity Options |
0 |
0 |
2 |
13 |
0 |
1 |
4 |
56 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
62 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well |
2 |
3 |
6 |
74 |
3 |
5 |
19 |
262 |
| The importance of the loss function in option valuation |
1 |
1 |
3 |
127 |
1 |
2 |
14 |
435 |
| Towards a global financial architecture: capital mobility and risk management issues |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
200 |
| Volatility Components, Affine Restrictions, and Nonnormal Innovations |
0 |
0 |
0 |
32 |
0 |
0 |
0 |
122 |
| Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices |
1 |
2 |
7 |
52 |
2 |
5 |
17 |
195 |
| Which GARCH Model for Option Valuation? |
0 |
0 |
5 |
72 |
2 |
2 |
15 |
183 |
| Total Journal Articles |
10 |
32 |
204 |
4,173 |
59 |
140 |
654 |
17,171 |
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