| 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 |
3 |
212 |
| A GARCH Option Pricing Model in Incomplete Markets |
0 |
0 |
1 |
216 |
5 |
5 |
18 |
509 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
0 |
0 |
7 |
0 |
3 |
9 |
40 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
0 |
5 |
414 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
0 |
198 |
0 |
3 |
11 |
386 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
10 |
13 |
19 |
852 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
9 |
13 |
23 |
1,281 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
284 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
0 |
543 |
1 |
1 |
5 |
1,436 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
0 |
0 |
0 |
15 |
4 |
6 |
12 |
208 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
0 |
260 |
3 |
6 |
17 |
641 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
0 |
0 |
1 |
473 |
5 |
6 |
26 |
1,514 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
0 |
4 |
1,039 |
4 |
7 |
38 |
2,550 |
| Autobiography |
0 |
0 |
0 |
55 |
0 |
1 |
7 |
178 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
350 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
0 |
3 |
1,399 |
12 |
23 |
88 |
3,432 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
0 |
1 |
67 |
10 |
12 |
27 |
286 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
0 |
0 |
1,448 |
9 |
16 |
45 |
3,503 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
2 |
4 |
16 |
1,335 |
| CRISK: Measuring the Climate Risk Exposure of the Financial System |
1 |
1 |
10 |
126 |
7 |
26 |
119 |
472 |
| Climate Stress Testing |
0 |
0 |
0 |
63 |
0 |
2 |
17 |
60 |
| Climate Stress Testing |
0 |
0 |
2 |
51 |
1 |
4 |
20 |
58 |
| Climate Stress Testing |
0 |
0 |
1 |
54 |
2 |
5 |
12 |
33 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
1 |
2 |
8 |
93 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
22 |
1 |
2 |
9 |
74 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
71 |
2 |
5 |
12 |
117 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
0 |
2 |
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 |
2 |
10 |
397 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
2 |
6 |
10 |
509 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
227 |
0 |
2 |
12 |
1,011 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
0 |
1 |
4 |
316 |
3 |
14 |
154 |
825 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
0 |
2 |
5 |
200 |
2 |
7 |
27 |
546 |
| EXOGENEITY |
0 |
0 |
1 |
27 |
5 |
14 |
41 |
157 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
5 |
5 |
7 |
102 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
249 |
1 |
3 |
18 |
648 |
| Empirical Pricing Kernels |
0 |
0 |
0 |
516 |
3 |
6 |
20 |
1,223 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
0 |
0 |
0 |
158 |
2 |
3 |
6 |
514 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
1 |
4 |
3 |
8 |
13 |
174 |
| Estimating systemic risk for non-listed euro-area banks |
0 |
0 |
3 |
19 |
3 |
7 |
21 |
49 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
596 |
| Execution Risk |
0 |
0 |
1 |
320 |
6 |
11 |
23 |
814 |
| Exogeneity |
0 |
1 |
4 |
45 |
6 |
11 |
35 |
942 |
| Exogeneity |
0 |
0 |
0 |
0 |
5 |
8 |
24 |
250 |
| Factor mimicking portfolios for climate risk |
0 |
2 |
6 |
63 |
3 |
7 |
26 |
82 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
356 |
4 |
7 |
23 |
847 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
125 |
3 |
6 |
17 |
301 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
0 |
490 |
1 |
6 |
19 |
1,216 |
| GARCH Gamma |
0 |
0 |
0 |
1,156 |
1 |
3 |
9 |
3,082 |
