| 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 |
0 |
0 |
0 |
1,293 |
1 |
1 |
6 |
3,229 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
347 |
0 |
0 |
1 |
2,297 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
767 |
| A Semi-Parametric Factor Model for Interest Rates |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
256 |
| A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
354 |
0 |
1 |
1 |
1,440 |
| A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure |
0 |
0 |
0 |
298 |
0 |
0 |
0 |
2,743 |
| A Study Towards a Dynamic Theory of Seasonality for Economic Time Series |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
253 |
| A TEST FOR STRUCTURAL STABILITY OF EULER CONDITIONS PARAMETERS ESTIMATED VIA THE GENERALIZED METHODS OF MOMENTS ESTIMATORS |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
805 |
| A Time Series Model with Periodic Stochastic Regime Switching |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
395 |
| A time series model with periodic stochastic regime switching |
0 |
1 |
1 |
264 |
1 |
2 |
3 |
1,056 |
| AN EXTENSION OF QUADRATURE-BASED METHODS FOR SOLVING EULER CONDITIONS |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
190 |
| Alternative Models for Stock Price Dynamic |
0 |
0 |
0 |
441 |
2 |
2 |
4 |
1,398 |
| Alternative Models for Stock Price Dynamics |
0 |
1 |
1 |
909 |
2 |
4 |
8 |
2,713 |
| American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation |
0 |
0 |
0 |
906 |
1 |
2 |
13 |
3,924 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
15 |
1 |
1 |
1 |
109 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
270 |
1 |
1 |
1 |
1,558 |
| An Empirical Analysis of the Canadian Budget Process |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
426 |
| 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 |
1 |
3 |
396 |
0 |
1 |
5 |
1,312 |
| Approximating the probability distribution of functions of random variables: A new approach |
0 |
0 |
0 |
232 |
0 |
0 |
1 |
753 |
| Arbitrage Based Pricing When Volatility Is Stochastic |
0 |
0 |
0 |
732 |
0 |
1 |
1 |
3,172 |
| Arbitrage-Based Pricing When Volatility is Stochastic |
0 |
0 |
0 |
17 |
0 |
1 |
2 |
219 |
| Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
14 |
1 |
2 |
2 |
187 |
| Arbitrage-Based Pricing when Volatility is Stochastic |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
628 |
| Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
91 |
| Are Business Cycle Turning Points Uniformly Distributed Throughout the Year? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
208 |
| Asset Prices in an Economy with Latent Technological Shocks - Econometric Implications of a Discrete Time General Equilibrium Model |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
90 |
| Backtesting Systemic Risk Measures During Historical Bank Runs |
0 |
0 |
0 |
63 |
0 |
0 |
1 |
82 |
| Bayesian Inference for Periodic Regime-Switching Models |
0 |
0 |
0 |
472 |
1 |
1 |
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 |
0 |
142 |
2 |
3 |
7 |
183 |
| Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
321 |
| Changes in Seasonal Patters: Are They Cyclical |
0 |
0 |
0 |
43 |
0 |
1 |
2 |
200 |
| Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
279 |
| Charistmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
153 |
| Christmas, Spring and the Dawning of Economic Recovery |
0 |
0 |
1 |
35 |
0 |
0 |
1 |
337 |
| 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? |
1 |
2 |
2 |
525 |
1 |
2 |
2 |
1,565 |
| Detecting Multiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
0 |
200 |
1 |
1 |
3 |
613 |
| Detecting Mutiple Breaks in Financial Market Volatility Dynamics |
0 |
0 |
0 |
285 |
0 |
1 |
1 |
826 |
| Discount window stigma during the 2007-2008 financial crisis |
0 |
0 |
0 |
70 |
0 |
0 |
0 |
276 |
| Do Heterogeneous Beliefs Matter for Asset Pricing? |
0 |
0 |
5 |
274 |
2 |
6 |
15 |
805 |
| Dynamic Regression and Filtered Data Series: A Laplace Approximation to the Effects of Filtering in Small Samples |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
264 |
| Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions |
0 |
1 |
1 |
291 |
0 |
1 |
2 |
1,071 |
| Emerging Markets and Trading Costs |
0 |
0 |
0 |
367 |
0 |
0 |
1 |
1,264 |
| Forecasting professional forecasters |
0 |
0 |
1 |
202 |
0 |
0 |
6 |
470 |
| Forecasting through the rear-view mirror: data revisions and bond return predictability |
0 |
1 |
3 |
102 |
0 |
3 |
10 |
157 |
| GARCH for Irregularly Spaced Data: The ACD-GARCH Model |
0 |
1 |
2 |
1,392 |
0 |
2 |
4 |
5,794 |
| Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
384 |
| Generalized Predictive Tests and Structural Change Analysis in Econometrics |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
112 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process? |
0 |
0 |
2 |
454 |
1 |
1 |
5 |
1,922 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
