| 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 |
1 |
1 |
1 |
209 |
| A GARCH Option Pricing Model in Incomplete Markets |
0 |
0 |
1 |
214 |
0 |
0 |
3 |
489 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
0 |
0 |
7 |
2 |
2 |
2 |
31 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
3 |
3 |
409 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
0 |
197 |
1 |
1 |
2 |
374 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
1 |
1 |
4 |
832 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
2 |
520 |
2 |
2 |
6 |
1,255 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
275 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
0 |
543 |
0 |
0 |
2 |
1,431 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
196 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
0 |
259 |
0 |
2 |
4 |
623 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
1 |
2 |
2 |
472 |
1 |
4 |
5 |
1,488 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
0 |
5 |
1,034 |
2 |
3 |
11 |
2,510 |
| Autobiography |
0 |
0 |
0 |
55 |
0 |
0 |
3 |
171 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
2 |
4 |
7 |
338 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
4 |
9 |
1,395 |
11 |
16 |
31 |
3,334 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
1 |
4 |
66 |
5 |
6 |
15 |
258 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
0 |
4 |
1,448 |
1 |
1 |
10 |
3,458 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
1 |
1 |
6 |
1,318 |
| CRISK: Measuring the Climate Risk Exposure of the Financial System |
0 |
3 |
25 |
115 |
9 |
27 |
84 |
343 |
| Climate Stress Testing |
0 |
0 |
2 |
63 |
2 |
2 |
8 |
42 |
| Climate Stress Testing |
0 |
0 |
0 |
53 |
1 |
1 |
1 |
20 |
| Climate Stress Testing |
0 |
0 |
2 |
49 |
3 |
4 |
12 |
38 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
0 |
0 |
85 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
65 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
1 |
71 |
0 |
0 |
2 |
105 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,402 |
| Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
387 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
0 |
0 |
0 |
499 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
2 |
2 |
4 |
227 |
4 |
6 |
10 |
999 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
1 |
2 |
7 |
311 |
3 |
6 |
23 |
668 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
0 |
0 |
9 |
195 |
0 |
3 |
26 |
518 |
| EXOGENEITY |
1 |
2 |
5 |
26 |
4 |
5 |
20 |
115 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
95 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
1 |
249 |
1 |
1 |
5 |
630 |
| Empirical Pricing Kernels |
1 |
1 |
1 |
516 |
2 |
2 |
4 |
1,203 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
0 |
0 |
0 |
158 |
1 |
1 |
3 |
508 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
0 |
3 |
1 |
1 |
4 |
161 |
| Estimating systemic risk for non-listed euro-area banks |
1 |
2 |
4 |
15 |
2 |
3 |
13 |
26 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
591 |
| Execution Risk |
0 |
0 |
0 |
319 |
1 |
3 |
4 |
791 |
| Exogeneity |
0 |
0 |
0 |
0 |
3 |
6 |
24 |
225 |
| Exogeneity |
1 |
2 |
4 |
41 |
2 |
3 |
8 |
906 |
| Factor mimicking portfolios for climate risk |
0 |
3 |
8 |
57 |
1 |
10 |
25 |
53 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
0 |
354 |
0 |
1 |
6 |
824 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
124 |
0 |
0 |
6 |
283 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
0 |
488 |
1 |
1 |
2 |
1,195 |
| GARCH Gamma |
0 |
0 |
0 |
1,156 |
0 |
1 |
2 |
3,073 |
| GARCH Options in Incomplete Markets |
0 |
0 |
0 |
117 |
1 |
1 |
1 |
257 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
0 |
1 |
310 |
0 |
0 |
2 |
706 |
| Hedging Climate Change News |
0 |
0 |
2 |
89 |
1 |
2 |
14 |
272 |
| Hedging Climate Change News |
0 |
0 |
3 |
42 |
3 |
6 |
15 |
185 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
0 |
767 |
0 |
1 |
2 |
1,990 |
| Hedging climate change news |
0 |
1 |
6 |
107 |
8 |
15 |
43 |
373 |
| High and Low Frequency Correlations in Global Equity Markets |
0 |
0 |
0 |
223 |
0 |
0 |
1 |
