| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Disequilibrium Model of Regional Investment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
198 |
| A GARCH Option Pricing Model in Incomplete Markets |
0 |
1 |
5 |
204 |
0 |
6 |
17 |
449 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
0 |
1 |
1 |
1 |
2 |
4 |
4 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
4 |
157 |
0 |
3 |
14 |
378 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
3 |
190 |
0 |
0 |
6 |
339 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
1 |
314 |
0 |
0 |
4 |
796 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
517 |
3 |
3 |
8 |
1,218 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
262 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
0 |
537 |
0 |
2 |
5 |
1,398 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
1 |
2 |
2 |
8 |
1 |
3 |
7 |
166 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
1 |
2 |
8 |
231 |
1 |
3 |
32 |
443 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
0 |
0 |
1 |
463 |
3 |
6 |
12 |
1,441 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
2 |
14 |
1,009 |
2 |
57 |
130 |
2,330 |
| Autobiography |
0 |
0 |
1 |
52 |
0 |
0 |
3 |
131 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
308 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
1 |
3 |
39 |
2 |
5 |
17 |
151 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
9 |
39 |
1,299 |
7 |
26 |
101 |
2,893 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
1 |
3 |
1,414 |
1 |
6 |
19 |
3,348 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
4 |
17 |
47 |
1,189 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
53 |
1 |
1 |
6 |
56 |
| Copula--based Specification of vector MEMs |
1 |
1 |
1 |
21 |
1 |
1 |
7 |
42 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
4 |
68 |
0 |
5 |
20 |
67 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,383 |
| Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
367 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
215 |
2 |
6 |
8 |
938 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
1 |
1 |
4 |
476 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
2 |
2 |
9 |
272 |
2 |
4 |
22 |
521 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
1 |
3 |
15 |
136 |
5 |
9 |
29 |
336 |
| EXOGENEITY |
0 |
0 |
6 |
6 |
2 |
4 |
17 |
17 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
0 |
2 |
5 |
65 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
1 |
247 |
0 |
2 |
5 |
601 |
| Empirical Pricing Kernels |
0 |
0 |
0 |
507 |
3 |
3 |
10 |
1,170 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
1 |
1 |
1 |
156 |
1 |
2 |
2 |
484 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
142 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
575 |
| Execution Risk |
0 |
0 |
1 |
311 |
0 |
0 |
2 |
748 |
| Exogeneity |
0 |
0 |
0 |
0 |
1 |
5 |
32 |
88 |
| Exogeneity |
0 |
1 |
7 |
22 |
3 |
5 |
17 |
840 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
114 |
2 |
2 |
7 |
232 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
5 |
341 |
5 |
12 |
29 |
724 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
2 |
485 |
0 |
2 |
5 |
1,172 |
| GARCH Gamma |
0 |
2 |
8 |
1,145 |
1 |
5 |
27 |
3,030 |
| GARCH Options in Incomplete Markets |
0 |
0 |
1 |
115 |
1 |
1 |
3 |
241 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
1 |
2 |
302 |
0 |
2 |
5 |
667 |
| Hedging Climate Change News |
2 |
9 |
15 |
15 |
4 |
15 |
30 |
30 |
| Hedging Climate Change News |
1 |
3 |
3 |
3 |
3 |
9 |
12 |
12 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
0 |
758 |
0 |
0 |
1 |
1,952 |
| High and Low Frequency Correlations in Global Equity Markets |
0 |
0 |
3 |
214 |
0 |
0 |
12 |
434 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
1 |
26 |
0 |
0 |
2 |
83 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
1 |
319 |
0 |
1 |
4 |
829 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
0 |
0 |
1 |
140 |
0 |
1 |
3 |
709 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
0 |
1 |
8 |
126 |
0 |
3 |
16 |
393 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
288 |
| Large dynamic covariance matrices |
0 |
1 |
3 |
99 |
0 |
2 |
17 |
147 |
| Liquidity and volatility in the U.S. treasury market |
0 |
3 |
14 |
91 |
1 |
10 |
31 |
243 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
451 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
0 |
0 |
3 |
44 |
0 |
3 |
14 |
