| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation |
1 |
1 |
1 |
1,294 |
1 |
4 |
6 |
3,234 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
347 |
1 |
3 |
4 |
2,301 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
0 |
2 |
4 |
7 |
772 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
10 |
3 |
4 |
5 |
260 |
| A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
298 |
1 |
2 |
6 |
2,749 |
| A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
354 |
0 |
0 |
3 |
1,442 |
| A Study Towards a Dynamic Theory of Seasonality for Economic Time Series |
0 |
0 |
0 |
0 |
2 |
2 |
9 |
261 |
| A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
806 |
| A Time Series Model with Periodic Stochastic Regime Switching |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
396 |
| A time series model with periodic stochastic regime switching |
0 |
0 |
1 |
264 |
4 |
5 |
7 |
1,061 |
| AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
193 |
| Alternative Models for Stock Price Dynamic |
0 |
0 |
0 |
441 |
1 |
2 |
5 |
1,401 |
| Alternative Models for Stock Price Dynamics |
0 |
0 |
1 |
909 |
0 |
8 |
14 |
2,723 |
| American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation |
0 |
0 |
0 |
906 |
1 |
4 |
9 |
3,931 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
427 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
110 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
270 |
1 |
1 |
2 |
1,559 |
| An Extension of Quadrature-Based Methods for Solving Euler Conditions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
43 |
| Approximating the Probability Distribution of Functions of Random Variables: A New Approach |
0 |
0 |
1 |
396 |
1 |
2 |
3 |
1,314 |
| Approximating the probability distribution of functions of random variables: A new approach |
0 |
0 |
0 |
232 |
1 |
1 |
1 |
754 |
| Arbitrage Based Pricing When Volatility Is Stochastic |
0 |
0 |
0 |
732 |
0 |
1 |
2 |
3,173 |
| Arbitrage-Based Pricing When Volatility is Stochastic |
0 |
0 |
0 |
17 |
0 |
1 |
2 |
220 |
| Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
1 |
1 |
3 |
6 |
632 |
| Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
14 |
1 |
1 |
3 |
188 |
| Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
92 |
| Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
209 |
| Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
90 |
| Backtesting Systemic Risk Measures During Historical Bank Runs |
0 |
0 |
0 |
63 |
1 |
2 |
5 |
87 |
| Bayesian Inference for Periodic Regime-Switching Models |
0 |
0 |
0 |
472 |
0 |
0 |
1 |
1,885 |
| Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences |
0 |
0 |
1 |
143 |
3 |
4 |
8 |
188 |
| Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
43 |
0 |
1 |
2 |
201 |
| Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
323 |
| Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
153 |
| Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
3 |
3 |
6 |
283 |
| Christmas, Spring and the Dawning of Economic Recovery |
1 |
1 |
1 |
36 |
1 |
1 |
1 |
338 |
| Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
68 |
| Derivatives Do Affect Mutual Funds Returns: How and When? |
0 |
0 |
3 |
526 |
0 |
1 |
4 |
1,567 |
| Detecting Multiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
0 |
200 |
0 |
0 |
3 |
615 |
| Detecting Mutiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
1 |
286 |
0 |
2 |
4 |
829 |
| Discount window stigma during the 2007-2008 financial crisis |
0 |
0 |
0 |
70 |
0 |
2 |
2 |
278 |
| Do Heterogeneous Beliefs Matter for Asset Pricing? |
0 |
1 |
1 |
275 |
1 |
4 |
13 |
812 |
| Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
265 |
| Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions |
0 |
0 |
2 |
292 |
1 |
2 |
9 |
1,079 |
| Emerging Markets and Trading Costs |
0 |
0 |
0 |
367 |
1 |
3 |
5 |
1,269 |
| Forecasting professional forecasters |
1 |
1 |
1 |
203 |
4 |
4 |
5 |
475 |
| Forecasting through the rear-view mirror: data revisions and bond return predictability |
0 |
0 |
1 |
102 |
1 |
1 |
6 |
160 |
| GARCH for Irregularly Spaced Data: The ACD-GARCH Model |
0 |
1 |
2 |
1,393 |
2 |
7 |
11 |
5,803 |
| Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
1 |
1 |
3 |
4 |
115 |
| Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
390 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? |
0 |
0 |
0 |
454 |
1 |
1 |
2 |
1,923 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
512 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
