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12 months |
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Last month |
3 months |
12 months |
Total |

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation |
0 |
0 |
2 |
1,288 |
0 |
0 |
8 |
3,204 |

A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
9 |
2 |
3 |
7 |
250 |

A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
0 |
1 |
3 |
12 |
759 |

A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
1 |
346 |
3 |
4 |
12 |
2,285 |

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
354 |
1 |
2 |
13 |
1,432 |

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
298 |
0 |
0 |
7 |
2,735 |

A Study Towards a Dynamic Theory of Seasonality for Economic Time Series |
0 |
0 |
0 |
0 |
2 |
3 |
18 |
232 |

A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS |
0 |
0 |
0 |
0 |
2 |
2 |
13 |
792 |

A Time Series Model with Periodic Stochastic Regime Switching |
0 |
0 |
0 |
0 |
1 |
2 |
16 |
378 |

A time series model with periodic stochastic regime switching |
0 |
2 |
4 |
258 |
0 |
3 |
12 |
1,030 |

AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
185 |

Alternative Models for Stock Price Dynamic |
0 |
0 |
2 |
439 |
0 |
2 |
18 |
1,376 |

Alternative Models for Stock Price Dynamics |
1 |
1 |
2 |
904 |
2 |
2 |
22 |
2,686 |

American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation |
0 |
0 |
1 |
900 |
0 |
1 |
12 |
3,895 |

An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
15 |
3 |
4 |
8 |
105 |

An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
270 |
1 |
2 |
7 |
1,555 |

An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
421 |

An Extension of Quadrature-Based Methods for Solving Euler Conditions |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
41 |

Approximating the Probability Distribution of Functions of Random Variables: A New Approach |
0 |
0 |
0 |
391 |
0 |
0 |
10 |
1,291 |

Approximating the probability distribution of functions of random variables: A new approach |
0 |
1 |
2 |
227 |
1 |
2 |
15 |
733 |

Arbitrage Based Pricing When Volatility Is Stochastic |
0 |
0 |
0 |
730 |
1 |
1 |
12 |
3,157 |

Arbitrage-Based Pricing When Volatility is Stochastic |
0 |
0 |
0 |
17 |
1 |
1 |
4 |
210 |

Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
14 |
1 |
1 |
4 |
181 |

Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
616 |

Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
88 |

Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
202 |

Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
86 |

Backtesting Systemic Risk Measures During Historical Bank Runs |
0 |
0 |
1 |
59 |
0 |
5 |
15 |
63 |

Bayesian Inference for Periodic Regime-Switching Models |
0 |
1 |
1 |
467 |
0 |
2 |
8 |
1,867 |

Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences |
0 |
0 |
1 |
139 |
6 |
8 |
20 |
159 |

Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
43 |
1 |
1 |
1 |
192 |

Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
316 |

Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
151 |

Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
2 |
2 |
6 |
265 |

Christmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
33 |
0 |
0 |
4 |
324 |

Cycles and Seasonais in Inventories: Another Look At Non-Stationarity and Induced Seasonality |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
64 |

Derivatives Do Affect Mutual Funds Returns: How and When? |
0 |
0 |
3 |
521 |
0 |
3 |
10 |
1,557 |

Detecting Multiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
0 |
198 |
2 |
3 |
21 |
597 |

Detecting Mutiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
0 |
285 |
1 |
1 |
9 |
810 |

Discount window stigma during the 2007-2008 financial crisis |
0 |
0 |
3 |
68 |
2 |
3 |
13 |
260 |

Do Heterogeneous Beliefs Matter for Asset Pricing? |
0 |
0 |
3 |
259 |
4 |
11 |
38 |
680 |

Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
262 |

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions |
0 |
0 |
0 |
290 |
0 |
1 |
17 |
1,061 |

Emerging Markets and Trading Costs |
0 |
0 |
0 |
366 |
0 |
0 |
8 |
1,258 |

Forecasting professional forecasters |
0 |
0 |
0 |
186 |
0 |
0 |
7 |
425 |

Forecasting through the rear-view mirror: data revisions and bond return predictability |
0 |
0 |
6 |
97 |
1 |
5 |
20 |
132 |

GARCH for Irregularly Spaced Data: The ACD-GARCH Model |
0 |
0 |
5 |
1,385 |
1 |
1 |
18 |
5,764 |

Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
0 |
3 |
3 |
8 |
374 |

Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
109 |

Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? |
0 |
1 |
4 |
444 |
3 |
4 |
14 |
1,897 |

Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
0 |
0 |
2 |
2 |
13 |
506 |

Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
1 |
33 |
0 |
0 |
12 |
275 |