| GARCH Options in Incomplete Markets |
0 |
0 |
0 |
117 |
1 |
3 |
5 |
262 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
0 |
1 |
311 |
4 |
5 |
14 |
721 |
| Hedging Climate Change News |
0 |
1 |
2 |
92 |
4 |
17 |
31 |
304 |
| Hedging Climate Change News |
0 |
0 |
1 |
43 |
3 |
6 |
17 |
203 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
0 |
767 |
6 |
10 |
16 |
2,007 |
| Hedging climate change news |
0 |
2 |
9 |
116 |
4 |
14 |
55 |
430 |
| High and Low Frequency Correlations in Global Equity Markets |
0 |
0 |
0 |
223 |
0 |
0 |
8 |
478 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
28 |
1 |
1 |
10 |
119 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
1 |
324 |
7 |
8 |
19 |
877 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
0 |
0 |
0 |
143 |
1 |
4 |
9 |
750 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
0 |
1 |
1 |
149 |
0 |
3 |
5 |
490 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
1 |
3 |
8 |
310 |
| Large dynamic covariance matrices |
0 |
1 |
2 |
132 |
2 |
6 |
18 |
272 |
| Large dynamic covariance matrices: enhancements based on intraday data |
0 |
0 |
0 |
54 |
1 |
5 |
23 |
122 |
| Liquidity and volatility in the U.S. treasury market |
0 |
0 |
4 |
128 |
4 |
5 |
20 |
370 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
524 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
0 |
0 |
0 |
67 |
1 |
1 |
8 |
222 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
0 |
351 |
0 |
5 |
18 |
1,110 |
| Measuring and Hedging Geopolitical Risk |
1 |
3 |
9 |
96 |
6 |
11 |
51 |
254 |
| Measuring and Testing the Impact of News on Volatility |
1 |
1 |
3 |
2,006 |
11 |
13 |
35 |
3,754 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
0 |
0 |
1 |
436 |
1 |
9 |
18 |
1,125 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
0 |
0 |
2 |
185 |
1 |
26 |
84 |
740 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
0 |
284 |
3 |
5 |
10 |
1,021 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
1 |
1 |
433 |
6 |
14 |
30 |
1,553 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
1 |
2 |
3 |
25 |
3 |
5 |
12 |
144 |
| Modelling Volatility Cycles: The (MF)2 GARCH Model |
0 |
0 |
3 |
124 |
0 |
1 |
14 |
278 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
129 |
2 |
3 |
11 |
377 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
0 |
0 |
425 |
3 |
3 |
15 |
1,346 |
| Physical Climate Risk Factors and an Application to Measuring Insurers’ Climate Risk Exposure |
1 |
1 |
6 |
29 |
4 |
17 |
41 |
109 |
| Physical Climate Risk and Insurers |
0 |
0 |
1 |
16 |
3 |
5 |
11 |
29 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
0 |
4 |
471 |
3 |
9 |
26 |
1,016 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
6 |
9 |
26 |
1,421 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
11 |
14 |
26 |
1,333 |
| SRISK: a conditional capital shortfall measure of systemic risk |
3 |
7 |
36 |
471 |
11 |
31 |
144 |
1,618 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
3 |
8 |
17 |
354 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
319 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
142 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
13 |
2 |
5 |
11 |
158 |
| Strategic Commitments to Decarbonize: The Role of Large Firms, Common Ownership, and Governments |
1 |
1 |
4 |
10 |
6 |
7 |
32 |
48 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
0 |
121 |
5 |
10 |
24 |
281 |
| Systemic Risk in Europe |
0 |
0 |
2 |
82 |
4 |
13 |
26 |
118 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
1 |
2 |
7 |
606 |
| Testing For Common Features |
0 |
0 |
0 |
444 |
5 |
