| 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)? |
1 |
1 |
9 |
1,169 |
5 |
17 |
60 |
2,195 |
| A Markov Chain Estimator of Multivariate Volatility from High Frequency Data |
0 |
1 |
10 |
140 |
0 |
3 |
22 |
193 |
| A Martingale Decomposition of Discrete Markov Chains |
0 |
0 |
1 |
77 |
0 |
1 |
5 |
52 |
| An Unbiased and Powerful Test for Superior Predictive Ability |
1 |
1 |
9 |
505 |
1 |
1 |
16 |
1,175 |
| Asymptotic Tests of Composite Hypotheses |
0 |
1 |
2 |
154 |
0 |
1 |
7 |
399 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
2 |
5 |
221 |
2 |
10 |
43 |
712 |
| Choice of Sample Split in Out-of-Sample Forecast Evaluation |
0 |
0 |
1 |
73 |
0 |
4 |
11 |
99 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
1 |
2 |
362 |
0 |
2 |
9 |
929 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
1 |
246 |
0 |
0 |
5 |
710 |
| 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 |
2 |
3 |
78 |
1 |
6 |
11 |
274 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
1 |
121 |
0 |
5 |
12 |
401 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
0 |
103 |
0 |
1 |
4 |
104 |
| Equivalence Between Out-of-Sample Forecast Comparisons and Wald Statistics |
0 |
0 |
1 |
7 |
0 |
1 |
4 |
67 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
1 |
111 |
0 |
2 |
6 |
241 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
0 |
1 |
97 |
1 |
4 |
14 |
201 |
| Exponential GARCH Modeling with Realized Measures of Volatility |
0 |
2 |
3 |
67 |
1 |
10 |
25 |
265 |
| Model confidence sets for forecasting models |
0 |
0 |
3 |
245 |
0 |
3 |
9 |
556 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
1 |
66 |
0 |
1 |
4 |
160 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
5 |
0 |
2 |
7 |
32 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
48 |
0 |
1 |
3 |
168 |
| 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 |
0 |
149 |
0 |
1 |
4 |
333 |
| 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 |
2 |
8 |
297 |
| Quadratic Variation by Markov Chains |
0 |
0 |
0 |
84 |
0 |
0 |
2 |
274 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
2 |
350 |
0 |
0 |
7 |
659 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
1 |
3 |
53 |
0 |
9 |
20 |
208 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
21 |
0 |
1 |
3 |
122 |
| Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility |
0 |
2 |
8 |
371 |
2 |
10 |
69 |
1,338 |
| Realized Variance and IID Market Microstructure Noise |
0 |
1 |
2 |
315 |
0 |
2 |
7 |
885 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
0 |
0 |
1 |
75 |
2 |
2 |
9 |
52 |
| Reduced-Rank Regression: A Useful Determinant Identity |
0 |
0 |
5 |
88 |
1 |
1 |
8 |
238 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
1 |
107 |
0 |
1 |
7 |
371 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
2 |
93 |
1 |
2 |
6 |
312 |
| Structural Breaks in the Cointegrated Vector Autoregressive Model |
0 |
0 |
2 |
409 |
0 |
0 |
4 |
757 |
| Structural Changes in the Cointegrated Vector Autoregressive Model |
2 |
2 |
4 |
518 |
2 |
2 |
6 |
1,357 |
| Subsampling realised kernels |
0 |
0 |
0 |
44 |
0 |
0 |
6 |
201 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
3 |
212 |
| Testing the significance of calendar effects |
0 |
3 |
8 |
645 |
1 |
7 |
19 |
1,632 |
| The Johansen-Granger Representation Theorem: An Explicit Expression for I(1) Processes |
0 |
0 |
1 |
33 |
0 |
0 |
2 |
121 |
| The Model Confidence Set |
1 |
3 |
11 |
157 |
6 |
19 |
50 |
413 |
| Total Working Papers |
5 |
24 |
107 |
7,577 |
27 |
134 |
521 |
19,278 |
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