| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Hybrid Joint Moment Ratio Test for Financial Time Series |
0 |
0 |
0 |
249 |
0 |
1 |
1 |
1,293 |
| Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
0 |
1,110 |
| An experimental examination of rational rentseeking |
0 |
0 |
0 |
7 |
0 |
2 |
3 |
48 |
| Asset Market Linkages in Crisis Periods |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
475 |
| Asset Market Linkages in Crisis Periods |
0 |
0 |
0 |
144 |
0 |
0 |
7 |
535 |
| Asset Market Linkages in Crisis Periods |
0 |
0 |
0 |
201 |
0 |
0 |
3 |
478 |
| Asset market linkages in crisis periods |
0 |
0 |
0 |
195 |
0 |
0 |
1 |
777 |
| Asset market linkages in crisis periods |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
67 |
| Asset-Based Lending |
0 |
0 |
0 |
42 |
0 |
1 |
5 |
63 |
| Asset-based lending |
0 |
0 |
0 |
24 |
0 |
0 |
3 |
31 |
| Auctions with Numerous Bidders |
0 |
0 |
0 |
54 |
0 |
0 |
0 |
145 |
| Banking System Stability: A Cross-Atlantic Perspective |
0 |
0 |
0 |
151 |
0 |
0 |
6 |
739 |
| Banking system stability: a cross-Atlantic perspective |
0 |
0 |
0 |
230 |
0 |
0 |
5 |
805 |
| Between Realignments and Intervention: the Belgian Franc in the European Monetary System |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
438 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
528 |
0 |
0 |
0 |
1,427 |
| Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
0 |
0 |
795 |
0 |
1 |
3 |
2,046 |
| Challenges in Implementing Worst-Case Analysis |
0 |
0 |
0 |
26 |
0 |
0 |
4 |
37 |
| Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
48 |
0 |
0 |
1 |
211 |
| Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
93 |
0 |
0 |
2 |
597 |
| Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
40 |
0 |
0 |
0 |
423 |
| Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
61 |
1 |
1 |
2 |
207 |
| Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
420 |
| Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
0 |
1 |
4 |
814 |
| Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
2 |
3 |
37 |
| Consistent Measures of Risk |
0 |
1 |
1 |
289 |
0 |
3 |
4 |
751 |
| Consistent measures of risk |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
46 |
| Contests with Rank-Order Spillovers |
0 |
0 |
0 |
51 |
0 |
2 |
4 |
227 |
| Contests with Rank-Order Spillovers |
0 |
0 |
0 |
52 |
0 |
1 |
1 |
193 |
| Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series |
0 |
0 |
0 |
135 |
0 |
0 |
1 |
541 |
| Covariates Hiding in the Tails |
0 |
0 |
0 |
19 |
2 |
2 |
4 |
25 |
| Credit Rationing Effects of Credit Value-at-Risk |
0 |
0 |
0 |
534 |
1 |
1 |
1 |
1,861 |
| Currency Futures' Risk Premia and Risk Factors |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
53 |
| Endogenous Financial Structure and the Transmission of ECB Policy |
0 |
0 |
1 |
186 |
0 |
0 |
4 |
673 |
| Estimating a Latent Risk Premium in Exchange Rate Futures |
0 |
0 |
0 |
20 |
0 |
0 |
3 |
53 |
| Extreme Linkages in Financial Markets: Macro Shocks and Systemic Risk |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
8 |
| Fiat Exchange in Finite Economies |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
235 |
| Fiat Exchange in Finite Economies |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
134 |
| Fundamental Volatility is Regime Specific |
0 |
0 |
0 |
17 |
0 |
0 |
5 |
93 |
| Fundamentals and Joint Currency Crises |
0 |
0 |
1 |
65 |
0 |
0 |
2 |
290 |
| Fundamentals and joint currency crises |
0 |
0 |
0 |
89 |
0 |
0 |
2 |
269 |
| Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
99 |
0 |
0 |
2 |
416 |
| Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
97 |
0 |
0 |
1 |
367 |
| Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
98 |
0 |
0 |
2 |
278 |