Is There Stigma to Discount Window Borrowing? |
0 |
2 |
21 |
21 |
1 |
3 |
7 |
7 |

Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
227 |

Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
109 |

Kalman Filter Seasonal Extraction Applied to Monetary Targeting |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
255 |

Kernel Autocorrelogram for Time Deformed Processes |
0 |
0 |
0 |
164 |
0 |
0 |
5 |
1,521 |

Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
145 |
0 |
1 |
8 |
516 |

Let's Get "Real" about Using Economic Data |
0 |
1 |
1 |
95 |
1 |
2 |
6 |
445 |

Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
1 |
2 |
4 |
891 |

Liquidity and volatility in the U.S. treasury market |
0 |
6 |
18 |
109 |
3 |
12 |
46 |
289 |

Market Time and Asset Price Movements Theory and Estimation |
0 |
0 |
1 |
606 |
0 |
0 |
6 |
2,226 |

Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
375 |

Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
1 |
30 |
0 |
1 |
7 |
213 |

Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
0 |
0 |
3 |
62 |
0 |
2 |
17 |
339 |

Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
2 |
22 |
0 |
1 |
22 |
114 |

Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
1 |
19 |
3 |
4 |
17 |
112 |

Monetary Policy Rules with Model and Data Uncertainty |
0 |
0 |
0 |
258 |
0 |
1 |
12 |
1,287 |

Monitoring for Disruptions in Financial Markets |
0 |
0 |
0 |
157 |
1 |
1 |
5 |
470 |

NOMINAL VERSUS REAL SEASONAL ADJUSTMENT |
0 |
0 |
0 |
0 |
0 |
3 |
9 |
238 |

Nominal Versus Real Seasonal Adjustment |
0 |
0 |
0 |
0 |
1 |
5 |
10 |
92 |

Nonparametric Estimation of American Options Exercise Boundaries and Call Prices |
0 |
0 |
1 |
455 |
0 |
0 |
15 |
2,500 |

Nonparametric Methods and Option Pricing |
0 |
0 |
1 |
669 |
2 |
2 |
7 |
2,411 |

ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
366 |

ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
386 |

On Generalized Method Od Moments, Maximum Likelihood and Asymptotic Efficiency |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
135 |

On Periodic Autogressive Conditional Heteroskedasticity |
0 |
0 |
0 |
987 |
0 |
0 |
3 |
2,893 |

On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
82 |
1 |
1 |
5 |
680 |

On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
6 |
1 |
2 |
5 |
76 |

On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
150 |

On Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
202 |

On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation |
0 |
0 |
0 |
222 |
0 |
0 |
3 |
776 |

On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
181 |

On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
82 |

On Stable Factor Structures in the Pricing of Risk |
0 |
0 |
1 |
435 |
1 |
2 |
20 |
2,046 |

On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
1 |
1 |
1 |
17 |
457 |

On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
8 |
0 |
0 |
5 |
129 |

On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data |
0 |
0 |
0 |
0 |
2 |
2 |
6 |
217 |

On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data |
0 |
0 |
1 |
33 |
2 |
2 |
5 |
132 |

On the Analysis of Business Cycles Through the Spectrum of Chronologies |
0 |
0 |
0 |
6 |
1 |
2 |
5 |
56 |

On the Analysis of Business Cycles Through the Spectrum of Chronologies |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
133 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
547 |
0 |
0 |
3 |
2,209 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
165 |

On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
4 |
0 |
0 |
5 |
70 |

On the Economic and Econometrics of Seasonality |
0 |
0 |
0 |
1 |
3 |
5 |
9 |
172 |

On the Periodic Structure of the Business Cycle |
0 |
0 |
3 |
170 |
1 |
2 |
19 |
976 |

Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
1 |
4 |
14 |
662 |

Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
1 |
187 |
0 |
2 |
18 |
514 |

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
0 |
0 |
0 |
181 |
0 |
1 |
8 |
636 |

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
0 |
0 |
4 |
318 |
2 |
3 |
21 |
762 |

Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
0 |
1 |
2 |
13 |
325 |

Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
172 |
1 |
1 |
10 |
1,107 |

Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
20 |
0 |
3 |
12 |
136 |

Price Momentum In Stocks: Insights From Victorian Age Data |
1 |
1 |
1 |
129 |
3 |
11 |
30 |
569 |

Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results |
0 |
0 |
0 |
531 |
1 |
3 |
9 |
1,837 |

Seasonal Adjustment and Other Data Transformations |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
259 |

Seasonal Adjustment and Volatility Dynamics |
0 |
0 |
1 |
386 |
2 |
2 |
11 |
1,457 |

Seasonal Nonstationarity and Near-Nonstationarity |
0 |
0 |
0 |
309 |
0 |
1 |
5 |
1,208 |

