| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Topic Model for 10-K Management Disclosures |
1 |
3 |
10 |
24 |
3 |
9 |
22 |
76 |
| A dynamic copula approach to recovering the index implied volatility skew |
0 |
0 |
0 |
173 |
1 |
4 |
4 |
421 |
| A dynamic semiparametric factor model for implied volatility string dynamics |
0 |
0 |
2 |
354 |
2 |
3 |
6 |
875 |
| A simple and general approach to fitting the discount curve under no-arbitrage constraints |
0 |
0 |
1 |
31 |
2 |
5 |
7 |
89 |
| A variance spillover analysis without covariances: what do we miss? |
0 |
0 |
0 |
61 |
1 |
2 |
2 |
296 |
| Additive modeling of realized variance: tests for parametric specifications and structural breaks |
0 |
0 |
0 |
52 |
1 |
1 |
3 |
106 |
| Arbitrage-free smoothing of the implied volatility surface |
1 |
2 |
9 |
933 |
7 |
24 |
42 |
2,172 |
| Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
0 |
0 |
1 |
127 |
11 |
15 |
20 |
424 |
| Correlation Risk Premia for Multi-Asset Equity Options |
0 |
0 |
0 |
43 |
0 |
1 |
3 |
112 |
| DSFM fitting of implied volatility surfaces |
0 |
0 |
0 |
168 |
1 |
1 |
1 |
516 |
| Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface |
0 |
0 |
1 |
52 |
0 |
2 |
6 |
161 |
| GARCH option pricing models with Meixner innovations |
0 |
0 |
1 |
50 |
4 |
4 |
8 |
120 |
| Global estimation of realized spot volatility in the presence of price jumps |
0 |
0 |
1 |
48 |
7 |
7 |
11 |
101 |
| Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model |
0 |
0 |
0 |
9 |
1 |
2 |
3 |
12 |
| Implied volatility string dynamics |
0 |
0 |
2 |
29 |
5 |
6 |
11 |
120 |
| Locally adaptive modeling of unconditional heteroskedasticity |
1 |
1 |
11 |
11 |
4 |
11 |
17 |
17 |
| Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models |
0 |
1 |
1 |
15 |
2 |
3 |
5 |
54 |
| Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models |
0 |
1 |
1 |
106 |
0 |
1 |
4 |
192 |
| Media-expressed tone, Option Characteristics, and Stock Return Predictability |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
28 |
| Monitoring Consumption Switzerland: Data, Background, and Use Cases |
0 |
0 |
0 |
23 |
1 |
2 |
8 |
41 |
| Multivariate volatility models |
0 |
0 |
0 |
231 |
0 |
0 |
6 |
766 |
| Option data and modeling BSM implied volatility |
0 |
0 |
1 |
188 |
0 |
2 |
5 |
417 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
0 |
3 |
3 |
4 |
63 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
30 |
5 |
9 |
11 |
237 |
| Proxy-identification of a structural MGARCH model for asset returns |
0 |
0 |
1 |
94 |
1 |
3 |
11 |
241 |
| Proxy-identification of a structural MGARCH model for asset returns |
2 |
2 |
5 |
7 |
12 |
19 |
33 |
37 |
| Realized Copula |
0 |
0 |
0 |
102 |
0 |
1 |
3 |
324 |
| Realized copula |
0 |
0 |
1 |
60 |
0 |
2 |
4 |
135 |
| Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints |
0 |
0 |
1 |
138 |
1 |
5 |
12 |
335 |
| Structural Volatility Impulse Response Analysis |
0 |
0 |
3 |
3 |
1 |
4 |
15 |
15 |
| Structural Volatility Impulse Response Analysis |
0 |
0 |
2 |
99 |
6 |
8 |
15 |
119 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
0 |
0 |
5 |
0 |
1 |
7 |
43 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
1 |
5 |
142 |
3 |
8 |
23 |
356 |
| The Transmission of Monetary Policy to the Cost of Hedging |
0 |
0 |
2 |
2 |
0 |
3 |
10 |
10 |
| The Transmission of Monetary Policy to the Cost of Hedging |
0 |
0 |
7 |
7 |
0 |
1 |
16 |
16 |
| The Transmission of Monetary Policy to the Cost of Hedging |
1 |
1 |
5 |
5 |
6 |
13 |
26 |
30 |
| The analysis of implied volatilities |
0 |
0 |
1 |
84 |
0 |
5 |
8 |
403 |
| The dynamics of implied volatilities: A common principal components approach |
0 |
0 |
0 |
146 |
2 |
4 |
5 |
657 |
| The dynamics of implied volatilities: a common principal components approach |
0 |
0 |
0 |
0 |
0 |
4 |
5 |
42 |
| The transmission of monetary policy to the cost of hedging |
0 |
0 |
1 |
1 |
1 |
1 |
11 |
11 |
| Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective |
0 |
0 |
6 |
7 |
3 |
14 |
21 |
23 |
| Total Working Papers |
6 |
12 |
82 |
3,666 |
98 |
214 |
438 |
10,213 |
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