| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? |
2 |
7 |
12 |
1,176 |
7 |
42 |
85 |
2,237 |
| A Markov Chain Estimator of Multivariate Volatility from High Frequency Data |
0 |
0 |
8 |
140 |
0 |
2 |
19 |
195 |
| A Martingale Decomposition of Discrete Markov Chains |
0 |
1 |
1 |
78 |
0 |
1 |
3 |
53 |
| An Unbiased and Powerful Test for Superior Predictive Ability |
0 |
0 |
6 |
505 |
0 |
2 |
13 |
1,177 |
| Asymptotic Tests of Composite Hypotheses |
1 |
1 |
2 |
155 |
1 |
11 |
13 |
410 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
1 |
1 |
1 |
74 |
4 |
7 |
15 |
106 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
1 |
5 |
222 |
4 |
12 |
43 |
724 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
2 |
362 |
0 |
1 |
6 |
930 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
1 |
246 |
2 |
3 |
7 |
713 |
| Consumer Services, Employment and the Informal Economy |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
443 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
1 |
121 |
2 |
5 |
16 |
406 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
3 |
78 |
0 |
1 |
12 |
275 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
103 |
1 |
2 |
5 |
106 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
1 |
7 |
0 |
0 |
4 |
67 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
1 |
111 |
6 |
7 |
12 |
248 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
0 |
3 |
67 |
0 |
3 |
20 |
268 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
1 |
2 |
98 |
0 |
1 |
13 |
202 |
| Model confidence sets for forecasting models |
0 |
3 |
5 |
248 |
1 |
5 |
11 |
561 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
1 |
1 |
67 |
1 |
3 |
6 |
163 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
5 |
0 |
2 |
8 |
34 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
30 |
0 |
0 |
4 |
120 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
87 |
1 |
6 |
12 |
303 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
149 |
0 |
1 |
5 |
334 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
48 |
1 |
2 |
4 |
170 |
| Quadratic Variation by Markov Chains |
0 |
0 |
0 |
84 |
0 |
1 |
2 |
275 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
2 |
350 |
3 |
4 |
10 |
663 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
3 |
53 |
1 |
3 |
20 |
211 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
122 |
| Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility |
0 |
2 |
8 |
373 |
0 |
4 |
50 |
1,342 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
2 |
315 |
0 |
0 |
5 |
885 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
1 |
75 |
0 |
5 |
12 |
57 |
| Reduced-Rank Regression: A Useful Determinant Identity |
1 |
2 |
5 |
90 |
2 |
4 |
10 |
242 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
107 |
1 |
1 |
5 |
372 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
1 |
93 |
0 |
0 |
4 |
312 |
| Structural Breaks in the Cointegrated Vector Autoregressive Model |
0 |
0 |
1 |
409 |
1 |
1 |
3 |
758 |
| Structural Changes in the Cointegrated Vector Autoregressive Model |
0 |
1 |
5 |
519 |
4 |
5 |
10 |
1,362 |
| Subsampling realised kernels |
0 |
0 |
0 |
44 |
0 |
1 |
6 |
202 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
1 |
4 |
6 |
216 |
| Testing the significance of calendar effects |
1 |
1 |
7 |
646 |
2 |
5 |
19 |
1,637 |
| The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes |
0 |
0 |
1 |
33 |
0 |
0 |
2 |
121 |
| The Model Confidence Set |
3 |
6 |
15 |
163 |
9 |
19 |
58 |
432 |
| Total Working Papers |
9 |
28 |
108 |
7,605 |
55 |
176 |
561 |
19,454 |
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