282 |
| Is There Stigma to Discount Window Borrowing? |
0 |
0 |
0 |
23 |
3 |
3 |
4 |
26 |
| Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
242 |
| Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
115 |
| Kalman Filter Seasonal Extraction Applied to Monetary Targeting |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
260 |
| Kernel Autocorrelogram for Time Deformed Processes |
0 |
0 |
0 |
165 |
0 |
1 |
3 |
1,528 |
| Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
146 |
0 |
3 |
5 |
526 |
| Let's Get "Real" about Using Economic Data |
0 |
0 |
0 |
95 |
3 |
3 |
5 |
458 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
0 |
1 |
4 |
898 |
| Liquidity and volatility in the U.S. treasury market |
0 |
0 |
4 |
128 |
4 |
5 |
12 |
361 |
| Market Time and Asset Price Movements Theory and Estimation |
0 |
0 |
0 |
609 |
4 |
4 |
9 |
2,249 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
389 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
34 |
1 |
1 |
2 |
235 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
1 |
67 |
1 |
7 |
9 |
376 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
0 |
25 |
2 |
6 |
10 |
156 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
0 |
24 |
1 |
8 |
17 |
192 |
| Monetary Policy Rules with Model and Data Uncertainty |
0 |
0 |
0 |
263 |
1 |
2 |
4 |
1,310 |
| Monitoring for Disruptions in Financial Markets |
0 |
0 |
0 |
160 |
1 |
3 |
3 |
485 |
| NOMINAL VERSUS REAL SEASONAL ADJUSTMENT |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
241 |
| Nominal Versus Real Seasonal Adjustment |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
94 |
| Nonparametric Estimation of American Options Exercise Boundaries and Call Prices |
0 |
0 |
0 |
455 |
2 |
5 |
6 |
2,516 |
| Nonparametric Methods and Option Pricing |
0 |
1 |
1 |
677 |
0 |
2 |
4 |
2,440 |
| ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
369 |
| ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
396 |
| On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
137 |
| On Periodic Autogressive Conditional Heteroskedasticity |
0 |
0 |
0 |
990 |
1 |
2 |
3 |
2,906 |
| On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
680 |
| On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
80 |
| On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
155 |
| On Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
203 |
| On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation |
0 |
0 |
0 |
223 |
2 |
2 |
4 |
787 |
| On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
84 |
| On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
182 |
| On Stable Factor Structures in the Pricing of Risk |
0 |
0 |
0 |
437 |
0 |
0 |
1 |
2,062 |
| On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
8 |
1 |
1 |
3 |
145 |
| On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
464 |
| On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
225 |
| On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data |
0 |
0 |
2 |
35 |
1 |
3 |
6 |
146 |
| On the Analysis of Business Cycles Through the Spectrum of Chronologies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
135 |
| On the Analysis of Business Cycles Through the Spectrum of Chronologies |
0 |
0 |
1 |
7 |
0 |
0 |
4 |
63 |
| On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
547 |
0 |
0 |
0 |
2,212 |
| On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
171 |
| On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
3 |
4 |
76 |
| On the Economic and Econometrics of Seasonality |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
186 |
| On the Periodic Structure of the Business Cycle |
0 |
0 |
2 |
176 |
1 |
3 |
6 |
1,018 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
1 |
1 |
4 |
691 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
1 |
193 |
2 |
4 |
7 |
556 |
| Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
0 |
0 |
1 |
339 |
1 |
4 |
7 |
834 |
| Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
0 |
0 |
0 |
187 |
1 |
1 |
6 |
693 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
173 |
0 |
0 |
1 |
1,117 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
338 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
20 |
1 |
1 |
2 |
148 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
1 |
1 |
137 |
2 |
10 |
13 |
652 |
| Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results |
0 |
0 |
1 |
536 |
3 |
5 |
7 |
1,869 |
