| 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 |
1 |
10 |
259 |
| A Dynamic Conditional Approach to Portfolio Weights Forecasting |
0 |
0 |
0 |
10 |
1 |
1 |
14 |
46 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
44 |
0 |
1 |
8 |
241 |
| A MEM-based Analysis of Volatility Spillovers in East Asian Financial Markets |
0 |
0 |
0 |
164 |
0 |
1 |
7 |
416 |
| A Model for Multivariate Non-negative Valued Processes in Financial Econometrics |
0 |
0 |
0 |
198 |
0 |
2 |
14 |
389 |
| A Multiple Indicators Model For Volatility Using Intra-Daily Data |
0 |
0 |
0 |
319 |
0 |
2 |
20 |
854 |
| A Multiple Indicators Model for Volatility Using Intra-Daily Data |
0 |
0 |
0 |
520 |
1 |
2 |
26 |
1,285 |
| A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models |
0 |
0 |
0 |
277 |
1 |
2 |
9 |
919 |
| A Time-varying Mixing Multiplicative Error Model for Realized Volatility |
0 |
0 |
0 |
87 |
0 |
1 |
12 |
219 |
| A dynamic conditional approach to portfolio weights forecasting |
0 |
0 |
0 |
13 |
0 |
2 |
7 |
36 |
| A flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
70 |
0 |
1 |
8 |
337 |
| Analytic Hessian Matrices and the Computation of FIGARCH Estimates |
0 |
0 |
0 |
384 |
1 |
1 |
11 |
986 |
| Automated Variable Selection in Vector Multiplicative Error Models |
0 |
0 |
0 |
58 |
0 |
2 |
6 |
165 |
| Combining Markov Switching and Smooth Transition in Modeling Volatility: A Fuzzy Regime MEM |
0 |
0 |
0 |
90 |
0 |
0 |
14 |
107 |
| Combining Sharp and Smooth Transitions in Volatility Dynamics: a Fuzzy Regime Approach |
0 |
0 |
0 |
57 |
0 |
1 |
10 |
61 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
364 |
0 |
2 |
24 |
1,035 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
0 |
0 |
0 |
14 |
31 |
| Copula--based Specification of vector MEMs |
0 |
0 |
0 |
56 |
0 |
1 |
8 |
95 |
| Copula--based Specification of vector MEMs |
1 |
1 |
1 |
23 |
1 |
1 |
11 |
76 |
| Copula-based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
71 |
0 |
0 |
13 |
119 |
| Copycats and Common Swings: the Impact of the Use of Forecasts in Information Sets |
0 |
0 |
2 |
110 |
0 |
1 |
15 |
479 |
| Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures |
0 |
0 |
0 |
72 |
1 |
3 |
24 |
158 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
1 |
2 |
13 |
183 |
| Doubly Multiplicative Error Models with Long- and Short-run Components |
0 |
0 |
0 |
30 |
0 |
1 |
13 |
57 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
0 |
4 |
0 |
0 |
17 |
31 |
| Dynamic tail risk forecasting: what do realized skewness and kurtosis add? |
0 |
0 |
0 |
7 |
1 |
4 |
27 |
33 |
| Early News Is Good News. The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
174 |
| Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections |
0 |
0 |
2 |
2 |
0 |
1 |
3 |
3 |
| Ex Post and Ex Ante Analysis of Provisional Data |
0 |
0 |
0 |
240 |
0 |
1 |
18 |
2,064 |
| Exchange Market Pressure: Some Caveats In Empirical Applications |
0 |
0 |
1 |
116 |
0 |
2 |
11 |
347 |
| Export Stabilization and Optimal Currency Baskets: the Case of Latin American Countries |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
95 |
| Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns |
0 |
0 |
4 |
552 |
3 |
12 |
67 |
1,230 |
| Financial Returns, Sentiment and Market Volatility: a Dynamic Assessment |
0 |
0 |
2 |
10 |
0 |
0 |
16 |
34 |
| Financial returns, sentiment and market volatility. A dynamic assessment |
0 |
1 |
2 |
10 |
0 |
4 |
22 |
37 |
| Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria |
0 |
0 |
0 |
124 |
0 |
0 |
10 |
375 |
| Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA) |
0 |
0 |
0 |
48 |
0 |
0 |
5 |
277 |
| Forecasting Realized Volatility with Changes of Regimes |
0 |
0 |
0 |
100 |
2 |
2 |
9 |
138 |
| GARCH-based Volatility Forecasts for Market Volatility Indices |
0 |
0 |
1 |
763 |
0 |
1 |
13 |
1,846 |
| Go with the Flow: A GAS model for Predicting Intra-daily Volume Shares |
0 |
0 |
2 |
85 |
1 |
1 |
11 |
200 |
| Indicatori comuni del PNRR e framework SDGs: una proposta di indicatore composito |
0 |
0 |
1 |
6 |
0 |
1 |
13 |
20 |
| Indicatori comuni del PNRR e framework SDGs:una proposta di indicatore composito |
0 |
0 |
1 |
7 |
0 |
0 |
7 |
20 |
| 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 |
1 |
4 |
6 |
2 |
2 |
25 |
36 |
| Interest Rate Volatility Regimes and Exchange Rate Behavior in a Target Zone |
0 |
0 |
0 |
1 |
1 |
1 |
8 |
21 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
0 |
5 |
212 |
1 |
2 |
23 |
501 |
| Jumping in the Band: Undeclared Intervention Thresholds in a Target Zone |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
88 |
| Measuring Sentiment News with Transformer-Based Language Models |
0 |
4 |
4 |
4 |
2 |
5 |
5 |
5 |
| Measuring the Effects of Unconventional Policies on Stock Market Volatility |
0 |
0 |
0 |
25 |
0 |
1 |
131 |
191 |
| Median Response to Shocks: A Model for VaR Spillovers in East Asia |
0 |
0 |
0 |
41 |
0 |
1 |
12 |
98 |
| Mixed--frequency quantile regressions to forecast Value--at--Risk and Expected Shortfall |
0 |
0 |
1 |
37 |
0 |
1 |
19 |
71 |
| Modeling Euro STOXX 50 Volatility with Common and Market–specific Components |
0 |
0 |
0 |
62 |
0 |
0 |
3 |
172 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
0 |
4 |
0 |
1 |
8 |
17 |
| Modeling and evaluating conditional quantile dynamics in VaR forecasts |
0 |
0 |
1 |
26 |
0 |
0 |
13 |
29 |
| Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns |
0 |
0 |
0 |
195 |
0 |
1 |
9 |
937 |
| Modelling the Impact of Overnight Surprises on Intra-daily Volatility |
0 |
0 |
0 |
156 |
0 |
0 |
4 |
438 |
| Multiplicative Error Models |
0 |
1 |
4 |
745 |
1 |
2 |
26 |
2,399 |
| Multiplicative Error Models: 20 years on |
0 |
1 |
2 |
24 |
1 |
3 |
14 |
55 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
7 |
0 |
4 |
12 |
23 |
| On Classifying the Effects of Policy Announcements on Volatility |
0 |
0 |
0 |
19 |
1 |
1 |
11 |
39 |
| On the Evolution of Credibility and Flexible Exchange Rate Target Zones |
0 |
0 |
0 |
74 |
0 |
2 |
9 |
481 |
| On the Interaction between Ultra–high Frequency Measures of Volatility |
0 |
0 |
0 |
67 |
1 |
1 |
9 |
160 |
| Realized Volatility Forecasting: Robustness to Measurement Errors |
0 |
1 |
1 |
60 |
0 |
5 |
16 |
97 |
| Realized Volatility and Change of Regimes |
0 |
0 |
0 |
81 |
0 |
2 |
13 |
191 |
| Realized variance modeling: decoupling forecasting from estimation |
0 |
0 |
2 |
73 |
0 |
0 |
21 |
83 |
| Semiparametric vector MEM |
0 |
0 |
0 |
138 |
1 |
1 |
19 |
357 |
| Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS |
0 |
0 |
5 |
27 |
0 |
0 |
15 |
45 |
| Sovereign Debt Spreads within the Euro Area: When Fears Become Excess Fears |
0 |
0 |
0 |
18 |
2 |
2 |
9 |
79 |
| The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
5 |
0 |
13 |
23 |
59 |
| The impact of the use of forecasts in information sets |
0 |
0 |
0 |
17 |
1 |
1 |
6 |
121 |
| The sixth special issue on computational econometrics |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
2 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
43 |
2 |
3 |
15 |
154 |
| Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
63 |
0 |
1 |
19 |
203 |
| Unconventional Policies Effects on Stock Market Volatility: A MAP Approach |
0 |
0 |
0 |
9 |
0 |
0 |
11 |
35 |
| VOLatility Archive for Realized Estimates (VOLARE) |
0 |
2 |
21 |
21 |
2 |
18 |
60 |
60 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
82 |
1 |
4 |
17 |
286 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
104 |
1 |
2 |
13 |
342 |
| Vector Multiplicative Error Models: Representation and Inference |
0 |
0 |
0 |
177 |
0 |
0 |
15 |
624 |
| Volatility Estimation via Hidden Markov Models |
1 |
1 |
2 |
1,116 |
2 |
3 |
29 |
2,432 |
| Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria |
0 |
0 |
0 |
201 |
1 |
2 |
12 |
403 |
| Volatility Spillovers, Interdependence and Comovements: A Markov Switching Approach |
0 |
0 |
0 |
235 |
0 |
1 |
17 |
535 |
| Volatility Swings in the US Financial Markets |
0 |
0 |
0 |
45 |
0 |
0 |
7 |
119 |
| Volatility Transmission Across Markets: A Multi-Chain Markov Switching Model |
0 |
0 |
1 |
120 |
0 |
0 |
11 |
305 |
| Volatility Transmission in Financial Markets: A New Approach |
0 |
0 |
0 |
89 |
0 |
0 |
11 |
214 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
0 |
1 |
15 |
2 |
4 |
19 |
30 |
| Volatility jumps and the classification of monetary policy announcements |
0 |
0 |
0 |
4 |
0 |
1 |
14 |
22 |
| Total Working Papers |
3 |
13 |
73 |
9,670 |
43 |
154 |
1,317 |
28,036 |
| 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 |
10 |
128 |
| A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)* |
0 |
0 |
0 |
22 |
0 |
1 |
6 |
134 |
| A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS |
0 |
0 |
0 |
61 |
0 |
0 |
20 |
249 |
| A dynamic conditional approach to forecasting portfolio weights |
0 |
0 |
0 |
2 |
0 |
13 |
26 |
44 |
| A multiple indicators model for volatility using intra-daily data |
0 |
1 |
3 |
325 |
2 |
3 |
38 |
1,007 |
| Adaptive Lasso for vector Multiplicative Error Models |
1 |
2 |
2 |
3 |
1 |
2 |
6 |
19 |
| Analytic Hessian matrices and the computation of FIGARCH estimates |
0 |
0 |
0 |
3 |
0 |
1 |
10 |
32 |
| Automated variable selection in vector multiplicative error models |
0 |
0 |
0 |
35 |
0 |
1 |
9 |
124 |
| Castle, J. L. and Shephard, N.: The methodology and practice of econometrics |
0 |
0 |
0 |
19 |
0 |
0 |
4 |
65 |
| Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model |
0 |
0 |
1 |
26 |
1 |
2 |
28 |
88 |
| Combining sharp and smooth transitions in volatility dynamics: a fuzzy regime approach |
0 |
0 |
0 |
3 |
0 |
0 |
13 |
42 |
| Common rrf Indicators and sdgs Framework: A Proposal for a Composite Index |
0 |
0 |
0 |
7 |
2 |
4 |
18 |
30 |
| Comparison of Volatility Measures: a Risk Management Perspective |
0 |
0 |
0 |
122 |
0 |
1 |
13 |
406 |
| Copula–Based vMEM Specifications versus Alternatives: The Case of Trading Activity |
0 |
0 |
0 |
9 |
0 |
0 |
12 |
77 |
| Copycats and Common Swings: The Impact of the Use of Forecasts in Information Sets |
0 |
0 |
0 |
80 |
1 |
2 |
12 |
466 |
| Disentangling systematic and idiosyncratic dynamics in panels of volatility measures |
0 |
0 |
0 |
18 |
1 |
2 |
14 |
138 |
| Doubly multiplicative error models with long- and short-run components |
0 |
0 |
0 |
3 |
0 |
0 |
5 |
18 |
| Early News is Good News: The Effects of Market Opening on Market Volatility |
0 |
0 |
0 |
50 |
0 |
2 |
2 |
211 |
| Energy and non–energy Commodities: Spillover Effects on African Stock Markets |
0 |
1 |
2 |
18 |
0 |
1 |
8 |
51 |
| Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions |
0 |
0 |
0 |
6 |
0 |