512 |
| Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process |
0 |
0 |
0 |
33 |
1 |
1 |
1 |
282 |
| Is There Stigma to Discount Window Borrowing? |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
22 |
| Is the Outcome of the Federal Budget Process Unbaised and Efficient? A NonParametric Assessment |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
237 |
| Is the Outcome of the Federal Budget Process Unbaised and Efficient? a NonParametric Assessment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
112 |
| Kalman Filter Seasonal Extraction Applied to Monetary Targeting |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
259 |
| Kernel Autocorrelogram for Time Deformed Processes |
0 |
0 |
0 |
165 |
0 |
1 |
1 |
1,526 |
| Let's Get "Real" About Using Economic Data |
0 |
0 |
0 |
146 |
1 |
2 |
2 |
523 |
| Let's Get "Real" about Using Economic Data |
0 |
0 |
0 |
95 |
1 |
1 |
1 |
454 |
| Let's Get "Real"" about Using Economic Data" |
0 |
0 |
0 |
168 |
2 |
2 |
2 |
896 |
| Liquidity and volatility in the U.S. treasury market |
0 |
0 |
2 |
124 |
0 |
0 |
6 |
349 |
| Market Time and Asset Price Movements Theory and Estimation |
0 |
0 |
1 |
609 |
0 |
2 |
5 |
2,242 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
1 |
34 |
0 |
1 |
4 |
234 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
387 |
| Momentum Cycles and Limits to Arbitrage Evidence from Victorian England and Post-Depression US Stock Markets |
1 |
1 |
1 |
67 |
1 |
1 |
5 |
368 |
| Momentum Trading, Return Chasing and Predictable Crashes |
0 |
0 |
2 |
25 |
1 |
2 |
5 |
148 |
| Momentum Trading, Return Chasing, and Predictable Crashes |
0 |
0 |
1 |
24 |
3 |
8 |
21 |
183 |
| Monetary Policy Rules with Model and Data Uncertainty |
0 |
0 |
2 |
263 |
0 |
0 |
2 |
1,306 |
| Monitoring for Disruptions in Financial Markets |
0 |
0 |
0 |
160 |
0 |
0 |
0 |
482 |
| NOMINAL VERSUS REAL SEASONAL ADJUSTMENT |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
239 |
| Nominal Versus Real Seasonal Adjustment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
93 |
| Nonparametric Estimation of American Options Exercise Boundaries and Call Prices |
0 |
0 |
0 |
455 |
1 |
1 |
1 |
2,511 |
| Nonparametric Methods and Option Pricing |
0 |
0 |
0 |
676 |
0 |
1 |
5 |
2,437 |
| ON GENERALIZED METHOD OD MOMENTS, MAXIMUM LIKELIHOOD AND ASYMPTOTIC EFFICIENCY |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
368 |
| ON THE ECONOMIC AND ECONOMETRICS OF SEASONALITY |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
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 |
0 |
1 |
1 |
2,904 |
| On Periodic Structures and Testing for Seasonal Unit Roots |
0 |
0 |
0 |
6 |
1 |
1 |
1 |
79 |
| 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 |
0 |
1 |
1 |
1 |
154 |
| On Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
202 |
| On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation |
0 |
0 |
0 |
223 |
0 |
0 |
0 |
783 |
| On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
182 |
| On Scoring Asymmetric Periodic Probability Models of Turning-Point Forecasts |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
83 |
| On Stable Factor Structures in the Pricing of Risk |
0 |
0 |
0 |
437 |
0 |
0 |
1 |
2,061 |
| On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
464 |
| On Stable Factor Structurs in the Pricing of Risk |
0 |
0 |
0 |
8 |
1 |
1 |
1 |
143 |
| On the (Mis)Specification of Seasonality and Its Consequences: An Empirical Investigation With U.S. Data |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
222 |
| On the (Mis)Specification of Seasonality and Its Consequences: an Empirical Investigation with U.S. Data |
1 |
1 |
1 |
34 |
2 |
2 |
2 |
142 |
| 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 |
0 |
6 |
2 |
2 |
2 |
61 |
| 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 |
4 |
1 |
1 |
1 |
73 |
| On the Dynamic Specification of International Asset Pricing Models |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
170 |
| On the Economic and Econometrics of Seasonality |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
185 |
| On the Periodic Structure of the Business Cycle |
1 |
2 |
2 |
176 |
1 |
2 |
2 |
1,014 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
1 |
1 |
193 |
1 |
2 |
2 |
551 |
| Periodic Autoregressive Conditional Heteroskedasticity |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
687 |
| Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
1 |
1 |
2 |
339 |
1 |
1 |
4 |
828 |
| Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies |
0 |
0 |
0 |
187 |
0 |
1 |
11 |
688 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
335 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
173 |
1 |
1 |
3 |
1,117 |
| Predictive Tests for Structural Change with Unknown Breakpoint |
0 |
0 |
0 |
20 |
1 |
1 |
1 |
147 |
| Price Momentum In Stocks: Insights From Victorian Age Data |
0 |
0 |
0 |
