| 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 |
2 |
11 |
1,351 |
2 |
11 |
37 |
4,436 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
544 |
1 |
2 |
9 |
1,724 |
| Cointegration and long-horizon forecasting |
0 |
0 |
0 |
612 |
1 |
2 |
10 |
1,550 |
| Company Flexibility, the Value of Management and Managerial Compensation |
0 |
0 |
0 |
151 |
0 |
0 |
1 |
782 |
| Correlation Dynamics and International Diversification Benefits |
0 |
0 |
3 |
85 |
0 |
1 |
8 |
123 |
| Création de valeur, gestion de risque et options réelles |
0 |
0 |
4 |
793 |
0 |
1 |
10 |
3,074 |
| Dating the Turning Points of Nordic Business Cycles |
0 |
1 |
2 |
188 |
1 |
4 |
11 |
551 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
10 |
1 |
1 |
4 |
83 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
1 |
2 |
3 |
419 |
2 |
4 |
10 |
951 |
| Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics: International Evidence |
0 |
0 |
0 |
9 |
1 |
2 |
13 |
76 |
| 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 |
99 |
1 |
1 |
3 |
285 |
| Do Asset Prices in Transition Countries Contain Information About Future Economic Activity? |
0 |
0 |
1 |
3 |
0 |
1 |
7 |
137 |
| Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns? |
0 |
2 |
4 |
146 |
1 |
7 |
18 |
513 |
| Does Realized Skewness Predict the Cross-Section of Equity Returns? |
0 |
1 |
7 |
121 |
5 |
11 |
38 |
316 |
| Dynamic Diversification in Corporate Credit |
0 |
0 |
3 |
43 |
0 |
1 |
10 |
88 |
| Equity Portfolio Management Using Option Price Information |
0 |
0 |
1 |
29 |
0 |
3 |
8 |
95 |
| Estimation Risk in Financial Risk Management |
0 |
0 |
2 |
1,107 |
3 |
8 |
22 |
3,301 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
0 |
2 |
168 |
0 |
5 |
20 |
431 |
| Evaluating Value-at-Risk models with desk-level data |
0 |
0 |
0 |
331 |
0 |
6 |
24 |
872 |
| Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options |
0 |
0 |
4 |
108 |
0 |
1 |
13 |
215 |
| Factor Structure in Commodity Futures Return and Volatility |
0 |
0 |
3 |
73 |
0 |
2 |
15 |
142 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
0 |
0 |
206 |
1 |
2 |
10 |
568 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
0 |
1 |
1 |
227 |
1 |
2 |
15 |
661 |
| Financial Asset Returns, Market Timing, and Volatility Dynamics |
1 |
1 |
1 |
573 |
2 |
2 |
5 |
1,928 |
| Financial Risk Measurement for Financial Risk Management |
0 |
1 |
8 |
232 |
3 |
12 |
50 |
458 |
| Financial Risk Measurement for Financial Risk Management |
0 |
0 |
2 |
191 |
5 |
6 |
25 |
518 |
| Financial Risk Measurement for Financial Risk Management |
1 |
1 |
3 |
172 |
4 |
6 |
33 |
441 |
| Financial asset returns, direction-of-change forecasting, and volatility dynamics |
0 |
0 |
0 |
211 |
3 |
5 |
15 |
397 |
| Forecasting with Option Implied Information |
0 |
0 |
1 |
148 |
0 |
1 |
15 |
326 |
| Forward-Looking Betas |
0 |
1 |
3 |
125 |
6 |
11 |
42 |
400 |
| From Inflation to Growth; Eight Years of Transition |
1 |
2 |
4 |
34 |
2 |
5 |
22 |
179 |
| GARCH Option Valuation: Theory and Evidence |
1 |
3 |
9 |
197 |
2 |
10 |
37 |
361 |
