| 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 |
1 |
7 |
208 |
| A GARCH Option Pricing Model in Incomplete Markets |
0 |
1 |
5 |
210 |
1 |
5 |
14 |
470 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
1 |
1 |
2 |
1 |
3 |
7 |
14 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
2 |
159 |
1 |
4 |
9 |
391 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
1 |
1 |
2 |
192 |
2 |
3 |
9 |
353 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
2 |
316 |
1 |
1 |
12 |
810 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
517 |
1 |
2 |
9 |
1,230 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
268 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
1 |
538 |
0 |
3 |
14 |
1,415 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
0 |
1 |
2 |
10 |
0 |
3 |
12 |
181 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
5 |
5 |
8 |
241 |
8 |
14 |
33 |
489 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
0 |
1 |
2 |
466 |
1 |
5 |
19 |
1,467 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
1 |
7 |
1,019 |
2 |
6 |
51 |
2,392 |
| Autobiography |
0 |
1 |
2 |
54 |
0 |
3 |
18 |
151 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
319 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
3 |
37 |
1,343 |
14 |
34 |
123 |
3,034 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
1 |
2 |
43 |
1 |
6 |
17 |
173 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
1 |
3 |
1,418 |
1 |
2 |
16 |
3,373 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
2 |
11 |
38 |
1,237 |
| Copula--based Specification of vector MEMs |
0 |
0 |
2 |
55 |
0 |
3 |
15 |
79 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
21 |
1 |
3 |
6 |
54 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
1 |
1 |
2 |
70 |
3 |
5 |
19 |
94 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
1,394 |
| Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
378 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
2 |
217 |
1 |
1 |
18 |
961 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
2 |
4 |
11 |
492 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
0 |
1 |
10 |
285 |
4 |
7 |
28 |
560 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
1 |
3 |
13 |
153 |
1 |
8 |
32 |
381 |
| EXOGENEITY |
0 |
1 |
2 |
8 |
3 |
9 |
22 |
47 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
1 |
4 |
16 |
89 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
247 |
1 |
3 |
8 |
614 |
| Empirical Pricing Kernels |
0 |
0 |
3 |
510 |
1 |
1 |
11 |
1,185 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
0 |
0 |
0 |
156 |
1 |
2 |
9 |
496 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
0 |
1 |
1 |
3 |
7 |
152 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
585 |
| Execution Risk |
0 |
1 |
3 |
315 |
1 |
3 |
11 |
764 |
| Exogeneity |
0 |
0 |
1 |
24 |
4 |
6 |
15 |
861 |
| Exogeneity |
0 |
0 |
0 |
0 |
1 |
5 |
29 |
128 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
115 |
2 |
2 |
14 |
253 |
| Fitting vast dimensional time-varying covariance models |
0 |
2 |
7 |
350 |
0 |
5 |
29 |
759 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
1 |
486 |
0 |
1 |
4 |
1,181 |
| GARCH Gamma |
0 |
0 |
2 |
1,150 |
1 |
5 |
15 |
3,053 |
| GARCH Options in Incomplete Markets |
0 |
0 |
0 |
116 |
1 |
1 |
7 |
252 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
1 |
2 |
305 |
0 |
1 |
16 |
687 |
| Hedging Climate Change News |
0 |
2 |
29 |
48 |
4 |
8 |
90 |
137 |
| Hedging Climate Change News |
1 |
5 |
11 |
19 |
6 |
15 |
37 |
59 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
0 |
1 |
759 |
2 |
3 |
7 |
1,964 |
| Hedging climate change news |
4 |
9 |
25 |
40 |
12 |
29 |
90 |
107 |
| High and Low Frequency Correlations in Global Equity Markets |
0 |
0 |
3 |
217 |
1 |
3 |
12 |
449 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
26 |
0 |
2 |
5 |
94 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
0 |
320 |
