| 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 |
2 |
3 |
212 |
| A GARCH Option Pricing Model in Incomplete Markets |
0 |
1 |
2 |
216 |
0 |
7 |
15 |
504 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
0 |
0 |
7 |
3 |
6 |
9 |
40 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
4 |
5 |
414 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
1 |
198 |
2 |
10 |
11 |
385 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
1 |
6 |
8 |
840 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
1 |
8 |
14 |
1,269 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
2 |
8 |
9 |
284 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
0 |
543 |
0 |
3 |
4 |
1,435 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
0 |
0 |
0 |
15 |
1 |
4 |
7 |
203 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
1 |
260 |
1 |
8 |
13 |
636 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
0 |
0 |
1 |
473 |
1 |
14 |
21 |
1,509 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
0 |
5 |
1,039 |
0 |
13 |
33 |
2,543 |
| Autobiography |
0 |
0 |
0 |
55 |
0 |
5 |
6 |
177 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
0 |
5 |
11 |
349 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
0 |
4 |
1,399 |
4 |
27 |
79 |
3,413 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
0 |
1 |
67 |
2 |
11 |
18 |
276 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
0 |
0 |
1,448 |
3 |
25 |
32 |
3,490 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
1 |
8 |
14 |
1,332 |
| CRISK: Measuring the Climate Risk Exposure of the Financial System |
0 |
2 |
10 |
125 |
9 |
27 |
112 |
455 |
| Climate Stress Testing |
0 |
0 |
2 |
51 |
1 |
4 |
17 |
55 |
| Climate Stress Testing |
0 |
0 |
0 |
63 |
1 |
11 |
17 |
59 |
| Climate Stress Testing |
0 |
0 |
1 |
54 |
3 |
7 |
11 |
31 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
22 |
1 |
7 |
8 |
73 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
4 |
6 |
91 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
71 |
3 |
7 |
10 |
115 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
2 |
6 |
7 |
1,409 |
| Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
1 |
1 |
4 |
9 |
396 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
4 |
7 |
8 |
507 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
227 |
1 |
7 |
11 |
1,010 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
0 |
0 |
4 |
315 |
6 |
135 |
149 |
817 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
0 |
2 |
3 |
198 |
2 |
12 |
23 |
541 |
| EXOGENEITY |
0 |
1 |
1 |
27 |
9 |
31 |
37 |
152 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
0 |
2 |
2 |
97 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
249 |
0 |
9 |
15 |
645 |
| Empirical Pricing Kernels |
0 |
0 |
0 |
516 |
1 |
9 |
15 |
1,218 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
0 |
0 |
0 |
158 |
1 |
2 |
4 |
512 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
1 |
4 |
1 |
5 |
6 |
167 |
| Estimating systemic risk for non-listed euro-area banks |
0 |
2 |
4 |
19 |
4 |
12 |
20 |
46 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
1 |
4 |
5 |
596 |
| Execution Risk |
0 |
0 |
1 |
320 |
3 |
10 |
15 |
806 |
| Exogeneity |
0 |
2 |
3 |
44 |
4 |
18 |
29 |
935 |
| Exogeneity |
0 |
0 |
0 |
0 |
3 |
13 |
20 |
245 |
| Factor mimicking portfolios for climate risk |
2 |
4 |
6 |
63 |
4 |
14 |
26 |
79 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
356 |
2 |
11 |
18 |
842 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
125 |
0 |
5 |
12 |
295 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
2 |
490 |
1 |
8 |
16 |