0 |
9 |
42 |
| Exchange market pressure: some caveats in empirical applications |
0 |
0 |
1 |
52 |
1 |
4 |
21 |
203 |
| Financial econometric analysis at ultra-high frequency: Data handling concerns |
0 |
0 |
9 |
350 |
4 |
13 |
83 |
888 |
| Forecast Error Decomposition in a Nonlinear Model with Provisional Data |
0 |
0 |
0 |
3 |
0 |
1 |
8 |
23 |
| Forecasting realized volatility with changing average levels |
0 |
0 |
0 |
15 |
2 |
2 |
19 |
99 |
| Frontiers in Time Series Analysis: Introduction |
0 |
0 |
0 |
57 |
0 |
0 |
9 |
172 |
| Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics |
0 |
0 |
1 |
9 |
0 |
1 |
14 |
118 |
| How to Strip a Model to Its Essential Elements |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
495 |
| Intra-daily Volume Modeling and Prediction for Algorithmic Trading |
0 |
0 |
2 |
161 |
2 |
5 |
21 |
432 |
| Market interdependence and financial volatility transmission in East Asia |
0 |
0 |
0 |
106 |
0 |
0 |
2 |
317 |
| Mixture Processes for Financial Intradaily Durations |
0 |
0 |
0 |
70 |
0 |
2 |
14 |
263 |
| Modeling Euro STOXX 50 volatility with common and market-specific components |
0 |
0 |
1 |
2 |
0 |
0 |
6 |
23 |
| Modelling the Impact of Overnight Surprises on Intra‐daily Volatility |
0 |
0 |
0 |
0 |
0 |
1 |
13 |
22 |
| Multiplicative Error Models: 20 years on |
0 |
0 |
2 |
2 |
1 |
1 |
21 |
24 |
| On Variable Selection for Volatility Forecasting: The Role of Focused Selection Criteria |
0 |
0 |
0 |
38 |
2 |
2 |
9 |
105 |
| On the asymmetric impact of macro–variables on volatility |
0 |
0 |
2 |
62 |
0 |
1 |
29 |
196 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
1 |
1 |
12 |
24 |
| Realized Variance Modeling: Decoupling Forecasting from Estimation* |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
12 |
| Realized volatility forecasting: Robustness to measurement errors |
0 |
0 |
1 |
15 |
1 |
25 |
43 |
91 |
| SEMIPARAMETRIC VECTOR MEM |
0 |
0 |
0 |
31 |
1 |
3 |
15 |
119 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
24 |
0 |
0 |
7 |
138 |
| Shrinkage estimation of semiparametric multiplicative error models |
0 |
0 |
0 |
9 |
0 |
0 |
10 |
62 |
| Simulation methods in econometrics: editors' introduction |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
332 |
| Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS |
0 |
0 |
2 |
4 |
1 |
2 |
11 |
19 |
| The econometrics of macroeconomics, finance, and the interface |
0 |
0 |
0 |
437 |
0 |
0 |
11 |
837 |
| The effects of trading activity on market volatility |
0 |
0 |
2 |
110 |
0 |
6 |
24 |
383 |
| Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models |
0 |
0 |
0 |
59 |
0 |
2 |
16 |
201 |
| Time-Varying/Sign-Switching Risk Perception on Foreign Exchange Markets |
0 |
0 |
0 |
19 |
0 |
0 |
4 |
224 |
| Unconventional policies effects on stock market volatility: The MAP approach |
0 |
0 |
0 |
2 |
1 |
1 |
17 |
20 |
| Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach |
0 |
0 |
1 |
276 |
0 |
1 |
12 |
701 |
| Volatility estimation via hidden Markov models |
0 |
1 |
1 |
153 |
0 |
1 |
28 |
414 |
| Volatility spillovers, interdependence and comovements: A Markov Switching approach |
0 |
0 |
0 |
87 |
0 |
1 |
11 |
273 |
| Volatility transmission across markets: a Multichain Markov Switching model |
0 |
0 |
0 |
89 |
0 |
4 |
10 |
290 |
| Volatilité conditionnelle, signaux d'échange et perception du risque |
0 |
0 |
0 |
15 |
0 |
1 |
7 |
112 |
| Total Journal Articles |
1 |
5 |
33 |
3,083 |
25 |
117 |
789 |
11,003 |
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