| 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 |
2 |
3 |
10 |
23 |
4 |
7 |
21 |
73 |
| A dynamic copula approach to recovering the index implied volatility skew |
0 |
0 |
0 |
173 |
3 |
3 |
3 |
420 |
| A dynamic semiparametric factor model for implied volatility string dynamics |
0 |
0 |
2 |
354 |
0 |
1 |
4 |
873 |
| A simple and general approach to fitting the discount curve under no-arbitrage constraints |
0 |
0 |
1 |
31 |
0 |
3 |
5 |
87 |
| A variance spillover analysis without covariances: what do we miss? |
0 |
0 |
0 |
61 |
1 |
1 |
1 |
295 |
| Additive modeling of realized variance: tests for parametric specifications and structural breaks |
0 |
0 |
0 |
52 |
0 |
0 |
2 |
105 |
| Arbitrage-free smoothing of the implied volatility surface |
0 |
1 |
11 |
932 |
2 |
17 |
39 |
2,165 |
| Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data |
0 |
0 |
1 |
127 |
4 |
5 |
9 |
413 |
| 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 |
0 |
0 |
1 |
515 |
| Fitting the Smile Revisited: A Least Squares Kernel Estimator for the Implied Volatility Surface |
0 |
0 |
1 |
52 |
2 |
3 |
6 |
161 |
| GARCH option pricing models with Meixner innovations |
0 |
0 |
1 |
50 |
0 |
0 |
5 |
116 |
| Global estimation of realized spot volatility in the presence of price jumps |
0 |
0 |
1 |
48 |
0 |
0 |
4 |
94 |
| Identifying Structural Shocks to Volatility through a Proxy-MGARCH Model |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
11 |
| Implied volatility string dynamics |
0 |
0 |
2 |
29 |
0 |
1 |
7 |
115 |
| Locally adaptive modeling of unconditional heteroskedasticity |
0 |
1 |
10 |
10 |
1 |
8 |
13 |
13 |
| Measuring spot variance spillovers when (co)variances are time-varying - the case of multivariate GARCH models |
0 |
1 |
1 |
15 |
0 |
1 |
3 |
52 |
| 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 |
0 |
1 |
3 |
27 |
| Monitoring Consumption Switzerland: Data, Background, and Use Cases |
0 |
0 |
0 |
23 |
1 |
2 |
8 |
40 |
| Multivariate volatility models |
0 |
0 |
0 |
231 |
0 |
1 |
6 |
766 |
| Option data and modeling BSM implied volatility |
0 |
0 |
1 |
188 |
1 |
2 |
5 |
417 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
30 |
2 |
4 |
6 |
232 |
| Price variability and price dispersion in a stable monetary environment: Evidence from German retail markets |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
60 |
| Proxy-identification of a structural MGARCH model for asset returns |
0 |
1 |
2 |
94 |
1 |
4 |
11 |
240 |
| Proxy-identification of a structural MGARCH model for asset returns |
0 |
1 |
4 |
5 |
3 |
9 |
22 |
25 |
| Realized Copula |
0 |
0 |
0 |
102 |
0 |
2 |
4 |
324 |
| Realized copula |
0 |
1 |
1 |
60 |
2 |
3 |
5 |
135 |
| Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints |
0 |
0 |
1 |
138 |
1 |
4 |
11 |
334 |
| Structural Volatility Impulse Response Analysis |
0 |
0 |
3 |
3 |
1 |
3 |
14 |
14 |
| Structural Volatility Impulse Response Analysis |
0 |
0 |
3 |
99 |
1 |
2 |
11 |
113 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
2 |
5 |
142 |
2 |
7 |
22 |
353 |
| Textual Sentiment, Option Characteristics, and Stock Return Predictability |
0 |
0 |
0 |
5 |
0 |
3 |
8 |
43 |
| The Transmission of Monetary Policy to the Cost of Hedging |
0 |
0 |
7 |
7 |
1 |
1 |
16 |
16 |
| The Transmission of Monetary Policy to the Cost of Hedging |
0 |
1 |
2 |
2 |
1 |
4 |
10 |
10 |
| The Transmission of Monetary Policy to the Cost of Hedging |
0 |
1 |
4 |
4 |
2 |
8 |
24 |
24 |
| The analysis of implied volatilities |
0 |
0 |
1 |
84 |
3 |
5 |
8 |
403 |
| The dynamics of implied volatilities: A common principal components approach |
0 |
0 |
0 |
146 |
0 |
2 |
3 |
655 |
| The dynamics of implied volatilities: a common principal components approach |
0 |
0 |
0 |
0 |
1 |
5 |
5 |
42 |
| The transmission of monetary policy to the cost of hedging |
0 |
0 |
1 |
1 |
0 |
0 |
10 |
10 |
| Unveiling Themes in 10-K Disclosures: A New Topic Modeling Perspective |
0 |
0 |
7 |
7 |
1 |
11 |
20 |
20 |
| Total Working Papers |
2 |
14 |
84 |
3,660 |
42 |
136 |
365 |
10,115 |
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