| 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 |
3 |
3 |
6 |
204 |
| A GARCH Option Pricing Model in Incomplete Markets |
2 |
2 |
6 |
207 |
4 |
5 |
24 |
461 |
| A GENERAL APPROACH TO THE CONSTRUCTION OF MODEL DIAGNOSTICS BASED UPON THE LAGRANGE MULTIPLIER PRINCIPLE |
0 |
0 |
1 |
1 |
2 |
2 |
8 |
9 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
2 |
157 |
1 |
1 |
14 |
383 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
1 |
190 |
1 |
3 |
11 |
347 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
1 |
1 |
1 |
315 |
3 |
6 |
10 |
804 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
517 |
1 |
4 |
12 |
1,225 |
| A Supply Function Model of Aggregate Investment |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
267 |
| A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts |
0 |
0 |
0 |
537 |
1 |
3 |
8 |
1,404 |
| A general Approach to the Construction of Model Diagnostics based upon the Lagrange Multiplier Principle |
1 |
1 |
3 |
9 |
2 |
2 |
10 |
171 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
1 |
9 |
234 |
3 |
7 |
40 |
463 |
| Asset Pricing with a Factor Arch Covariance Structure: Empirical Estimates for Treasury Bills |
0 |
0 |
1 |
464 |
0 |
5 |
20 |
1,453 |
| Asymmetric dynamics in the correlations of global equity and bond returns |
0 |
3 |
17 |
1,015 |
5 |
12 |
140 |
2,353 |
| Autobiography |
1 |
1 |
1 |
53 |
7 |
14 |
16 |
147 |
| Band Spectrum Regressions |
0 |
0 |
0 |
0 |
3 |
4 |
11 |
316 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
0 |
0 |
3 |
41 |
2 |
5 |
18 |
161 |
| CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles |
2 |
8 |
44 |
1,314 |
7 |
29 |
117 |
2,940 |
| CAViaR: Conditional Value at Risk by Quantile Regression |
0 |
1 |
5 |
1,416 |
3 |
7 |
30 |
3,364 |
| COINTEGRATED ECONOMIC TIME SERIES: A SURVEY WITH NEW RESULTS |
0 |
0 |
0 |
2 |
8 |
16 |
54 |
1,215 |
| Copula--based Specification of vector MEMs |
0 |
0 |
1 |
21 |
1 |
2 |
14 |
50 |
| Copula--based Specification of vector MEMs |
0 |
1 |
1 |
54 |
5 |
7 |
18 |
71 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
2 |
68 |
2 |
6 |
25 |
81 |
| De Facto Discrimination in Residential Assessments: Boston |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
1,390 |
| Do Bulls and Bears Move Acoross Borders: International Transimission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
1 |
0 |
1 |
7 |
372 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
215 |
1 |
5 |
17 |
948 |
| Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility as the World Turns |
0 |
0 |
0 |
63 |
2 |
4 |
12 |
485 |
| Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns |
1 |
4 |
12 |
279 |
3 |
9 |
32 |
541 |
| Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models |
2 |
3 |
17 |
143 |
4 |
10 |
44 |
359 |
| EXOGENEITY |
1 |
1 |
2 |
7 |
4 |
7 |
25 |
32 |
| Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
17 |
3 |
4 |
15 |
77 |
| Econometric Analysis of Discrete-valued Irregularly-spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model |
0 |
0 |
0 |
247 |
2 |
3 |
11 |
609 |
| Empirical Pricing Kernels |
0 |
2 |
2 |
509 |
0 |
2 |
13 |
1,176 |
| Estimating Sectoral Cycles Using Cointegration and Common Features |
0 |
0 |
1 |
156 |
3 |
4 |
9 |
491 |
| Estimating sectoral cycles using cointegration and common features |
0 |
0 |
0 |
1 |
2 |
2 |
7 |
147 |
| Estimation of the Price Elasticity of Demand Facing Metropolitan Producers |
0 |
0 |
0 |
0 |
1 |
3 |
8 |
581 |