470 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
28 |
1 |
1 |
1 |
108 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
1 |
323 |
1 |
2 |
4 |
858 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
0 |
0 |
0 |
143 |
0 |
0 |
0 |
741 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
0 |
0 |
1 |
148 |
0 |
0 |
6 |
484 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
302 |
| Large dynamic covariance matrices |
0 |
0 |
3 |
130 |
0 |
1 |
8 |
254 |
| Large dynamic covariance matrices: enhancements based on intraday data |
0 |
2 |
3 |
54 |
2 |
6 |
14 |
99 |
| Liquidity and volatility in the U.S. treasury market |
0 |
0 |
2 |
124 |
0 |
0 |
6 |
349 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
7 |
7 |
12 |
514 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
0 |
0 |
1 |
67 |
2 |
3 |
12 |
214 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
1 |
351 |
2 |
2 |
7 |
1,092 |
| Measuring and Hedging Geopolitical Risk |
0 |
3 |
13 |
87 |
2 |
7 |
42 |
202 |
| Measuring and Testing the Impact of News on Volatility |
0 |
1 |
7 |
2,002 |
1 |
4 |
20 |
3,718 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
0 |
1 |
2 |
435 |
1 |
2 |
3 |
1,107 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
0 |
2 |
3 |
183 |
1 |
3 |
8 |
654 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
0 |
284 |
1 |
1 |
1 |
1,011 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
0 |
1 |
432 |
0 |
0 |
2 |
1,523 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
0 |
0 |
22 |
3 |
6 |
15 |
132 |
| Modelling Volatility Cycles: The (MF)2 GARCH Model |
2 |
2 |
9 |
119 |
2 |
5 |
21 |
257 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
129 |
0 |
0 |
1 |
366 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
0 |
0 |
425 |
0 |
0 |
2 |
1,330 |
| Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure |
0 |
2 |
8 |
20 |
1 |
6 |
23 |
61 |
| Physical Climate Risk and Insurers |
0 |
3 |
15 |
15 |
0 |
5 |
18 |
18 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
1 |
6 |
467 |
1 |
4 |
25 |
989 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
3 |
5 |
10 |
1,394 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
2 |
4 |
9 |
1,305 |
| SRISK: a conditional capital shortfall measure of systemic risk |
1 |
5 |
14 |
431 |
10 |
32 |
78 |
1,440 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
1 |
2 |
2 |
337 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
314 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
133 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
13 |
1 |
1 |
2 |
147 |
| Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments |
3 |
4 |
4 |
4 |
7 |
10 |
10 |
10 |
| Structural GARCH: The Volatility-Leverage Connection |
2 |
2 |
4 |
121 |
2 |
3 |
13 |
257 |
| Systemic Risk in Europe |
0 |
2 |
5 |
80 |
0 |
2 |
9 |
91 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
598 |
| Testing For Common Features |
0 |
0 |
0 |
444 |
1 |
2 |
3 |
1,044 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
2 |
156 |
1 |
2 |
6 |
429 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
1 |
1 |
1 |
84 |
4 |
5 |
7 |
256 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
1 |
35 |
1 |
1 |
2 |
176 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
81 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
75 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
376 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
0 |
0 |
570 |
0 |
0 |
0 |
1,533 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
0 |
0 |
10 |
239 |
2 |
3 |
23 |
584 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
1,370 |
1 |
1 |
5 |
2,790 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
0 |
1 |
398 |
13 |
13 |
17 |
918 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
126 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
151 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
0 |
0 |
0 |
631 |
0 |
2 |
6 |
1,511 |
| The Underlying Dynamics of Credit Correlations |
1 |
1 |
1 |
154 |
1 |
2 |
3 |
331 |
| The risk management approach to macro-prudential policy |
1 |
1 |
3 |
40 |
3 |
3 |
11 |