| Global Stochastic Properties of Dynamic Models and their Linear Approximations |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
54 |
| IMF Support and Inter-regime Exchange rate Volatility |
0 |
0 |
0 |
72 |
0 |
1 |
4 |
194 |
| INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,075 |
| Incentives for Effective Risk Management |
0 |
0 |
0 |
400 |
0 |
1 |
1 |
921 |
| Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
40 |
| Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
52 |
| It takes two to tango: Equilibria in a model of sales |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Large Swings in Currencies driven by Fundamentals |
0 |
0 |
0 |
42 |
0 |
1 |
3 |
186 |
| Limit Orders, Asymmetric Information and the Formation of asset Prices with a Computerized Specialist |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
144 |
| Monetary Policy in the Presence of Random Wage Indexation |
0 |
0 |
0 |
15 |
0 |
0 |
1 |
32 |
| On the frequency of large stock returns: putting booms and busts into perspective |
0 |
0 |
2 |
88 |
1 |
1 |
4 |
378 |
| On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
| On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
13 |
| On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Optimal Confidence Intervals for the Tail Index and High Quantiles |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
251 |
| Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
0 |
0 |
249 |
0 |
2 |
2 |
658 |
| Portfolio Diversification Effects and Regular Variation in Financial Data |
0 |
0 |
0 |
150 |
0 |
0 |
2 |
326 |
| Portfolio Diversification Effects of Downside Risk |
0 |
0 |
0 |
266 |
0 |
0 |
1 |
746 |
| Portfolio Selection with Heavy Tails |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
299 |
| RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION |
0 |
0 |
0 |
3 |
0 |
2 |
4 |
520 |
| Rigging the Lobbying Process: An Application of the All- Pay Auction |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
366 |
| Risk Diversification by European Financial Conglomerates |
0 |
0 |
0 |
232 |
0 |
0 |
0 |
636 |
| Risk Measures for Autocorrelated Hedge Fund Returns |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
112 |
| Risk measures for autocorrelated hedge fund returns |
0 |
0 |
0 |
71 |
1 |
1 |
1 |
305 |
| Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
107 |
| Stylized Facts of Nominal Exchange Rate Returns |
0 |
0 |
0 |
3 |
1 |
1 |
6 |
924 |
| Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
4 |
441 |
0 |
2 |
15 |
1,231 |
| Subadditivity re–examined: the case for value-at-risk |
0 |
1 |
5 |
17 |
0 |
2 |
9 |
113 |
| Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
1 |
3 |
30 |
3 |
5 |
15 |
101 |
| Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
681 |
| Tail Probabilities for Regression Estimators |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
284 |
| Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
87 |
| The All-Pay Auction With Complete Information |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
1,215 |
| The All-Pay Auction with Complete Information |
0 |
0 |
1 |
11 |
2 |
3 |
5 |
36 |
| The All-Pay Auction with Complete Information |
1 |
1 |
9 |
133 |
1 |
4 |
15 |
347 |
| The All-Pay Auction with Complete Information |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
578 |
| The All-Pay Auction with Complete Information |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
970 |
| The All-pay Auction with Complete Information |
0 |
1 |
2 |
32 |
0 |
1 |
5 |
1,306 |
| The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets |
0 |
1 |
1 |
273 |
0 |
1 |
3 |
672 |
| The Downside Risk of Heavy Tails induces Low Diversification |
0 |
1 |
1 |
24 |
0 |
2 |
3 |
62 |
| The EURO, Prudent Coherence? |
0 |
0 |
0 |
81 |
