| 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 |
73 |
0 |
1 |
5 |
249 |
| A Dynamic Conditional Approach to Portfolio Weights Forecasting |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
33 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
44 |
2 |
2 |
4 |
235 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
0 |
3 |
409 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
1 |
198 |
0 |
0 |
2 |
375 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
0 |
1 |
4 |
834 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
2 |
2 |
8 |
1,261 |
| A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models |
0 |
0 |
0 |
277 |
0 |
0 |
0 |
910 |
| A Time-varying Mixing Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
87 |
1 |
2 |
4 |
208 |
| A dynamic conditional approach to portfolio weights forecasting |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
29 |
| A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
329 |
| Analytic Hessian Matrices and the Computation of FIGARCH Estimates |
0 |
0 |
1 |
384 |
1 |
1 |
5 |
976 |
| Automated Variable Selection in Vector Multiplicative Error Models |
0 |
1 |
1 |
58 |
0 |
1 |
1 |
159 |
| Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
1 |
90 |
0 |
1 |
2 |
93 |
| Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
0 |
57 |
0 |
0 |
2 |
51 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
1 |
1 |
364 |
0 |
1 |
3 |
1,011 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
17 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
0 |
2 |
87 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
65 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
71 |
2 |
2 |
3 |
108 |
| Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
108 |
0 |
0 |
0 |
464 |
| Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures |
0 |
0 |
0 |
72 |
2 |
2 |
4 |
136 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
1 |
1 |
2 |
171 |
| Doubly Multiplicative Error Models with Long- and Short-run Components |
0 |
0 |
0 |
30 |
0 |
2 |
5 |
44 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
4 |
4 |
0 |
0 |
12 |
14 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
6 |
7 |
0 |
0 |
4 |
6 |
| Early News Is Good News. The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
0 |
2 |
3 |
3 |
164 |
| Ex Post and Ex Ante Analysis of Provisional Data |
0 |
0 |
0 |
240 |
0 |
1 |
1 |
2,046 |
| Exchange Market Pressure: Some Caveats In Empirical Applications |
0 |
0 |
1 |
115 |
2 |
2 |
7 |
338 |
| Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
90 |
| Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns |
0 |
0 |
1 |
548 |
2 |
2 |
11 |
1,165 |
| Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment |
2 |
2 |
10 |
10 |
2 |
2 |
14 |
20 |
| Financial returns, sentiment and market volatility. A dynamic assessment |
1 |
1 |
9 |
9 |
2 |
2 |
17 |
17 |
| Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria |
0 |
0 |
0 |
124 |
1 |
1 |
3 |
366 |
| Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
48 |
1 |
2 |
5 |
273 |
| Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
0 |
100 |
1 |
1 |
2 |
130 |
| GARCH-based Volatility Forecasts for Market Volatility Indices |
0 |
0 |
0 |
762 |
1 |
1 |
4 |
1,834 |
| Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares |
0 |
0 |
0 |
83 |
0 |
1 |
2 |
189 |
| Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito |
0 |
0 |
0 |
5 |
1 |
1 |
1 |
8 |
| Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito |
0 |
0 |
0 |
6 |
0 |
1 |
1 |
13 |
| Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis |
0 |
0 |
0 |
2 |
1 |
3 |
4 |
12 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
0 |
4 |
207 |
0 |
3 |
12 |
478 |
| Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
84 |
| Measuring the Effects of Unconventional Policies on Stock Market Volatility |
0 |
0 |
0 |
25 |
0 |
0 |
2 |
60 |
| Median Response to Shocks: A Model for VaR Spillovers in East Asia |
0 |
0 |
0 |
41 |
0 |
0 |
2 |
86 |
| Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall |
0 |
0 |
0 |
36 |
1 |
1 |
2 |
53 |
| Modeling Euro STOXX 50 Volatility with Common and Market–specific Components |
0 |
0 |
1 |
62 |
1 |
2 |
7 |
170 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
9 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
25 |
2 |
3 |
4 |
18 |
| Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns |
0 |
0 |
0 |
195 |
0 |
0 |
1 |
928 |
| Modelling the Impact of Overnight Surprises on Intra-daily Volatility |
0 |
0 |
0 |
156 |
0 |
1 |
2 |
434 |
| Multiplicative Error Models |
0 |
1 |
1 |
741 |
4 |
6 |
11 |
2,377 |
| Multiplicative Error Models: 20 years on |
0 |
0 |
1 |
22 |
0 |
3 |
6 |
41 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
19 |
0 |
2 |
3 |
28 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
11 |
| On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
74 |
2 |
2 |
3 |
474 |
| On the Interaction between Ultra–high Frequency Measures of Volatility |
0 |
0 |
0 |
67 |
0 |
0 |
0 |
151 |
| Realized Volatility Forecasting: Robustness to Measurement Errors |
0 |
0 |
0 |
59 |
0 |
1 |
2 |
81 |
| Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
1 |
1 |
2 |
179 |
| Realized variance modeling: decoupling forecasting from estimation |
0 |
0 |
2 |
71 |
1 |
1 |
6 |
63 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
0 |
1 |
3 |
338 |
| Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS |
1 |
1 |
1 |
23 |
1 |
3 |
4 |
31 |
| Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
70 |
| The impact of the use of forecasts in information sets |
0 |
1 |
1 |
17 |
0 |
1 |
2 |
115 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
43 |
0 |
0 |
1 |
139 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
63 |
0 |
0 |
2 |
184 |
| Unconventional Policies Effects on Stock Market Volatility: A MAP Approach |
0 |
0 |
0 |
9 |
0 |
1 |
1 |
24 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
1 |
1 |
3 |
610 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
82 |
3 |
5 |
6 |