138 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
0 |
343 |
5 |
5 |
8 |
1,049 |
| Measuring and Testing the Impact of News on Volatility |
4 |
7 |
26 |
1,944 |
6 |
12 |
50 |
3,545 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
0 |
1 |
1 |
425 |
1 |
4 |
6 |
1,055 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
0 |
1 |
6 |
172 |
0 |
2 |
22 |
592 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
0 |
281 |
1 |
1 |
3 |
987 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
1 |
1 |
421 |
1 |
2 |
3 |
1,470 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
1 |
1 |
16 |
1 |
2 |
6 |
72 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
127 |
0 |
0 |
0 |
340 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
0 |
1 |
418 |
0 |
0 |
1 |
1,300 |
| Risk and Volatility: Econometric Models and Financial Practice |
2 |
2 |
12 |
429 |
4 |
4 |
29 |
858 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
3 |
8 |
15 |
1,314 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
1 |
5 |
15 |
1,227 |
| SRISK: a conditional capital shortfall measure of systemic risk |
3 |
14 |
76 |
305 |
27 |
81 |
356 |
811 |
| Semiparametric vector MEM |
0 |
0 |
1 |
130 |
2 |
3 |
10 |
310 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
305 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
123 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
12 |
3 |
5 |
19 |
85 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
6 |
21 |
104 |
1 |
7 |
34 |
184 |
| Systemic Risk in Europe |
0 |
2 |
4 |
62 |
1 |
5 |
12 |
32 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
4 |
8 |
18 |
555 |
| Testing For Common Features |
1 |
2 |
4 |
432 |
3 |
5 |
9 |
998 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
1 |
29 |
1 |
1 |
9 |
105 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
2 |
68 |
0 |
2 |
21 |
147 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
1 |
3 |
6 |
140 |
2 |
6 |
21 |
300 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
74 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
0 |
1 |
4 |
361 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
0 |
0 |
567 |
0 |
1 |
6 |
1,503 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
0 |
2 |
5 |
186 |
0 |
5 |
18 |
464 |
| The Econometrics of Ultra-High Frequency Data |
0 |
1 |
5 |
1,358 |
1 |
3 |
13 |
2,726 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
3 |
9 |
391 |
0 |
5 |
17 |
812 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
112 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
136 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
0 |
1 |
6 |
590 |
1 |
2 |
20 |
1,375 |
| The Underlying Dynamics of Credit Correlations |
0 |
0 |
0 |
150 |
1 |
1 |
3 |
301 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
4 |
8 |
96 |
1 |
12 |
34 |
266 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
6 |
29 |
1,758 |
4 |
26 |
108 |
4,155 |
| Time and the Price Impact of a Trade |
2 |
2 |
4 |
48 |
2 |
3 |
11 |
119 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
590 |
0 |
1 |
12 |
1,477 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
0 |
1 |
624 |
1 |
2 |
14 |
1,851 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
1 |
233 |
0 |
0 |
7 |
554 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
79 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
0 |
0 |
82 |
1 |
1 |
2 |
342 |
| Value at risk models in finance |
0 |
2 |
5 |
2,058 |
0 |
2 |
10 |
3,905 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
77 |
3 |
5 |
7 |
243 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
173 |
0 |
3 |
7 |
575 |
| Vector Multiplicative Error Models: Representation and Inference |
1 |
1 |
1 |
100 |
2 |
4 |
16 |
296 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
0 |
0 |
101 |
0 |
0 |
3 |
816 |
| Total Working Papers |
24 |
108 |
442 |
27,934 |
152 |
511 |
1,842 |
78,439 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Capital Asset Pricing Model with Time-Varying Covariances |
8 |
25 |
110 |
2,717 |
13 |
54 |
268 |
6,808 |
| A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
1 |
2 |
4 |
110 |
2 |
4 |
14 |
319 |
| A GARCH Option Pricing Model with Filtered Historical Simulation |
0 |
2 |
3 |
104 |
5 |
7 |
11 |
284 |
| A component model for dynamic correlations |
0 |
5 |
27 |
154 |
1 |
15 |
68 |
464 |
| A dymimic model of housing price determination |
0 |
0 |
0 |
303 |
1 |
1 |
3 |
715 |
| A general approach to lagrange multiplier model diagnostics |
