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12 months |
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- CONTROL VARIATES FOR VARIANCE REDUCTION IN INDIRECT INFERENCE: INTEREST RATE MODELS IN CONTINUOUS TIME |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
87 |

- NON-ADMISSIBILITY AND THE SPECIFICATION OF UNOBSERVED COMPONENTS MODELS |
0 |
0 |
1 |
10 |
0 |
0 |
3 |
55 |

A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
49 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
33 |
0 |
0 |
2 |
66 |

A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
25 |
0 |
1 |
2 |
56 |

A tobit model with garch errors |
0 |
0 |
0 |
108 |
0 |
2 |
5 |
320 |

Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
1 |
4 |
0 |
0 |
6 |
14 |

Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
18 |

Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
1 |
4 |
0 |
1 |
2 |
14 |

Aggregate Output Measurements: a Common Trend Approach |
0 |
0 |
1 |
26 |
0 |
1 |
4 |
25 |

Aggregate output measurements: a common trend approach |
1 |
1 |
1 |
7 |
1 |
1 |
4 |
28 |

Alternative estimators of the covariance matrix in GARCH models |
0 |
0 |
0 |
32 |
0 |
1 |
2 |
178 |

Analytic Derivatives and the Computation of GARCH Estimates |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
23 |

Analytic Derivatives and the Computation of Garch Estimates |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
1,240 |

CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
83 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
931 |

Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
29 |

Conditional heteroskedasticity in nonlinear simultaneous equations |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
82 |

Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
3 |
24 |
0 |
3 |
11 |
159 |

Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
36 |

Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
32 |

Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
24 |

Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
17 |
0 |
2 |
3 |
59 |

Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
409 |

Constrained EMM and Indirect Inference Estimation. Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |

Constrained Indirect Inference Estimation |
0 |
0 |
0 |
99 |
0 |
0 |
0 |
269 |

Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
10 |

Control variates for variance reduction in indirect inference: interest rate models in continuous time |
0 |
0 |
0 |
17 |
0 |
0 |
4 |
126 |

Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
1 |
1 |
2 |
0 |
1 |
3 |
16 |

Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
3 |
11 |
43 |
0 |
7 |
24 |
52 |

Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
0 |
59 |
0 |
0 |
7 |
122 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
66 |
0 |
0 |
3 |
241 |

Dynamic Specification Tests for Static Factor Models |
0 |
0 |
1 |
42 |
0 |
0 |
4 |
106 |

Dynamic specification tests for dynamic factor models |
0 |
0 |
1 |
11 |
0 |
2 |
6 |
41 |

Estimating variances and covariances in a censored regression model |
0 |
0 |
0 |
31 |
0 |
0 |
5 |
117 |

Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
94 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
36 |

Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
48 |

GDP Solera. The Ideal Vintage Mix |
1 |
6 |
15 |
15 |
1 |
9 |
16 |
16 |

GDP Solera: The Ideal Vintage Mix |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

GDP Solera: The Ideal Vintage Mix |
1 |
1 |
1 |
1 |
5 |
5 |
5 |
5 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
1 |
5 |
884 |

Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |

Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
110 |

Indirect Estimation of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
195 |
0 |
0 |
1 |
567 |

Indirect Estimation of Just-Identified Models with Control Variates |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
145 |

Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
2 |
2 |
3 |
9 |
37 |

LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
140 |

Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
20 |

Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
0 |
0 |
307 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
39 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
245 |

Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
0 |
0 |
1 |
481 |

Moment tests of independent components |
0 |
0 |
6 |
27 |
0 |
3 |
21 |
38 |

Multivariate Hermite polynomials and information matrix tests |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
5 |

Multivariate Hermite polynomials and information matrix tests |
0 |
1 |
3 |
15 |
1 |
7 |
15 |
24 |

Multivariate Hermite polynomials and information matrix tests |
0 |
1 |
4 |
7 |
0 |
2 |
8 |
9 |

Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
0 |
36 |
0 |
0 |
3 |
53 |

New Testing Approaches for Mean-Variance Predictability |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
24 |

New testing approaches for mean-variance predictability |
0 |
0 |
1 |
11 |
0 |
0 |
2 |
31 |

New testing approaches for mean-variance predictability |
0 |
0 |
0 |
54 |
0 |
1 |
3 |
93 |

New testing approaches for mean-variance predictability |
0 |
0 |
0 |
18 |
0 |
1 |
9 |
39 |

Non-Admissible Decompositions in Unobserved Components Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
8 |

Non-Admissible Decompositions in Unobserved Components Models |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
502 |

On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
46 |
0 |
0 |
3 |
195 |

On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
1 |
1 |
0 |
1 |
2 |
8 |

On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
35 |

SHORT-TERM OPTIONS WITH STOCHASTIC VOLATILITY: ESTIMATION AND EMPIRICAL PERFORMANCE |
0 |
0 |
0 |
54 |
0 |
0 |
1 |
152 |

Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
0 |
55 |
0 |
0 |
1 |
144 |

Short-term options with stochastic volatility: Estimation and empirical performance |
0 |
0 |
0 |
307 |
0 |
0 |
3 |
857 |

Specification Tests for Non-Gaussian Maximum Likelihood Estimators |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
14 |

Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
10 |
0 |
0 |
3 |
37 |

Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
44 |
0 |
0 |
2 |
41 |

Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
21 |

THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
103 |

Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
0 |
46 |
0 |
0 |
1 |
100 |

Tests for random coefficient variation in vector autoregressive models |
0 |
0 |
3 |
3 |
0 |
0 |
6 |
6 |

Tests for random coefficient variation in vector autoregressive models |
0 |
2 |
54 |
54 |
0 |
3 |
28 |
28 |

Tests for random coefficient variation in vector autoregressive models |
0 |
0 |
7 |
7 |
0 |
3 |
13 |
13 |

The Rise and Fall of the Natural Interest Rate |
0 |
0 |
0 |
32 |
0 |
1 |
3 |
59 |

The Rise and Fall of the Natural Interest Rate |
0 |
2 |
10 |
103 |
1 |
7 |
39 |
244 |

The Rise and Fall of the Natural Interest Rate |
0 |
1 |
3 |
105 |
0 |
2 |
6 |
176 |

The Rise and Fall of the Natural Interest Rate |
0 |
0 |
7 |
84 |
1 |
7 |
31 |
151 |

The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
565 |

The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
6 |

The marginal likelihood of Structural Time Series Models, with application to the euro area and US NAIRU |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
24 |

The rise and fall of the natural interest rate |
2 |
3 |
9 |
67 |
3 |
6 |
25 |
134 |

Unobserved Components in ARCH Models: An Application to Seasonal Adjustment |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
11 |

Unobserved Components in ARCH Models: An Application to Seasonal Adjustment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
378 |

Total Working Papers |
5 |
22 |
148 |
2,790 |
16 |
88 |
425 |
12,647 |