Seasonal Time Series and Autocorrelation Function Estimation |
0 |
0 |
2 |
1,080 |
0 |
1 |
24 |
7,404 |

Seasonality in Surveys Evidence From the Belgian Business Tests |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
86 |

Seasonality in Surveys a Comparison of Belgian, French and German Business Tests |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
145 |

Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
404 |

Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
19 |
0 |
0 |
3 |
134 |

Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
284 |
0 |
0 |
4 |
1,563 |

Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory |
0 |
0 |
1 |
42 |
1 |
1 |
3 |
180 |

Stochastic Volatility |
1 |
5 |
17 |
2,063 |
4 |
15 |
55 |
4,705 |

Stochastic Volatility |
0 |
0 |
0 |
8 |
9 |
37 |
146 |
3,299 |

Stochastic Volatility |
2 |
8 |
24 |
436 |
7 |
20 |
72 |
1,533 |

Stochastic Volatility |
0 |
0 |
0 |
3 |
3 |
11 |
36 |
1,605 |

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects |
1 |
2 |
5 |
578 |
2 |
5 |
21 |
2,936 |

Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
0 |
3 |
9 |
17 |
310 |

Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects |
0 |
0 |
1 |
35 |
0 |
1 |
21 |
196 |

Structural Change Tests for Simulated Method of Moments |
0 |
0 |
0 |
205 |
2 |
2 |
9 |
1,807 |

Structural Change and Asset Pricing in Emerging Markets |
0 |
1 |
3 |
564 |
0 |
1 |
11 |
2,324 |

THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
397 |

THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT |
0 |
0 |
0 |
0 |
2 |
3 |
10 |
247 |

THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT |
0 |
0 |
0 |
1 |
0 |
3 |
13 |
442 |

Test for Breaks in the Conditional Co-Movements of Asset Returns |
0 |
0 |
1 |
173 |
0 |
2 |
12 |
359 |

Testing Non-Nested Euler Conditions with Quadrature-Based Methods of Approximation |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
123 |

Testing for Structural Change in the Presence of Auxiliary Models |
0 |
0 |
0 |
57 |
0 |
0 |
7 |
333 |

Testing for Structural Change in the Presence of Auxiliary Models |
0 |
0 |
0 |
191 |
0 |
0 |
14 |
1,173 |

Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation |
0 |
0 |
0 |
0 |
2 |
3 |
6 |
68 |

Testing for Unit Roots in Sesonal Time Series; Some Theoretical and Monte Carlo Investigation |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
259 |

Tests for Breaks in the Conditional Co-movements of Asset Returns |
0 |
1 |
1 |
164 |
2 |
3 |
12 |
437 |

The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors |
0 |
0 |
2 |
1,127 |
0 |
0 |
10 |
3,249 |

The Business Cycle, the Seasonal Cycle Or Just Any Cycle |
0 |
0 |
0 |
0 |
0 |
2 |
13 |
69 |

The Econometrics of Option Pricing |
0 |
0 |
1 |
1,252 |
1 |
7 |
23 |
3,078 |

The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
38 |
0 |
1 |
6 |
147 |

The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
299 |

The Effect of Seasonal Adjustment Filters on Test for Unit Root |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
99 |

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests |
0 |
1 |
1 |
199 |
1 |
2 |
9 |
707 |

The MIDAS Touch: Mixed Data Sampling Regression Models |
10 |
55 |
118 |
1,183 |
28 |
122 |
364 |
3,401 |

The Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
200 |

The Political Economy of the Budget and Efficient Information Processing |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
91 |

The low-frequency impact of daily monetary policy shocks |
0 |
1 |
6 |
51 |
0 |
1 |
8 |
122 |

There is a Risk-Return Tradeoff After All |
0 |
0 |
1 |
126 |
2 |
7 |
18 |
592 |

There is a Risk-Return Tradeoff After All |
0 |
1 |
2 |
183 |
2 |
7 |
20 |
678 |

There is a Risk-Return Tradeoff After All |
0 |
0 |
5 |
165 |
3 |
7 |
31 |
620 |

Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets |
0 |
1 |
3 |
788 |
1 |
3 |
18 |
2,996 |

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 |
1 |
107 |

What Data Should Be Used to Price Options? |
0 |
0 |
0 |
570 |
1 |
1 |
9 |
2,133 |

Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening |
0 |
2 |
4 |
483 |
26 |
73 |
170 |
5,775 |

Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
228 |

Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
81 |

Total Working Papers |
16 |
94 |
302 |
31,124 |
210 |
572 |
2,378 |
143,232 |