1 |
3 |
10 |
842 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
0 |
0 |
1 |
142 |
1 |
2 |
8 |
723 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
0 |
1 |
7 |
134 |
0 |
3 |
27 |
427 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
298 |
| Large dynamic covariance matrices |
1 |
1 |
10 |
111 |
1 |
4 |
23 |
182 |
| Large dynamic covariance matrices: enhancements based on intraday data |
2 |
36 |
36 |
36 |
4 |
30 |
30 |
30 |
| Liquidity and volatility in the U.S. treasury market |
1 |
1 |
15 |
110 |
4 |
9 |
39 |
295 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
1 |
2 |
16 |
471 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
0 |
2 |
8 |
55 |
0 |
5 |
16 |
161 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
0 |
344 |
1 |
3 |
14 |
1,068 |
| Measuring and Testing the Impact of News on Volatility |
0 |
2 |
17 |
1,969 |
2 |
12 |
51 |
3,610 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
1 |
1 |
2 |
428 |
1 |
3 |
15 |
1,078 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
1 |
1 |
3 |
175 |
2 |
6 |
20 |
614 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
0 |
282 |
2 |
2 |
12 |
1,003 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
1 |
4 |
20 |
2 |
4 |
16 |
93 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
0 |
2 |
424 |
0 |
3 |
13 |
1,488 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
127 |
0 |
0 |
6 |
350 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
1 |
3 |
423 |
0 |
3 |
12 |
1,318 |
| Risk and Volatility: Econometric Models and Financial Practice |
0 |
1 |
12 |
444 |
1 |
5 |
26 |
894 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
0 |
4 |
26 |
1,342 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
0 |
2 |
24 |
1,255 |
| SRISK: a conditional capital shortfall measure of systemic risk |
2 |
8 |
55 |
366 |
13 |
36 |
256 |
1,122 |
| Semiparametric vector MEM |
0 |
0 |
5 |
136 |
2 |
3 |
16 |
329 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
312 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
131 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
12 |
2 |
3 |
21 |
112 |
| Structural GARCH: The Volatility-Leverage Connection |
1 |
2 |
7 |
114 |
2 |
4 |
25 |
224 |
| Systemic Risk in Europe |
0 |
0 |
1 |
64 |
0 |
2 |
17 |
57 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
0 |
2 |
11 |
573 |
| Testing For Common Features |
0 |
0 |
5 |
438 |
1 |
2 |
14 |
1,018 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
3 |
32 |
1 |
6 |
25 |
134 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
5 |
73 |
2 |
6 |
36 |
188 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
5 |
147 |
0 |
3 |
30 |
338 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
81 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
4 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
0 |
3 |
7 |
373 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
0 |
1 |
568 |
0 |
3 |
10 |
1,518 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
3 |
3 |
11 |
199 |
3 |
6 |
21 |
493 |
| The Econometrics of Ultra-High Frequency Data |
0 |
2 |
4 |
1,362 |
0 |
5 |
18 |
2,749 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
0 |
2 |
394 |
1 |
2 |
17 |
837 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
120 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
146 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
0 |
1 |
8 |
599 |
2 |
5 |
32 |
1,417 |
| The Underlying Dynamics of Credit Correlations |
0 |
1 |
2 |
152 |
2 |
4 |
8 |
317 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
5 |
18 |
116 |
4 |
17 |
62 |
338 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
1 |
5 |
30 |
1,794 |
9 |
27 |
107 |
4,282 |
| Time and the Price Impact of a Trade |
1 |
1 |
10 |
60 |
2 |
3 |
23 |
150 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
1 |
2 |
3 |
594 |
2 |
8 |
27 |
1,510 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
