| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices |
0 |
0 |
0 |
19 |
0 |
2 |
8 |
38 |
| A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? |
0 |
0 |
4 |
1,221 |
7 |
12 |
43 |
2,488 |
| A Markov Chain Estimator of Multivariate Volatility from High Frequency Data |
0 |
0 |
0 |
146 |
0 |
1 |
12 |
248 |
| A Martingale Decomposition of Discrete Markov Chains |
0 |
0 |
0 |
81 |
0 |
2 |
4 |
74 |
| A Multivariate Realized GARCH Model |
0 |
0 |
1 |
41 |
1 |
3 |
37 |
133 |
| A New Method for Generating Random Correlation Matrices |
0 |
0 |
1 |
29 |
0 |
2 |
17 |
45 |
| A New Parametrization of Correlation Matrices |
0 |
0 |
0 |
6 |
0 |
1 |
17 |
41 |
| An Unbiased and Powerful Test for Superior Predictive Ability |
1 |
1 |
3 |
527 |
10 |
21 |
32 |
1,264 |
| Asymptotic Tests of Composite Hypotheses |
0 |
0 |
0 |
157 |
0 |
3 |
11 |
436 |
| Characterizing Correlation Matrices that Admit a Clustered Factor Representation |
0 |
0 |
0 |
8 |
0 |
0 |
7 |
19 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
0 |
2 |
90 |
2 |
6 |
34 |
254 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
2 |
6 |
246 |
5 |
9 |
42 |
902 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
381 |
1 |
3 |
18 |
1,043 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
2 |
3 |
26 |
868 |
| Cluster GARCH |
0 |
0 |
2 |
16 |
0 |
3 |
22 |
41 |
| Consumer Services, Employment and the Informal Economy |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
455 |
| Convolution-t Distributions |
0 |
0 |
2 |
15 |
1 |
3 |
20 |
36 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
3 |
137 |
3 |
6 |
46 |
579 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
2 |
2 |
4 |
92 |
3 |
5 |
41 |
368 |
| Dynamic Factor Correlation Model |
0 |
0 |
0 |
25 |
2 |
4 |
20 |
32 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
103 |
0 |
1 |
13 |
143 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
7 |
0 |
3 |
10 |
91 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
1 |
117 |
1 |
3 |
12 |
344 |
| Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models |
0 |
0 |
19 |
19 |
1 |
1 |
9 |
9 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
0 |
1 |
75 |
1 |
5 |
38 |
357 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
0 |
0 |
107 |
1 |
2 |
17 |
272 |
| How Should Parameter Estimation Be Tailored to the Objective? |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
23 |
| Model confidence sets for forecasting models |
0 |
0 |
5 |
271 |
1 |
4 |
53 |
724 |
| Modelling volatility in turbulent times: a Robust Realized GARCH framework |
0 |
0 |
1 |
1 |
0 |
1 |
9 |
9 |
| Moments by Integrating the Moment-Generating Function |
1 |
1 |
1 |
4 |
2 |
4 |
20 |
27 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
1 |
1 |
72 |
2 |
7 |
27 |
285 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
10 |
0 |
0 |
7 |
103 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
1 |
2 |
21 |
446 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
2 |
2 |
18 |
226 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
1 |
3 |
24 |
408 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
1 |
2 |
47 |
246 |
| Option Pricing with State-dependent Pricing Kernel |
0 |
0 |
0 |
34 |
0 |
2 |
7 |
32 |
| Option Pricing with Time-Varying Volatility Risk Aversion |
0 |
0 |
3 |
20 |
0 |
2 |
28 |
68 |
| Periodicity in Cryptocurrency Volatility and Liquidity |
0 |
0 |
3 |
27 |
1 |
2 |
24 |
77 |
| Principled Identification of Structural Dynamic Models |
0 |
0 |
11 |
11 |
4 |
4 |
14 |
14 |
| Principled Identification of Structural Dynamic Models |
0 |
0 |
16 |
16 |
1 |
3 |
13 |
13 |
| Quadratic Variation by Markov Chains |
0 |
0 |
0 |
93 |
0 |
2 |
11 |
340 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
0 |
2 |
8 |
730 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
0 |
1 |
15 |
315 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
2 |
9 |
163 |
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium |
0 |
0 |
2 |
73 |
0 |
4 |
41 |
80 |
| Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility |
1 |
2 |
10 |
439 |
3 |
11 |
81 |
1,656 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
1 |
320 |
0 |
0 |
30 |
947 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
1 |
84 |
1 |
7 |
29 |
130 |
| Reduced-Rank Regression: A Useful Determinant Identity |
0 |
0 |
0 |
93 |
0 |
2 |
15 |
274 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
0 |
17 |
457 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
2 |
2 |
14 |
379 |
| Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants |
0 |
0 |
0 |
4 |
0 |
1 |
6 |
25 |