| Execution Risk |
0 |
1 |
3 |
313 |
1 |
3 |
9 |
756 |
| Exogeneity |
1 |
1 |
5 |
24 |
2 |
5 |
20 |
851 |
| Exogeneity |
0 |
0 |
0 |
0 |
4 |
9 |
38 |
108 |
| Fitting vast dimensional time-varying covariance models |
0 |
1 |
3 |
115 |
2 |
3 |
15 |
242 |
| Fitting vast dimensional time-varying covariance models |
0 |
3 |
6 |
346 |
3 |
8 |
37 |
738 |
| Forecasting Transaction Rates: The Autoregressive Conditional Duration Model |
0 |
0 |
1 |
485 |
0 |
0 |
8 |
1,177 |
| GARCH Gamma |
1 |
1 |
9 |
1,149 |
4 |
4 |
30 |
3,042 |
| GARCH Options in Incomplete Markets |
0 |
0 |
1 |
116 |
1 |
5 |
11 |
250 |
| HIGH FREQUENCY MULTIPLICATIVE COMPONENT GARCH |
0 |
0 |
3 |
303 |
2 |
3 |
11 |
674 |
| Hedging Climate Change News |
1 |
3 |
11 |
11 |
5 |
9 |
31 |
31 |
| Hedging Climate Change News |
1 |
8 |
27 |
27 |
12 |
31 |
78 |
78 |
| Hedging Options in a GARCH Environment: Testing the Term Structure of Stochastic Volatility Models |
0 |
1 |
1 |
759 |
2 |
3 |
8 |
1,960 |
| Hedging climate change news |
3 |
5 |
20 |
20 |
8 |
20 |
37 |
37 |
| High and Low Frequency Correlations in Global Equity Markets |
1 |
1 |
3 |
215 |
2 |
2 |
10 |
439 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
1 |
26 |
1 |
1 |
9 |
90 |
| Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts |
0 |
0 |
1 |
320 |
2 |
4 |
9 |
836 |
| Interpreting Spectral Analyses in Terms of Time-Domain Models |
1 |
1 |
3 |
142 |
3 |
3 |
11 |
718 |
| Interview with the 2003 Economics Laureates, Clive W.J. Granger and Robert F. Engle III |
2 |
4 |
9 |
131 |
3 |
8 |
23 |
408 |
| Issues in the Specification of an Econometric Model of Metropolitan Growth |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
292 |
| Large dynamic covariance matrices |
0 |
0 |
3 |
101 |
2 |
2 |
21 |
161 |
| Liquidity and volatility in the U.S. treasury market |
1 |
4 |
18 |
99 |
3 |
9 |
44 |
265 |
| METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET |
0 |
0 |
0 |
0 |
1 |
3 |
10 |
458 |
| Macroeconomic Announcements and Volatility of Treasury Futures |
1 |
1 |
6 |
48 |
2 |
3 |
16 |
148 |
| Measuring Risk Aversion From Excess Returns on a Stock Index |
0 |
0 |
1 |
344 |
0 |
2 |
15 |
1,056 |
| Measuring and Testing the Impact of News on Volatility |
2 |
6 |
35 |
1,958 |
3 |
12 |
61 |
3,571 |
| Measuring, Forecasting and Explaining Time Varying Liquidity in the Stock Market |
0 |
0 |
2 |
426 |
1 |
3 |
16 |
1,066 |
| Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market |
0 |
0 |
4 |
172 |
2 |
2 |
17 |
596 |
| Modeling a Time-Varying Order Statistic |
0 |
0 |
1 |
282 |
0 |
4 |
9 |
995 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
1 |
2 |
17 |
1 |
4 |
13 |
81 |
| Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market |
0 |
0 |
2 |
422 |
1 |
4 |
11 |
1,479 |
| Non-Cointegration and Econometric Evaluation of Models of Regional Shift and Share |
0 |
0 |
0 |
127 |
2 |
5 |
9 |
349 |
| Option Hedging Using Empirical Pricing Kernels |
0 |
2 |
4 |
422 |
2 |
8 |
14 |
1,314 |
| Risk and Volatility: Econometric Models and Financial Practice |
2 |
4 |
14 |
436 |
3 |
7 |
29 |
875 |
| SEASONAL INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
2 |
4 |
17 |
1,320 |
| SEASONAL, INTEGRATION AND COINTEGRATION |
0 |
0 |
0 |
2 |
3 |
5 |
18 |
1,236 |
| SRISK: a conditional capital shortfall measure of systemic risk |
2 |
10 |
56 |
321 |
18 |
57 |
328 |
923 |
| Semiparametric vector MEM |
1 |
2 |
4 |
133 |
2 |
6 |
17 |
319 |