1,211 |
| GARCH Gamma |
0 |
0 |
0 |
1,156 |
2 |
5 |
8 |
3,081 |
| GARCH Options in Incomplete Markets |
0 |
0 |
0 |
117 |
1 |
2 |
3 |
260 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
1 |
1 |
311 |
1 |
8 |
11 |
717 |
| Hedging Climate Change News |
0 |
0 |
1 |
43 |
2 |
7 |
14 |
199 |
| Hedging Climate Change News |
0 |
0 |
2 |
91 |
11 |
21 |
26 |
298 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
0 |
767 |
3 |
5 |
10 |
2,000 |
| Hedging climate change news |
1 |
2 |
8 |
115 |
4 |
18 |
47 |
420 |
| High and Low Frequency Correlations in Global Equity Markets |
0 |
0 |
0 |
223 |
0 |
6 |
8 |
478 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
28 |
0 |
8 |
10 |
118 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
1 |
324 |
0 |
9 |
11 |
869 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
0 |
0 |
0 |
143 |
1 |
4 |
6 |
747 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
0 |
0 |
0 |
148 |
2 |
3 |
5 |
489 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
1 |
3 |
6 |
308 |
| Large dynamic covariance matrices |
0 |
0 |
1 |
131 |
1 |
6 |
13 |
267 |
| Large dynamic covariance matrices: enhancements based on intraday data |
0 |
0 |
0 |
54 |
4 |
14 |
22 |
121 |
| Liquidity and volatility in the U.S. treasury market |
0 |
0 |
4 |
128 |
0 |
4 |
16 |
365 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
0 |
5 |
10 |
524 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
0 |
0 |
0 |
67 |
0 |
7 |
7 |
221 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
0 |
351 |
3 |
14 |
16 |
1,108 |
| Measuring and Hedging Geopolitical Risk |
2 |
6 |
8 |
95 |
3 |
19 |
44 |
246 |
| Measuring and Testing the Impact of News on Volatility |
0 |
0 |
3 |
2,005 |
0 |
8 |
23 |
3,741 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
0 |
1 |
1 |
436 |
7 |
14 |
16 |
1,123 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
0 |
0 |
2 |
185 |
17 |
67 |
77 |
731 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
0 |
284 |
2 |
6 |
7 |
1,018 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
0 |
1 |
23 |
1 |
5 |
8 |
140 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
1 |
1 |
1 |
433 |
3 |
11 |
19 |
1,542 |
| Modelling Volatility Cycles: The (MF)2 GARCH Model |
0 |
0 |
5 |
124 |
0 |
3 |
20 |
277 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
129 |
1 |
6 |
9 |
375 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
0 |
0 |
425 |
0 |
10 |
13 |
1,343 |
| Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure |
0 |
0 |
8 |
28 |
10 |
17 |
41 |
102 |
| Physical Climate Risk and Insurers |
0 |
0 |
1 |
16 |
2 |
3 |
8 |
26 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
1 |
4 |
471 |
4 |
9 |
22 |
1,011 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
2 |
9 |
20 |
1,414 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
2 |
8 |
16 |
1,321 |
| SRISK: a conditional capital shortfall measure of systemic risk |
2 |
13 |
35 |
466 |
8 |
46 |
155 |
1,595 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
5 |
13 |
14 |
351 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
1 |
4 |
4 |
318 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
1 |
5 |
8 |
141 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
13 |
3 |
9 |
9 |
156 |
| Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments |
0 |
0 |
5 |
9 |
1 |
14 |
32 |
42 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
0 |
121 |
2 |
7 |
16 |
273 |
| Systemic Risk in Europe |
0 |
0 |
2 |
82 |
8 |
12 |
22 |
113 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
0 |
4 |
6 |
604 |
| Testing For Common Features |
0 |