113 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
1 |
1 |
6 |
140 |
1 |
1 |
13 |
440 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
0 |
7 |
1,862 |
2 |
8 |
39 |
4,596 |
| Time and the Price Impact of a Trade |
0 |
0 |
2 |
68 |
2 |
3 |
5 |
175 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
2 |
4 |
609 |
1 |
4 |
10 |
1,558 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
0 |
1 |
634 |
0 |
0 |
1 |
1,902 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
0 |
238 |
0 |
0 |
0 |
587 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
99 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
0 |
1 |
89 |
0 |
0 |
3 |
393 |
| Value at risk models in finance |
0 |
0 |
6 |
2,089 |
1 |
2 |
19 |
4,035 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
1 |
1 |
104 |
0 |
1 |
4 |
329 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
1 |
1 |
82 |
0 |
1 |
2 |
267 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
0 |
0 |
2 |
607 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
0 |
0 |
107 |
1 |
1 |
2 |
848 |
| Why Did Bank Stocks Crash During COVID-19? |
0 |
1 |
2 |
89 |
3 |
5 |
24 |
247 |
| Why did bank stocks crash during COVID-19? |
0 |
0 |
3 |
38 |
2 |
3 |
8 |
91 |
| Total Working Papers |
22 |
64 |
269 |
30,361 |
184 |
354 |
1,107 |
88,179 |
| 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 |
1 |
2 |
30 |
3,017 |
6 |
13 |
76 |
7,611 |
| A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
0 |
0 |
2 |
127 |
1 |
1 |
4 |
367 |
| A GARCH Option Pricing Model with Filtered Historical Simulation |
0 |
0 |
2 |
117 |
2 |
3 |
11 |
351 |
| A component model for dynamic correlations |
1 |
1 |
12 |
255 |
1 |
3 |
23 |
728 |
| A dymimic model of housing price determination |
0 |
0 |
1 |
320 |
1 |
1 |
3 |
775 |
| A general approach to lagrange multiplier model diagnostics |
0 |
0 |
8 |
214 |
1 |
1 |
16 |
602 |
| A long memory property of stock market returns and a new model |
3 |
11 |
56 |
2,829 |
8 |
24 |
121 |
5,747 |
| A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
0 |
0 |
2 |
141 |
0 |
0 |
4 |
414 |
| A multi-dynamic-factor model for stock returns |
0 |
0 |
4 |
555 |
1 |
1 |
7 |
1,131 |
| A multiple indicators model for volatility using intra-daily data |
1 |
1 |
7 |
318 |
6 |
6 |
31 |
949 |
| Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
0 |
0 |
2 |
564 |
0 |
1 |
8 |
1,068 |
| An Asset Price Model of Aggregate Investment |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
198 |
| An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
0 |
1 |
1 |
223 |
| Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
1 |
4 |
429 |
1 |
3 |
14 |
1,106 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
2 |
4 |
12 |
483 |
4 |
14 |
38 |
1,407 |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
7 |
17 |
74 |
3,277 |
| Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
12 |
33 |
180 |
6,630 |
29 |
92 |
560 |
18,337 |
| Band Spectrum Regression |
2 |
2 |
5 |
445 |
3 |
3 |
8 |
1,028 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
134 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
2 |
8 |
17 |
631 |
5 |
14 |
41 |
1,493 |
| Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
0 |
5 |
17 |
486 |
2 |
10 |
46 |
1,464 |
| Centralized Clearing for Credit Derivatives |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Climate Stress Testing |
0 |
0 |
1 |
1 |
2 |
3 |
6 |
6 |
| Co-integration and Error Correction: Representation, Estimation, and Testing |
13 |
23 |
146 |
15,899 |
36 |
104 |
499 |
39,351 |
| Co-integration and error correction: Representation, estimation, and testing |
4 |
14 |
76 |
848 |
24 |
66 |
293 |
2,885 |
| Codependent cycles |
0 |
1 |
2 |
197 |
0 |
1 |
3 |
831 |
| Combining competing forecasts of inflation using a bivariate arch model |
0 |
0 |
1 |
182 |
0 |
0 |
6 |
442 |
| Common Persistence in Conditional Variances |
0 |
0 |
0 |
372 |
0 |
2 |
2 |
949 |
| Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
302 |
| Common Trends and Common Cycles |
0 |
2 |
10 |
1,181 |
0 |
9 |
24 |
3,496 |
| Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
792 |