| Horizon Problems and Extreme Events in Financial Risk Management |
0 |
0 |
1 |
510 |
3 |
6 |
10 |
1,723 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
789 |
1 |
6 |
16 |
2,778 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
0 |
330 |
2 |
5 |
13 |
897 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
0 |
0 |
1 |
596 |
1 |
3 |
12 |
1,565 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
1 |
55 |
0 |
3 |
21 |
188 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
0 |
45 |
0 |
3 |
11 |
150 |
| Is the Potential for International Diversi?cation Disappearing? A Dynamic Copula Approach |
0 |
0 |
8 |
49 |
4 |
9 |
51 |
188 |
| Is the Potential for International Diversification Disappearing? |
0 |
0 |
2 |
2 |
0 |
1 |
5 |
21 |
| Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
145 |
1 |
1 |
6 |
517 |
| Let's Get "Real" about Using Economic Data |
0 |
0 |
1 |
95 |
0 |
1 |
4 |
445 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
0 |
1 |
3 |
891 |
| Market Skewness Risk and the Cross-Section of Stock Returns |
1 |
1 |
10 |
50 |
2 |
5 |
27 |
86 |
| Martingale Tests of Value-at-Risk |
0 |
0 |
0 |
1 |
1 |
2 |
6 |
813 |
| Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
0 |
2 |
116 |
0 |
0 |
5 |
347 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
1 |
117 |
1 |
3 |
6 |
162 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
0 |
39 |
0 |
0 |
2 |
206 |
| Oil Volatility Risk and Expected Stock Returns |
0 |
0 |
2 |
66 |
0 |
2 |
13 |
157 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
127 |
2 |
4 |
9 |
430 |
| Optimal Prediction Under Asymmetric Loss |
0 |
1 |
1 |
77 |
2 |
5 |
8 |
344 |
| Optimal Prediction Under Asymmetric Loss |
0 |
0 |
0 |
259 |
2 |
3 |
8 |
1,077 |
| Optimal prediction under asymmetric loss |
0 |
1 |
1 |
290 |
2 |
5 |
16 |
1,000 |
| Option Anomalies and the Pricing Kernel |
1 |
1 |
1 |
5 |
1 |
5 |
12 |
35 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
3 |
79 |
0 |
5 |
15 |
259 |
| Option Valuation with Conditional Heteroskedasticity and Non-Normality |
0 |
0 |
1 |
30 |
2 |
2 |
14 |
139 |
| Option Valuation with Conditional Skewness |
0 |
0 |
0 |
658 |
1 |
1 |
6 |
2,877 |
| Option Valuation with Long-run and Short-run Volatility Components |
1 |
1 |
5 |
74 |
1 |
2 |
14 |
235 |
| Option Valuation with Long-run and Short-run Volatility Components |
0 |
0 |
3 |
319 |
0 |
2 |
15 |
966 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
2 |
19 |
1 |
3 |
11 |
75 |
| Option Valuation with Observable Volatility and Jump Dynamics |
0 |
0 |
0 |
13 |
3 |
4 |
16 |
62 |
| Option Valuation with Volatility Components, Fat Tails, and Nonlinear Pricing Kernels |
0 |
0 |
1 |
30 |
0 |
1 |
9 |
97 |
| Option-Based Estimation of the Price of Co-Skewness and Co-Kurtosis Risk |
0 |
0 |
3 |
35 |
2 |
3 |
14 |
109 |
| Option-Implied Measures of Equity Risk |
0 |
1 |
8 |
146 |
1 |
4 |
21 |
287 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
0 |
1 |
416 |
2 |
3 |
16 |
853 |
| Practical Volatility and Correlation Modeling for Financial Market Risk Management |
0 |
1 |
3 |
566 |
2 |
