| 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 |
0 |
6 |
36 |
| A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? |
1 |
1 |
6 |
1,221 |
1 |
10 |
34 |
2,474 |
| A Markov Chain Estimator of Multivariate Volatility from High Frequency Data |
0 |
0 |
0 |
146 |
2 |
7 |
11 |
247 |
| A Martingale Decomposition of Discrete Markov Chains |
0 |
0 |
0 |
81 |
0 |
0 |
2 |
72 |
| A Multivariate Realized GARCH Model |
0 |
1 |
3 |
41 |
5 |
10 |
40 |
129 |
| A New Method for Generating Random Correlation Matrices |
0 |
0 |
1 |
29 |
1 |
4 |
16 |
43 |
| A New Parametrization of Correlation Matrices |
0 |
0 |
0 |
6 |
0 |
2 |
17 |
40 |
| An Unbiased and Powerful Test for Superior Predictive Ability |
0 |
0 |
1 |
525 |
0 |
1 |
10 |
1,238 |
| Asymptotic Tests of Composite Hypotheses |
0 |
0 |
0 |
157 |
0 |
0 |
8 |
433 |
| Characterizing Correlation Matrices that Admit a Clustered Factor Representation |
0 |
0 |
0 |
8 |
0 |
2 |
8 |
18 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
1 |
3 |
243 |
3 |
11 |
32 |
890 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
0 |
3 |
90 |
1 |
5 |
40 |
246 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
381 |
0 |
3 |
14 |
1,039 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
0 |
2 |
22 |
864 |
| Cluster GARCH |
0 |
0 |
3 |
16 |
2 |
3 |
26 |
38 |
| Consumer Services, Employment and the Informal Economy |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
455 |
| Convolution-t Distributions |
0 |
0 |
2 |
15 |
0 |
2 |
17 |
33 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
3 |
136 |
1 |
18 |
45 |
571 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
2 |
90 |
0 |
14 |
34 |
358 |
| Dynamic Factor Correlation Model |
0 |
0 |
2 |
25 |
3 |
5 |
19 |
28 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
103 |
0 |
4 |
13 |
142 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
7 |
0 |
0 |
7 |
88 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
1 |
1 |
1 |
117 |
1 |
3 |
10 |
341 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
1 |
1 |
75 |
2 |
11 |
35 |
352 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
0 |
0 |
107 |
2 |
3 |
14 |
269 |
| How Should Parameter Estimation Be Tailored to the Objective? |
0 |
0 |
0 |
0 |
1 |
6 |
11 |
22 |
| Model confidence sets for forecasting models |
2 |
3 |
5 |
271 |
3 |
18 |
49 |
719 |
| Moments by Integrating the Moment-Generating Function |
0 |
0 |
3 |
3 |
1 |
7 |
21 |
23 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
1 |
10 |
21 |
278 |
| 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 |
3 |
8 |
103 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
0 |
4 |
17 |
224 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
0 |
5 |
23 |
405 |
| 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 |
8 |
19 |
443 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
6 |
48 |
244 |
| Option Pricing with State-dependent Pricing Kernel |
0 |
0 |
0 |
34 |
1 |
1 |
7 |
30 |
| Option Pricing with Time-Varying Volatility Risk Aversion |
0 |
0 |
5 |
20 |
2 |
12 |
31 |
66 |
| Periodicity in Cryptocurrency Volatility and Liquidity |
0 |
1 |
3 |
26 |
1 |
11 |
25 |
73 |
| Principled Identification of Structural Dynamic Models |
0 |
0 |
16 |
16 |
2 |
5 |
10 |
10 |
| Principled Identification of Structural Dynamic Models |
0 |
2 |
11 |
11 |
0 |
5 |
10 |
10 |
| Quadratic Variation by Markov Chains |
0 |
0 |
0 |
93 |
0 |
2 |
8 |
337 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
1 |
1 |
8 |
728 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
0 |
4 |
12 |
312 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
2 |
7 |
161 |
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium |
0 |
0 |
2 |
73 |
1 |
17 |
39 |
74 |
| Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility |
1 |
3 |
8 |
437 |
5 |
19 |
66 |
1,639 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
1 |
320 |
1 |
5 |
29 |
946 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
1 |
84 |
1 |
4 |
24 |
123 |
| Reduced-Rank Regression: A Useful Determinant Identity |
0 |
0 |
0 |
93 |
0 |
9 |
15 |
272 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
7 |
13 |
377 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
1 |
10 |
19 |
457 |
| Relative Contagiousness of Emerging Virus Variants: An Analysis of the Alpha, Delta, and Omicron SARS-CoV-2 Variants |
0 |
0 |
0 |
4 |
0 |
1 |
5 |
24 |
| Robust Estimation of Realized Correlation: New Insight about Intraday Fluctuations in Market Betas |
