Journal Article |
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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 |