0 |
0 |
1 |
188 |
2 |
4 |
12 |
529 |
| A long memory property of stock market returns and a new model |
5 |
7 |
33 |
2,553 |
13 |
30 |
130 |
5,035 |
| A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
0 |
0 |
3 |
132 |
0 |
0 |
9 |
373 |
| A multi-dynamic-factor model for stock returns |
0 |
0 |
1 |
542 |
0 |
1 |
9 |
1,091 |
| A multiple indicators model for volatility using intra-daily data |
0 |
2 |
5 |
286 |
2 |
9 |
39 |
762 |
| Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
0 |
0 |
3 |
547 |
1 |
3 |
16 |
996 |
| An Asset Price Model of Aggregate Investment |
0 |
0 |
1 |
49 |
0 |
0 |
2 |
180 |
| An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
1 |
1 |
4 |
211 |
| Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
0 |
7 |
383 |
1 |
4 |
30 |
954 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
3 |
7 |
15 |
413 |
7 |
19 |
67 |
1,118 |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
6 |
11 |
66 |
2,801 |
| Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
10 |
42 |
163 |
5,776 |
59 |
169 |
695 |
15,233 |
| Band Spectrum Regression |
0 |
2 |
5 |
412 |
1 |
6 |
16 |
937 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
115 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
6 |
18 |
572 |
6 |
20 |
56 |
1,276 |
| Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
3 |
15 |
42 |
377 |
5 |
35 |
103 |
1,018 |
| Co-integration and Error Correction: Representation, Estimation, and Testing |
19 |
58 |
220 |
14,680 |
79 |
282 |
1,190 |
34,712 |
| Co-integration and error correction: Representation, estimation, and testing |
6 |
14 |
49 |
374 |
23 |
51 |
165 |
1,111 |
| Codependent cycles |
0 |
1 |
5 |
189 |
0 |
1 |
7 |
809 |
| Combining competing forecasts of inflation using a bivariate arch model |
1 |
2 |
6 |
159 |
2 |
4 |
20 |
370 |
| Common Persistence in Conditional Variances |
0 |
0 |
2 |
368 |
0 |
0 |
13 |
903 |
| Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
281 |
| Common Trends and Common Cycles |
0 |
3 |
23 |
1,109 |
0 |
4 |
56 |
3,310 |
| Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
1 |
3 |
29 |
727 |
| Common trends and common cycles in Latin America |
0 |
2 |
3 |
8 |
1 |
3 |
8 |
28 |
| Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
102 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
1 |
1 |
3 |
1 |
3 |
6 |
15 |
| Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
1 |
2 |
12 |
287 |
5 |
11 |
41 |
896 |
| Dynamic Conditional Beta |
0 |
3 |
6 |
48 |
0 |
4 |
16 |
92 |
| Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
5 |
11 |
72 |
3,019 |
| Dynamic Equicorrelation |
0 |
3 |
11 |
45 |
1 |
9 |
34 |
162 |
| Empirical pricing kernels |
0 |
5 |
7 |
426 |
3 |
9 |
28 |
935 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
0 |
5 |
22 |
552 |
0 |
8 |
48 |
1,244 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
0 |
0 |
72 |
1 |
1 |
1 |
296 |
| Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
6 |
10 |
65 |
2,026 |
18 |
40 |
164 |
4,830 |
| Estimating common sectoral cycles |
0 |
0 |
3 |
141 |
1 |
2 |
8 |
319 |
| Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
30 |
0 |
1 |
3 |
115 |
| Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
60 |
1 |
1 |
1 |
186 |
| Exogeneity |
4 |
11 |
55 |
1,374 |
16 |
37 |
134 |
4,723 |
| Financial econometrics - A new discipline with new methods |
1 |
1 |
1 |
180 |
1 |
2 |
5 |
425 |
| Forecasting and testing in co-integrated systems |
9 |
24 |
60 |
1,411 |
13 |
43 |
131 |
2,656 |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
0 |
6 |
14 |
78 |
2 |
9 |
28 |
136 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
0 |
0 |
6 |
280 |
2 |
3 |
13 |
515 |
| GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
0 |
1 |
8 |
4,351 |
2 |
14 |
77 |
9,469 |
| GLOBALIZATION: CONTENTS AND DISCONTENTS |
0 |
2 |
14 |
29 |
6 |
11 |
57 |
108 |
| Hourly volatility spillovers between international equity markets |
2 |
3 |
9 |
349 |
4 |
5 |
23 |
731 |
| Impacts of trades in an error-correction model of quote prices |
1 |
3 |
4 |
230 |
5 |
9 |
18 |
601 |
| Implied ARCH models from options prices |
2 |
5 |
16 |
679 |
5 |
13 |
40 |
1,386 |
| Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
1 |
36 |
0 |
0 |
2 |
114 |
| Long-Term Skewness and Systemic Risk |
0 |
0 |
2 |
54 |
1 |
4 |
11 |
174 |
| Measuring and Testing the Impact of News on Volatility |
8 |
17 |
65 |
1,146 |
16 |
38 |
185 |
2,669 |
| Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
1 |
1 |
3 |
265 |
2 |
5 |
11 |
629 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
2 |
12 |
43 |
542 |
6 |
30 |
118 |
1,692 |
| Modeling the Dynamics of Correlations among Implied Volatilities |
0 |
0 |
1 |
19 |
0 |
0 |
6 |
63 |
| Multivariate Simultaneous Generalized ARCH |
6 |
19 |
90 |
964 |
22 |
52 |
227 |
2,164 |
| New frontiers for arch models |
1 |
2 |
4 |
595 |
2 |
3 |
18 |
1,720 |
| On the determination of regional base and regional base multipliers |
0 |
0 |
0 |
81 |
0 |
0 |
1 |
191 |
| On the theory of growth controls |
0 |
0 |
1 |
62 |
0 |
0 |
8 |
170 |
| POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Predicting VNET: A model of the dynamics of market depth |
1 |
2 |
8 |
320 |
2 |
5 |
18 |
677 |
| Priced risk and asymmetric volatility in the cross section of skewness |
0 |
2 |
3 |
17 |
1 |
3 |
7 |
89 |
| Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
55 |
| Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
0 |
1 |
5 |
885 |
| Risk and Volatility: Econometric Models and Financial Practice |
1 |
2 |
13 |
1,462 |
5 |
10 |
42 |
3,230 |
| Robert F Engle: Understanding volatility as a process |
0 |
2 |
4 |
26 |
0 |
3 |
7 |
138 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
28 |
0 |
2 |
7 |
85 |
| SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
6 |
13 |
51 |
101 |
25 |
57 |
168 |
285 |
| Scenario generation for long run interest rate risk assessment |
0 |
0 |
3 |
8 |
1 |
3 |
15 |
36 |
| Seasonal integration and cointegration |
4 |
10 |
37 |
1,502 |
6 |
20 |
98 |
3,058 |
| Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
2 |
7 |
42 |
1,041 |
| Shorte-run forecasts of electricity loads and peaks |
0 |
2 |
11 |
201 |
0 |
2 |
16 |
444 |
| Small-Sample Properties of ARCH Estimators and Tests |
0 |
0 |
0 |
47 |
1 |
1 |
2 |
364 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
0 |
0 |
2 |
171 |
| Specification of the Disturbance for Efficient Estimation |
0 |
0 |
1 |
17 |
0 |
0 |
1 |
101 |
| Stochastic Permanent Breaks |
0 |
1 |
4 |
143 |
1 |
3 |
10 |
506 |
| Stock Market Volatility and Macroeconomic Fundamentals |
13 |
44 |
123 |
551 |
25 |
83 |
242 |
1,237 |
| Stock Volatility and the Crash of '87: Discussion |
1 |
1 |
5 |
123 |
1 |
1 |
11 |
302 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
1 |
4 |
4 |
1 |
3 |
14 |
14 |
| Systemic Risk 10 Years Later |
1 |
1 |
2 |
2 |
2 |
4 |
10 |
10 |
| Systemic Risk in Europe |
1 |
2 |
7 |
43 |
2 |
5 |
33 |
141 |
| Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
1 |
2 |
38 |
0 |
1 |
4 |
200 |
| Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
1 |
5 |
223 |
0 |
2 |
14 |
432 |
| Testing for Common Features |
0 |
0 |
0 |
0 |
2 |
7 |
18 |
1,666 |
| Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
272 |
| Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
121 |
1 |
1 |
2 |
584 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
2 |
9 |
37 |
138 |
7 |
25 |
117 |
444 |
| Testing superexogeneity and invariance in regression models |
1 |
2 |
6 |
255 |
4 |
8 |
18 |
494 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
1 |
4 |
37 |
3,466 |
| The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
1 |
31 |
1 |
2 |
9 |
95 |
| The Japanese consumption function |
0 |
0 |
3 |
169 |
1 |
2 |
8 |
475 |
| The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
1 |
6 |
30 |
452 |
6 |
15 |
82 |
1,051 |
| The billing cycle and weather variables in models of electricity sales |
0 |
0 |
0 |
4 |
1 |
1 |
3 |
29 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
1 |
2 |
431 |
0 |
1 |
4 |
800 |
| The intertemporal capital asset pricing model with dynamic conditional correlations |
0 |
1 |
12 |
204 |
2 |
6 |
40 |
641 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
2 |
6 |
87 |
1 |
6 |
19 |
311 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
2 |
249 |
3 |
4 |
10 |
627 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
282 |
| Transportation costs and the rent gradient |
1 |
2 |
6 |
163 |
1 |
2 |
9 |
499 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
6 |
15 |
237 |
3 |
12 |
39 |
578 |
| What good is a volatility model? |
0 |
0 |
1 |
36 |
2 |
2 |
9 |
132 |
| Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
49 |
2 |
2 |
4 |
357 |
| Total Journal Articles |
134 |
445 |
1,677 |
56,747 |
489 |
1,440 |
5,849 |
152,321 |
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