| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market |
0 |
0 |
0 |
282 |
0 |
0 |
8 |
1,025 |
| A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market |
0 |
0 |
0 |
426 |
0 |
0 |
1 |
1,182 |
| A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market |
0 |
0 |
1 |
186 |
1 |
1 |
4 |
709 |
| A Dynamic Semiparametric Proportional Hazard Model |
0 |
0 |
0 |
107 |
0 |
0 |
0 |
387 |
| A blocking and regularization approach to high dimensional realized covariance estimation |
0 |
0 |
0 |
92 |
1 |
2 |
2 |
245 |
| A blocking and regularization approach to high dimensional realized covariance estimation |
0 |
0 |
0 |
14 |
1 |
2 |
2 |
125 |
| A mean variance king? Creation and resolution of uncertainty under the employment report's reign |
0 |
0 |
0 |
12 |
2 |
2 |
2 |
374 |
| Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields |
0 |
0 |
1 |
170 |
0 |
0 |
4 |
436 |
| Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions |
0 |
0 |
0 |
189 |
1 |
1 |
1 |
1,071 |
| Analyzing the Time between Trades with a Gamma Compounded Hazard Model. An Application to LIFFE Bund Future Transactions |
0 |
0 |
0 |
127 |
0 |
1 |
1 |
1,002 |
| Bayesian Learning in Financial Markets – Testing for the Relevance of Information Precision in Price Discovery |
0 |
0 |
0 |
87 |
1 |
2 |
4 |
316 |
| Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery |
0 |
0 |
0 |
178 |
0 |
0 |
0 |
622 |
| Bayesian Stochastic Search for the Best Predictors: Nowcasting GDP Growth |
0 |
0 |
0 |
66 |
1 |
1 |
2 |
122 |
| Bayesian inference in a stochastic volatility Nelson-Siegel Model |
0 |
0 |
0 |
114 |
2 |
2 |
4 |
249 |
| Bayesian learning in financial markets: Testing for the relevance of information precision in price discovery |
0 |
0 |
0 |
10 |
0 |
2 |
4 |
81 |
| Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets |
0 |
0 |
1 |
29 |
1 |
5 |
12 |
111 |
| Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model |
0 |
0 |
1 |
203 |
1 |
1 |
3 |
499 |
| Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
336 |
| Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes |
0 |
0 |
0 |
8 |
1 |
2 |
7 |
112 |
| Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes |
0 |
0 |
0 |
39 |
0 |
0 |
2 |
168 |
| Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes |
0 |
0 |
0 |
7 |
0 |
0 |
8 |
88 |
| Consistent Estimation of the High-Dimensional Efficient Frontier |
0 |
0 |
2 |
7 |
0 |
0 |
5 |
8 |
| Copula-based dynamic conditional correlation multiplicative error processes |
0 |
0 |
0 |
52 |
0 |
0 |
2 |
166 |
| Copula-based dynamic conditional correlation multiplicative error processes |
0 |
0 |
0 |
40 |
3 |
3 |
4 |
92 |
| Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading |
0 |
0 |
1 |
25 |
3 |
3 |
6 |
56 |
| Counterparty credit limits: An effective tool for mitigating counterparty risk? |
2 |
4 |
6 |
23 |
4 |
8 |
18 |
109 |
| Determinants of Inter-Trade Durations Using Proportional Hazard ARMA Models |
0 |
0 |
0 |
69 |
1 |
1 |
1 |
144 |
| Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model |
0 |
0 |
0 |
133 |
0 |
0 |
3 |
666 |
| Discrete-time stochastic volatility models and MCMC-based statistical inference |
0 |
0 |
1 |
234 |
1 |
2 |
7 |
428 |
| Do high-frequency data improve high-dimensional portfolio allocations? |
0 |
1 |
1 |
86 |
0 |
3 |
4 |
259 |
| Dynamic latent factor models for intensity processes |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
327 |
| Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities |
0 |
0 |
0 |
625 |
0 |
0 |
4 |
2,082 |
| Efficient iterative maximum likelihood estimation of high-parameterized time series models |
0 |
0 |
0 |
36 |
0 |
0 |
3 |
68 |
| Efficient iterative maximum likelihood estimation of high-parameterized time series models |
0 |
0 |
0 |
28 |
0 |
2 |
2 |
80 |
| Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions |
0 |
0 |
0 |
78 |
0 |
1 |
3 |
491 |
| Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence |
0 |
0 |
0 |
25 |
0 |
0 |
1 |
26 |
| Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
88 |
| Estimating the spot covariation of asset prices: Statistical theory and empirical evidence |
0 |
0 |
1 |
12 |
2 |
4 |
6 |
56 |
| Estimating the spot covariation of asset prices: Statistical theory and empirical evidence |
0 |
0 |
0 |
45 |
0 |
0 |
3 |
50 |
| Financial network systemic risk contributions |
0 |
0 |
1 |
92 |
1 |
3 |
6 |
275 |
| Financial network systemic risk contributions |
0 |
0 |
0 |
62 |
0 |
2 |
7 |
261 |
| Financial network systemic risk contributions |
0 |
0 |
1 |
158 |
1 |
3 |
8 |
370 |
| Forecasting systemic impact in financial networks |
0 |
0 |
0 |
133 |
1 |
1 |
2 |
219 |
| HARNet: A Convolutional Neural Network for Realized Volatility Forecasting |
0 |
0 |
0 |
20 |
0 |
3 |
8 |
32 |
| HARNet: A convolutional neural network for realized volatility forecasting |
0 |
0 |
0 |
37 |
0 |
0 |
5 |
37 |
| How effective are trading pauses? |
0 |
0 |
0 |
18 |
1 |
3 |
3 |
91 |
| Jump detection in high-frequency order prices |
0 |
1 |
2 |
18 |
2 |
3 |
12 |
24 |
| Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty |
0 |
0 |
0 |
15 |
5 |
6 |
7 |
49 |
| Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information |
0 |
0 |
0 |
29 |
0 |
0 |
3 |
34 |
| Large-scale portfolio allocation under transaction costs and model uncertainty |
0 |
1 |
2 |
27 |
2 |
4 |
6 |
41 |
| Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data |
0 |
0 |
2 |
104 |
0 |
0 |
6 |
316 |
| Limits to arbitrage in markets with stochastic settlement latency |
0 |
0 |
2 |
18 |
4 |
8 |
20 |
67 |
| Local adaptive multiplicative error models for high-frequency forecasts |
0 |
0 |
0 |
66 |
0 |
0 |
0 |
162 |
| Measuring and modeling risk using high-frequency data |
0 |
0 |
0 |
142 |
0 |
0 |
0 |
254 |
| Modeling time-varying dependencies between positive-valued high-frequency time series |
0 |
0 |
0 |
76 |
0 |
0 |
0 |
75 |
| Modelling Financial High Frequency Data Using Point Processes |
0 |
1 |
1 |
254 |
1 |
2 |
7 |
678 |
| Modelling Intraday Trading Activity Using Box-Cox-ACD Models |
0 |
0 |
1 |
307 |
2 |
2 |
4 |
962 |
| Modelling and forecasting liquidity supply using semiparametric factor dynamics |
0 |
0 |
0 |
90 |
0 |
0 |
0 |
278 |
| Modelling and forecasting liquidity supply using semiparametric factor dynamics |
0 |
0 |
0 |
59 |
1 |
2 |
2 |
168 |
| Modelling financial high frequency data using point processes |
0 |
0 |
0 |
95 |
0 |
1 |
4 |
352 |
| Modelling financial high frequency data using point processes |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
47 |
| Modelling financial high frequency data using point processes |
0 |
0 |
0 |
101 |
1 |
1 |
2 |
309 |
| Modelling high-frequency volatility and liquidity using multiplicative error models |
0 |
0 |
0 |
103 |
1 |
1 |
2 |
241 |
| Multivariate dynamic intensity peaks-over-threshold models |
0 |
0 |
1 |
30 |
1 |
2 |
6 |
56 |
| Non-Standard Errors |
0 |
0 |
2 |
44 |
0 |
6 |
31 |
446 |
| Non-Standard Errors |
0 |
0 |
1 |
27 |
1 |
4 |
29 |
155 |
| Nonstandard errors |
0 |
1 |
2 |
12 |
1 |
6 |
28 |
57 |
| On the dark side of the market: Identifying and analyzing hidden order placements |
0 |
0 |
0 |
103 |
0 |
1 |
20 |
266 |
| On the dark side of the market: Identifying and analyzing hidden order placements |
0 |
0 |
2 |
105 |
1 |
2 |
19 |
386 |
| Order Aggressiveness and Order Book Dynamics |
0 |
0 |
1 |
676 |
2 |
3 |
12 |
1,717 |
| Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency? |
0 |
0 |
1 |
23 |
0 |
1 |
3 |
43 |
| Order exposure and liquidity coordination: Does hidden liquidity harm price efficiency? |