1 |
1 |
626 |
1 |
6 |
14 |
1,871 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
2 |
235 |
1 |
3 |
12 |
568 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
1 |
5 |
91 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
3 |
3 |
85 |
5 |
9 |
15 |
362 |
| Value at risk models in finance |
0 |
2 |
8 |
2,066 |
2 |
12 |
39 |
3,949 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
101 |
0 |
1 |
9 |
310 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
78 |
0 |
0 |
6 |
255 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
173 |
1 |
2 |
9 |
588 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
1 |
2 |
103 |
0 |
1 |
4 |
825 |
| Total Working Papers |
29 |
128 |
509 |
28,560 |
172 |
548 |
2,355 |
81,518 |
| 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 |
4 |
20 |
109 |
2,846 |
10 |
58 |
282 |
7,135 |
| A Discrete-State Continuous-Time Model of Financial Transactions Prices and Times: The Autoregressive Conditional Multinomial-Autoregressive Conditional Duration Model |
0 |
0 |
2 |
112 |
0 |
1 |
9 |
332 |
| A GARCH Option Pricing Model with Filtered Historical Simulation |
0 |
0 |
3 |
107 |
0 |
5 |
15 |
304 |
| A component model for dynamic correlations |
2 |
4 |
25 |
184 |
10 |
19 |
67 |
549 |
| A dymimic model of housing price determination |
0 |
0 |
6 |
309 |
1 |
1 |
26 |
745 |
| A general approach to lagrange multiplier model diagnostics |
0 |
0 |
1 |
190 |
1 |
1 |
11 |
545 |
| A long memory property of stock market returns and a new model |
1 |
8 |
47 |
2,612 |
7 |
30 |
157 |
5,227 |
| A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones |
0 |
0 |
2 |
134 |
1 |
2 |
10 |
389 |
| A multi-dynamic-factor model for stock returns |
0 |
0 |
2 |
544 |
0 |
0 |
6 |
1,100 |
| A multiple indicators model for volatility using intra-daily data |
0 |
0 |
3 |
290 |
3 |
4 |
37 |
809 |
| Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models |
0 |
1 |
3 |
550 |
2 |
6 |
21 |
1,021 |
| An Asset Price Model of Aggregate Investment |
0 |
0 |
0 |
49 |
1 |
2 |
5 |
188 |
| An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government |
0 |
0 |
0 |
19 |
0 |
0 |
3 |
218 |
| Asset pricing with a factor-arch covariance structure: Empirical estimates for treasury bills |
0 |
2 |
12 |
395 |
1 |
7 |
35 |
994 |
| Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns |
2 |
3 |
13 |
429 |
4 |
11 |
71 |
1,204 |
| Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data |
0 |
0 |
0 |
11 |
11 |
28 |
102 |
2,913 |
| Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation |
15 |
42 |
179 |
5,981 |
49 |
179 |
752 |
16,086 |
| Band Spectrum Regression |
0 |
0 |
5 |
418 |
0 |
1 |
15 |
959 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
123 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
1 |
1 |
14 |
587 |
4 |
16 |
67 |
1,350 |
| Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks |
0 |
3 |
38 |
421 |
7 |
25 |
171 |
1,209 |
| Co-integration and Error Correction: Representation, Estimation, and Testing |
18 |
58 |
247 |
14,967 |
74 |
235 |
1,129 |
36,052 |
| Co-integration and error correction: Representation, estimation, and testing |
9 |
22 |
85 |
477 |
27 |
83 |
355 |
1,526 |
| Codependent cycles |
0 |
0 |
1 |
190 |
1 |
1 |
7 |
819 |
| Combining competing forecasts of inflation using a bivariate arch model |
0 |
1 |
5 |
165 |
0 |
1 |
15 |
390 |
| Common Persistence in Conditional Variances |
0 |
0 |
3 |
371 |
3 |
3 |
18 |
924 |
| Common Seasonal Features: Global Unemployment |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
295 |
| Common Trends and Common Cycles |
1 |
2 |
19 |
1,132 |
2 |
7 |
57 |
3,380 |
| Common Volatility in International Equity Markets |
0 |
0 |
0 |
0 |
1 |
2 |
24 |
762 |
| Common trends and common cycles in Latin America |
0 |
0 |
0 |
8 |
0 |
0 |
5 |
38 |
| Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment |
0 |
0 |
0 |
13 |
1 |
1 |
3 |