7 |
15 |
1,060 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
2 |
3 |
87 |
5 |
7 |
26 |
282 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
0 |
35 |
1 |
3 |
10 |
186 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
1 |
157 |
2 |
5 |
24 |
453 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
88 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
0 |
0 |
0 |
2 |
6 |
14 |
89 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
5 |
11 |
17 |
393 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
0 |
0 |
570 |
1 |
2 |
9 |
1,542 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
0 |
0 |
9 |
250 |
4 |
5 |
25 |
612 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
1,370 |
1 |
3 |
12 |
2,803 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
398 |
1 |
2 |
10 |
928 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
133 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
2 |
2 |
7 |
158 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
0 |
0 |
1 |
632 |
1 |
5 |
20 |
1,531 |
| The Underlying Dynamics of Credit Correlations |
0 |
0 |
0 |
154 |
0 |
2 |
15 |
346 |
| The risk management approach to macro-prudential policy |
0 |
0 |
1 |
41 |
0 |
6 |
21 |
136 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
0 |
0 |
140 |
9 |
13 |
28 |
468 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
1 |
5 |
1,867 |
8 |
24 |
84 |
4,683 |
| Time and the Price Impact of a Trade |
0 |
0 |
0 |
70 |
1 |
5 |
15 |
193 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
610 |
3 |
6 |
12 |
1,570 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
0 |
0 |
634 |
3 |
6 |
49 |
1,953 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
1 |
239 |
0 |
0 |
8 |
595 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
2 |
2 |
8 |
107 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
0 |
0 |
89 |
3 |
5 |
13 |
406 |
| Value at risk models in finance |
1 |
3 |
4 |
2,093 |
3 |
9 |
23 |
4,060 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
104 |
3 |
4 |
11 |
340 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
82 |
3 |
5 |
14 |
281 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
4 |
4 |
17 |
624 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
0 |
0 |
107 |
3 |
6 |
23 |
871 |
| Why Did Bank Stocks Crash During COVID-19? |
0 |
1 |
1 |
90 |
5 |
13 |
41 |
289 |
| Why did bank stocks crash during COVID-19? |
0 |
0 |
2 |
40 |
4 |
10 |
22 |
114 |
| Total Working Papers |
10 |
35 |
176 |
30,564 |
370 |
809 |
2,696 |
91,021 |
| 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 |
0 |
3 |
14 |
3,036 |
11 |
24 |
87 |
7,713 |
| A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
0 |
0 |
0 |
128 |
0 |
0 |
6 |
375 |
| A GARCH Option Pricing Model with Filtered Historical Simulation |
0 |
0 |
0 |
118 |
2 |
4 |
14 |
366 |
| A component model for dynamic correlations |
0 |
1 |
7 |
263 |
9 |
19 |
51 |
780 |
| A dymimic model of housing price determination |
0 |
0 |
0 |
320 |
3 |
5 |
19 |
794 |
| A general approach to lagrange multiplier model diagnostics |
0 |
0 |
0 |
215 |
2 |
4 |
19 |
624 |
| A long memory property of stock market returns and a new model |
12 |
28 |
68 |
2,904 |
25 |
56 |
160 |
5,925 |
| A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
0 |
0 |
1 |
142 |
3 |
3 |
11 |
425 |
| A multi-dynamic-factor model for stock returns |
0 |
0 |
1 |
557 |
2 |
6 |
18 |
1,150 |
| A multiple indicators model for volatility using intra-daily data |
0 |
0 |
5 |
323 |
5 |
10 |
50 |
1,001 |
| A practical guide to volatility forecasting through calm and storm |
2 |
2 |
2 |
6 |
5 |
9 |
