| Working Paper |
File Downloads |
Abstract Views |
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3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Financial Duration Models via Density Forecasts |
0 |
0 |
0 |
362 |
1 |
3 |
6 |
812 |
| A Gibbs sampling approach to cointegration |
0 |
0 |
1 |
36 |
1 |
1 |
3 |
108 |
| A comparison of financial duration models via density forecast |
0 |
0 |
0 |
0 |
4 |
10 |
11 |
72 |
| A comparison of financial duration models via density forecasts |
0 |
0 |
0 |
4 |
2 |
4 |
5 |
47 |
| A comparison of financial duration models via density forecasts |
0 |
0 |
0 |
81 |
3 |
5 |
7 |
1,147 |
| An International Analysis of Earnings, Stock Prices and Bond Yields |
0 |
0 |
0 |
0 |
3 |
3 |
3 |
29 |
| An international analysis of earnings, stock prices and Bond yields |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
28 |
| An international analysis of earnings, stock prices and bond yields |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
31 |
| An international analysis of earnings, stock prices and bond yields |
0 |
0 |
0 |
243 |
2 |
5 |
5 |
896 |
| An international analysis of earnings, stock prices and bond yields |
0 |
0 |
1 |
218 |
1 |
4 |
10 |
831 |
| Appraising the Fed model: An international analysis of earnings, stock prices and bond yields |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
11 |
| Asymmetric ACD models: Introducing price information in ACD models |
0 |
0 |
0 |
4 |
4 |
5 |
5 |
31 |
| Asymmetric ACD models: introducing price information in ACD models with a two state transition model |
1 |
1 |
1 |
79 |
2 |
2 |
5 |
1,059 |
| Co-integration and leadership in the European off-season fresh fruit market |
0 |
1 |
1 |
23 |
2 |
7 |
7 |
594 |
| Commonalities in the order book |
0 |
0 |
0 |
10 |
0 |
1 |
3 |
131 |
| Commonalities in the order book |
0 |
0 |
0 |
86 |
0 |
1 |
3 |
324 |
| Commonalities in the order book |
0 |
0 |
0 |
25 |
1 |
3 |
3 |
137 |
| Commonalities in the order book |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
13 |
| Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio |
0 |
0 |
3 |
100 |
2 |
4 |
9 |
374 |
| Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
1,368 |
| Gibbs sampling approach to cointegration |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
20 |
| How does liquidity react to stress periods in a limit order market? |
0 |
0 |
0 |
133 |
2 |
2 |
4 |
539 |
| How large is liquidity risk in an automated auction market ? |
0 |
0 |
0 |
26 |
0 |
3 |
3 |
150 |
| How large is liquidity risk in an automated auction market? |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
8 |
| How large is liquidity risk in an automated auction market? |
0 |
0 |
0 |
197 |
1 |
4 |
4 |
483 |
| IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis |
0 |
0 |
1 |
1,035 |
0 |
3 |
9 |
3,667 |
| IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis |
0 |
0 |
0 |
13 |
3 |
4 |
8 |
84 |
| IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis |
0 |
1 |
1 |
63 |
2 |
7 |
10 |
276 |
| Implied volatility indexes and daily Value at Risk models |
0 |
0 |
0 |
62 |
3 |
3 |
13 |
112 |
| Implied volatility indices as leading indicators of stock index returns ? |
0 |
1 |
2 |
71 |
3 |
4 |
6 |
230 |
| International stock return predictability: statistical evidence and economic significance |
0 |
1 |
1 |
82 |
3 |
5 |
7 |
279 |
| Intraday value-at-risk |
0 |
0 |
4 |
285 |
1 |
3 |
15 |
1,789 |
| L'irrésistible ascension de la finance comportementale |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
16 |
| Les oeuvres d'art comme placements financiers: le cas de l'art moderne classique et de ses différents courants |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
| Market risk in commodity markets: a VaR approach |
0 |
0 |
0 |
3 |
0 |
5 |
6 |
38 |
| Market risk in commodity markets: a VaR approach |
0 |
1 |
7 |
421 |
1 |
3 |
16 |
1,393 |
| Market risk models for intraday data |
0 |
0 |
0 |
5 |
3 |
3 |
3 |
26 |
| Market-wide liquidity co-movements, volatility regimes and market cap sizes |
0 |
0 |
0 |
89 |
3 |
4 |
4 |
349 |
| Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
28 |
| Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models |