0 |
0 |
1 |
17 |
0 |
0 |
2 |
63 |
| Pre-Averaging Based Estimation of Quadratic Variation in the Presence of Noise and Jumps: Theory, Implementation, and Empirical Evidence |
0 |
0 |
0 |
85 |
3 |
3 |
3 |
234 |
| Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence |
0 |
0 |
0 |
17 |
1 |
1 |
3 |
71 |
| Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence |
0 |
0 |
0 |
48 |
0 |
0 |
2 |
136 |
| Predicting bid-ask spreads using long memory autoregressive conditional poisson models |
0 |
0 |
0 |
115 |
1 |
1 |
4 |
176 |
| Price Adjustment to News with Uncertain Precision |
0 |
0 |
1 |
28 |
2 |
2 |
6 |
127 |
| Price adjustment to news with uncertain precision |
0 |
0 |
0 |
39 |
0 |
0 |
2 |
135 |
| Price adjustment to news with uncertain precision |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
39 |
| Price adjustment to news with uncertain precision |
0 |
0 |
0 |
3 |
1 |
1 |
2 |
86 |
| Price adjustment to news with uncertain precision |
0 |
0 |
1 |
22 |
0 |
1 |
3 |
158 |
| Quantifying high-frequency market reactions to real-time news sentiment announcements |
0 |
0 |
0 |
11 |
0 |
1 |
2 |
74 |
| Quantifying high-frequency market reactions to real-time news sentiment announcements |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
160 |
| Revisiting the stealth trading hypothesis: Does time-varying liquidity explain the size-effect? |
0 |
0 |
1 |
14 |
4 |
5 |
14 |
57 |
| Semiparametric autoregressive conditional proportional hazard models |
0 |
0 |
1 |
210 |
1 |
1 |
2 |
725 |
| Shirking or mismatch? Coach-team separation in German professional soccer |
0 |
0 |
0 |
20 |
0 |
0 |
2 |
93 |
| Stochastic conditional intensity processes |
0 |
0 |
0 |
6 |
0 |
1 |
5 |
37 |
| Systemic risk spillovers in the European banking and sovereign network |
0 |
0 |
0 |
60 |
1 |
1 |
1 |
116 |
| Systemic risk spillovers in the European banking and sovereign network |
0 |
0 |
1 |
84 |
0 |
0 |
2 |
164 |
| Testing multiplicative error models using conditional moment tests |
0 |
0 |
1 |
35 |
0 |
0 |
2 |
70 |
| Testing the Conditional Mean Function of Autoregressive Conditional Duration Models |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
519 |
| The ambivalent role of high-frequency trading in turbulent market periods |
0 |
0 |
0 |
31 |
2 |
3 |
6 |
102 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
45 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
30 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
41 |
0 |
0 |
2 |
168 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
2 |
1 |
2 |
2 |
67 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
1 |
1 |
46 |
0 |
1 |
3 |
167 |
| The latent factor VAR model: Testing for a common component in the intraday trading process |
0 |
0 |
0 |
195 |
1 |
1 |
2 |
571 |
| The market impact of a limit order |
0 |
0 |
0 |
869 |
1 |
4 |
7 |
394 |
| The market impact of a limit order |
0 |
1 |
5 |
18 |
2 |
4 |
21 |
94 |
| The merit of high-frequency data in portfolio allocation |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
111 |
| The merit of high-frequency data in portfolio allocation |
0 |
0 |
0 |
21 |
4 |
8 |
13 |
97 |
| The processing of non-anticipated information in financial markets: Analyzing the impact of surprises in the employment report |
0 |
0 |
0 |
49 |
0 |
0 |
2 |
210 |
| Volatility Estimation on the Basis of Price Intensities |
0 |
0 |
0 |
262 |
0 |
0 |
0 |
1,038 |
| Volatility, information feedback and market microstructure noise: A tale of two regimes |
0 |
0 |
1 |
66 |
2 |
4 |
7 |
118 |
| Yield curve factors, term structure volatility, and bond risk premia |
0 |
0 |
0 |
261 |
0 |
0 |
5 |
705 |
| Total Working Papers |
2 |
11 |
52 |
10,086 |
84 |
167 |
546 |
30,081 |
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