17 |
35 |
| Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
0 |
1 |
3 |
567 |
3 |
6 |
20 |
1,089 |
| An Asset Price Model of Aggregate Investment |
0 |
1 |
1 |
50 |
0 |
3 |
6 |
204 |
| An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
2 |
6 |
13 |
238 |
| Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
0 |
1 |
430 |
1 |
6 |
29 |
1,136 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
2 |
4 |
26 |
514 |
19 |
36 |
123 |
1,540 |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
11 |
54 |
111 |
3,395 |
| Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
18 |
59 |
233 |
6,883 |
61 |
183 |
770 |
19,172 |
| Band Spectrum Regression |
0 |
0 |
2 |
448 |
0 |
2 |
9 |
1,039 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
140 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
2 |
4 |
636 |
12 |
23 |
64 |
1,562 |
| COMMON TRENDS AND COMMON CYCLES |
0 |
1 |
7 |
7 |
4 |
5 |
23 |
23 |
| CRISK: Measuring the climate risk exposure of the financial system |
2 |
6 |
27 |
27 |
17 |
43 |
139 |
139 |
| Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
0 |
2 |
9 |
497 |
8 |
15 |
53 |
1,522 |
| Centralized Clearing for Credit Derivatives |
0 |
0 |
1 |
1 |
0 |
0 |
7 |
8 |
| Climate Stress Testing |
0 |
0 |
5 |
7 |
3 |
11 |
37 |
45 |
| Co-integration and Error Correction: Representation, Estimation, and Testing |
11 |
37 |
121 |
16,031 |
75 |
196 |
647 |
40,048 |
| Co-integration and error correction: Representation, estimation, and testing |
2 |
16 |
64 |
922 |
26 |
67 |
266 |
3,190 |
| Codependent cycles |
0 |
0 |
0 |
197 |
2 |
3 |
12 |
843 |
| Combining competing forecasts of inflation using a bivariate arch model |
0 |
2 |
5 |
187 |
1 |
6 |
15 |
457 |
| Common Persistence in Conditional Variances |
0 |
0 |
0 |
373 |
1 |
3 |
16 |
966 |
| Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
0 |
4 |
9 |
311 |
| Common Trends and Common Cycles |
0 |
1 |
8 |
1,191 |
1 |
3 |
22 |
3,520 |
| Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
2 |
8 |
16 |
808 |
| Common trends and common cycles in Latin America |
0 |
0 |
0 |
16 |
2 |
6 |
20 |
77 |
| Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
2 |
3 |
7 |
120 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
3 |
6 |
12 |
76 |
| Derivatives ‐ The Ultimate Financial Innovation |
0 |
0 |
0 |
1 |
1 |
1 |
6 |
7 |
| Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
0 |
2 |
2 |
309 |
1 |
7 |
19 |
1,017 |
| Dynamic Conditional Beta |
0 |
1 |
5 |
107 |
6 |
15 |
39 |
298 |
| Dynamic Conditional Beta Is Alive and Well in the Cross Section of Daily Stock Returns |
0 |
2 |
3 |
24 |
3 |
10 |
23 |
90 |
| Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
37 |
70 |
156 |
3,664 |
| Dynamic Equicorrelation |
0 |
2 |
10 |
93 |
3 |
9 |
43 |
367 |
| Empirical pricing kernels |
0 |
1 |
1 |
483 |
5 |
8 |
15 |
1,117 |
| Environmental, Social, Governance: Implications for businesses and effects for stakeholders |
0 |
0 |
1 |
25 |
1 |
2 |
11 |
105 |
| Environmental, social, governance: Implications for businesses and effects for stakeholders |
0 |
0 |
1 |
12 |
6 |
6 |
10 |
56 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
0 |
0 |
3 |
649 |
4 |
7 |
23 |
1,473 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
1 |
2 |
76 |
2 |
3 |
10 |
330 |
| Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
0 |
3 |
7 |
2,227 |
7 |
16 |
48 |
5,461 |
| Estimating common sectoral cycles |
0 |
0 |
6 |
166 |
2 |
2 |
10 |
374 |
| Estimating systemic risk for non-listed Euro-area banks |
0 |
1 |
4 |
6 |
3 |
9 |
25 |
29 |
| Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
