| 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 |
5 |
8 |
255 |
| A Dynamic Conditional Approach to Portfolio Weights Forecasting |
0 |
0 |
0 |
10 |
5 |
9 |
11 |
43 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
44 |
0 |
3 |
6 |
238 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
4 |
5 |
414 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
1 |
198 |
2 |
10 |
11 |
385 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
1 |
6 |
8 |
840 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
1 |
8 |
14 |
1,269 |
| A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models |
0 |
0 |
0 |
277 |
0 |
6 |
7 |
917 |
| A Time-varying Mixing Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
87 |
0 |
7 |
10 |
215 |
| A dynamic conditional approach to portfolio weights forecasting |
0 |
0 |
0 |
13 |
0 |
3 |
3 |
32 |
| A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
70 |
1 |
2 |
6 |
335 |
| Analytic Hessian Matrices and the Computation of FIGARCH Estimates |
0 |
0 |
1 |
384 |
0 |
5 |
12 |
983 |
| Automated Variable Selection in Vector Multiplicative Error Models |
0 |
0 |
1 |
58 |
2 |
2 |
3 |
161 |
| Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
0 |
90 |
2 |
9 |
10 |
102 |
| Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
0 |
57 |
1 |
4 |
6 |
55 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
0 |
0 |
6 |
8 |
23 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
1 |
364 |
2 |
17 |
22 |
1,031 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
22 |
1 |
7 |
8 |
73 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
4 |
6 |
91 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
71 |
3 |
7 |
10 |
115 |
| Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets |
0 |
0 |
2 |
110 |
1 |
8 |
12 |
476 |
| Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures |
0 |
0 |
0 |
72 |
0 |
8 |
12 |
144 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
1 |
5 |
7 |
177 |
| Doubly Multiplicative Error Models with Long- and Short-run Components |
0 |
0 |
0 |
30 |
0 |
5 |
9 |
51 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
0 |
7 |
6 |
11 |
12 |
17 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
0 |
4 |
2 |
13 |
16 |
27 |
| Early News Is Good News. The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
0 |
0 |
6 |
10 |
171 |
| Ex Post and Ex Ante Analysis of Provisional Data |
0 |
0 |
0 |
240 |
2 |
5 |
7 |
2,052 |
| Exchange Market Pressure: Some Caveats In Empirical Applications |
0 |
0 |
0 |
115 |
0 |
1 |
6 |
340 |
| Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
92 |
| Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns |
0 |
1 |
1 |
549 |
7 |
21 |
29 |
1,187 |
| Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment |
0 |
0 |
3 |
10 |
2 |
7 |
16 |
30 |
| Financial returns, sentiment and market volatility. A dynamic assessment |
0 |
0 |
3 |
9 |
1 |
9 |
18 |
28 |
| Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria |
0 |
0 |
0 |
124 |
1 |
3 |
6 |
370 |
| Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
48 |
1 |
2 |
7 |
275 |
| Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
0 |
100 |
0 |
3 |
5 |
133 |
| GARCH-based Volatility Forecasts for Market Volatility Indices |
0 |
0 |
0 |
762 |
1 |
3 |
4 |
1,837 |
| Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares |
0 |
0 |
0 |
83 |
0 |
5 |
8 |
195 |
| Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito |
0 |
0 |
0 |
5 |
3 |
8 |
10 |
17 |
| Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito |
0 |
0 |
0 |
6 |
2 |
4 |
5 |
17 |
| 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 |
1 |
2 |
2 |
4 |
4 |
13 |
18 |
26 |
| Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
15 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
2 |
3 |
4 |
210 |
6 |
11 |
20 |
490 |
| Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
85 |
| Measuring the Effects of Unconventional Policies on Stock Market Volatility |
0 |
0 |
0 |
25 |
31 |
98 |
122 |
181 |
| Median Response to Shocks: A Model for VaR Spillovers in East Asia |
0 |
0 |
0 |
41 |
1 |
6 |
9 |
94 |
| Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall |
