Journal Article |
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12 months |
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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 |