0 |
0 |
444 |
1 |
6 |
10 |
1,054 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
1 |
1 |
157 |
2 |
16 |
21 |
450 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
0 |
35 |
2 |
7 |
9 |
185 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
1 |
85 |
0 |
8 |
19 |
275 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
2 |
6 |
6 |
87 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
0 |
0 |
0 |
3 |
6 |
11 |
86 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
5 |
11 |
11 |
387 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
0 |
0 |
570 |
0 |
6 |
7 |
1,540 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
0 |
6 |
11 |
250 |
0 |
11 |
23 |
607 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
1,370 |
1 |
8 |
11 |
2,801 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
398 |
0 |
4 |
8 |
926 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
132 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
0 |
4 |
5 |
156 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
0 |
0 |
1 |
632 |
3 |
12 |
18 |
1,529 |
| The Underlying Dynamics of Credit Correlations |
0 |
0 |
0 |
154 |
1 |
5 |
14 |
345 |
| The risk management approach to macro-prudential policy |
0 |
1 |
1 |
41 |
5 |
11 |
22 |
135 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
0 |
0 |
140 |
1 |
13 |
16 |
456 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
1 |
4 |
1,866 |
5 |
25 |
68 |
4,664 |
| Time and the Price Impact of a Trade |
0 |
0 |
2 |
70 |
4 |
13 |
17 |
192 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
610 |
2 |
5 |
8 |
1,566 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
0 |
0 |
634 |
2 |
36 |
47 |
1,949 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
1 |
1 |
239 |
0 |
4 |
8 |
595 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
5 |
6 |
105 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
0 |
0 |
89 |
1 |
8 |
9 |
402 |
| Value at risk models in finance |
0 |
0 |
1 |
2,090 |
1 |
10 |
17 |
4,052 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
104 |
0 |
4 |
7 |
336 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
82 |
2 |
6 |
11 |
278 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
0 |
9 |
13 |
620 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
0 |
0 |
107 |
2 |
19 |
19 |
867 |
| Why Did Bank Stocks Crash During COVID-19? |
1 |
1 |
1 |
90 |
2 |
17 |
31 |
278 |
| Why did bank stocks crash during COVID-19? |
0 |
1 |
2 |
40 |
3 |
12 |
16 |
107 |
| Total Working Papers |
9 |
51 |
177 |
30,538 |
259 |
1,333 |
2,292 |
90,471 |
| 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 |
2 |
7 |
18 |
3,035 |
9 |
32 |
87 |
7,698 |
| A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
0 |
0 |
1 |
128 |
0 |
4 |
8 |
375 |
| A GARCH Option Pricing Model with Filtered Historical Simulation |
0 |
0 |
1 |
118 |
1 |
5 |
12 |
363 |
| A component model for dynamic correlations |
0 |
1 |
7 |
262 |
5 |
21 |
38 |
766 |
| A dymimic model of housing price determination |
0 |
0 |
0 |
320 |
2 |
12 |
16 |
791 |
| A general approach to lagrange multiplier model diagnostics |
0 |
0 |
1 |
215 |
2 |
11 |
20 |
622 |
| A long memory property of stock market returns and a new model |
7 |
10 |
54 |
2,883 |
12 |
30 |
134 |
5,881 |
| A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
0 |
0 |
1 |
142 |
0 |
3 |
8 |
422 |
| A multi-dynamic-factor model for stock returns |
0 |
0 |
2 |
557 |
3 |
10 |
16 |
1,147 |
| A multiple indicators model for volatility using intra-daily data |
0 |
0 |
5 |
323 |
2 |
10 |
44 |
993 |
| A practical guide to volatility forecasting through calm and storm |