0 |
0 |
1 |
37 |
2 |
8 |
11 |
63 |
| Modeling Euro STOXX 50 Volatility with Common and Market–specific Components |
0 |
0 |
1 |
62 |
0 |
1 |
6 |
171 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
4 |
0 |
3 |
3 |
12 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
1 |
1 |
26 |
1 |
9 |
12 |
27 |
| Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns |
0 |
0 |
0 |
195 |
0 |
3 |
4 |
932 |
| Modelling the Impact of Overnight Surprises on Intra-daily Volatility |
0 |
0 |
0 |
156 |
1 |
3 |
6 |
438 |
| Multiplicative Error Models |
1 |
1 |
2 |
742 |
3 |
7 |
17 |
2,384 |
| Multiplicative Error Models: 20 years on |
0 |
0 |
1 |
22 |
1 |
4 |
10 |
46 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
19 |
0 |
7 |
9 |
35 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
7 |
0 |
2 |
3 |
14 |
| On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
74 |
0 |
1 |
4 |
476 |
| On the Interaction between Ultra–high Frequency Measures of Volatility |
0 |
0 |
0 |
67 |
0 |
6 |
7 |
158 |
| Realized Volatility Forecasting: Robustness to Measurement Errors |
0 |
0 |
0 |
59 |
0 |
4 |
7 |
86 |
| Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
1 |
4 |
8 |
186 |
| Realized variance modeling: decoupling forecasting from estimation |
0 |
0 |
1 |
72 |
7 |
15 |
18 |
80 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
5 |
13 |
14 |
351 |
| Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS |
1 |
2 |
3 |
25 |
4 |
5 |
10 |
37 |
| Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears |
0 |
0 |
0 |
18 |
1 |
5 |
5 |
75 |
| The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
5 |
1 |
7 |
7 |
43 |
| The impact of the use of forecasts in information sets |
0 |
0 |
1 |
17 |
0 |
3 |
5 |
119 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
43 |
2 |
5 |
5 |
144 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
63 |
9 |
12 |
13 |
196 |
| Unconventional Policies Effects on Stock Market Volatility: A MAP Approach |
0 |
0 |
0 |
9 |
4 |
10 |
11 |
34 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
0 |
9 |
13 |
620 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
82 |
2 |
6 |
11 |
278 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
104 |
0 |
4 |
7 |
336 |
| Volatility Estimation via Hidden Markov Models |
0 |
0 |
1 |
1,115 |
2 |
14 |
24 |
2,423 |
| Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria |
0 |
0 |
0 |
201 |
0 |
5 |
6 |
397 |
| Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach |
0 |
0 |
0 |
235 |
0 |
9 |
13 |
530 |
| Volatility Swings in the US Financial Markets |
0 |
0 |
0 |
45 |
2 |
4 |
4 |
116 |
| Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model |
0 |
0 |
0 |
119 |
1 |
6 |
8 |
302 |
| Volatility Transmission in Financial Markets: A New Approach |
0 |
0 |
0 |
89 |
0 |
7 |
8 |
210 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
1 |
3 |
15 |
1 |
6 |
10 |
19 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
0 |
0 |
4 |
0 |
9 |
11 |
18 |
| Total Working Papers |
5 |
11 |
34 |
9,617 |
143 |
599 |
859 |
27,460 |
| 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 |
7 |
9 |
126 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* |
0 |
0 |
0 |
22 |
0 |
2 |
4 |
132 |
| A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS |
0 |
0 |
1 |
61 |
3 |
11 |
16 |
244 |
| A dynamic conditional approach to forecasting portfolio weights |
0 |
0 |
0 |
2 |
1 |
9 |
11 |
29 |
| A multiple indicators model for volatility using intra-daily data |
0 |
0 |
5 |
323 |
2 |
10 |
44 |
993 |
| Adaptive Lasso for vector Multiplicative Error Models |
0 |
0 |
0 |
1 |
1 |
2 |
2 |
15 |
| Analytic Hessian matrices and the computation of FIGARCH estimates |
0 |
0 |
0 |
3 |
0 |
2 |
3 |
25 |
| Automated variable selection in vector multiplicative error models |
0 |
0 |
0 |
35 |
1 |
6 |
7 |
121 |
| Castle, J. L. and Shephard, N.: The methodology and practice of econometrics |
0 |
0 |
0 |
19 |
0 |
2 |
6 |
65 |
| Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model |
0 |
1 |
2 |
26 |
2 |
8 |
21 |
78 |
| Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach |
0 |
0 |
0 |
3 |
1 |
6 |
8 |