136 |
1 |
2 |
4 |
641 |
| Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results |
0 |
0 |
1 |
535 |
0 |
0 |
2 |
1,862 |
| Seasonal Adjustment and Other Data Transformations |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
267 |
| Seasonal Adjustment and Volatility Dynamics |
0 |
0 |
0 |
386 |
0 |
0 |
1 |
1,466 |
| Seasonal Nonstationarity and Near-Nonstationarity |
0 |
0 |
0 |
312 |
1 |
2 |
3 |
1,223 |
| Seasonal Time Series and Autocorrelation Function Estimation |
0 |
0 |
0 |
1,084 |
1 |
2 |
3 |
7,432 |
| Seasonality in Surveys Evidence From the Belgian Business Tests |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
95 |
| Seasonality in Surveys a Comparison of Belgian, French and German Business Tests |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
148 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
413 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
284 |
0 |
0 |
2 |
1,568 |
| Simulation Based Inference in Moving Average Models |
0 |
0 |
0 |
19 |
1 |
1 |
2 |
137 |
| Some Additional Specification Tests for Generalized Method of Moments Estimators with Macro-Economic Applications Part I: Theory |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
183 |
| Stochastic Volatility |
0 |
0 |
0 |
3 |
1 |
2 |
11 |
1,642 |
| Stochastic Volatility |
0 |
1 |
3 |
2,083 |
1 |
4 |
13 |
4,794 |
| Stochastic Volatility |
0 |
0 |
0 |
8 |
2 |
6 |
36 |
3,512 |
| Stochastic Volatility |
0 |
1 |
4 |
472 |
1 |
3 |
13 |
1,632 |
| Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects |
0 |
0 |
4 |
592 |
0 |
0 |
6 |
2,977 |
| Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
0 |
1 |
2 |
14 |
362 |
| Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
39 |
1 |
1 |
1 |
208 |
| Structural Change Tests for Simulated Method of Moments |
0 |
0 |
0 |
205 |
1 |
2 |
4 |
1,822 |
| Structural Change and Asset Pricing in Emerging Markets |
0 |
0 |
0 |
564 |
0 |
0 |
0 |
2,334 |
| THE BUSINESS CYCLE, THE SEASONAL CYCLE OR JUST ANY CYCLE |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
406 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TEST FOR UNIT ROOT |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
253 |
| THE EFFECT OF SEASONAL ADJUSTMENT FILTERS ON TESTS FOR A UNIT ROOT |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
451 |
| Test for Breaks in the Conditional Co-Movements of Asset Returns |
0 |
0 |
1 |
174 |
0 |
0 |
1 |
363 |
| 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 |
0 |
0 |
0 |
1,181 |
| Testing for Structural Change in the Presence of Auxiliary Models |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
337 |
| 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 |
0 |
0 |
263 |
| Tests for Breaks in the Conditional Co-movements of Asset Returns |
0 |
0 |
0 |
165 |
1 |
1 |
1 |
442 |
| The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors |
0 |
0 |
0 |
1,128 |
0 |
0 |
0 |
3,263 |
| The Business Cycle, the Seasonal Cycle Or Just Any Cycle |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
87 |
| The Econometrics of Option Pricing |
0 |
0 |
0 |
1,257 |
0 |
0 |
2 |
3,129 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
38 |
1 |
1 |
1 |
212 |
| The Effect of Linear Filters on Dynamic Time series with Structural Change |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
331 |
| The Effect of Seasonal Adjustment Filters on Test for Unit Root |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
105 |
| The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests |
0 |
0 |
0 |
201 |
0 |
1 |
1 |
725 |
| The MIDAS Touch: Mixed Data Sampling Regression Models |
4 |
14 |
58 |
1,661 |
14 |
55 |
272 |
5,077 |
| The Periodic Time Series and Testing the Unit Root Hypothesis |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
201 |
| The Political Economy of the Budget and Efficient Information Processing |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
95 |
| The low-frequency impact of daily monetary policy shocks |
0 |
1 |
2 |
55 |
0 |
3 |
5 |
138 |
| There is a Risk-Return Tradeoff After All |
0 |
0 |
1 |
130 |
0 |
0 |
2 |
627 |
| There is a Risk-Return Tradeoff After All |
0 |
0 |
0 |
182 |
0 |
1 |
3 |
691 |
| There is a Risk-Return Tradeoff After All |
0 |
0 |
0 |
186 |
1 |
1 |
3 |
763 |
| Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets |
0 |
0 |
0 |
795 |
0 |
2 |
2 |
3,020 |
| 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 |
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 |
1 |
493 |
1 |
1 |
2 |
6,382 |
| Y A-T-IL DES BIAIS SYSTEMATIQUES DANS LES ANNONCES BUDGETAIRES CANADIENNES? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
231 |
| Y A-T-Il des Biais Systematiques Dans les Annonces Budgetaires Canadiennes? |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
83 |
| Total Working Papers |
9 |
31 |
113 |
31,966 |
104 |
214 |
682 |
148,328 |
LogEc is hosted by the
Örebro University School of Business.