| Simultaneous Estimation of the Supply and Demand for Household Location in a Multizoned Metropolitan Area |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
310 |
| Some Finite Sample Properties of Spectral Estimators of a Linear Regression |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
129 |
| Stochastic Permanent Breaks |
0 |
0 |
0 |
12 |
7 |
9 |
20 |
100 |
| Structural GARCH: The Volatility-Leverage Connection |
0 |
1 |
20 |
108 |
2 |
7 |
48 |
206 |
| Systemic Risk in Europe |
0 |
0 |
3 |
63 |
1 |
4 |
19 |
44 |
| TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS |
0 |
0 |
0 |
1 |
3 |
6 |
24 |
568 |
| Testing For Common Features |
0 |
1 |
6 |
434 |
0 |
4 |
18 |
1,008 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
0 |
1 |
29 |
5 |
8 |
16 |
117 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
2 |
3 |
3 |
71 |
9 |
13 |
27 |
165 |
| Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights |
0 |
1 |
8 |
143 |
4 |
5 |
25 |
313 |
| Testing Price Equations for Stability Across Frequencies |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
79 |
| Testing the Volatility Term Structure Using Option Hedging Criteria |
0 |
0 |
0 |
1 |
1 |
2 |
9 |
368 |
| Testing the Volatility Term Structure using Option Hedging Criteria |
0 |
1 |
1 |
568 |
0 |
2 |
11 |
1,510 |
| The ACD Model: Predictability of the Time Between Concecutive Trades |
0 |
2 |
7 |
190 |
0 |
4 |
23 |
476 |
| The Econometrics of Ultra-High Frequency Data |
0 |
0 |
3 |
1,358 |
0 |
2 |
14 |
2,733 |
| The Factor-Spline-GARCH Model for High and Low Frequency Correlations |
0 |
0 |
8 |
392 |
2 |
2 |
25 |
822 |
| The Inconsistency of Distributed Lag Estimators Due to Misspecification by Time Aggregation |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
118 |
| The Specification of the Disturbance for Efficient Estimation |
0 |
0 |
0 |
0 |
5 |
7 |
10 |
145 |
| The Spline GARCH Model for Unconditional Volatility and its Global Macroeconomic Causes |
1 |
1 |
4 |
592 |
5 |
8 |
26 |
1,393 |
| The Underlying Dynamics of Credit Correlations |
0 |
0 |
0 |
150 |
1 |
1 |
12 |
310 |
| Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
1 |
9 |
99 |
3 |
7 |
39 |
283 |
| Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH |
0 |
7 |
29 |
1,771 |
2 |
15 |
105 |
4,190 |
| Time and the Price Impact of a Trade |
0 |
2 |
7 |
52 |
1 |
4 |
18 |
131 |
| Time-Varying Arrival Rates of Informed and Uninformed Trades |
0 |
0 |
2 |
591 |
1 |
10 |
26 |
1,493 |
| Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks |
0 |
0 |
2 |
625 |
2 |
4 |
20 |
1,861 |
| Time-Varying Volatility and the Dynamic Behavior of the Term Structure |
0 |
1 |
2 |
234 |
3 |
5 |
10 |
561 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
1 |
19 |
0 |
1 |
9 |
87 |
| Valuation of Variance Forecast with Simulated Option Markets |
0 |
0 |
0 |
82 |
2 |
3 |
10 |
350 |
| Value at risk models in finance |
0 |
2 |
6 |
2,060 |
0 |
4 |
16 |
3,914 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
100 |
2 |
3 |
16 |
304 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
173 |
5 |
6 |
14 |
585 |
| Vector Multiplicative Error Models: Representation and Inference |
1 |
1 |
1 |
78 |
2 |
3 |
15 |
252 |
| Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination |
0 |
0 |
0 |
101 |
0 |
1 |
8 |
822 |
| Total Working Papers |
35 |
113 |
515 |
28,164 |
267 |
620 |
2,542 |
79,783 |
| 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 |
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