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 |
13 |
34 |
109 |
2,771 |
23 |
67 |
251 |
6,920 |

A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
0 |
0 |
4 |
110 |
4 |
4 |
20 |
327 |

A GARCH Option Pricing Model with Filtered Historical Simulation |
1 |
1 |
4 |
105 |
3 |
4 |
18 |
293 |

A component model for dynamic correlations |
5 |
10 |
33 |
169 |
11 |
24 |
85 |
506 |

A dymimic model of housing price determination |
1 |
2 |
2 |
305 |
4 |
6 |
12 |
725 |

A general approach to lagrange multiplier model diagnostics |
0 |
0 |
1 |
189 |
2 |
5 |
18 |
539 |

A long memory property of stock market returns and a new model |
2 |
9 |
40 |
2,574 |
14 |
36 |
153 |
5,106 |

A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
1 |
1 |
1 |
133 |
2 |
3 |
10 |
382 |

A multi-dynamic-factor model for stock returns |
0 |
0 |
0 |
542 |
2 |
3 |
8 |
1,097 |

A multiple indicators model for volatility using intra-daily data |
1 |
1 |
4 |
288 |
8 |
13 |
46 |
785 |

Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
0 |
0 |
2 |
547 |
1 |
3 |
16 |
1,003 |

An Asset Price Model of Aggregate Investment |
0 |
0 |
0 |
49 |
0 |
1 |
4 |
184 |

An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
0 |
0 |
5 |
215 |

Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
2 |
5 |
385 |
3 |
10 |
30 |
969 |

Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
0 |
0 |
13 |
416 |
4 |
18 |
71 |
1,151 |

Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
14 |
22 |
72 |
2,833 |

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
15 |
43 |
172 |
5,845 |
53 |
169 |
719 |
15,503 |

Band Spectrum Regression |
1 |
3 |
7 |
416 |
2 |
7 |
26 |
951 |

Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
119 |

CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
2 |
14 |
575 |
6 |
16 |
59 |
1,299 |

Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
4 |
12 |
50 |
395 |
10 |
38 |
123 |
1,076 |

Co-integration and Error Correction: Representation, Estimation, and Testing |
24 |
70 |
248 |
14,790 |
101 |
327 |
1,291 |
35,250 |

Co-integration and error correction: Representation, estimation, and testing |
8 |
23 |
71 |
415 |
21 |
74 |
243 |
1,245 |

Codependent cycles |
0 |
0 |
3 |
189 |
0 |
0 |
6 |
812 |

Combining competing forecasts of inflation using a bivariate arch model |
0 |
1 |
7 |
161 |
2 |
7 |
21 |
382 |

Common Persistence in Conditional Variances |
0 |
2 |
3 |
370 |
6 |
9 |
16 |
915 |

Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
288 |

Common Trends and Common Cycles |
1 |
4 |
20 |
1,117 |
8 |
17 |
54 |
3,340 |

Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
2 |
6 |
32 |
744 |

Common trends and common cycles in Latin America |
0 |
0 |
3 |
8 |
0 |
0 |
11 |
33 |

Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
0 |
0 |
4 |
106 |

Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
1 |
3 |
3 |
4 |
14 |
25 |

Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
0 |
0 |
7 |
289 |
9 |
12 |
49 |
921 |

Dynamic Conditional Beta |
0 |
2 |
7 |
50 |
1 |
3 |
20 |
101 |

Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
15 |
37 |
82 |
3,060 |

Dynamic Equicorrelation |
0 |
1 |
11 |
49 |
2 |
9 |
34 |
179 |

Empirical pricing kernels |
1 |
4 |
12 |
432 |
2 |
8 |
35 |
954 |

Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
1 |
4 |
22 |
560 |
4 |
15 |
52 |
1,270 |

Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
0 |
0 |
72 |
1 |
4 |
9 |
304 |

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
7 |
21 |
71 |
2,057 |
16 |
45 |
176 |
4,904 |

Estimating common sectoral cycles |
1 |
1 |
2 |
142 |
2 |
3 |
14 |
327 |

Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
30 |
1 |
3 |
9 |
122 |

Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
60 |
1 |
1 |
5 |
190 |

Exogeneity |
4 |
15 |
56 |
1,397 |
13 |
38 |
154 |
4,796 |

Financial econometrics - A new discipline with new methods |
0 |
0 |
1 |
180 |
3 |
5 |
12 |
434 |

Forecasting and testing in co-integrated systems |
5 |
28 |
84 |
1,459 |
9 |
56 |
179 |
2,751 |

Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
6 |
11 |
25 |
93 |
11 |
21 |
50 |
167 |

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
1 |
1 |
2 |
281 |
2 |
3 |
15 |
524 |

GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
1 |
6 |
13 |
4,359 |
2 |
17 |
79 |
9,498 |

GLOBALIZATION: CONTENTS AND DISCONTENTS |
0 |
2 |
6 |
31 |
1 |
5 |
32 |
121 |

Hourly volatility spillovers between international equity markets |
2 |
3 |
9 |
352 |
3 |
5 |
27 |
742 |

Impacts of trades in an error-correction model of quote prices |
1 |
6 |
11 |
237 |
2 |
11 |
35 |
622 |

Implied ARCH models from options prices |
1 |
2 |
12 |
681 |
3 |
10 |
41 |
1,401 |

Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
0 |
36 |
0 |
0 |
4 |
118 |

Large Dynamic Covariance Matrices |
0 |
0 |
0 |
0 |
3 |
5 |
16 |
16 |

Long-Term Skewness and Systemic Risk |
0 |
0 |
0 |
54 |
0 |
2 |
15 |
182 |

Measuring and Testing the Impact of News on Volatility |
5 |
20 |
77 |
1,177 |
14 |
43 |
198 |
2,751 |

Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
1 |
1 |
4 |
267 |
3 |
3 |
16 |
638 |

Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
5 |
9 |
47 |
560 |
11 |
32 |
148 |
1,758 |

Modeling the Dynamics of Correlations among Implied Volatilities |
0 |
0 |
2 |
20 |
1 |
2 |
7 |
68 |

Multivariate Simultaneous Generalized ARCH |
4 |
16 |
86 |
989 |
15 |
42 |
229 |
2,237 |

New frontiers for arch models |
0 |
1 |
5 |
598 |
1 |
3 |
20 |
1,733 |

On the determination of regional base and regional base multipliers |
0 |
0 |
0 |
81 |
1 |
1 |
4 |
195 |

On the theory of growth controls |
0 |
0 |
0 |
62 |
0 |
1 |
7 |
175 |

POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
5 |

Predicting VNET: A model of the dynamics of market depth |
1 |
2 |
7 |
323 |
3 |
8 |
28 |
693 |

Priced risk and asymmetric volatility in the cross section of skewness |
0 |
0 |
3 |
18 |
1 |
6 |
17 |
102 |

Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
0 |
16 |
1 |
1 |
3 |
58 |

Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
1 |
4 |
11 |
893 |

Risk and Volatility: Econometric Models and Financial Practice |
0 |
2 |
8 |
1,466 |
3 |
9 |
42 |
3,251 |

Robert F Engle: Understanding volatility as a process |
0 |
0 |
2 |
26 |
0 |
2 |
8 |
142 |

SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
28 |
3 |
4 |
12 |
92 |

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
6 |
15 |
53 |
127 |
30 |
71 |
215 |
396 |

Scenario generation for long run interest rate risk assessment |
0 |
0 |
2 |
8 |
0 |
1 |
16 |
42 |

Seasonal integration and cointegration |
1 |
5 |
29 |
1,509 |
8 |
25 |
99 |
3,100 |

Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
1 |
5 |
42 |
1,053 |

Shorte-run forecasts of electricity loads and peaks |
0 |
4 |
12 |
206 |
1 |
8 |
23 |
458 |

Small-Sample Properties of ARCH Estimators and Tests |
1 |
1 |
2 |
49 |
2 |
3 |
9 |
372 |

Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
0 |
0 |
4 |
175 |

Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
17 |
0 |
2 |
6 |
107 |

Stochastic Permanent Breaks |
0 |
0 |
4 |
144 |
1 |
2 |
16 |
516 |

Stock Market Volatility and Macroeconomic Fundamentals |
17 |
44 |
174 |
625 |
36 |
97 |
339 |
1,395 |

Stock Volatility and the Crash of '87: Discussion |
1 |
1 |
7 |
127 |
3 |
11 |
18 |
317 |

Structural GARCH: The Volatility-Leverage Connection |
0 |
1 |
7 |
7 |
6 |
12 |
34 |
36 |

Systemic Risk 10 Years Later |
0 |
2 |
4 |
4 |
2 |
7 |
21 |
21 |

Systemic Risk in Europe |
1 |
2 |
6 |
45 |
6 |
11 |
34 |
161 |

Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
0 |
2 |
38 |
3 |
3 |
11 |
208 |

Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
2 |
6 |
226 |
4 |
8 |
23 |
447 |

Testing for Common Features |
0 |
0 |
0 |
0 |
0 |
3 |
20 |
1,673 |

Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
276 |

Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
121 |
0 |
2 |
8 |
590 |

Testing macroprudential stress tests: The risk of regulatory risk weights |
3 |
8 |
35 |
151 |
22 |
40 |
123 |
503 |

Testing superexogeneity and invariance in regression models |
1 |
1 |
7 |
258 |
2 |
2 |
25 |
508 |

The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
0 |
3 |
28 |
3,477 |

The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
31 |
4 |
5 |
13 |
104 |

The Japanese consumption function |
0 |
0 |
0 |
169 |
1 |
3 |
12 |
484 |

The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
1 |
6 |
25 |
460 |
9 |
27 |
77 |
1,087 |

The billing cycle and weather variables in models of electricity sales |
1 |
1 |
1 |
5 |
2 |
2 |
5 |
33 |

The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
2 |
431 |
0 |
2 |
10 |
807 |

The intertemporal capital asset pricing model with dynamic conditional correlations |
1 |
8 |
19 |
215 |
8 |
20 |
60 |
675 |

Time and the Price Impact of a Trade |
0 |
0 |
3 |
214 |
5 |
6 |
16 |
580 |

Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
5 |
88 |
0 |
2 |
22 |
321 |

Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
3 |
250 |
2 |
8 |
19 |
639 |

Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
290 |

Transportation costs and the rent gradient |
0 |
0 |
4 |
163 |
0 |
5 |
12 |
507 |

Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
11 |
238 |
2 |
6 |
40 |
596 |

What good is a volatility model? |
0 |
0 |
0 |
36 |
0 |
2 |
12 |
139 |

Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
49 |
0 |
0 |
9 |
363 |

Total Journal Articles |
159 |
479 |
1,832 |
57,739 |
635 |
1,781 |
6,789 |
156,074 |