| Seasonal Adjustment and Other Data Transformations |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
269 |
| Seasonal Adjustment and Volatility Dynamics |
0 |
0 |
0 |
386 |
0 |
1 |
1 |
1,467 |
| Seasonal Nonstationarity and Near-Nonstationarity |
0 |
0 |
0 |
312 |
1 |
1 |
6 |
1,227 |
| Seasonal Time Series and Autocorrelation Function Estimation |
0 |
0 |
0 |
1,084 |
0 |
1 |
3 |
7,433 |
| Seasonality in Surveys Evidence From the Belgian Business Tests |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
97 |
| Seasonality in Surveys a Comparison of Belgian, French and German Business Tests |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
149 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
19 |
2 |
2 |
3 |
139 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
415 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
284 |
1 |
1 |
1 |
1,569 |
| Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory |
0 |
0 |
0 |
42 |
1 |
2 |
3 |
186 |
| Stochastic Volatility |
0 |
1 |
6 |
477 |
1 |
3 |
12 |
1,641 |
| Stochastic Volatility |
0 |
1 |
8 |
2,090 |
7 |
11 |
28 |
4,818 |
| Stochastic Volatility |
0 |
0 |
0 |
8 |
5 |
9 |
27 |
3,533 |
| Stochastic Volatility |
0 |
0 |
0 |
3 |
1 |
6 |
9 |
1,649 |
| Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects |
0 |
0 |
2 |
594 |
0 |
1 |
4 |
2,981 |
| Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
0 |
3 |
4 |
11 |
371 |
| Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
208 |
| Structural Change Tests for Simulated Method of Moments |
0 |
0 |
1 |
206 |
4 |
6 |
10 |
1,830 |
| Structural Change and Asset Pricing in Emerging Markets |
0 |
0 |
0 |
564 |
4 |
5 |
7 |
2,341 |
| THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
408 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
256 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT |
0 |
0 |
0 |
1 |
1 |
2 |
3 |
453 |
| Test for Breaks in the Conditional Co-Movements of Asset Returns |
0 |
0 |
0 |
174 |
1 |
1 |
2 |
365 |
| Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
126 |
| Testing for Structural Change in the Presence of Auxiliary Models |
0 |
0 |
0 |
191 |
1 |
1 |
4 |
1,185 |
| Testing for Structural Change in the Presence of Auxiliary Models |
0 |
0 |
0 |
57 |
1 |
2 |
3 |
340 |
| Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
70 |
| Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
265 |
| Tests for Breaks in the Conditional Co-movements of Asset Returns |
0 |
0 |
0 |
165 |
1 |
1 |
2 |
443 |
| The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors |
0 |
0 |
0 |
1,128 |
0 |
0 |
1 |
3,264 |
| The Business Cycle, the Seasonal Cycle Or Just Any Cycle |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
87 |
| The Econometrics of Option Pricing |
0 |
0 |
1 |
1,258 |
3 |
5 |
10 |
3,139 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
38 |
2 |
2 |
3 |
214 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
333 |
| The Effect of Seasonal Adjustment Filters on Test for Unit Root |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
105 |
| The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests |
0 |
0 |
0 |
201 |
2 |
4 |
6 |
730 |
| The MIDAS Touch: Mixed Data Sampling Regression Models |
7 |
19 |
68 |
1,715 |
36 |
89 |
280 |
5,302 |
| The Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
204 |
| The Political Economy of the Budget and Efficient Information Processing |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
95 |
| The low-frequency impact of daily monetary policy shocks |
0 |
1 |
2 |
56 |
2 |
5 |
9 |
144 |
| There is a Risk-Return Tradeoff After All |
0 |
0 |
0 |
182 |
2 |
5 |
10 |
700 |
| There is a Risk-Return Tradeoff After All |
1 |
1 |
1 |
187 |
5 |
5 |
7 |
769 |
| There is a Risk-Return Tradeoff After All |
0 |
0 |
0 |
130 |
0 |
1 |
2 |
629 |
| Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets |
0 |
0 |
0 |
795 |
2 |
2 |
4 |
3,022 |
| Unit Root Tests and the Statistical Pitfalls of Seasonal Adjustment: the Case of U.S. Post-War Real Gnp |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
117 |
| What Data Should Be Used to Price Options? |
0 |
0 |
0 |
571 |
0 |
0 |
0 |
2,143 |
| Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening |
0 |
0 |
0 |
493 |
5 |
6 |
7 |
6,388 |
| Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
232 |
| Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
83 |
| Total Working Papers |
11 |
30 |
121 |
32,056 |
197 |
405 |
938 |
149,052 |
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