0 |
0 |
0 |
4 |
2 |
9 |
13 |
28 |
| Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
1 |
3 |
3 |
567 |
3 |
13 |
18 |
1,086 |
| An Asset Price Model of Aggregate Investment |
1 |
1 |
1 |
50 |
3 |
4 |
6 |
204 |
| An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
3 |
7 |
12 |
235 |
| Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
0 |
1 |
430 |
4 |
21 |
28 |
1,134 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
1 |
3 |
28 |
511 |
6 |
29 |
103 |
1,510 |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
21 |
41 |
85 |
3,362 |
| Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
12 |
49 |
206 |
6,836 |
52 |
202 |
704 |
19,041 |
| Band Spectrum Regression |
0 |
0 |
3 |
448 |
1 |
4 |
10 |
1,038 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
2 |
4 |
5 |
139 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
2 |
4 |
635 |
6 |
22 |
52 |
1,545 |
| COMMON TRENDS AND COMMON CYCLES |
1 |
4 |
7 |
7 |
1 |
11 |
19 |
19 |
| CRISK: Measuring the climate risk exposure of the financial system |
1 |
4 |
22 |
22 |
13 |
44 |
109 |
109 |
| Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
1 |
4 |
10 |
496 |
5 |
18 |
48 |
1,512 |
| Centralized Clearing for Credit Derivatives |
0 |
0 |
1 |
1 |
0 |
4 |
7 |
8 |
| Climate Stress Testing |
0 |
0 |
6 |
7 |
3 |
16 |
31 |
37 |
| Co-integration and Error Correction: Representation, Estimation, and Testing |
15 |
43 |
110 |
16,009 |
53 |
205 |
554 |
39,905 |
| Co-integration and error correction: Representation, estimation, and testing |
8 |
23 |
66 |
914 |
19 |
83 |
257 |
3,142 |
| Codependent cycles |
0 |
0 |
0 |
197 |
0 |
4 |
9 |
840 |
| Combining competing forecasts of inflation using a bivariate arch model |
0 |
2 |
3 |
185 |
2 |
6 |
11 |
453 |
| Common Persistence in Conditional Variances |
0 |
0 |
1 |
373 |
2 |
10 |
16 |
965 |
| Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
2 |
5 |
7 |
309 |
| Common Trends and Common Cycles |
0 |
2 |
9 |
1,190 |
1 |
11 |
22 |
3,518 |
| Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
6 |
11 |
14 |
806 |
| Common trends and common cycles in Latin America |
0 |
0 |
0 |
16 |
4 |
10 |
18 |
75 |
| Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
0 |
4 |
4 |
117 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
3 |
7 |
9 |
73 |
| Derivatives ‐ The Ultimate Financial Innovation |
0 |
0 |
0 |
1 |
0 |
5 |
5 |
6 |
| Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
1 |
1 |
1 |
308 |
5 |
15 |
18 |
1,015 |
| Dynamic Conditional Beta |
0 |
1 |
4 |
106 |
5 |
19 |
32 |
288 |
| Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns |
0 |
0 |
2 |
22 |
3 |
7 |
17 |
83 |
| Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
11 |
45 |
114 |
3,605 |
| Dynamic Equicorrelation |
1 |
4 |
11 |
92 |
2 |
18 |
39 |
360 |
| Empirical pricing kernels |
1 |
1 |
1 |
483 |
1 |
4 |
9 |
1,110 |
| Environmental, Social, Governance: Implications for businesses and effects for stakeholders |
0 |
0 |
1 |
25 |
1 |
5 |
11 |
104 |
| Environmental, social, governance: Implications for businesses and effects for stakeholders |
0 |
0 |
1 |
12 |
0 |
3 |
4 |
50 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
0 |
1 |
4 |
649 |
1 |
8 |
19 |
1,467 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
1 |
1 |
75 |
0 |
3 |
7 |
327 |
| Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
2 |
2 |
7 |
2,226 |
6 |
14 |
39 |
5,451 |
| Estimating common sectoral cycles |
0 |
0 |
6 |
166 |
0 |
2 |
11 |
372 |
| Estimating systemic risk for non-listed Euro-area banks |
0 |
0 |
5 |
5 |
3 |
8 |
23 |
23 |
| Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
