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12 months |
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Last month |
3 months |
12 months |
Total |

A Tour in the Asymptotic Theory of GARCH Estimation |
0 |
1 |
2 |
184 |
1 |
2 |
8 |
278 |

Adaptiveness of the empirical distribution of residuals in semi- parametric conditional location scale models |
10 |
10 |
10 |
10 |
8 |
8 |
8 |
8 |

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation |
0 |
0 |
4 |
67 |
1 |
3 |
17 |
128 |

Asymptotic properties of weighted least squares estimation in weak parma models |
0 |
1 |
2 |
71 |
3 |
8 |
26 |
227 |

Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas |
0 |
0 |
0 |
1 |
2 |
5 |
18 |
28 |

Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas |
0 |
0 |
0 |
1 |
1 |
4 |
14 |
20 |

Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
1 |
2 |
4 |
1 |
3 |
17 |
21 |

Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
4 |
12 |
64 |
1 |
6 |
36 |
121 |

Barlett’s Formula for Non Linear Processes |
0 |
0 |
0 |
11 |
0 |
0 |
4 |
80 |

Bartlett's formula for a general class of non linear processes |
0 |
1 |
2 |
154 |
1 |
5 |
24 |
550 |

Can One Really Estimate Nonstationary GARCH Models ? |
0 |
0 |
0 |
69 |
0 |
1 |
5 |
188 |

Combining Nonparametric and Optimal Linear Time Series Predictions |
0 |
0 |
0 |
10 |
0 |
1 |
4 |
86 |

Combining parametric and nonparametric approaches for more efficient time series prediction |
0 |
0 |
1 |
172 |
1 |
1 |
11 |
276 |

Computing and estimating information matrices of weak arma models |
0 |
0 |
0 |
45 |
3 |
5 |
10 |
135 |

Concepts and tools for nonlinear time series modelling |
0 |
0 |
1 |
287 |
1 |
1 |
9 |
311 |

Conditional Heteroskedasticity Driven by Hidden Markov Chains |
1 |
1 |
2 |
48 |
2 |
3 |
13 |
102 |

Conditional heteroskedasticity driven by hidden Markov chains |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
162 |

Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified |
0 |
0 |
0 |
80 |
1 |
1 |
11 |
142 |

Count and duration time series with equal conditional stochastic and mean orders |
0 |
0 |
22 |
50 |
2 |
7 |
54 |
91 |

Covariance Matrix Estimation for Estimators of Mixing Wold's Arma |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
55 |

Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
29 |

Efficient use of higher-lag autocorrelations for estimating autoregressive processes |
0 |
1 |
1 |
6 |
1 |
3 |
6 |
22 |

Equation-by-Equation Estimation of a Multivariate Log-GARCH-X Model of Financial Returns |
0 |
0 |
4 |
81 |
0 |
3 |
18 |
120 |

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero |
0 |
0 |
1 |
44 |
0 |
0 |
7 |
136 |

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations |
0 |
0 |
0 |
37 |
0 |
0 |
3 |
60 |

Estimating Weak Garch Representations |
0 |
1 |
1 |
51 |
0 |
2 |
5 |
108 |

Estimating multivariate GARCH and stochastic correlation models equation by equation |
0 |
0 |
1 |
95 |
4 |
4 |
15 |
140 |

Estimating structural VARMA models with uncorrelated but non-independent error terms |
0 |
0 |
1 |
148 |
3 |
4 |
16 |
346 |

Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions |
0 |
0 |
3 |
102 |
0 |
0 |
15 |
198 |

Fourier--type estimation of the power garch model with stable--paretian innovations |
0 |
0 |
0 |
74 |
0 |
2 |
8 |
154 |

Functional GARCH models: the quasi-likelihood approach and its applications |
2 |
4 |
12 |
71 |
3 |
5 |
25 |
93 |

Garch models without positivity constraints: exponential or log garch? |
0 |
0 |
2 |
122 |
1 |
1 |
11 |
248 |

Inconsistency of the MLE and inference based on weighted LS for LARCH models |
0 |
0 |
0 |
1 |
0 |
1 |
9 |
34 |

Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models |
0 |
0 |
2 |
74 |
2 |
2 |
7 |
160 |

Inference in GARCH when some coefficients are equal to zero |
0 |
0 |
0 |
101 |
0 |
2 |
12 |
291 |