0 |
0 |
2 |
422 |
| The Extent of Internet Auction Markets |
0 |
0 |
0 |
41 |
0 |
2 |
2 |
240 |
| The Forex Regime and EMU Expansion |
0 |
0 |
0 |
109 |
0 |
0 |
1 |
492 |
| The Forward Premium Puzzle and Latent Factors Day by Day |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
81 |
| The Forward Premium Puzzle and Latent Factors Day by Day |
0 |
0 |
0 |
73 |
1 |
1 |
1 |
198 |
| The Forward Premium Puzzle only emerges gradually |
0 |
0 |
0 |
105 |
1 |
1 |
3 |
413 |
| The Herodotus Paradox |
0 |
0 |
0 |
67 |
0 |
1 |
1 |
296 |
| The Herodotus Paradox |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
101 |
| The Herodotus Paradox |
0 |
0 |
0 |
78 |
1 |
1 |
4 |
258 |
| The Impact of Competition on Prices with Numerous Firms |
0 |
0 |
0 |
73 |
0 |
1 |
3 |
248 |
| The Incidence of Overdissipation in Rent-Seeking Contests |
0 |
0 |
0 |
129 |
0 |
0 |
0 |
568 |
| The Solution to the Tullock Rent-Seeking Game when R > 2: Mixed Strategy Equilibria and Mean Dissipation Rates |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
349 |
| The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
616 |
| The cross-section of tail risks in stock returns |
0 |
0 |
1 |
49 |
0 |
1 |
5 |
115 |
| The drivers of downside equity tail risk |
0 |
0 |
0 |
38 |
0 |
2 |
3 |
89 |
| The forward premium puzzle and latent factors day by day |
0 |
0 |
0 |
9 |
1 |
2 |
3 |
66 |
| Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
446 |
0 |
2 |
3 |
1,806 |
| Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
148 |
| VaR stress for highly non-linear portfolios |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
16 |
| Value-at-Risk and Extreme Returns |
0 |
0 |
5 |
1,310 |
0 |
0 |
7 |
3,040 |
| Weak & Strong Financial Fragility |
0 |
0 |
0 |
72 |
0 |
1 |
3 |
214 |
| Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities |
0 |
0 |
0 |
71 |
0 |
0 |
1 |
308 |
| Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities |
0 |
0 |
0 |
9 |
0 |
1 |
2 |
43 |
| World Equity Premium Based Risk Aversion Estimates |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
112 |
| World Equity Premium based Risk Aversion Estimates |
0 |
0 |
0 |
45 |
0 |
1 |
1 |
99 |
| Total Working Papers |
1 |
7 |
38 |
11,102 |
17 |
72 |
266 |
46,108 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A note on the relationship between GARCH and symmetric stable processes |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
104 |
| Abnormal returns, risk, and options in large data sets |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| An EMS target zone model in discrete time |
0 |
0 |
0 |
55 |
0 |
0 |
2 |
338 |
| An experimental examination of rational rent-seeking |
0 |
0 |
0 |
96 |
0 |
0 |
0 |
270 |
| Asset Market Linkages in Crisis Periods |
0 |
1 |
4 |
458 |
0 |
1 |
6 |
1,200 |
| Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
0 |
82 |
0 |
1 |
1 |
212 |
| Contests with rank-order spillovers |
0 |
0 |
0 |
27 |
0 |
1 |
2 |
108 |
| Differences between foreign exchange rate regimes: The view from the tails |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
198 |
| Endogeneity in European money demand |
0 |
0 |
0 |
36 |
0 |
2 |
4 |
127 |
| Exploiting tail shape biases to discriminate between stable and student t alternatives |
0 |
1 |
1 |
7 |
0 |
1 |
3 |
31 |
| Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes |
0 |
0 |
1 |
20 |
0 |
0 |
2 |
78 |
| Fat tails, VaR and subadditivity |
0 |
1 |
3 |
138 |
0 |
5 |
13 |
533 |
| Fixing soft margins |
0 |
0 |
0 |
2 |
0 |
2 |
2 |
62 |
| Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
64 |
0 |
0 |
1 |
203 |
| Global stochastic properties of dynamic models and their linear approximations |
0 |
0 |
0 |
24 |
0 |
2 |
2 |
101 |
| Heavy tails and currency crises |
0 |
0 |
