| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets |
0 |
0 |
0 |
72 |
4 |
8 |
10 |
228 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
42 |
1 |
4 |
10 |
215 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
2 |
157 |
1 |
1 |
14 |
383 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
1 |
190 |
1 |
3 |
11 |
347 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
1 |
1 |
1 |
315 |
3 |
6 |
10 |
804 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
517 |
1 |
4 |
12 |
1,225 |
| A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models |
0 |
0 |
2 |
271 |
1 |
5 |
14 |
890 |
| A Time-varying Mixing Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
85 |
1 |
4 |
8 |
193 |
| A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
67 |
1 |
3 |
5 |
313 |
| Analytic Hessian Matrices and the Computation of FIGARCH Estimates |
0 |
0 |
0 |
381 |
1 |
2 |
4 |
958 |
| Automated Variable Selection in Vector Multiplicative Error Models |
0 |
0 |
1 |
55 |
0 |
1 |
5 |
142 |
| Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
2 |
83 |
0 |
1 |
11 |
66 |
| Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
1 |
56 |
0 |
0 |
9 |
39 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
354 |
2 |
5 |
21 |
963 |
| Copula--based Specification of vector MEMs |
0 |
0 |
1 |
21 |
1 |
2 |
14 |
50 |
| Copula--based Specification of vector MEMs |
0 |
1 |
1 |
54 |
5 |
7 |
18 |
71 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
2 |
68 |
2 |
6 |
25 |
81 |
| Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
106 |
1 |
1 |
3 |
452 |
| Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures |
0 |
0 |
0 |
67 |
0 |
3 |
8 |
109 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
2 |
53 |
0 |
1 |
10 |
149 |
| Early News Is Good News. The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
156 |
| Ex Post and Ex Ante Analysis of Provisional Data |
0 |
0 |
0 |
240 |
2 |
3 |
8 |
2,034 |
| Exchange Market Pressure: Some Caveats In Empirical Applications |
0 |
0 |
0 |
114 |
0 |
0 |
5 |
321 |
| Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
87 |
| Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns |
0 |
5 |
11 |
518 |
0 |
7 |
25 |
1,070 |
| Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria |
0 |
0 |
1 |
124 |
1 |
2 |
9 |
353 |
| Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
1 |
46 |
1 |
5 |
10 |
256 |
| Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
2 |
98 |
1 |
4 |
12 |
113 |
| GARCH-based Volatility Forecasts for Market Volatility Indices |
0 |
2 |
4 |
758 |
0 |
6 |
16 |
1,805 |
| Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares |
0 |
0 |
3 |
73 |
4 |
6 |
30 |
153 |
| Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
11 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
2 |
8 |
167 |
1 |
4 |
23 |
371 |
| Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
75 |
| Median Response to Shocks: A Model for VaR Spillovers in East Asia |
0 |
0 |
1 |
39 |
0 |
3 |
8 |
66 |
| Modeling Euro STOXX 50 Volatility with Common and Market–specific Components |
0 |
1 |
12 |
49 |
1 |
10 |
38 |
91 |
| Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns |
0 |
1 |
2 |
195 |
1 |
3 |
10 |
902 |
| Modelling the Impact of Overnight Surprises on Intra-daily Volatility |
0 |
0 |
1 |
152 |
0 |
4 |
9 |
421 |
| Multiplicative Error Models |
3 |
7 |
23 |
667 |
19 |
40 |
122 |
2,122 |
| On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
73 |
5 |
5 |
10 |
458 |
| On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
11 |
2 |
2 |
6 |
57 |
| On the Interaction between Ultra–high Frequency Measures of Volatility |
0 |
0 |
0 |
66 |
0 |
1 |
5 |
145 |
| Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
0 |
1 |
5 |
164 |
| Semiparametric vector MEM |
1 |
2 |
4 |
133 |
2 |
6 |
17 |
319 |
| Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears |
1 |
1 |
2 |
16 |
5 |
7 |
15 |
52 |
| The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
2 |
1 |
1 |
2 |
26 |
| The impact of the use of forecasts in information sets |
0 |
0 |
0 |
14 |
0 |
2 |
4 |
106 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
42 |
0 |
2 |
5 |
132 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
63 |
0 |
1 |
4 |
179 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
100 |
2 |
3 |
16 |
304 |
| Vector Multiplicative Error Models: Representation and Inference |
1 |
1 |
1 |
78 |
2 |
3 |
15 |
252 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
173 |
5 |
6 |
14 |
585 |
| Volatility Estimation via Hidden Markov Models |
2 |
2 |
3 |
1,104 |
3 |
5 |
18 |
2,364 |
| Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria |
0 |
0 |
0 |
194 |
1 |
2 |
10 |
369 |
| Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach |
0 |
0 |
3 |
234 |
1 |
5 |
26 |
499 |
| Volatility Swings in the US Financial Markets |
0 |
1 |
2 |
44 |
6 |
8 |
10 |
107 |
| Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model |
0 |
2 |
2 |
116 |
1 |
3 |
8 |
281 |
| Volatility Transmission in Financial Markets: A New Approach |
0 |
0 |
0 |
86 |
1 |
1 |
6 |
192 |
| Total Working Papers |
9 |
29 |
103 |
8,884 |
94 |
232 |
751 |
24,676 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A COMPARISON OF COMPLEMENTARY AUTOMATIC MODELING METHODS: RETINA AND PcGets |
0 |
0 |
1 |
12 |
1 |
2 |
5 |
108 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* |
0 |
0 |
2 |
20 |
1 |
2 |
8 |
115 |
| A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS |
0 |
1 |
1 |
60 |
0 |
1 |
7 |
219 |
| A multiple indicators model for volatility using intra-daily data |
1 |
1 |
4 |
288 |
8 |
13 |
46 |
785 |
| Analytic Hessian matrices and the computation of FIGARCH estimates |
0 |
0 |
0 |
2 |
0 |
2 |
4 |
8 |
| Automated variable selection in vector multiplicative error models |
0 |
0 |
0 |
34 |
0 |
0 |
2 |
103 |
| Castle, J. L. and Shephard, N.: The methodology and practice of econometrics |
0 |
0 |
0 |
18 |
1 |
1 |
5 |
52 |
| Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach |
1 |
1 |
1 |
1 |
1 |
4 |
12 |
15 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
1 |
7 |
92 |
0 |
3 |
24 |
311 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
1 |
3 |
3 |
4 |
14 |
25 |
| Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets |
0 |
1 |
1 |
75 |
3 |
8 |
16 |
436 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures |
0 |
1 |
2 |
15 |
1 |
6 |
13 |
98 |
| Early News is Good News: The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
49 |
0 |
0 |
4 |
205 |
| Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions |
0 |
0 |
0 |
4 |
2 |
3 |
6 |
24 |
| Exchange market pressure: some caveats in empirical applications |
0 |
1 |
2 |
49 |
1 |
2 |
8 |
170 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns |
0 |
2 |
18 |
247 |
3 |
13 |
67 |
576 |
| Forecast Error Decomposition in a Nonlinear Model with Provisional Data |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
8 |
| Forecasting realized volatility with changing average levels |
0 |
0 |
3 |
13 |
1 |
1 |
8 |
63 |
| Frontiers in Time Series Analysis: Introduction |
0 |
0 |
0 |
57 |
0 |
0 |
2 |
162 |
| Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics |
1 |
2 |
2 |
3 |
2 |
3 |
10 |
90 |
| How to Strip a Model to Its Essential Elements |
0 |
0 |
0 |
0 |
3 |
3 |
5 |
482 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
3 |
3 |
15 |
114 |
3 |
8 |
46 |
290 |
| Market interdependence and financial volatility transmission in East Asia |
0 |
0 |
0 |
105 |
1 |
1 |
5 |
306 |
| Mixture Processes for Financial Intradaily Durations |
0 |
0 |
0 |
67 |
4 |
6 |
11 |
236 |
| Modelling the Impact of Overnight Surprises on Intra-Daily Volatility |
0 |
0 |
1 |
39 |
1 |
2 |
3 |
187 |
| On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria |
0 |
0 |
0 |
33 |
0 |
0 |
3 |
85 |
| On the asymmetric impact of macro–variables on volatility |
2 |
3 |
5 |
6 |
2 |
10 |
24 |
25 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
28 |
3 |
4 |
12 |
92 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
1 |
9 |
1 |
1 |
3 |
43 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
23 |
0 |
0 |
4 |
110 |
| Simulation methods in econometrics: editors' introduction |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
322 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
2 |
431 |
0 |
2 |
10 |
807 |
| The effects of trading activity on market volatility |
0 |
0 |
1 |
106 |
1 |
1 |
7 |
334 |
| Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
1 |
57 |
0 |
1 |
5 |
173 |
| Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
215 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
11 |
238 |
2 |
6 |
40 |
596 |
| Volatility estimation via hidden Markov models |
0 |
0 |
1 |
129 |
0 |
2 |
10 |
334 |
| Volatility spillovers, interdependence and comovements: A Markov Switching approach |
1 |
1 |
5 |
79 |
2 |
2 |
16 |
229 |
| Volatility transmission across markets: a Multichain Markov Switching model |
0 |
0 |
2 |
89 |
0 |
0 |
5 |
274 |
| Volatilité conditionnelle, signaux d'échange et perception du risque |
0 |
0 |
0 |
9 |
2 |
3 |
6 |
56 |
| Total Journal Articles |
9 |
18 |
90 |
2,624 |
53 |
120 |
478 |
8,769 |
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