0 |
0 |
0 |
0 |
1 |
4 |
9 |
668 |
| Modelling daily Value-at-Risk using realized volatility and ARCH type models |
0 |
0 |
0 |
2 |
3 |
5 |
7 |
99 |
| Modelling daily value-at-risk using realized volatility and arch type models |
0 |
0 |
0 |
58 |
2 |
5 |
5 |
237 |
| News announcements, market activity and volatility in the Euro/Dollar foreign exchange market |
0 |
0 |
0 |
66 |
1 |
3 |
5 |
221 |
| News announcements, market activity and volatility in the euro/dollar foreign exchange market |
0 |
0 |
0 |
6 |
2 |
4 |
5 |
59 |
| On the statistical and economic performance of stock return predictive regression models: an international perspective |
0 |
0 |
0 |
6 |
0 |
1 |
2 |
27 |
| On the statistical and economic performance of stock return predictive regression models: an international perspective |
0 |
0 |
0 |
3 |
0 |
2 |
2 |
15 |
| Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators? |
0 |
0 |
0 |
121 |
10 |
23 |
50 |
266 |
| Short-term market timing using the Bond-Equity Yield Ratio |
0 |
0 |
0 |
58 |
0 |
2 |
5 |
337 |
| Short-term market timing using the bond-equity yield ratio |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
29 |
| Stocks, bonds and the equity risk premium: Some recent academic perspectives |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
| The Asian financial crisis: the start of a regime switch in volatility |
0 |
0 |
0 |
27 |
2 |
4 |
4 |
114 |
| The information content of implied volatility in agricultural commodity markets |
0 |
0 |
0 |
2 |
3 |
3 |
7 |
20 |
| The information content of implied volatility in agricultural commodity markets |
0 |
0 |
1 |
64 |
2 |
2 |
4 |
266 |
| The information content of implied volatility indexes for forecasting volatility and market risk |
0 |
0 |
0 |
84 |
3 |
3 |
6 |
248 |
| The information content of the Bond-Equity Yield Ratio: Better than a random walk? |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
22 |
| The information content of the Bond-Equity Yield Ratio: better than a random walk? |
0 |
0 |
1 |
69 |
0 |
1 |
2 |
373 |
| The logarithmic ACD model: an application to market microstructure and NASDAQ |
0 |
1 |
2 |
58 |
0 |
1 |
3 |
1,887 |
| The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks |
0 |
0 |
0 |
0 |
3 |
4 |
9 |
80 |
| The moments of Log-ACD models |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
58 |
| The moments of Log-ACD models |
0 |
0 |
0 |
51 |
4 |
8 |
12 |
214 |
| Time transformations, intraday data and volatility models |
0 |
1 |
4 |
90 |
1 |
8 |
13 |
994 |
| Time transformations, intraday data, and volatility models |
0 |
0 |
0 |
0 |
3 |
4 |
7 |
29 |
| Trading activity, realized volatility and jumps |
0 |
0 |
0 |
3 |
1 |
1 |
2 |
48 |
| VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
1,833 |
| Value-at-Risk for long and short trading positions |
0 |
0 |
0 |
11 |
2 |
4 |
8 |
60 |
| Value-at-risk for long and short trading positions |
0 |
0 |
0 |
164 |
0 |
3 |
5 |
1,456 |
| Volatility Regimes, Order Books and Liquidity: The case of Euronext |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| Volatility regimes and liquidity co-movements in cap-based portfolios |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
15 |
| Volatility regimes and liquidity co-movements in cap-based portfolios |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
12 |
| Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
28 |
| Volatility regimes and order book liquidity: evidence from the Belgian segment of Euronext |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
15 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
15 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
0 |
0 |
2 |
5 |
6 |
18 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
19 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
11 |
| Volatility regimes and the provision of liquidity in order book markets |
0 |
0 |
0 |
19 |
2 |
2 |
3 |
124 |
| Volatility regimes and the provisions of liquidity in order book markets |
0 |
0 |
0 |
105 |
0 |
1 |
7 |
383 |
| Total Working Papers |
1 |
8 |
31 |
4,835 |
111 |
243 |
438 |
27,856 |
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