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 |
1 |
2 |
5 |
249 |
A Dynamic Conditional Approach to Portfolio Weights Forecasting |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
32 |
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
44 |
0 |
1 |
2 |
233 |
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 |
0 |
4 |
833 |
A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
0 |
0 |
7 |
1,259 |
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 |
1 |
4 |
207 |
A dynamic conditional approach to portfolio weights forecasting |
0 |
0 |
0 |
13 |
0 |
0 |
3 |
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 |
1 |
1 |
384 |
0 |
1 |
4 |
975 |
Automated Variable Selection in Vector Multiplicative Error Models |
0 |
0 |
1 |
57 |
0 |
0 |
1 |
158 |
Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
1 |
90 |
1 |
1 |
2 |
93 |
Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
1 |
57 |
0 |
1 |
3 |
51 |
Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
17 |
Comparison of Volatility Measures: a Risk Management Perspective |
1 |
1 |
1 |
364 |
1 |
2 |
3 |
1,011 |
Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
1 |
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 |
1 |
71 |
0 |
1 |
2 |
106 |
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 |
0 |
1 |
2 |
134 |
Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
0 |
0 |
1 |
170 |
Doubly Multiplicative Error Models with Long- and Short-run Components |
0 |
0 |
0 |
30 |
1 |
1 |
4 |
43 |
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
4 |
4 |
0 |
0 |
14 |
14 |
Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
7 |
7 |
0 |
1 |
6 |
6 |
Early News Is Good News. The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
162 |
Ex Post and Ex Ante Analysis of Provisional Data |
0 |
0 |
0 |
240 |
0 |
0 |
0 |
2,045 |
Exchange Market Pressure: Some Caveats In Empirical Applications |
0 |
0 |
1 |
115 |
0 |
1 |
5 |
336 |
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 |
0 |
3 |
9 |
1,163 |
Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment |
0 |
0 |
8 |
8 |
0 |
1 |
18 |
18 |
Financial returns, sentiment and market volatility. A dynamic assessment |
0 |
0 |
8 |
8 |
0 |
0 |
15 |
15 |
Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria |
0 |
0 |
0 |
124 |
0 |
0 |
2 |
365 |
Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
48 |
0 |
3 |
3 |
271 |
Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
0 |
100 |
0 |
0 |
1 |
129 |
GARCH-based Volatility Forecasts for Market Volatility Indices |
0 |
0 |
0 |
762 |
0 |
0 |
3 |
1,833 |
Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares |
0 |
0 |
0 |
83 |
1 |
2 |
2 |
189 |
Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
7 |
Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito |
0 |
0 |
1 |
6 |
1 |
1 |
2 |
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 |
2 |
2 |
2 |
3 |
11 |
11 |
Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
13 |
Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
0 |
4 |
207 |
2 |
3 |
13 |
477 |
Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
83 |
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 |
1 |
2 |
86 |
Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall |
0 |
0 |
0 |
36 |
0 |
0 |
3 |
52 |
Modeling Euro STOXX 50 Volatility with Common and Market–specific Components |
0 |
0 |
1 |
62 |
0 |
1 |
6 |
168 |
Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
15 |
Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
9 |
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 |
1 |
1 |
2 |
434 |
Multiplicative Error Models |
1 |
1 |
2 |
741 |
1 |
1 |
7 |
2,372 |
Multiplicative Error Models: 20 years on |
0 |
0 |
1 |
22 |
3 |
4 |
6 |
41 |
On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
11 |
On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
26 |
On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
472 |
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 |
1 |
1 |
3 |
81 |
Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
0 |
0 |
1 |
178 |
Realized variance modeling: decoupling forecasting from estimation |
0 |
0 |
2 |
71 |
0 |
0 |
5 |
62 |
Semiparametric vector MEM |
0 |
0 |
0 |
138 |
1 |
1 |
3 |
338 |
Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS |
0 |
0 |
0 |
22 |
1 |
2 |
2 |
29 |
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 |
0 |
0 |
5 |
0 |
0 |
0 |
36 |