0 |
0 |
1 |
17 |
0 |
1 |
13 |
43 |
| Structural Breaks in the Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
411 |
0 |
4 |
7 |
775 |
| Structural Changes in the Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
525 |
1 |
2 |
8 |
1,400 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
1 |
6 |
19 |
273 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
1 |
6 |
18 |
258 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
0 |
3 |
7 |
1,799 |
| The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes |
1 |
1 |
2 |
38 |
2 |
3 |
8 |
152 |
| The Model Confidence Set |
1 |
2 |
7 |
227 |
4 |
19 |
50 |
781 |
| Volatility during the Global Financial Crisis and COVID-19 pandemic through the lens of high-frequency data: a Realized GARCH approach |
0 |
0 |
1 |
1 |
2 |
5 |
8 |
8 |
| Total Working Papers |
7 |
18 |
98 |
8,410 |
60 |
352 |
1,166 |
24,033 |
| 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 |
1 |
2 |
8 |
12 |
2 |
7 |
38 |
86 |
| A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program |
0 |
0 |
1 |
14 |
0 |
3 |
15 |
59 |
| A New Parametrization of Correlation Matrices |
0 |
0 |
3 |
24 |
1 |
2 |
16 |
78 |
| A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data |
0 |
0 |
3 |
168 |
1 |
6 |
25 |
489 |
| A Test for Superior Predictive Ability |
0 |
2 |
7 |
544 |
12 |
47 |
122 |
1,400 |
| A forecast comparison of volatility models: does anything beat a GARCH(1,1)? |
3 |
9 |
16 |
1,450 |
16 |
57 |
151 |
4,241 |
| A martingale decomposition of discrete Markov chains |
0 |
0 |
0 |
5 |
0 |
3 |
10 |
43 |
| A multivariate realized GARCH model |
1 |
2 |
3 |
3 |
2 |
4 |
5 |
5 |
| A new method for generating random correlation matrices |
0 |
1 |
2 |
4 |
1 |
4 |
20 |
24 |
| Characterizing correlation matrices that admit a clustered factor representation |
0 |
0 |
0 |
2 |
2 |
3 |
9 |
11 |
| Choosing the Best Volatility Models: The Model Confidence Set Approach* |
0 |
0 |
0 |
108 |
0 |
3 |
15 |
488 |
| Cluster GARCH |
0 |
0 |
0 |
0 |
1 |
5 |
8 |
8 |
| Comment |
0 |
0 |
0 |
5 |
0 |
1 |
4 |
28 |
| Consistent ranking of volatility models |
0 |
1 |
5 |
448 |
4 |
6 |
26 |
1,125 |
| Convolution-t distributions |
0 |
1 |
1 |
1 |
0 |
2 |
2 |
2 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
1 |
2 |
238 |
4 |
24 |
61 |
783 |
| ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR |
0 |
0 |
0 |
29 |
1 |
3 |
14 |
142 |
| Equivalence Between Out‐of‐Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
7 |
1 |
4 |
18 |
56 |
| Exponential GARCH Modeling With Realized Measures of Volatility |
1 |
1 |
3 |
51 |
2 |
8 |
33 |
194 |
| Granger's representation theorem: A closed-form expression for I(1) processes |
0 |
0 |
0 |
436 |
0 |
1 |
10 |
1,851 |
| How should parameter estimation be tailored to the objective? |
0 |
0 |
2 |
8 |
1 |
5 |
20 |
34 |
| Moving Average-Based Estimators of Integrated Variance |
0 |
1 |
1 |
99 |
1 |
4 |
17 |
410 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
2 |
129 |
2 |
5 |
32 |
466 |
| Option Pricing with the Realized GARCH Model: An Analytical Approximation Approach |
1 |
1 |
1 |
6 |
1 |
2 |
5 |
41 |
| Option pricing with state‐dependent pricing kernel |
0 |
0 |
0 |
2 |
1 |
2 |
7 |
13 |
| Periodicity in Cryptocurrency Volatility and Liquidity* |
1 |
2 |
4 |
6 |
4 |
9 |
32 |
44 |
| REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOLATILITY |
0 |
0 |
0 |
22 |
2 |
4 |
11 |
89 |
| Realized GARCH, CBOE VIX, and the Volatility Risk Premium |
0 |
0 |
3 |
8 |
0 |
13 |
41 |
62 |
| Realized GARCH: a joint model for returns and realized measures of volatility |
0 |
0 |
0 |
0 |
3 |
12 |
49 |
402 |
| Realized Variance and Market Microstructure Noise |
0 |
0 |
2 |
382 |
3 |
12 |
38 |
978 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
1 |
20 |
2 |
7 |
20 |
107 |
| Rejoinder |
0 |
0 |
0 |
17 |
1 |
2 |
7 |
66 |
| 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 |
2 |
373 |
1 |
3 |
14 |
797 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
2 |
9 |
17 |
235 |
| Subsidising consumer services: effects on employment, welfare and the informal economy |
0 |
0 |
0 |
44 |
0 |
6 |
22 |
260 |
| The Greenspan years: an analysis of the magnitude and speed of the equity market response to FOMC announcements |
0 |
0 |
0 |
53 |
0 |
1 |
4 |
168 |
| The Model Confidence Set |
0 |
0 |
0 |
0 |
7 |
27 |
81 |
804 |
| Total Journal Articles |
8 |
24 |
72 |
4,771 |
81 |
316 |
1,026 |
16,098 |
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