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Last month |
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12 months |
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A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns |
1 |
1 |
3 |
116 |
3 |
3 |
10 |
196 |

A Monte-Carlo Method for Optimal Portfolios |
0 |
0 |
0 |
1,517 |
1 |
4 |
12 |
3,715 |

A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models |
0 |
0 |
0 |
697 |
1 |
3 |
9 |
3,332 |

AN ANLYSIS OF THE REAL INTEREST RATE UNDER REGIME SHIFTS |
0 |
0 |
0 |
1 |
3 |
5 |
16 |
801 |

Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management |
0 |
0 |
1 |
28 |
1 |
6 |
12 |
113 |

An Analysis of the Real Interest Rate Under Regime Shifts |
0 |
0 |
2 |
847 |
2 |
9 |
17 |
3,399 |

An Analysis of the Real Interest rate Under Regime Shifts |
0 |
0 |
0 |
1 |
2 |
4 |
11 |
922 |

An Analysis of the Real Interest rate Under Regime Shifts |
0 |
0 |
0 |
102 |
3 |
4 |
14 |
458 |

An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
4 |
5 |
13 |
211 |

An analysis of Real Interest Rate Under Regime Shifts |
0 |
0 |
0 |
0 |
1 |
3 |
12 |
90 |

Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon |
0 |
0 |
0 |
0 |
3 |
3 |
5 |
5 |

Are the Effects of Monetary Policy Asymmetric? |
0 |
0 |
3 |
442 |
1 |
4 |
13 |
1,640 |

Are the Effects of Monetary Policy Asymmetric? |
0 |
1 |
2 |
638 |
3 |
7 |
17 |
1,698 |

Are the Effects of Monetary Policy Asymmetric? |
0 |
0 |
0 |
1 |
2 |
3 |
6 |
250 |

Are the Effects of Monetary Policy Asymmetric? |
0 |
1 |
1 |
49 |
1 |
3 |
11 |
181 |

Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns |
0 |
0 |
0 |
175 |
0 |
1 |
5 |
507 |

Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
9 |
1 |
2 |
8 |
392 |

Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
1 |
2 |
2 |
6 |
385 |

Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
2 |
588 |
1 |
2 |
10 |
2,569 |

Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
2 |
169 |
0 |
0 |
7 |
766 |

Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
129 |

Asymptotic Null Contribution of the Likelihood Ratio Test in Markov Switching Models |
0 |
0 |
0 |
8 |
0 |
0 |
3 |
55 |

Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models |
2 |
3 |
10 |
859 |
8 |
13 |
44 |
4,324 |

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes |
0 |
0 |
0 |
312 |
0 |
0 |
4 |
1,188 |

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
317 |

Bond Liquidity Premia |
0 |
2 |
4 |
79 |
0 |
3 |
16 |
252 |

Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
97 |

Can Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion? |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
225 |

Can a well-fitted equilibrium asset pricing model produce mean reversion? |
0 |
0 |
2 |
9 |
0 |
0 |
3 |
104 |

Consumption and Equilibrium Asset Pricing: an Empirical Assessment |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
133 |

Consumption and Equilibrium Asset Pricing: an Empirical Assessment |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
198 |

Consumption and equilibrium asset pricing: An empirical assessment |
0 |
1 |
1 |
23 |
0 |
1 |
7 |
118 |

Dependence Structure and Extreme Comovements in International Equity and Bond Markets |
1 |
2 |
3 |
170 |
1 |
5 |
21 |
441 |

Disappointment Aversion as a Solution to the Equity Premium and the Risk- Free Rate Puzzles |
0 |
0 |
0 |
1 |
1 |
2 |
13 |
573 |

Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles |
0 |
0 |
0 |
623 |
0 |
0 |
10 |
3,302 |

Disappointment aversion as a solution to the equity premium and the risk-free rate puzzles |
0 |
0 |
0 |
33 |
0 |
1 |
16 |
200 |

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level |
1 |
1 |
1 |
189 |
1 |
5 |
10 |
921 |

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables |
0 |
0 |
0 |
8 |
1 |
4 |
10 |
245 |

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) |
0 |
0 |
0 |
440 |
0 |
1 |
4 |
2,255 |

Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables |
0 |
0 |
0 |
83 |
1 |
1 |
4 |
342 |

Empirical Assessment of an Intertemporal option Pricing Model with Latent variables |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
236 |

Estimation of stable distributions by indirect inference |
0 |
0 |
0 |
74 |
1 |
1 |
6 |
247 |

Estimation of stable distributions with indirect inference |
0 |
0 |
0 |
5 |
0 |
0 |
5 |
40 |

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
172 |

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation |
0 |
0 |
1 |
154 |
0 |
0 |
9 |
1,081 |

Excess Sensitivity and Asymmetries in Consumption: an Empirical Investigation |
0 |
0 |
0 |
21 |
0 |
0 |
9 |
130 |

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns |
0 |
0 |
0 |
27 |
1 |
3 |
10 |
43 |

Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns |
0 |
0 |
3 |
26 |
0 |
3 |
21 |
104 |

Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices |
0 |
0 |
1 |
27 |
1 |
1 |
8 |
101 |

Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices |
0 |
0 |
1 |
87 |
1 |
2 |
11 |
241 |

Incorporating Second-Order Functional Knowledge for Better Option Pricing |
0 |
0 |
1 |
44 |
1 |
4 |
12 |
294 |

Indexation, Staggering and Disinflation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
97 |

Indexation, Staggering and Disinflation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
141 |

Indexation, staggering and disinflation |
0 |
0 |
1 |
10 |
0 |
0 |
2 |
57 |

Infrequent information, optimal time and state dependent rules, and aggregate effects |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
64 |

Latent Variable Models for Stochastic Discount |
0 |
0 |
0 |
3 |
0 |
0 |
4 |
229 |

Latent Variable Models for Stochastic Discount Factors |
0 |
1 |
5 |
127 |
1 |
5 |
22 |
509 |

Latent Variable Models for Stochastic Discount Factors |
0 |
0 |
2 |
527 |
0 |
0 |
8 |
2,704 |

Les modèles de prévisions économiques |
0 |
0 |
1 |
71 |
0 |
0 |
2 |
259 |

Letent Variable Models for Stochastic Discount Factors |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
247 |

MEAN AVERSION IN EQUILIBRIUM ASSET PRICES: COMMENT |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
348 |

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility |
0 |
0 |
2 |
125 |
1 |
2 |
6 |
329 |

Measuring causality between volatility and returns with high-frequency data |
0 |
0 |
0 |
95 |
1 |
2 |
13 |
385 |

Modelling Risk Premiums in Equity and Foreign Exchange Markets |
0 |
0 |
1 |
544 |
0 |
1 |
11 |
1,689 |

Nonparametric Assessment of Hedge Fund Performance |
0 |
0 |
2 |
9 |
0 |
2 |
12 |
26 |

Nonparametric Assessment of Hedge Fund Performance |
0 |
0 |
0 |
0 |
1 |
4 |
9 |
9 |

Nonparametric Tail Risk, Stock Returns and the Macroeconomy |
0 |
0 |
1 |
72 |
1 |
1 |
7 |
103 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
165 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
70 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
547 |
0 |
0 |
2 |
2,209 |

Optimal Rules under Adjustment Cost and Infrequent Information |
0 |
0 |
0 |
38 |
0 |
0 |
2 |
252 |

Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information |
1 |
1 |
2 |
23 |
1 |
1 |
3 |
85 |

Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint |
0 |
2 |
8 |
651 |
1 |
8 |
32 |
2,259 |

Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
1 |
12 |
1 |
1 |
11 |
75 |

Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
1 |
847 |
1 |
2 |
6 |
4,508 |

Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
0 |
110 |
1 |
1 |
7 |
539 |

Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
493 |

Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates |
0 |
0 |
0 |
83 |
0 |
1 |
6 |
256 |

State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle |
0 |
0 |
0 |
110 |
0 |
0 |
3 |
322 |

State-dependent pricing under infrequent information: a unified framework |
0 |
0 |
1 |
41 |
0 |
1 |
4 |
128 |

Structural Change and Asset Pricing in Emerging Markets |
0 |
0 |
1 |
564 |
0 |
1 |
4 |
2,325 |

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market |
1 |
1 |
1 |
536 |
1 |
1 |
5 |
2,084 |

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market |
0 |
0 |
0 |
79 |
0 |
1 |
4 |
462 |

Tests of Conditional Asset Pricing Models in the Brazilian Stock Market |
0 |
0 |
0 |
353 |
0 |
0 |
2 |
2,120 |

Tests of Conditonal Asset Pricing Models in the Brazilian Stock Market |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
815 |

Tests of conditional asset pricing models in the Brazilian stock market |
1 |
1 |
1 |
41 |
1 |
1 |
4 |
199 |

Tests of conditional asset pricing models in the brazilian stock market |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
394 |

The Alleviation of Coordination Problems through Financial Risk Management |
0 |
0 |
0 |
40 |
1 |
1 |
4 |
179 |

The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach |
0 |
0 |
1 |
151 |
1 |
1 |
8 |
583 |

The Econometrics of Option Pricing |
0 |
0 |
1 |
1,252 |
0 |
3 |
20 |
3,082 |

The Macroeconomic Effects of Infrequent Information With Adjustment Costs |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
263 |

The Macroeconomic Effects of Infrequent Information with Adjustment Costs |
0 |
0 |
1 |
28 |
2 |
2 |
10 |
227 |

The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments |
0 |
0 |
0 |
190 |
0 |
0 |
8 |
750 |

The Value of Real and Financial Risk Management |
0 |
0 |
2 |
311 |
1 |
6 |
14 |
1,012 |

The macroeconomic effects of infrequent information with adjustment costs |
0 |
0 |
0 |
7 |
1 |
1 |
7 |
121 |

Time- and State-Dependent Pricing: A Unified Framework |
0 |
0 |
1 |
22 |
1 |
2 |
10 |
79 |

Total Working Papers |
8 |
18 |
82 |
16,317 |
76 |
185 |
820 |
72,990 |