2 |
51 |
0 |
0 |
3 |
239 |
| Heavy tails of OLS |
0 |
0 |
1 |
29 |
0 |
3 |
5 |
208 |
| IMF Support and Inter-Regime Exchange Rate Volatility |
0 |
0 |
0 |
13 |
0 |
0 |
2 |
83 |
| Incentives for effective risk management |
0 |
0 |
0 |
104 |
0 |
0 |
0 |
321 |
| Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
256 |
| International Growth with Free Trade in Equities and Goods: A Comment |
0 |
0 |
0 |
4 |
0 |
1 |
1 |
45 |
| International trade and exchange rate volatility |
0 |
0 |
3 |
901 |
0 |
0 |
11 |
2,350 |
| It takes two to tango: Equilibria in a model of sales |
0 |
0 |
0 |
231 |
0 |
0 |
2 |
510 |
| Mixed Strategy Trade Equilibria |
0 |
0 |
0 |
10 |
0 |
3 |
4 |
159 |
| New evidence on the effectiveness of foreign exchange market intervention |
0 |
0 |
0 |
5 |
0 |
1 |
1 |
79 |
| On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective |
0 |
0 |
2 |
242 |
0 |
1 |
5 |
660 |
| On the relation between GARCH and stable processes |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
81 |
| Optimal Localized Production Experience and Schooling |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
100 |
| Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
199 |
| Piecemeal versus Precipitous Factor Market Integration |
0 |
0 |
0 |
21 |
0 |
1 |
1 |
242 |
| Portfolio selection with heavy tails |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
100 |
| Portfolio selection with limited downside risk |
0 |
0 |
1 |
153 |
1 |
2 |
8 |
404 |
| Rigging the Lobbying Process: An Application of the All-Pay Auction |
0 |
0 |
2 |
411 |
0 |
0 |
12 |
969 |
| Risk Measures for Autocorrelated Hedge Fund Returns |
0 |
0 |
0 |
10 |
0 |
1 |
1 |
54 |
| Simulating and calibrating diversification against black swans |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
83 |
| Simulating currency substitution bias |
0 |
0 |
0 |
5 |
0 |
1 |
2 |
37 |
| Systemic risk and diversification across European banks and insurers |
0 |
0 |
0 |
110 |
2 |
2 |
3 |
320 |
| The Forex Regime and EMU Expansion |
0 |
0 |
0 |
16 |
0 |
1 |
2 |
182 |
| The Herodotus paradox |
0 |
0 |
0 |
18 |
0 |
2 |
2 |
86 |
| The Incidence of Overdissipation in Rent-Seeking Contests |
0 |
0 |
0 |
32 |
0 |
1 |
1 |
112 |
| The Limiting Distribution of Extremal Exchange Rate Returns |
0 |
0 |
0 |
91 |
0 |
0 |
1 |
294 |
| The Solution to the Tullock Rent-Seeking Game When R Is Greater Than 2: Mixed-Strategy Equilibria and Mean Dissipation Rates |
0 |
0 |
0 |
0 |
0 |
5 |
11 |
418 |
| The Term Structure of Currency Futures' Risk Premia |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
16 |
| The all-pay auction with complete information (*) |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
1,020 |
| The customs union argument for a monetary union |
0 |
0 |
0 |
13 |
0 |
1 |
2 |
174 |
| The impact of competition on prices with numerous firms |
0 |
0 |
0 |
44 |
1 |
2 |
7 |
214 |
| The number of active bidders in internet auctions |
0 |
0 |
0 |
2 |
0 |
2 |
2 |
49 |
| The simple economics of bank fragility |
0 |
0 |
1 |
200 |
0 |
0 |
2 |
508 |
| The value of value at risk: statistical, financial, and regulatory considerations (summary) |
0 |
0 |
0 |
153 |
0 |
1 |
1 |
356 |
| Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles |
0 |
0 |
0 |
12 |
0 |
2 |
3 |
81 |
| Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
76 |
0 |
2 |
3 |
197 |
| VaR stress tests for highly non‐linear portfolios |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Value-at-Risk and Extreme Returns |
1 |
1 |
8 |
71 |
5 |
6 |
24 |
243 |
| Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities |
0 |
0 |
0 |
30 |
0 |
1 |
2 |
143 |
| Total Journal Articles |
1 |
4 |
30 |
4,298 |
10 |
59 |
186 |
15,163 |
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