| Common trends and common cycles in Latin America |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
57 |
| Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
113 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
64 |
| Derivatives ‐ The Ultimate Financial Innovation |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
0 |
0 |
1 |
307 |
1 |
2 |
8 |
997 |
| Dynamic Conditional Beta |
1 |
2 |
8 |
102 |
2 |
5 |
25 |
256 |
| Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns |
0 |
0 |
5 |
20 |
0 |
2 |
9 |
66 |
| Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
8 |
18 |
75 |
3,491 |
| Dynamic Equicorrelation |
0 |
3 |
10 |
81 |
0 |
5 |
22 |
321 |
| Empirical pricing kernels |
1 |
2 |
6 |
482 |
2 |
3 |
12 |
1,101 |
| Environmental, Social, Governance: Implications for businesses and effects for stakeholders |
0 |
1 |
2 |
24 |
0 |
4 |
9 |
93 |
| Environmental, social, governance: Implications for businesses and effects for stakeholders |
0 |
0 |
0 |
11 |
0 |
1 |
3 |
46 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
2 |
2 |
11 |
645 |
3 |
4 |
19 |
1,448 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
0 |
0 |
74 |
0 |
0 |
0 |
320 |
| Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
0 |
3 |
13 |
2,219 |
3 |
9 |
36 |
5,412 |
| Estimating common sectoral cycles |
1 |
2 |
2 |
160 |
1 |
2 |
4 |
361 |
| Estimating systemic risk for non-listed Euro-area banks |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
32 |
1 |
1 |
1 |
134 |
| Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
61 |
0 |
0 |
0 |
196 |
| Exogeneity |
2 |
6 |
28 |
1,568 |
7 |
17 |
61 |
5,210 |
| Factor-Mimicking Portfolios for Climate Risk |
0 |
1 |
1 |
1 |
0 |
4 |
5 |
5 |
| Financial econometrics - A new discipline with new methods |
0 |
2 |
2 |
197 |
0 |
4 |
5 |
470 |
| Fitting Vast Dimensional Time-Varying Covariance Models |
2 |
2 |
3 |
19 |
2 |
2 |
9 |
64 |
| Forecasting and testing in co-integrated systems |
3 |
8 |
19 |
1,725 |
3 |
11 |
34 |
3,287 |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
5 |
8 |
56 |
357 |
6 |
12 |
84 |
573 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
1 |
1 |
4 |
299 |
1 |
1 |
9 |
573 |
| GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
1 |
7 |
18 |
4,424 |
10 |
24 |
71 |
9,794 |
| GLOBALIZATION: CONTENTS AND DISCONTENTS |
0 |
0 |
4 |
43 |
0 |
0 |
6 |
184 |
| Hedging Climate Change News |
8 |
34 |
160 |
686 |
31 |
94 |
441 |
2,004 |
| Hourly volatility spillovers between international equity markets |
0 |
0 |
0 |
374 |
1 |
1 |
1 |
803 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
2 |
252 |
1 |
1 |
4 |
661 |
| Implied ARCH models from options prices |
0 |
1 |
7 |
743 |
0 |
2 |
11 |
1,535 |
| Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
0 |
36 |
0 |
0 |
0 |
121 |
| Large Dynamic Covariance Matrices |
0 |
2 |
3 |
13 |
2 |
4 |
10 |
79 |
| Large dynamic covariance matrices: Enhancements based on intraday data |
0 |
0 |
1 |
6 |
0 |
0 |
7 |
28 |
| Liquidity and volatility in the U.S. Treasury market |
0 |
0 |
1 |
31 |
0 |
3 |
7 |
107 |
| Long-Term Skewness and Systemic Risk |
1 |
1 |
1 |
60 |
2 |
3 |
4 |
217 |
| Measuring and Testing the Impact of News on Volatility |
1 |
3 |
19 |
1,270 |
5 |
10 |
52 |
3,094 |
| Measuring the probability of a financial crisis |
0 |
0 |
3 |
15 |
1 |
1 |
8 |
59 |
| Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
0 |
2 |
3 |
286 |
0 |
2 |
8 |
686 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
1 |
2 |
7 |
666 |
2 |
6 |
34 |
2,162 |
| Modeling the Dynamics of Correlations among Implied Volatilities |
1 |
1 |
2 |
29 |
1 |
1 |
2 |
86 |
| Multivariate Simultaneous Generalized ARCH |
3 |
9 |
43 |
1,205 |
14 |
36 |
128 |
2,914 |
| New frontiers for arch models |
0 |
0 |
1 |
607 |
0 |
0 |
5 |
1,833 |
| News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* |
2 |
3 |
8 |
21 |
2 |
5 |
16 |
43 |
| On the determination of regional base and regional base multipliers |
0 |
0 |
0 |
83 |
0 |
0 |
0 |
208 |
| On the theory of growth controls |
0 |
0 |
1 |
71 |
1 |
1 |
2 |
197 |
| POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Predicting VNET: A model of the dynamics of market depth |
0 |
0 |
2 |
353 |
0 |
2 |
8 |
760 |
| Priced risk and asymmetric volatility in the cross section of skewness |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
140 |
| Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
0 |
17 |
0 |
1 |
1 |
64 |
| Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
0 |
0 |
0 |
903 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
0 |
4 |
1,501 |
3 |
5 |
13 |
3,387 |
| Robert F Engle: Understanding volatility as a process |
0 |
0 |
2 |
44 |
0 |
0 |
6 |
198 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
0 |
1 |
1 |
102 |
| SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
0 |
2 |
14 |
305 |
6 |
24 |
83 |
1,317 |
| Scenario generation for long run interest rate risk assessment |
0 |
0 |
1 |
20 |
0 |
0 |
4 |
86 |
| Seasonal integration and cointegration |
3 |
12 |
31 |
1,676 |
3 |
18 |
53 |
3,541 |
| Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
1,121 |
| Shorte-run forecasts of electricity loads and peaks |
0 |
1 |
3 |
234 |
0 |
1 |
4 |
515 |
| Small-Sample Properties of ARCH Estimators and Tests |
0 |
0 |
0 |
55 |
0 |
0 |
2 |
394 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
180 |
| Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
19 |
1 |
1 |
2 |
119 |
| Stochastic Permanent Breaks |
0 |
1 |
1 |
147 |
0 |
1 |
2 |
543 |
| Stock Market Volatility and Macroeconomic Fundamentals |
12 |
40 |
151 |
1,222 |
20 |
64 |
275 |
2,661 |
| Stock Volatility and the Crash of '87: Discussion |
0 |
0 |
2 |
158 |
1 |
1 |
4 |
391 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
1 |
12 |
1 |
2 |
6 |
85 |
| Systemic Risk 10 Years Later |
0 |
1 |
1 |
23 |
0 |
1 |
2 |
78 |
| Systemic Risk in Europe |
0 |
0 |
2 |
71 |
1 |
2 |
10 |
263 |
| Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
215 |
| Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
1 |
6 |
243 |
0 |
1 |
10 |
496 |
| Testing for Common Features |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
1,746 |
| Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
296 |
| Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
123 |
1 |
2 |
2 |
604 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
2 |
17 |
266 |
2 |
5 |
41 |
941 |
| Testing superexogeneity and invariance in regression models |
0 |
0 |
1 |
269 |
0 |
2 |
7 |
548 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
0 |
0 |
7 |
3,563 |
| The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
1 |
34 |
2 |
2 |
5 |
130 |
| The Factor–Spline–GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
23 |
2 |
3 |
6 |
77 |
| The Japanese consumption function |
1 |
1 |
4 |
182 |
1 |
1 |
6 |
516 |
| The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
2 |
3 |
23 |
584 |
12 |
22 |
82 |
1,529 |
| The billing cycle and weather variables in models of electricity sales |
0 |
0 |
1 |
6 |
0 |
1 |
4 |
42 |
| The econometrics of macroeconomics, finance, and the interface |
1 |
1 |
1 |
437 |
1 |
1 |
3 |
824 |
| The intertemporal capital asset pricing model with dynamic conditional correlations |
0 |
0 |
3 |
266 |
2 |
3 |
14 |
843 |
| Time and the Price Impact of a Trade |
1 |
2 |
9 |
250 |
3 |
5 |
19 |
676 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
1 |
3 |
108 |
3 |
7 |
13 |
402 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
1 |
258 |
1 |
2 |
6 |
688 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
315 |
| Transportation costs and the rent gradient |
0 |
0 |
2 |
175 |
1 |
2 |
7 |
543 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
1 |
2 |
4 |
271 |
1 |
4 |
13 |
679 |
| What are the events that shake our world? Measuring and hedging global COVOL |
2 |
5 |
10 |
21 |
5 |
11 |
30 |
73 |
| What good is a volatility model? |
4 |
5 |
14 |
73 |
6 |
10 |
35 |
265 |
| Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
50 |
1 |
1 |
5 |
389 |
| Why Did Bank Stocks Crash during COVID-19? |
0 |
2 |
3 |
3 |
3 |
10 |
22 |
22 |
| Total Journal Articles |
104 |
298 |
1,371 |
65,547 |
341 |
921 |
4,018 |
182,219 |
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