The impact of the use of forecasts in information sets |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
114 |
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 |
1 |
2 |
184 |
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
23 |
Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
0 |
1 |
2 |
609 |
Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
82 |
1 |
1 |
2 |
268 |
Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
1 |
104 |
0 |
0 |
2 |
329 |
Volatility Estimation via Hidden Markov Models |
0 |
0 |
1 |
1,114 |
0 |
1 |
5 |
2,402 |
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 |
0 |
0 |
0 |
517 |
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 |
1 |
2 |
14 |
0 |
1 |
4 |
11 |
Total Working Papers |
2 |
4 |
54 |
9,595 |
21 |
52 |
236 |
26,702 |
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 |
0 |
0 |
2 |
118 |
A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
128 |
A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS |
0 |
0 |
1 |
61 |
0 |
0 |
3 |
229 |
A dynamic conditional approach to forecasting portfolio weights |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
18 |
A multiple indicators model for volatility using intra-daily data |
1 |
3 |
7 |
322 |
7 |
11 |
31 |
967 |
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 |
0 |
0 |
1 |
22 |
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 |
0 |
1 |
2 |
60 |
Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model |
0 |
0 |
3 |
25 |
0 |
1 |
8 |
60 |
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 |
1 |
1 |
6 |
6 |
1 |
1 |
8 |
11 |
Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
4 |
122 |
0 |
1 |
10 |
392 |
Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
65 |
Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
80 |
0 |
0 |
0 |
453 |
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures |
0 |
0 |
0 |
18 |
0 |
1 |
3 |
124 |
Doubly multiplicative error models with long- and short-run components |
0 |
1 |
2 |
3 |
0 |
3 |
6 |
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 |
2 |
10 |
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 |
1 |
2 |
51 |
0 |
3 |
6 |
181 |
Financial econometric analysis at ultra-high frequency: Data handling concerns |
2 |
2 |
4 |
341 |
4 |
7 |
16 |
804 |
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 |
0 |
0 |
0 |
163 |
Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics |
0 |
0 |
1 |
8 |
0 |
1 |
4 |
104 |
How to Strip a Model to Its Essential Elements |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
489 |
Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
1 |
1 |
8 |
159 |
3 |
6 |
18 |
411 |
Market interdependence and financial volatility transmission in East Asia |
0 |
0 |
0 |
106 |
0 |
0 |
0 |
315 |
Mixture Processes for Financial Intradaily Durations |
0 |
0 |
0 |
69 |
0 |
0 |
0 |
248 |
Modeling Euro STOXX 50 volatility with common and market-specific components |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
17 |
Modelling the Impact of Overnight Surprises on Intra‐daily Volatility |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
9 |
Multiplicative Error Models: 20 years on |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
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 |
0 |
3 |
58 |
1 |
1 |
10 |
165 |
Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
4 |
Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
12 |
Realized volatility forecasting: Robustness to measurement errors |
0 |
0 |
0 |
14 |
2 |
4 |
7 |
48 |
SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
1 |
1 |
3 |
104 |
Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
131 |
Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
9 |
1 |
3 |
3 |
52 |
Simulation methods in econometrics: editors' introduction |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
326 |
Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS |
0 |
0 |
1 |
2 |
0 |
2 |
3 |
7 |
The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
1 |
437 |
0 |
0 |
4 |
826 |
The effects of trading activity on market volatility |
0 |
0 |
0 |
108 |
0 |
0 |
1 |
359 |
Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
58 |
0 |
2 |
3 |
184 |
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 |
1 |
7 |
275 |
2 |
4 |
16 |
687 |
Volatility estimation via hidden Markov models |
0 |
2 |
4 |
152 |
0 |
3 |
7 |
385 |
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 |
2 |
105 |
Total Journal Articles |
5 |
12 |
59 |
3,045 |
24 |
62 |
211 |
10,196 |