272 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
104 |
1 |
1 |
2 |
330 |
| Volatility Estimation via Hidden Markov Models |
1 |
1 |
1 |
1,115 |
3 |
4 |
7 |
2,406 |
| Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria |
0 |
0 |
0 |
201 |
0 |
0 |
1 |
391 |
| Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach |
0 |
0 |
0 |
235 |
1 |
2 |
2 |
519 |
| Volatility Swings in the US Financial Markets |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
112 |
| Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model |
0 |
0 |
0 |
119 |
0 |
0 |
0 |
294 |
| Volatility Transmission in Financial Markets: A New Approach |
0 |
0 |
0 |
89 |
0 |
0 |
2 |
203 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
8 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
0 |
2 |
14 |
1 |
1 |
4 |
12 |
| Total Working Papers |
5 |
9 |
52 |
9,596 |
52 |
90 |
266 |
26,722 |
| 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 |
0 |
12 |
1 |
1 |
3 |
119 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* |
0 |
0 |
0 |
22 |
1 |
1 |
3 |
129 |
| A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS |
0 |
0 |
1 |
61 |
3 |
3 |
6 |
232 |
| A dynamic conditional approach to forecasting portfolio weights |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
19 |
| A multiple indicators model for volatility using intra-daily data |
1 |
2 |
6 |
323 |
7 |
16 |
36 |
976 |
| Adaptive Lasso for vector Multiplicative Error Models |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
13 |
| Analytic Hessian matrices and the computation of FIGARCH estimates |
0 |
0 |
0 |
3 |
1 |
1 |
2 |
23 |
| Automated variable selection in vector multiplicative error models |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
115 |
| Castle, J. L. and Shephard, N.: The methodology and practice of econometrics |
0 |
0 |
0 |
19 |
1 |
2 |
4 |
62 |
| Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model |
0 |
0 |
3 |
25 |
8 |
8 |
15 |
68 |
| Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
29 |
| Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index |
0 |
2 |
5 |
7 |
1 |
3 |
6 |
13 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
3 |
122 |
1 |
2 |
9 |
394 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
0 |
1 |
1 |
65 |
| Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
80 |
0 |
1 |
1 |
454 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
124 |
| Doubly multiplicative error models with long- and short-run components |
0 |
0 |
2 |
3 |
0 |
0 |
5 |
13 |
| Early News is Good News: The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
50 |
0 |
0 |
1 |
209 |
| Energy and non–energy Commodities: Spillover Effects on African Stock Markets |
0 |
0 |
2 |
16 |
0 |
0 |
9 |
43 |
| Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
33 |
| Exchange market pressure: some caveats in empirical applications |
0 |
0 |
2 |
51 |
0 |
1 |
5 |
182 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns |
0 |
2 |
3 |
341 |
7 |
12 |
23 |
812 |
| Forecast Error Decomposition in a Nonlinear Model with Provisional Data |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
15 |
| Forecasting realized volatility with changing average levels |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
80 |
| Frontiers in Time Series Analysis: Introduction |
0 |
0 |
0 |
57 |
2 |
2 |
2 |
165 |
| Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
104 |
| How to Strip a Model to Its Essential Elements |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
490 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
1 |
6 |
159 |
1 |
4 |
14 |
412 |
| Market interdependence and financial volatility transmission in East Asia |
0 |
0 |
0 |
106 |
0 |
0 |
0 |
315 |
| Mixture Processes for Financial Intradaily Durations |
0 |
1 |
1 |
70 |
1 |
2 |
2 |
250 |
| Modeling Euro STOXX 50 volatility with common and market-specific components |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
17 |
| Modelling the Impact of Overnight Surprises on Intra‐daily Volatility |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
10 |
| Multiplicative Error Models: 20 years on |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria |
0 |
0 |
1 |
38 |
0 |
0 |
1 |
96 |
| On the asymmetric impact of macro–variables on volatility |
0 |
2 |
5 |
60 |
6 |
9 |
16 |
173 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
12 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
1 |
2 |
2 |
6 |
| Realized volatility forecasting: Robustness to measurement errors |
0 |
0 |
0 |
14 |
0 |
2 |
7 |
48 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
0 |
1 |
3 |
104 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
52 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
131 |
| Simulation methods in econometrics: editors' introduction |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
327 |
| Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
8 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
1 |
437 |
0 |
0 |
3 |
826 |
| The effects of trading activity on market volatility |
0 |
0 |
0 |
108 |
3 |
3 |
4 |
362 |
| Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
1 |
1 |
59 |
0 |
1 |
4 |
185 |
| Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
220 |
| Unconventional policies effects on stock market volatility: The MAP approach |
0 |
0 |
2 |
2 |
0 |
0 |
3 |
3 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
7 |
275 |
2 |
6 |
17 |
691 |
| Volatility estimation via hidden Markov models |
0 |
0 |
2 |
152 |
1 |
2 |
6 |
387 |
| Volatility spillovers, interdependence and comovements: A Markov Switching approach |
0 |
0 |
0 |
87 |
0 |
0 |
0 |
262 |
| Volatility transmission across markets: a Multichain Markov Switching model |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
280 |
| Volatilité conditionnelle, signaux d'échange et perception du risque |
0 |
0 |
0 |
15 |
0 |
0 |
1 |
105 |
| Total Journal Articles |
1 |
11 |
53 |
3,051 |
52 |
94 |
243 |
10,266 |
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