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 |
248 |
0 |
0 |
0 |
1,288 |
Abnormal Returns, Risk, and Options in Large Data Sets |
0 |
0 |
0 |
268 |
0 |
0 |
2 |
1,108 |
An experimental examination of rational rentseeking |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
43 |
Asset Market Linkages in Crisis Periods |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
473 |
Asset Market Linkages in Crisis Periods |
0 |
1 |
2 |
143 |
0 |
3 |
9 |
519 |
Asset Market Linkages in Crisis Periods |
0 |
0 |
1 |
201 |
0 |
0 |
4 |
471 |
Asset market linkages in crisis periods |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
64 |
Asset market linkages in crisis periods |
0 |
0 |
0 |
195 |
0 |
0 |
6 |
773 |
Asset-Based Lending |
0 |
0 |
2 |
41 |
0 |
4 |
10 |
51 |
Asset-based lending |
0 |
1 |
1 |
22 |
0 |
2 |
3 |
25 |
Auctions with Numerous Bidders |
0 |
0 |
1 |
54 |
1 |
1 |
4 |
143 |
Banking System Stability: A Cross-Atlantic Perspective |
0 |
0 |
2 |
151 |
6 |
16 |
51 |
713 |
Banking system stability: a cross-Atlantic perspective |
0 |
0 |
0 |
230 |
2 |
13 |
38 |
784 |
Between Realignments and Intervention: the Belgian Franc in the European Monetary System |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
436 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
1 |
2 |
3 |
794 |
4 |
6 |
12 |
2,041 |
Beyond the Sample: Extreme Quantile and Probability Estimation |
0 |
1 |
3 |
528 |
0 |
1 |
7 |
1,425 |
Challenges in Implementing Worst-Case Analysis |
0 |
1 |
1 |
26 |
0 |
1 |
1 |
32 |
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
48 |
1 |
2 |
2 |
207 |
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
93 |
0 |
0 |
0 |
593 |
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
1 |
61 |
0 |
0 |
1 |
204 |
Comparative Analysis of Litigation Systems: An Auction-Theoretic Approach |
0 |
0 |
0 |
40 |
0 |
1 |
1 |
421 |
Comparative Analysis of Litigation Systems: an Auction-Theoretic Approach |
0 |
0 |
0 |
39 |
0 |
1 |
1 |
418 |
Comparing Downside Risk Measures for Heavy Tailed Distributions |
0 |
0 |
0 |
294 |
0 |
0 |
1 |
807 |
Comparing downside risk measures for heavy tailed distribution |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
34 |
Consistent Measures of Risk |
0 |
1 |
1 |
286 |
0 |
2 |
4 |
742 |
Consistent measures of risk |
0 |
1 |
1 |
4 |
0 |
1 |
2 |
45 |
Contests with Rank-Order Spillovers |
0 |
0 |
0 |
52 |
0 |
2 |
2 |
191 |
Contests with Rank-Order Spillovers |
0 |
0 |
0 |
51 |
0 |
1 |
2 |
222 |
Convolutions of Heavy Tailed Random Variables and Applications to Portfolio Diversification and MA(1) Time Series |
0 |
0 |
1 |
134 |
0 |
0 |
2 |
538 |
Covariates Hiding in the Tails |
0 |
2 |
4 |
19 |
0 |
2 |
8 |
18 |
Credit Rationing Effects of Credit Value-at-Risk |
0 |
0 |
2 |
531 |
0 |
0 |
3 |
1,857 |
Currency Futures' Risk Premia and Risk Factors |
0 |
1 |
3 |
24 |
1 |
2 |
9 |
49 |
Endogenous Financial Structure and the Transmission of ECB Policy |
0 |
0 |
0 |
184 |
0 |
0 |
1 |
668 |
Estimating a Latent Risk Premium in Exchange Rate Futures |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
49 |
Fiat Exchange in Finite Economies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
132 |
Fiat Exchange in Finite Economies |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
232 |
Fundamental Volatility is Regime Specific |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
88 |
Fundamentals and Joint Currency Crises |
0 |
0 |
0 |
64 |
0 |
1 |
3 |
288 |
Fundamentals and joint currency crises |
0 |
0 |
0 |
89 |
0 |
0 |
2 |
265 |
Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
99 |
0 |
0 |
0 |
412 |
Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
98 |
0 |
1 |
2 |
273 |
Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
97 |
0 |
0 |
2 |
365 |
Global Stochastic Properties of Dynamic Models and their Linear Approximations |
0 |
0 |
1 |
26 |
0 |
0 |
1 |
54 |
IMF Support and Inter-regime Exchange rate Volatility |
0 |
0 |
0 |
72 |
0 |
0 |
2 |
190 |
INTERNATIONAL TRADE AND EXCHANGE RATE VOLATILITY |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
1,070 |
Incentives for Effective Risk Management |
0 |
0 |
1 |
400 |
0 |
0 |
2 |
919 |
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates |
0 |
0 |
1 |
33 |
0 |
0 |
1 |
52 |
Inflation, Endogenous Market Segmentation and the Term Structure of Interest Rates |
0 |
0 |
0 |
6 |
1 |
1 |
1 |
39 |
It takes two to tango: Equilibria in a model of sales |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
Large Swings in Currencies driven by Fundamentals |
0 |
0 |
1 |
42 |
0 |
0 |
2 |
182 |
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 |
1 |
1 |
15 |
0 |
1 |
1 |
29 |
On the frequency of large stock returns: putting booms and busts into perspective |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
372 |
On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
On the relation between GARCH and stable processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
Optimal Confidence Intervals for the Tail Index and High Quantiles |
0 |
1 |
3 |
69 |
0 |
1 |
3 |
250 |
Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation |
0 |
1 |
1 |
247 |
0 |
1 |
1 |
654 |
Portfolio Diversification Effects and Regular Variation in Financial Data |
0 |
0 |
0 |
150 |
0 |
0 |
0 |
324 |
Portfolio Diversification Effects of Downside Risk |
0 |
0 |
1 |
265 |
0 |
0 |
3 |
743 |
Portfolio Selection with Heavy Tails |
0 |
0 |
0 |
104 |
1 |
1 |
2 |
299 |
RIGGING THE LOBBYING PROCESS: AN APPLICATION OF THE ALL- PAY AUCTION |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
515 |
Rigging the Lobbying Process: An Application of the All- Pay Auction |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
360 |
Risk Diversification by European Financial Conglomerates |
0 |
0 |
0 |
232 |
0 |
0 |
2 |
633 |
Risk Measures for Autocorrelated Hedge Fund Returns |
0 |
0 |
2 |
25 |
0 |
0 |
2 |
110 |
Risk measures for autocorrelated hedge fund returns |
0 |
0 |
0 |
70 |
1 |
1 |
2 |
301 |
Shape Homogeneity and Scale Heterogeneity of Downside Tail Risk |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
106 |
Stylized Facts of Nominal Exchange Rate Returns |
0 |
0 |
0 |
3 |
1 |
1 |
11 |
909 |
Subadditivity Re–Examined: the Case for Value-at-Risk |
0 |
0 |
6 |
434 |
1 |
5 |
25 |
1,185 |
Subadditivity re–examined: the case for value-at-risk |
0 |
0 |
0 |
11 |
0 |
1 |
6 |
96 |
Tail Index Estimation: Quantile-Driven Threshold Selection |
0 |
2 |
4 |
25 |
4 |
10 |
20 |
66 |
Tail Index and Quantile Estimation with Very High Frequency Data |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
674 |
Tail Probabilities for Regression Estimators |
0 |
0 |
3 |
50 |
0 |
1 |
4 |
281 |
Tail index estimation: quantile driven threshold selection |
0 |
0 |
0 |
8 |
0 |
1 |
1 |
86 |
The All-Pay Auction With Complete Information |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
1,210 |
The All-Pay Auction with Complete Information |
0 |
1 |
2 |
7 |
0 |
1 |
3 |
21 |
The All-Pay Auction with Complete Information |
2 |
4 |
10 |
113 |
7 |
15 |
33 |
302 |
The All-Pay Auction with Complete Information |
0 |
0 |
0 |
1 |
1 |
2 |
9 |
569 |
The All-Pay Auction with Complete Information |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
968 |
The All-pay Auction with Complete Information |
0 |
1 |
2 |
28 |
1 |
3 |
9 |
1,296 |
The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets |
0 |
0 |