36 |
| Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index |
0 |
0 |
2 |
7 |
0 |
6 |
11 |
21 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
1 |
122 |
3 |
5 |
11 |
400 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
3 |
7 |
9 |
73 |
| Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
80 |
3 |
4 |
8 |
461 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures |
0 |
0 |
0 |
18 |
0 |
6 |
10 |
133 |
| Doubly multiplicative error models with long- and short-run components |
0 |
0 |
2 |
3 |
1 |
3 |
7 |
16 |
| Early News is Good News: The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
50 |
0 |
0 |
0 |
209 |
| Energy and non–energy Commodities: Spillover Effects on African Stock Markets |
0 |
0 |
0 |
16 |
0 |
5 |
9 |
48 |
| Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions |
0 |
0 |
0 |
6 |
0 |
1 |
1 |
34 |
| Exchange market pressure: some caveats in empirical applications |
0 |
1 |
3 |
52 |
1 |
10 |
16 |
193 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns |
2 |
3 |
5 |
344 |
3 |
23 |
42 |
835 |
| Forecast Error Decomposition in a Nonlinear Model with Provisional Data |
0 |
0 |
0 |
3 |
0 |
5 |
5 |
20 |
| Forecasting realized volatility with changing average levels |
0 |
0 |
0 |
15 |
3 |
9 |
10 |
90 |
| Frontiers in Time Series Analysis: Introduction |
0 |
0 |
0 |
57 |
3 |
5 |
7 |
170 |
| Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics |
0 |
1 |
1 |
9 |
3 |
11 |
14 |
116 |
| How to Strip a Model to Its Essential Elements |
0 |
0 |
0 |
0 |
0 |
4 |
5 |
494 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
0 |
2 |
159 |
1 |
5 |
13 |
417 |
| Market interdependence and financial volatility transmission in East Asia |
0 |
0 |
0 |
106 |
0 |
1 |
1 |
316 |
| Mixture Processes for Financial Intradaily Durations |
0 |
0 |
1 |
70 |
0 |
5 |
8 |
256 |
| Modeling Euro STOXX 50 volatility with common and market-specific components |
0 |
1 |
1 |
2 |
0 |
4 |
5 |
21 |
| Modelling the Impact of Overnight Surprises on Intra‐daily Volatility |
0 |
0 |
0 |
0 |
1 |
7 |
9 |
17 |
| Multiplicative Error Models: 20 years on |
1 |
1 |
1 |
1 |
3 |
13 |
17 |
17 |
| On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria |
0 |
0 |
1 |
38 |
1 |
4 |
5 |
100 |
| On the asymmetric impact of macro–variables on volatility |
0 |
0 |
3 |
60 |
1 |
12 |
25 |
186 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
1 |
7 |
8 |
20 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
1 |
3 |
5 |
9 |
| Realized volatility forecasting: Robustness to measurement errors |
0 |
0 |
0 |
14 |
3 |
4 |
10 |
53 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
0 |
8 |
11 |
113 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
9 |
0 |
3 |
7 |
56 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
24 |
0 |
2 |
2 |
133 |
| Simulation methods in econometrics: editors' introduction |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
330 |
| Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS |
0 |
0 |
0 |
2 |
1 |
5 |
9 |
14 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
0 |
437 |
1 |
5 |
8 |
832 |
| The effects of trading activity on market volatility |
0 |
0 |
2 |
110 |
2 |
12 |
17 |
376 |
| Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
1 |
59 |
1 |
10 |
15 |
196 |
| Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets |
0 |
0 |
0 |
19 |
0 |
2 |
2 |
222 |
| Unconventional policies effects on stock market volatility: The MAP approach |
0 |
0 |
2 |
2 |
2 |
13 |
15 |
16 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
5 |
276 |
0 |
4 |
18 |
697 |
| Volatility estimation via hidden Markov models |
0 |
0 |
2 |
152 |
0 |
14 |
24 |
405 |
| Volatility spillovers, interdependence and comovements: A Markov Switching approach |
0 |
0 |
0 |
87 |
1 |
5 |
5 |
267 |
| Volatility transmission across markets: a Multichain Markov Switching model |
0 |
0 |
0 |
89 |
1 |
3 |
3 |
283 |
| Volatilité conditionnelle, signaux d'échange et perception du risque |
0 |
0 |
0 |
15 |
1 |
2 |
4 |
109 |
| Total Journal Articles |
3 |
8 |
43 |
3,062 |
56 |
325 |
546 |
10,638 |
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