32 |
1 |
2 |
3 |
137 |
| Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
61 |
1 |
8 |
10 |
206 |
| Exogeneity |
1 |
2 |
6 |
1,574 |
7 |
24 |
40 |
5,250 |
| Factor-Mimicking Portfolios for Climate Risk |
1 |
1 |
2 |
3 |
5 |
13 |
21 |
26 |
| Financial econometrics - A new discipline with new methods |
0 |
0 |
2 |
199 |
6 |
12 |
22 |
492 |
| Fitting Vast Dimensional Time-Varying Covariance Models |
0 |
0 |
1 |
20 |
2 |
8 |
17 |
81 |
| Forecasting and testing in co-integrated systems |
0 |
1 |
12 |
1,737 |
0 |
9 |
30 |
3,317 |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
2 |
8 |
34 |
391 |
3 |
29 |
76 |
649 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
0 |
0 |
2 |
301 |
3 |
8 |
19 |
592 |
| GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
1 |
6 |
31 |
4,455 |
8 |
70 |
166 |
9,960 |
| GLOBALIZATION: CONTENTS AND DISCONTENTS |
0 |
0 |
1 |
44 |
1 |
8 |
14 |
198 |
| Hedging Climate Change News |
4 |
7 |
46 |
732 |
26 |
59 |
240 |
2,244 |
| Hourly volatility spillovers between international equity markets |
0 |
1 |
3 |
377 |
3 |
7 |
14 |
817 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
1 |
253 |
2 |
11 |
16 |
677 |
| Implied ARCH models from options prices |
0 |
0 |
5 |
748 |
0 |
5 |
12 |
1,547 |
| Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
0 |
36 |
2 |
5 |
7 |
128 |
| Large Dynamic Covariance Matrices |
2 |
3 |
5 |
18 |
4 |
12 |
27 |
106 |
| Large dynamic covariance matrices: Enhancements based on intraday data |
1 |
2 |
2 |
8 |
2 |
11 |
16 |
44 |
| Liquidity and volatility in the U.S. Treasury market |
1 |
1 |
4 |
35 |
2 |
7 |
18 |
125 |
| Long-Term Skewness and Systemic Risk |
0 |
0 |
0 |
60 |
1 |
10 |
14 |
231 |
| Measuring and Testing the Impact of News on Volatility |
0 |
1 |
6 |
1,276 |
7 |
26 |
64 |
3,158 |
| Measuring the probability of a financial crisis |
0 |
0 |
0 |
15 |
3 |
11 |
15 |
74 |
| Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
0 |
0 |
3 |
289 |
1 |
6 |
14 |
700 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
0 |
0 |
4 |
670 |
6 |
16 |
40 |
2,202 |
| Modeling the Dynamics of Correlations among Implied Volatilities |
0 |
0 |
2 |
31 |
1 |
5 |
10 |
96 |
| Modelling Volatility Cycles: The MF2‐GARCH Model |
0 |
1 |
7 |
7 |
6 |
23 |
45 |
45 |
| Multiplicative factor model for volatility |
0 |
0 |
6 |
6 |
4 |
10 |
23 |
23 |
| Multivariate Simultaneous Generalized ARCH |
2 |
5 |
30 |
1,235 |
10 |
31 |
142 |
3,056 |
| New frontiers for arch models |
0 |
0 |
3 |
610 |
1 |
8 |
19 |
1,852 |
| News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* |
0 |
0 |
4 |
25 |
6 |
13 |
31 |
74 |
| On the determination of regional base and regional base multipliers |
0 |
0 |
1 |
84 |
0 |
6 |
7 |
215 |
| On the theory of growth controls |
0 |
0 |
4 |
75 |
3 |
5 |
12 |
209 |
| POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
| Predicting VNET: A model of the dynamics of market depth |
0 |
1 |
2 |
355 |
1 |
5 |
8 |
768 |
| Priced risk and asymmetric volatility in the cross section of skewness |
0 |
0 |
1 |
29 |
4 |
7 |
12 |
152 |
| Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
0 |
17 |
0 |
5 |
6 |
70 |
| Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
1 |
4 |
5 |
908 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
1 |
5 |
1,506 |
2 |
12 |
29 |
3,416 |
| Robert F Engle: Understanding volatility as a process |
0 |
0 |
1 |
45 |
0 |
2 |
6 |
204 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
0 |
8 |
11 |
113 |
| SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
0 |
2 |
15 |
320 |
5 |
24 |
83 |
1,400 |
