| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series |
0 |
0 |
0 |
93 |
2 |
4 |
4 |
323 |
| A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
39 |
0 |
2 |
3 |
120 |
| A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
54 |
| A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
20 |
2 |
4 |
5 |
85 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
14 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
72 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
25 |
2 |
4 |
6 |
103 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
13 |
2 |
2 |
3 |
63 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
50 |
5 |
10 |
14 |
108 |
| A Simple Model for Now-Casting Volatility Series |
0 |
0 |
0 |
50 |
1 |
4 |
5 |
68 |
| A dynamic conditional score model for the log correlation matrix |
0 |
0 |
0 |
49 |
1 |
1 |
3 |
90 |
| A dynamic conditional score model for the log correlation matrix |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
14 |
| A dynamic conditional score model for the log correlation matrix |
0 |
0 |
0 |
0 |
3 |
4 |
6 |
12 |
| A generalized dynamic conditional correlation model for many asset returns |
0 |
0 |
1 |
67 |
4 |
6 |
8 |
176 |
| A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
16 |
0 |
3 |
5 |
62 |
| A note on the Tobit model in the presence of a duration variable |
0 |
0 |
1 |
1 |
0 |
2 |
4 |
7 |
| A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
10 |
10 |
11 |
15 |
| A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
13 |
| A simple model for now-casting volatility series |
0 |
0 |
0 |
3 |
0 |
3 |
3 |
17 |
| A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
7 |
| A simple model for now-casting volatility series |
0 |
0 |
1 |
50 |
3 |
3 |
42 |
145 |
| A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
20 |
| A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
9 |
| A simple model for now-casting volatility series |
0 |
0 |
0 |
5 |
0 |
3 |
4 |
27 |
| A simple solution of the spurious regression problem |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
15 |
| An ARCH Model Without Intercept |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
20 |
| An ARCH model without intercept |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
11 |
| An Almost Closed Form Estimator For The EGARCH Model |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
8 |
| An Almost Closed Form Estimator for the EGARCH |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
| An Almost Closed Form Estimator for the EGARCH model |
0 |
0 |
1 |
1 |
1 |
3 |
6 |
13 |
| An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
74 |
1 |
2 |
5 |
113 |
| An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
| An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
49 |
| An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
12 |
| An augmented Taylor rule for the Federal Reserve’s response to asset prices |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Analysis of cryptocurrency connectedness based on network to transaction volume ratios |
0 |
0 |
0 |
0 |
9 |
13 |
14 |
21 |
| Analytical quasi maximum likelihood inference in multivariate volatility models |
0 |
0 |
0 |
45 |
0 |
1 |
4 |
145 |
| Asymmetries in Business Cycles and the Role of Oil Prices |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
| Asymmetries in Business Cycles and the Role of Oil Prices |
0 |
0 |
0 |
1 |
0 |
3 |
6 |
12 |
| Asymmetries in Business Cycles and the Role of Oil Production |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
| Asymptotic theory for a factor GARCH model |
0 |
0 |
0 |
57 |
0 |
0 |
2 |
153 |
| Cross-correlating wavelet coefficients with applications to high-frequency financial time series |
0 |
0 |
0 |
0 |
2 |
4 |
6 |
12 |
| Deciding between GARCH and Stochastic Volatility via Strong Decision Rules |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
39 |
| Deciding between GARCH and stochastic volatility via strong decision rules |
0 |
0 |
1 |
103 |
0 |
2 |
5 |
279 |
| Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
2 |
1 |
1 |
2 |
19 |
| Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
11 |
1 |
1 |
3 |
91 |
| Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
10 |
2 |
3 |
3 |
196 |
| Durations, Volume and the Prediction of Financial Returns in Transaction Time |
0 |
0 |
0 |
419 |
3 |
5 |
6 |
738 |
| Durations, volume and the prediction of financial returns in transaction time |
0 |
0 |
0 |
3 |
2 |
4 |
5 |
25 |
| Dynamic Autoregressive Liquidity (DArLiQ) |
0 |
0 |
0 |
7 |
1 |
4 |
6 |
22 |
| Dynamic Autoregressive Liquidity (DArLiQ) |
0 |
0 |
1 |
20 |
1 |
3 |
6 |
29 |
| Dynamic Autoregressive Liquidity (DArLiQ) |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
22 |
| Dynamic Autoregressive Liquidity (DArLiQ) |
0 |
1 |
1 |
33 |
1 |
3 |
3 |
17 |