| Robust Estimation of Realized Correlation: New Insights about Intraday Fluctuations in Market Betas |
0 |
0 |
0 |
17 |
1 |
3 |
13 |
46 |
| Structural Breaks in the Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
411 |
2 |
4 |
9 |
780 |
| Structural Changes in the Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
525 |
0 |
2 |
9 |
1,402 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
0 |
18 |
273 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
18 |
258 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
5 |
8 |
16 |
1,808 |
| The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes |
0 |
0 |
1 |
38 |
0 |
0 |
6 |
152 |
| The Model Confidence Set |
1 |
4 |
12 |
233 |
4 |
20 |
69 |
805 |
| Tweedie's Formula and Score-Driven Updating |
0 |
1 |
6 |
6 |
3 |
6 |
8 |
8 |
| Total Working Papers |
7 |
15 |
124 |
8,454 |
78 |
220 |
1,322 |
24,309 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Canonical Representation of Block Matrices with Applications to Covariance and Correlation Matrices |
0 |
2 |
9 |
14 |
0 |
6 |
39 |
92 |
| A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program |
0 |
0 |
1 |
14 |
1 |
4 |
18 |
64 |
| A New Parametrization of Correlation Matrices |
0 |
0 |
2 |
24 |
0 |
1 |
13 |
80 |
| A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data |
1 |
1 |
4 |
170 |
2 |
6 |
30 |
497 |
| A Test for Superior Predictive Ability |
0 |
1 |
5 |
546 |
15 |
84 |
207 |
1,500 |
| A forecast comparison of volatility models: does anything beat a GARCH(1,1)? |
2 |
4 |
17 |
1,454 |
9 |
43 |
189 |
4,300 |
| A martingale decomposition of discrete Markov chains |
0 |
0 |
0 |
5 |
0 |
0 |
10 |
43 |
| A multivariate realized GARCH model |
0 |
0 |
3 |
3 |
0 |
2 |
8 |
8 |
| A new method for generating random correlation matrices |
0 |
0 |
2 |
4 |
0 |
0 |
17 |
24 |
| Characterizing correlation matrices that admit a clustered factor representation |
0 |
0 |
0 |
2 |
0 |
1 |
10 |
13 |
| Choosing the Best Volatility Models: The Model Confidence Set Approach* |
0 |
0 |
0 |
108 |
1 |
4 |
16 |
492 |
| Cluster GARCH |
0 |
0 |
0 |
0 |
3 |
4 |
12 |
12 |
| Comment |
0 |
0 |
0 |
5 |
0 |
2 |
6 |
30 |
| Consistent ranking of volatility models |
0 |
2 |
5 |
450 |
2 |
4 |
23 |
1,130 |
| Convolution-t distributions |
0 |
0 |
1 |
1 |
1 |
5 |
8 |
8 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
1 |
1 |
3 |
239 |
13 |
22 |
84 |
810 |
| ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR |
0 |
0 |
0 |
29 |
1 |
1 |
13 |
143 |
| Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
7 |
0 |
1 |
18 |
57 |
| Exponential GARCH Modeling With Realized Measures of Volatility |
2 |
3 |
5 |
54 |
2 |
6 |
33 |
200 |
| Granger's representation theorem: A closed-form expression for I(1) processes |
0 |
0 |
0 |
436 |
0 |
2 |
12 |
1,853 |
| How should parameter estimation be tailored to the objective? |
0 |
0 |
0 |
8 |
1 |
2 |
17 |
36 |
| Moving Average-Based Estimators of Integrated Variance |
0 |
0 |
1 |
99 |
0 |
2 |
18 |
412 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
1 |
1 |
3 |
131 |
2 |
5 |
33 |
472 |
| Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach |
0 |
0 |
1 |
6 |
0 |
0 |
5 |
41 |
| Option pricing with state‐dependent pricing kernel |
0 |
0 |
0 |
2 |
0 |
2 |
9 |
15 |
| Periodicity in Cryptocurrency Volatility and Liquidity* |
1 |
3 |
7 |
10 |
5 |
98 |
128 |
153 |
| REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY |
0 |
0 |
0 |
22 |
0 |
0 |
8 |
90 |
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium |
1 |
2 |
4 |
10 |
2 |
8 |
50 |
73 |
| Realized GARCH: a joint model for returns and realized measures of volatility |
0 |
0 |
0 |
0 |
1 |
6 |
49 |
410 |
| Realized Variance and Market Microstructure Noise |
0 |
1 |
2 |
384 |
0 |
5 |
39 |
984 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
0 |
20 |
0 |
1 |
18 |
109 |
| Rejoinder |
0 |
0 |
0 |
17 |
0 |
1 |
8 |
67 |
| Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants |
0 |
0 |
0 |
1 |
0 |
0 |
7 |
9 |
| Structural changes in the cointegrated vector autoregressive model |
0 |
0 |
3 |
374 |
3 |
4 |
19 |
802 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
1 |
3 |
20 |
238 |
| Subsidising consumer services: effects on employment, welfare and the informal economy |
0 |
0 |
0 |
44 |
0 |
2 |
23 |
263 |
| The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements |
0 |
0 |
0 |
53 |
0 |
0 |
5 |
169 |
| The Model Confidence Set |
0 |
0 |
0 |
0 |
17 |
42 |
118 |
853 |
| Total Journal Articles |
9 |
21 |
78 |
4,798 |
82 |
379 |
1,340 |
16,552 |
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