2 |
272 |
0 |
0 |
3 |
666 |
The Downside Risk of Heavy Tails induces Low Diversification |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
58 |
The EURO, Prudent Coherence? |
0 |
0 |
0 |
81 |
0 |
0 |
0 |
418 |
The Extent of Internet Auction Markets |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
236 |
The Forex Regime and EMU Expansion |
0 |
0 |
1 |
109 |
0 |
0 |
5 |
491 |
The Forward Premium Puzzle and Latent Factors Day by Day |
0 |
0 |
0 |
73 |
0 |
0 |
1 |
195 |
The Forward Premium Puzzle and Latent Factors Day by Day |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
80 |
The Forward Premium Puzzle only emerges gradually |
0 |
0 |
0 |
105 |
0 |
0 |
1 |
410 |
The Herodotus Paradox |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
99 |
The Herodotus Paradox |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
295 |
The Herodotus Paradox |
0 |
0 |
0 |
78 |
0 |
0 |
0 |
252 |
The Impact of Competition on Prices with Numerous Firms |
0 |
0 |
0 |
73 |
1 |
1 |
2 |
242 |
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 |
0 |
1 |
348 |
The Solution to the Tullock Rent-Seeking Game when r>2: Mixed-Strategy Equilibria and Mean Dissipation Rates |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
614 |
The cross-section of tail risks in stock returns |
0 |
0 |
1 |
48 |
1 |
1 |
3 |
109 |
The drivers of downside equity tail risk |
0 |
0 |
0 |
38 |
0 |
1 |
3 |
85 |
The forward premium puzzle and latent factors day by day |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
62 |
Using a Bootstrap Method to choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
4 |
446 |
3 |
6 |
15 |
1,800 |
Using a bootstrap method to choose the sample fraction in tail index estimation |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
143 |
VaR stress for highly non-linear portfolios |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
16 |
Value-at-Risk and Extreme Returns |
0 |
0 |
3 |
1,303 |
1 |
3 |
15 |
3,029 |
Weak & Strong Financial Fragility |
1 |
1 |
4 |
72 |
2 |
2 |
6 |
210 |
Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities |
0 |
0 |
0 |
71 |
0 |
0 |
0 |
305 |
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
41 |
World Equity Premium Based Risk Aversion Estimates |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
109 |
World Equity Premium based Risk Aversion Estimates |
0 |
0 |
1 |
45 |
1 |
1 |
3 |
97 |
Total Working Papers |
4 |
23 |
85 |
11,011 |
45 |
128 |
429 |
45,513 |
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 |
35 |
0 |
1 |
1 |
102 |
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 |
1 |
336 |
An experimental examination of rational rent-seeking |
0 |
0 |
1 |
96 |
0 |
2 |
4 |
267 |
Asset Market Linkages in Crisis Periods |
0 |
1 |
9 |
446 |
2 |
4 |
21 |
1,175 |
Comparing downside risk measures for heavy tailed distributions |
0 |
0 |
1 |
81 |
0 |
0 |
1 |
210 |
Contests with rank-order spillovers |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
105 |
Differences between foreign exchange rate regimes: The view from the tails |
0 |
0 |
0 |
53 |
0 |
0 |
2 |
198 |
Endogeneity in European money demand |
0 |
0 |
0 |
36 |
0 |
0 |
0 |
123 |
Exploiting tail shape biases to discriminate between stable and student t alternatives |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
18 |
Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes |
0 |
1 |
1 |
19 |
0 |
1 |
4 |
70 |
Fat tails, VaR and subadditivity |
0 |
0 |
1 |
128 |
1 |
1 |
15 |
501 |
Fixing soft margins |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
60 |
Generational Accounting, Solidarity and Pension Losses |
0 |
0 |
0 |
63 |
0 |
0 |
1 |
200 |