109 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
1 |
1 |
1 |
4 |
2 |
3 |
15 |
36 |
| Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility |
0 |
1 |
4 |
293 |
3 |
6 |
40 |
949 |
| Dynamic Conditional Beta |
0 |
1 |
8 |
56 |
1 |
7 |
24 |
122 |
| Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models |
0 |
0 |
0 |
0 |
4 |
17 |
99 |
3,122 |
| Dynamic Equicorrelation |
0 |
0 |
3 |
51 |
0 |
3 |
26 |
196 |
| Empirical pricing kernels |
3 |
4 |
11 |
439 |
9 |
14 |
37 |
983 |
| Environmental, social, governance: Implications for businesses and effects for stakeholders |
0 |
2 |
2 |
2 |
1 |
4 |
4 |
4 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model |
2 |
5 |
27 |
583 |
6 |
12 |
56 |
1,311 |
| Estimates of the Variance of U.S. Inflation Based upon the ARCH Model: Reply |
0 |
1 |
2 |
74 |
1 |
2 |
12 |
312 |
| Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model |
6 |
14 |
71 |
2,107 |
17 |
47 |
193 |
5,052 |
| Estimating common sectoral cycles |
1 |
1 |
3 |
144 |
1 |
3 |
8 |
332 |
| Estimation of the price elasticity of demand facing metropolitan producers |
0 |
0 |
0 |
30 |
0 |
1 |
7 |
126 |
| Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions |
0 |
0 |
0 |
60 |
0 |
0 |
2 |
191 |
| Exogeneity |
5 |
14 |
48 |
1,430 |
10 |
36 |
131 |
4,889 |
| Financial econometrics - A new discipline with new methods |
0 |
1 |
1 |
181 |
1 |
2 |
11 |
440 |
| Forecasting and testing in co-integrated systems |
5 |
19 |
129 |
1,560 |
10 |
38 |
241 |
2,936 |
| Forecasting intraday volatility in the US equity market. Multiplicative component GARCH |
0 |
14 |
52 |
134 |
5 |
26 |
91 |
237 |
| Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model |
1 |
2 |
3 |
283 |
1 |
2 |
14 |
535 |
| GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics |
2 |
2 |
17 |
4,370 |
7 |
12 |
66 |
9,547 |
| GLOBALIZATION: CONTENTS AND DISCONTENTS |
1 |
1 |
4 |
33 |
5 |
7 |
21 |
137 |
| Hedging Climate Change News |
3 |
5 |
16 |
16 |
15 |
30 |
55 |
55 |
| Hourly volatility spillovers between international equity markets |
1 |
2 |
11 |
360 |
2 |
4 |
21 |
758 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
12 |
243 |
1 |
1 |
24 |
635 |
| Implied ARCH models from options prices |
1 |
2 |
15 |
694 |
1 |
5 |
36 |
1,427 |
| Issues in the specification of an econometric model of metropolitan growth |
0 |
0 |
0 |
36 |
0 |
1 |
2 |
120 |
| Large Dynamic Covariance Matrices |
0 |
1 |
3 |
3 |
0 |
2 |
13 |
24 |
| Liquidity and volatility in the U.S. Treasury market |
2 |
2 |
2 |
2 |
5 |
12 |
16 |
16 |
| Long-Term Skewness and Systemic Risk |
0 |
0 |
1 |
55 |
1 |
5 |
12 |
192 |
| Measuring and Testing the Impact of News on Volatility |
2 |
8 |
51 |
1,208 |
12 |
30 |
164 |
2,872 |
| Measuring the probability of a financial crisis |
1 |
1 |
1 |
1 |
2 |
3 |
5 |
5 |
| Merging short-and long-run forecasts: An application of seasonal cointegration to monthly electricity sales forecasting |
0 |
1 |
4 |
270 |
0 |
3 |
11 |
646 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market |
7 |
16 |
49 |
600 |
14 |
42 |
157 |
1,883 |
| Modeling the Dynamics of Correlations among Implied Volatilities |
0 |
0 |
1 |
21 |
0 |
0 |
5 |
71 |
| Multivariate Simultaneous Generalized ARCH |
4 |
14 |
62 |
1,035 |
16 |
41 |
208 |
2,403 |
| New frontiers for arch models |
0 |
0 |
1 |
598 |
4 |
8 |
26 |
1,756 |
| On the determination of regional base and regional base multipliers |
0 |
0 |
0 |
81 |
0 |
0 |
5 |
199 |
| On the theory of growth controls |
0 |
0 |
4 |
66 |
0 |
0 |
9 |
183 |
| POLICY PILLS FOR A METROPOLITAN ECONOMY |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
| Predicting VNET: A model of the dynamics of market depth |
0 |
0 |
8 |
329 |
2 |
2 |
20 |
705 |
| Priced risk and asymmetric volatility in the cross section of skewness |
0 |
0 |
0 |
18 |
0 |
4 |
14 |
110 |
| Reminiscing on the 1984 NSF-NBER Time Series Meeting at UC Davis |