7 |
27 |
1,163 |
| Practical volatility and correlation modeling for financial market risk management |
0 |
0 |
1 |
393 |
3 |
10 |
28 |
799 |
| Rare Disasters and Credit Market Puzzles |
0 |
0 |
0 |
35 |
2 |
7 |
15 |
111 |
| Size Matters: The Impact of Capital Market Liberalization on Individual Firms |
0 |
0 |
0 |
189 |
0 |
0 |
1 |
1,085 |
| Testing and Comparing Value-at-Risk Measures |
1 |
1 |
7 |
2,076 |
1 |
3 |
11 |
5,253 |
| Testing, Comparing, and Combining Value at Risk Measures |
2 |
3 |
10 |
610 |
5 |
10 |
33 |
1,231 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
1 |
88 |
0 |
3 |
9 |
348 |
| The Factor Structure in Equity Options |
0 |
1 |
1 |
29 |
1 |
4 |
9 |
131 |
| The Importance of the Loss Function in Option Pricing |
0 |
0 |
2 |
192 |
0 |
3 |
12 |
831 |
| The Importance of the Loss Function in Option Valuation |
0 |
1 |
1 |
259 |
0 |
3 |
10 |
1,044 |
| The Informational Content of Over-the-Counter Currency Options |
0 |
0 |
0 |
225 |
0 |
0 |
8 |
1,090 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
1 |
84 |
0 |
2 |
9 |
199 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work so Well |
1 |
2 |
3 |
245 |
3 |
15 |
30 |
594 |
| The informational content of over-the-counter currency options |
0 |
0 |
1 |
137 |
0 |
2 |
5 |
723 |
| Time-Varying Crash Risk: The Role of Stock Market Liquidity |
1 |
1 |
3 |
60 |
2 |
3 |
13 |
90 |
| Time-Varying Jump Intensities and Fat Tail Dynamics: Evidence from S&P500 Returns and Options |
0 |
0 |
0 |
1 |
0 |
0 |
8 |
85 |
| Value Creation through Real Options Management |
0 |
0 |
0 |
169 |
0 |
0 |
1 |
346 |
| Value creation, risk management, and real options |
0 |
0 |
1 |
761 |
0 |
1 |
9 |
2,581 |
| Volatility Components, Affine Restrictions and Non-Normal Innovations |
0 |
0 |
0 |
67 |
0 |
4 |
12 |
225 |
| Volatility Forecasting |
0 |
0 |
3 |
943 |
3 |
4 |
27 |
1,220 |
| Volatility Forecasting |
0 |
1 |
1 |
534 |
2 |
9 |
26 |
867 |
| Volatility forecasting |
0 |
0 |
0 |
328 |
3 |
9 |
28 |
635 |
| Which Volatility Model for Option Valuation? |
0 |
0 |
0 |
619 |
0 |
0 |
2 |
1,563 |
| Total Working Papers |
13 |
35 |
181 |
23,066 |
113 |
338 |
1,308 |
68,175 |
| 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 |
1 |
8 |
31 |
517 |
8 |
32 |
120 |
1,432 |
| Capturing Option Anomalies with a Variance-Dependent Pricing Kernel |
0 |
2 |
9 |
44 |
1 |
5 |
19 |
116 |
| Cointegration and Long-Horizon Forecasting |
0 |
0 |
0 |
0 |
1 |
3 |
15 |
424 |
| Correlation dynamics and international diversification benefits |
0 |
0 |
3 |
27 |
1 |
3 |
15 |
101 |
| Does realized skewness predict the cross-section of equity returns? |
12 |
26 |
47 |
219 |
30 |
66 |
158 |
673 |
| Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options |
0 |
1 |
7 |
95 |
1 |
7 |
22 |
289 |
| Evaluating Interval Forecasts |
0 |
0 |
0 |
3 |
19 |
57 |
238 |
2,201 |
| Evaluating Value-at-Risk Models with Desk-Level Data |
0 |
2 |
16 |
104 |
1 |
6 |
46 |
268 |
| Factor Structure in Commodity Futures Return and Volatility |
2 |
2 |
4 |
6 |
2 |
3 |
16 |
25 |
| Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics |
1 |
1 |
3 |
42 |
4 |
4 |
21 |
240 |
| From Inflation to Growth |
0 |
0 |
3 |
31 |
0 |
0 |
3 |
81 |
| Further Results on Forecasting and Model Selection under Asymmetric Loss |
0 |
0 |
4 |
192 |
1 |
1 |
8 |
644 |
| Horizon problems and extreme events in financial risk management |
0 |
0 |
2 |
189 |
2 |
5 |
15 |
744 |
| How Relevant is Volatility Forecasting for Financial Risk Management? |
1 |
2 |
6 |
331 |
4 |
9 |
49 |
1,048 |
| Illiquidity Premia in the Equity Options Market |
0 |
0 |
3 |
4 |
0 |
1 |
13 |
27 |
| Interest-Rate Arbitrage in Currency Baskets: Forecasting Weights and Measuring Risk |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
1,031 |
| Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach |
1 |
1 |
5 |
72 |
7 |
11 |
33 |
233 |
| Let's get "real" about using economic data |
0 |
0 |
0 |
69 |
0 |
1 |
5 |
292 |
| Market skewness risk and the cross section of stock returns |
1 |
4 |
27 |
330 |
5 |
17 |
88 |
912 |
| Nonlinear Kalman Filtering in Affine Term Structure Models |
0 |
0 |
1 |
8 |
0 |
0 |
7 |
32 |
| Oil volatility risk and expected stock returns |
0 |
0 |
4 |
8 |
0 |
3 |
21 |
49 |
| Optimal Prediction Under Asymmetric Loss |
0 |
1 |
3 |
61 |
3 |
9 |
25 |
201 |
| Option Valuation with Conditional Heteroskedasticity and Nonnormality |
1 |
3 |
6 |
60 |
1 |
6 |
15 |
162 |
| Option valuation with conditional skewness |
1 |
1 |
6 |
187 |
3 |
7 |
29 |
437 |
| Option valuation with long-run and short-run volatility components |
1 |
1 |
6 |
259 |
3 |
6 |
32 |
854 |
| Option valuation with observable volatility and jump dynamics |
1 |
1 |
5 |
16 |
3 |
6 |
21 |
65 |
| Option-Implied Measures of Equity Risk |
0 |
1 |
4 |
56 |
1 |
4 |
20 |
156 |
| Size matters: The impact of financial liberalization on individual firms |
0 |
0 |
1 |
31 |
1 |
1 |
2 |
125 |
| Testing and comparing Value-at-Risk measures |
0 |
0 |
4 |
250 |
0 |
3 |
21 |
668 |
| The Accuracy of Density Forecasts from Foreign Exchange Options |
0 |
0 |
0 |
53 |
1 |
1 |
4 |
146 |
| The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
2 |
31 |
1 |
2 |
8 |
93 |
| The Factor Structure in Equity Options |
0 |
0 |
3 |
7 |
0 |
1 |
9 |
31 |
| The Joint Dynamics of Equity Market Factors |
0 |
0 |
0 |
9 |
1 |
3 |
7 |
54 |
| The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well |
1 |
3 |
8 |
50 |
2 |
6 |
23 |
192 |
| The importance of the loss function in option valuation |
0 |
0 |
4 |
115 |
0 |
4 |
15 |
385 |
| Towards a global financial architecture: capital mobility and risk management issues |
0 |
0 |
0 |
42 |
0 |
0 |
6 |
195 |
| Volatility Components, Affine Restrictions, and Nonnormal Innovations |
0 |
1 |
2 |
32 |
0 |
2 |
10 |
118 |
| Volatility Dynamics for the S&P500: Evidence from Realized Volatility, Daily Returns, and Option Prices |
0 |
2 |
3 |
39 |
1 |
4 |
12 |
165 |
| Which GARCH Model for Option Valuation? |
1 |
2 |
8 |
61 |
2 |
6 |
31 |
144 |
| Total Journal Articles |
25 |
65 |
240 |
3,650 |
110 |
306 |
1,207 |
15,053 |
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