Global stochastic properties of dynamic models and their linear approximations |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
98 |
Heavy tails and currency crises |
0 |
0 |
1 |
45 |
1 |
12 |
38 |
225 |
Heavy tails of OLS |
0 |
0 |
1 |
28 |
1 |
1 |
3 |
202 |
IMF Support and Inter-Regime Exchange Rate Volatility |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
79 |
Incentives for effective risk management |
0 |
0 |
0 |
104 |
1 |
1 |
2 |
319 |
Indexation, Inflation Targeting cum Output Stabilization & Inflation Fluctuations |
0 |
0 |
0 |
0 |
2 |
5 |
18 |
235 |
International Growth with Free Trade in Equities and Goods: A Comment |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
44 |
International trade and exchange rate volatility |
1 |
3 |
14 |
880 |
3 |
13 |
35 |
2,303 |
It takes two to tango: Equilibria in a model of sales |
0 |
0 |
2 |
230 |
1 |
2 |
7 |
503 |
Mixed Strategy Trade Equilibria |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
153 |
New evidence on the effectiveness of foreign exchange market intervention |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
78 |
On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective |
1 |
1 |
4 |
236 |
2 |
3 |
16 |
636 |
On the relation between GARCH and stable processes |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
79 |
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 |
53 |
0 |
0 |
2 |
195 |
Piecemeal versus Precipitous Factor Market Integration |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
241 |
Portfolio selection with heavy tails |
0 |
0 |
0 |
34 |
0 |
1 |
1 |
96 |
Portfolio selection with limited downside risk |
0 |
0 |
3 |
150 |
0 |
1 |
15 |
381 |
Rigging the Lobbying Process: An Application of the All-Pay Auction |
2 |
2 |
6 |
401 |
3 |
4 |
17 |
934 |
Risk Measures for Autocorrelated Hedge Fund Returns |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
52 |
Simulating and calibrating diversification against black swans |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
81 |
Simulating currency substitution bias |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
35 |
Systemic risk and diversification across European banks and insurers |
0 |
0 |
1 |
110 |
1 |
1 |
4 |
314 |
The Forex Regime and EMU Expansion |
0 |
0 |
1 |
16 |
0 |
1 |
4 |
178 |
The Herodotus paradox |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
80 |
The Incidence of Overdissipation in Rent-Seeking Contests |
1 |
1 |
1 |
32 |
1 |
1 |
1 |
110 |
The Limiting Distribution of Extremal Exchange Rate Returns |
0 |
0 |
0 |
91 |
0 |
0 |
0 |
293 |
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 |
1 |
4 |
11 |
399 |
The all-pay auction with complete information (*) |
0 |
0 |
0 |
0 |
1 |
1 |
9 |
1,004 |
The customs union argument for a monetary union |
0 |
0 |
0 |
13 |
1 |
1 |
1 |
172 |
The impact of competition on prices with numerous firms |
1 |
2 |
3 |
39 |
4 |
5 |
11 |
191 |
The number of active bidders in internet auctions |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
46 |
The simple economics of bank fragility |
0 |
0 |
0 |
198 |
0 |
0 |
3 |
505 |
The value of value at risk: statistical, financial, and regulatory considerations (summary) |
0 |
0 |
0 |
152 |
0 |
0 |
1 |
352 |
Theory and Relevance of Currency Substitution with Case Studies for Canada and the Netherlands Antilles |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
78 |
Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation |
0 |
0 |
0 |
76 |
1 |
1 |
8 |
189 |
Value-at-Risk and Extreme Returns |
2 |
5 |
8 |
55 |
5 |
12 |
30 |
192 |
Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities |
0 |
0 |
0 |
30 |
0 |
0 |
0 |
141 |
Total Journal Articles |
8 |
16 |
59 |
4,192 |
32 |
79 |
290 |
14,683 |