| Scenario generation for long run interest rate risk assessment |
1 |
1 |
2 |
22 |
2 |
7 |
11 |
97 |
| Seasonal integration and cointegration |
3 |
4 |
25 |
1,701 |
6 |
16 |
54 |
3,595 |
| Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
1 |
6 |
13 |
1,134 |
| Shorte-run forecasts of electricity loads and peaks |
0 |
0 |
2 |
236 |
2 |
7 |
13 |
528 |
| Small-Sample Properties of ARCH Estimators and Tests |
1 |
1 |
2 |
57 |
1 |
3 |
5 |
399 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
2 |
4 |
4 |
184 |
| Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
19 |
2 |
6 |
6 |
125 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
147 |
3 |
6 |
8 |
551 |
| Stock Market Volatility and Macroeconomic Fundamentals |
16 |
39 |
151 |
1,373 |
28 |
103 |
341 |
3,002 |
| Stock Volatility and the Crash of '87: Discussion |
0 |
0 |
1 |
159 |
1 |
5 |
9 |
400 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
0 |
12 |
1 |
14 |
18 |
103 |
| Systemic Risk 10 Years Later |
0 |
0 |
3 |
26 |
7 |
13 |
18 |
96 |
| Systemic Risk in Europe |
0 |
0 |
1 |
72 |
1 |
5 |
14 |
277 |
| Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum |
0 |
0 |
0 |
0 |
3 |
6 |
6 |
7 |
| Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
0 |
1 |
40 |
0 |
4 |
6 |
221 |
| Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
0 |
1 |
244 |
0 |
6 |
9 |
505 |
| Testing for Common Features |
0 |
0 |
0 |
0 |
2 |
10 |
24 |
1,770 |
| Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
2 |
5 |
6 |
302 |
| Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
123 |
3 |
5 |
6 |
610 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
1 |
1 |
4 |
270 |
1 |
13 |
40 |
981 |
| Testing superexogeneity and invariance in regression models |
0 |
0 |
1 |
270 |
1 |
9 |
13 |
561 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
4 |
10 |
19 |
3,582 |
| The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
34 |
1 |
7 |
11 |
141 |
| The Factor–Spline–GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
23 |
2 |
9 |
13 |
90 |
| The Japanese consumption function |
0 |
0 |
0 |
182 |
3 |
10 |
12 |
528 |
| The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
2 |
9 |
41 |
625 |
7 |
25 |
117 |
1,646 |
| The billing cycle and weather variables in models of electricity sales |
0 |
0 |
1 |
7 |
0 |
4 |
6 |
48 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
0 |
437 |
1 |
5 |
8 |
832 |
| The intertemporal capital asset pricing model with dynamic conditional correlations |
0 |
0 |
3 |
269 |
2 |
19 |
32 |
875 |
| The underlying dynamics of credit correlations |
0 |
0 |
0 |
0 |
0 |
7 |
10 |
10 |
| Time and the Price Impact of a Trade |
1 |
1 |
6 |
256 |
5 |
12 |
24 |
700 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
109 |
3 |
8 |
17 |
419 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
0 |
258 |
0 |
2 |
8 |
696 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
1 |
5 |
11 |
326 |
| Transportation costs and the rent gradient |
1 |
1 |
2 |
177 |
3 |
8 |
10 |
553 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
5 |
276 |
0 |
4 |
18 |
697 |
| What are the events that shake our world? Measuring and hedging global COVOL |
2 |
4 |
12 |
33 |
5 |
17 |
52 |
125 |
| What good is a volatility model? |
0 |
0 |
7 |
80 |
0 |
4 |
26 |
291 |
| Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
50 |
2 |
10 |
17 |
406 |
| Why Did Bank Stocks Crash during COVID-19? |
1 |
2 |
7 |
10 |
2 |
11 |
39 |
61 |
| Total Journal Articles |
100 |
275 |
1,145 |
66,696 |
541 |
2,075 |
5,341 |
187,575 |
LogEc is hosted by the
Örebro University School of Business.