32 |
1 |
2 |
4 |
138 |
| Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
61 |
0 |
1 |
10 |
206 |
| Exogeneity |
4 |
5 |
9 |
1,578 |
8 |
17 |
49 |
5,260 |
| Factor-Mimicking Portfolios for Climate Risk |
0 |
1 |
2 |
3 |
2 |
8 |
21 |
29 |
| Financial econometrics - A new discipline with new methods |
0 |
0 |
2 |
199 |
4 |
10 |
25 |
496 |
| Fitting Vast Dimensional Time-Varying Covariance Models |
0 |
0 |
1 |
20 |
5 |
8 |
23 |
87 |
| Forecasting and testing in co-integrated systems |
0 |
0 |
4 |
1,737 |
6 |
6 |
25 |
3,323 |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
0 |
4 |
31 |
393 |
6 |
15 |
80 |
661 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
0 |
0 |
1 |
301 |
3 |
6 |
20 |
595 |
| GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
1 |
4 |
23 |
4,458 |
4 |
26 |
158 |
9,978 |
| GLOBALIZATION: CONTENTS AND DISCONTENTS |
0 |
0 |
1 |
44 |
0 |
1 |
12 |
198 |
| Hedging Climate Change News |
0 |
9 |
42 |
737 |
15 |
61 |
240 |
2,279 |
| Hourly volatility spillovers between international equity markets |
0 |
0 |
2 |
377 |
1 |
5 |
13 |
819 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
1 |
253 |
1 |
4 |
16 |
679 |
| Implied ARCH models from options prices |
2 |
3 |
4 |
751 |
4 |
6 |
14 |
1,553 |
| Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
0 |
36 |
1 |
3 |
7 |
129 |
| Large Dynamic Covariance Matrices |
2 |
4 |
6 |
20 |
5 |
11 |
33 |
113 |
| Large dynamic covariance matrices: Enhancements based on intraday data |
0 |
1 |
2 |
8 |
3 |
6 |
20 |
48 |
| Liquidity and volatility in the U.S. Treasury market |
0 |
1 |
4 |
35 |
4 |
6 |
21 |
129 |
| Long-Term Skewness and Systemic Risk |
0 |
0 |
0 |
60 |
5 |
6 |
19 |
236 |
| Measuring and Testing the Impact of News on Volatility |
0 |
4 |
10 |
1,280 |
7 |
22 |
74 |
3,173 |
| Measuring the probability of a financial crisis |
0 |
1 |
1 |
16 |
1 |
5 |
16 |
76 |
| Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
0 |
2 |
5 |
291 |
4 |
7 |
20 |
706 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
0 |
0 |
4 |
670 |
4 |
12 |
44 |
2,208 |
| Modeling the Dynamics of Correlations among Implied Volatilities |
0 |
0 |
2 |
31 |
0 |
1 |
9 |
96 |
| Modelling Volatility Cycles: The MF2‐GARCH Model |
1 |
1 |
8 |
8 |
5 |
19 |
58 |
58 |
| Multiplicative factor model for volatility |
3 |
3 |
9 |
9 |
7 |
15 |
34 |
34 |
| Multivariate Simultaneous Generalized ARCH |
3 |
10 |
35 |
1,243 |
10 |
34 |
156 |
3,080 |
| New frontiers for arch models |
0 |
0 |
3 |
610 |
4 |
6 |
22 |
1,857 |
| News and Idiosyncratic Volatility: The Public Information Processing Hypothesis* |
0 |
0 |
3 |
25 |
3 |
9 |
29 |
77 |
| On the determination of regional base and regional base multipliers |
0 |
0 |
1 |
84 |
2 |
2 |
9 |
217 |
| On the theory of growth controls |
0 |
0 |
0 |
75 |
0 |
3 |
5 |
209 |
| POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
12 |
| Predicting VNET: A model of the dynamics of market depth |
0 |
0 |
2 |
355 |
2 |
4 |
11 |
771 |
| Priced risk and asymmetric volatility in the cross section of skewness |
0 |
0 |
1 |
29 |
5 |
11 |
18 |
159 |
| Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
0 |
17 |
0 |
0 |
6 |
70 |
| Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
0 |
1 |
5 |
908 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
0 |
5 |
1,506 |
4 |
7 |
32 |
3,421 |
| Robert F Engle: Understanding volatility as a process |
0 |
0 |
1 |
45 |
2 |
4 |
10 |
208 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
2 |
2 |
13 |
115 |
| SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
0 |
1 |
14 |
321 |
4 |
18 |
91 |
1,413 |