0 |
0 |
1 |
17 |
0 |
0 |
5 |
62 |
| Residential load curves and time-of-day pricing: An econometric analysis |
0 |
0 |
0 |
241 |
0 |
1 |
7 |
896 |
| Risk and Volatility: Econometric Models and Financial Practice |
1 |
2 |
11 |
1,475 |
4 |
14 |
54 |
3,296 |
| Robert F Engle: Understanding volatility as a process |
0 |
0 |
3 |
29 |
0 |
4 |
13 |
153 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
28 |
1 |
1 |
7 |
95 |
| SRISK: A Conditional Capital Shortfall Measure of Systemic Risk |
6 |
17 |
63 |
175 |
24 |
59 |
261 |
586 |
| Scenario generation for long run interest rate risk assessment |
0 |
0 |
1 |
9 |
0 |
1 |
9 |
50 |
| Seasonal integration and cointegration |
0 |
4 |
30 |
1,534 |
3 |
17 |
101 |
3,176 |
| Semiparametric ARCH Models |
0 |
0 |
0 |
0 |
1 |
2 |
23 |
1,071 |
| Shorte-run forecasts of electricity loads and peaks |
1 |
3 |
10 |
212 |
3 |
5 |
24 |
474 |
| Small-Sample Properties of ARCH Estimators and Tests |
0 |
0 |
2 |
50 |
1 |
1 |
7 |
376 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
39 |
1 |
1 |
3 |
178 |
| Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
17 |
1 |
1 |
4 |
109 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
144 |
0 |
0 |
12 |
526 |
| Stock Market Volatility and Macroeconomic Fundamentals |
11 |
33 |
164 |
745 |
22 |
71 |
360 |
1,658 |
| Stock Volatility and the Crash of '87: Discussion |
0 |
0 |
4 |
130 |
1 |
5 |
23 |
329 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
0 |
2 |
8 |
0 |
1 |
24 |
48 |
| Systemic Risk 10 Years Later |
0 |
0 |
4 |
6 |
0 |
3 |
19 |
33 |
| Systemic Risk in Europe |
1 |
4 |
9 |
52 |
2 |
8 |
35 |
185 |
| Testing Price Equations for Stability across Spectral Frequency Bands |
0 |
0 |
0 |
38 |
1 |
1 |
5 |
210 |
| Testing and Valuing Dynamic Correlations for Asset Allocation |
0 |
0 |
3 |
227 |
1 |
1 |
14 |
453 |
| Testing for Common Features |
0 |
0 |
0 |
0 |
1 |
2 |
24 |
1,694 |
| Testing for Common Features: Reply |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
285 |
| Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative |
0 |
0 |
0 |
121 |
1 |
2 |
6 |
594 |
| Testing macroprudential stress tests: The risk of regulatory risk weights |
2 |
5 |
34 |
177 |
5 |
17 |
171 |
634 |
| Testing superexogeneity and invariance in regression models |
0 |
0 |
1 |
258 |
1 |
2 |
5 |
511 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
0 |
6 |
2 |
6 |
23 |
3,497 |
| The Factor--Spline--GARCH Model for High and Low Frequency Correlations |
0 |
0 |
0 |
31 |
3 |
3 |
15 |
114 |
| The Japanese consumption function |
0 |
0 |
0 |
169 |
0 |
2 |
9 |
490 |
| The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes |
1 |
4 |
21 |
475 |
9 |
29 |
104 |
1,164 |
| The billing cycle and weather variables in models of electricity sales |
0 |
0 |
1 |
5 |
0 |
0 |
4 |
35 |
| The econometrics of macroeconomics, finance, and the interface |
1 |
1 |
1 |
432 |
1 |
1 |
6 |
811 |
| The intertemporal capital asset pricing model with dynamic conditional correlations |
3 |
6 |
20 |
227 |
7 |
14 |
56 |
711 |
| Time and the Price Impact of a Trade |
1 |
1 |
4 |
218 |
1 |
6 |
31 |
605 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
1 |
6 |
94 |
1 |
3 |
20 |
339 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
0 |
1 |
251 |
1 |
2 |
19 |
650 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
296 |
| Transportation costs and the rent gradient |
0 |
0 |
1 |
164 |
1 |
1 |
14 |
516 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
1 |
4 |
9 |
247 |
1 |
6 |
27 |
617 |
| What good is a volatility model? |
0 |
0 |
1 |
37 |
1 |
3 |
11 |
148 |
| Where does the meteor shower come from?: The role of stochastic policy coordination |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
365 |
| Total Journal Articles |
130 |
387 |
1,858 |
59,118 |
485 |
1,468 |
6,966 |
161,259 |
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