Inference in Non Stationary Asymmetric Garch Models |
0 |
0 |
0 |
16 |
0 |
0 |
7 |
39 |

Inference in non stationary asymmetric garch models |
0 |
0 |
0 |
66 |
2 |
2 |
9 |
114 |

Intrinsic Liquidity in Conditional Volatility Models |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
19 |

Joint inference on market and estimation risks in dynamic portfolios |
0 |
0 |
0 |
36 |
1 |
5 |
12 |
57 |

Linear-Representations Based Estimation of Switching-Regime GARCH Models |
0 |
0 |
1 |
18 |
0 |
0 |
3 |
53 |

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels |
0 |
0 |
0 |
31 |
2 |
2 |
5 |
45 |

Merits and Drawbacks of Variance Targeting in GARCH Models |
0 |
0 |
0 |
11 |
0 |
0 |
9 |
124 |

Merits and drawbacks of variance targeting in GARCH models |
0 |
1 |
5 |
400 |
0 |
4 |
35 |
1,248 |

Multi-level Conditional VaR Estimation in Dynamic Models |
0 |
0 |
2 |
18 |
1 |
1 |
7 |
60 |

Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
269 |

Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
0 |
1 |
1 |
1 |
11 |
23 |

On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses |
0 |
0 |
0 |
61 |
0 |
0 |
3 |
212 |

Optimal Predictions of Powers of Conditionally Heteroskedastic Processes |
0 |
0 |
1 |
20 |
3 |
3 |
10 |
59 |

Optimal predictions of powers of conditionally heteroskedastic processes |
0 |
0 |
4 |
145 |
2 |
2 |
16 |
307 |

Poisson QMLE of Count Time Series Models |
0 |
0 |
0 |
0 |
1 |
3 |
9 |
18 |

Poisson qmle of count time series models |
1 |
1 |
6 |
104 |
3 |
4 |
26 |
204 |

Portmanteau goodness-of-fit test for asymmetric power GARCH models |
0 |
0 |
2 |
89 |
3 |
4 |
13 |
204 |

Properties of the QMLE and the Weighted LSE for LARCH(q) Models |
0 |
0 |
0 |
4 |
0 |
1 |
7 |
48 |

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process |
1 |
2 |
4 |
217 |
2 |
4 |
9 |
462 |

Qml inference for volatility models with covariates |
1 |
1 |
16 |
170 |
2 |
3 |
41 |
195 |

Risk-parameter estimation in volatility models |
0 |
0 |
3 |
152 |
1 |
1 |
15 |
300 |

Stationarity of Multivariate Markov-Switching ARMA Models |
0 |
0 |
1 |
79 |
2 |
2 |
9 |
489 |

Stochastic unit-root bilinear processes |
0 |
0 |
0 |
0 |
2 |
2 |
7 |
193 |

Strict stationarity testing and estimation of explosive ARCH models |
0 |
1 |
2 |
164 |
0 |
1 |
13 |
330 |

Sup-Tests for Linearity in a General Nonlinear AR(1) Model |
0 |
0 |
0 |
7 |
0 |
1 |
7 |
72 |

Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space |
0 |
0 |
5 |
140 |
2 |
3 |
20 |
303 |

Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons |
0 |
1 |
1 |
40 |
1 |
2 |
8 |
110 |

Testing the existence of moments for GARCH processes |
1 |
3 |
41 |
41 |
1 |
7 |
18 |
18 |

Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons |
1 |
2 |
5 |
176 |
2 |
4 |
20 |
364 |

Tests for sphericity in multivariate garch models |
0 |
0 |
2 |
62 |
2 |
3 |
11 |
106 |

Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models |
0 |
1 |
43 |
43 |
2 |
7 |
30 |
30 |

Variance targeting estimation of multivariate GARCH models |
0 |
0 |
2 |
81 |
2 |
7 |
18 |
114 |

Virtual Historical Simulation for estimating the conditional VaR of large portfolios |
0 |
0 |
16 |
16 |
1 |
1 |
15 |
15 |

Virtual Historical Simulation for estimating the conditional VaR of large portfolios |
0 |
1 |
16 |
16 |
1 |
2 |
17 |
17 |

Total Working Papers |
18 |
39 |
266 |
4,798 |
85 |
175 |
904 |
11,369 |