| Scenario generation for long run interest rate risk assessment |
0 |
1 |
2 |
22 |
1 |
3 |
12 |
98 |
| Seasonal integration and cointegration |
2 |
7 |
25 |
1,705 |
14 |
24 |
62 |
3,613 |
| Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
2 |
8 |
20 |
1,141 |
| Shorte-run forecasts of electricity loads and peaks |
0 |
1 |
3 |
237 |
0 |
3 |
13 |
529 |
| Small-Sample Properties of ARCH Estimators and Tests |
0 |
1 |
2 |
57 |
3 |
4 |
8 |
402 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
2 |
4 |
6 |
186 |
| Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
19 |
2 |
4 |
8 |
127 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
147 |
3 |
7 |
12 |
555 |
| Stock Market Volatility and Macroeconomic Fundamentals |
15 |
52 |
165 |
1,409 |
29 |
104 |
367 |
3,078 |
| Stock Volatility and the Crash of '87: Discussion |
0 |
0 |
1 |
159 |
0 |
1 |
9 |
400 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
0 |
12 |
3 |
4 |
21 |
106 |
| Systemic Risk 10 Years Later |
0 |
0 |
2 |
26 |
1 |
8 |
17 |
97 |
| Systemic Risk in Europe |
0 |
1 |
2 |
73 |
1 |
4 |
17 |
280 |
| Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum |
0 |
1 |
1 |
1 |
2 |
7 |
10 |
11 |
| Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
0 |
0 |
40 |
0 |
0 |
5 |
221 |
| Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
0 |
1 |
244 |
2 |
2 |
11 |
507 |
| Testing for Common Features |
0 |
0 |
0 |
0 |
5 |
7 |
26 |
1,775 |
| Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
303 |
| Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
123 |
2 |
6 |
9 |
613 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
1 |
2 |
270 |
7 |
16 |
50 |
996 |
| Testing superexogeneity and invariance in regression models |
0 |
1 |
2 |
271 |
1 |
3 |
14 |
563 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
0 |
5 |
20 |
3,583 |
| The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
34 |
1 |
2 |
12 |
142 |
| The Factor–Spline–GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
23 |
2 |
4 |
15 |
92 |
| The Japanese consumption function |
0 |
0 |
0 |
182 |
1 |
4 |
11 |
529 |
| The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
2 |
5 |
35 |
628 |
8 |
21 |
113 |
1,660 |
| The billing cycle and weather variables in models of electricity sales |
0 |
0 |
0 |
7 |
0 |
1 |
6 |
49 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
0 |
437 |
4 |
5 |
12 |
836 |
| The intertemporal capital asset pricing model with dynamic conditional correlations |
0 |
0 |
3 |
269 |
4 |
8 |
38 |
881 |
| The underlying dynamics of credit correlations |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
10 |
| Time and the Price Impact of a Trade |
2 |
5 |
9 |
260 |
5 |
17 |
34 |
712 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
1 |
109 |
2 |
8 |
22 |
424 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
0 |
258 |
1 |
1 |
8 |
697 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
4 |
5 |
15 |
330 |
| Transportation costs and the rent gradient |
0 |
1 |
1 |
177 |
1 |
5 |
11 |
555 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
3 |
276 |
2 |
3 |
18 |
700 |
| What are the events that shake our world? Measuring and hedging global COVOL |
0 |
5 |
12 |
36 |
2 |
10 |
48 |
130 |
| What good is a volatility model? |
0 |
1 |
5 |
81 |
2 |
3 |
23 |
294 |
| Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
50 |
1 |
4 |
19 |
408 |
| Why Did Bank Stocks Crash during COVID-19? |
0 |
1 |
6 |
10 |
1 |
7 |
37 |
66 |
| Total Journal Articles |
87 |
317 |
1,182 |
66,913 |
673 |
1,733 |
5,992 |
188,767 |
LogEc is hosted by the
Örebro University School of Business.