| Dynamic portfolio selection with sector-specific regularization |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
8 |
| Dynamic portfolio selection with sector-specific regularization |
0 |
0 |
0 |
1 |
2 |
3 |
5 |
16 |
| Dynamic portfolio selection with sector-specific regularization |
0 |
0 |
0 |
42 |
1 |
5 |
9 |
162 |
| Dynamic score driven independent component analysis |
0 |
0 |
0 |
30 |
1 |
1 |
3 |
89 |
| Dynamic score driven independent component analysis |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
6 |
| Dynamic stochastic copula models: Estimation, inference and applications |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
21 |
| Dynamic stochastic copula models: estimation, inference and applications |
0 |
0 |
0 |
292 |
10 |
16 |
16 |
700 |
| Econometric analysis of volatile art markets |
0 |
0 |
0 |
92 |
4 |
7 |
10 |
320 |
| Econometric analysis of volatile art markets |
0 |
0 |
0 |
0 |
5 |
7 |
9 |
31 |
| Econometric analysis of volatile art markets |
0 |
0 |
0 |
35 |
3 |
4 |
6 |
182 |
| Econometric analysis of volatile art markets |
0 |
0 |
0 |
0 |
0 |
4 |
6 |
17 |
| Efficient Estimation of a Multivariate Multiplicative Volatility Model |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
41 |
| Efficient estimation of a multivariate multiplicative volatility model |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
50 |
| Efficient estimation of a semiparametric dynamic copula model |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
20 |
| Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
241 |
| Estimating autocorrelations in the presence of deterministic trends |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
| Estimating autocorrelations in the presence of deterministic trends |
0 |
0 |
0 |
73 |
2 |
4 |
5 |
197 |
| Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case |
0 |
1 |
1 |
26 |
0 |
2 |
2 |
68 |
| Estimation of a Multiplicative Covariance Structure |
0 |
0 |
0 |
26 |
0 |
1 |
3 |
35 |
| Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
86 |
| Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
0 |
0 |
22 |
1 |
3 |
3 |
38 |
| Estimation of a multiplicative correlation structure in the large dimensional case |
0 |
0 |
0 |
0 |
5 |
6 |
7 |
10 |
| Estimation of a multiplicative covariance structure in the large dimensional case |
0 |
0 |
0 |
2 |
1 |
2 |
5 |
24 |
| Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
0 |
24 |
3 |
6 |
7 |
114 |
| Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
0 |
21 |
3 |
3 |
7 |
91 |
| Exponential-Type GARCH Models With Linear-in-Variance Risk Premium |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
17 |
| Exponential-type GARCH models with linear-in-variance risk premium |
0 |
0 |
0 |
46 |
2 |
2 |
4 |
76 |
| Fair Revaluation of Wine as an Investment |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
13 |
| Fair re-valuation of wine as an investment |
0 |
0 |
0 |
15 |
1 |
1 |
3 |
112 |
| Fair re-valuation of wine as an investment |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
88 |
| Fair re-valuation of wine as an investment |
0 |
0 |
0 |
1 |
2 |
3 |
6 |
18 |
| Flexible stochastic volatility structures for high frequency financial data |
0 |
0 |
0 |
2 |
3 |
5 |
6 |
168 |
| Foreign Exchange Rates Have Surprising Volatility |
0 |
0 |
0 |
93 |
1 |
2 |
4 |
449 |
| Fourth moments of multivariate GARCH processes |
0 |
0 |
2 |
157 |
1 |
4 |
7 |
456 |
| Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
60 |
1 |
2 |
6 |
184 |
| Heterogeneous Liquidity Effects in Corporate Bond Spreads |
0 |
0 |
2 |
2 |
2 |
2 |
6 |
16 |
| Heterogeneous Liquidity Effects in Corporate Bond Spreads |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Identification of structural multivariate GARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
19 |
| Identification of structural multivariate GARCH models |
0 |
0 |
0 |
64 |
1 |
2 |
2 |
122 |
| Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
| Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
8 |
| Investing in superheroes? Comic art as a new alternative investment |
0 |
1 |
2 |
36 |
0 |
4 |
11 |
126 |
| Investing in superheroes? Comic art as a new alternative investment |
0 |
0 |
0 |
0 |
24 |
35 |
44 |
59 |
| Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
14 |
| Local government efficiency: The case of Moroccan municipalities |
0 |
0 |
0 |
3 |
0 |
2 |
7 |
19 |
| Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
| Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
2 |
5 |
9 |
16 |
| Looking Backward and Looking Forward |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
10 |
| Looking Backward and Looking Forward |
0 |
0 |
0 |
17 |
2 |
3 |
4 |
61 |
| Looking backward and looking forward |
0 |
0 |
0 |
0 |
2 |
4 |
6 |
15 |
| Macroeconomic news surprises and volatility spillover in foreign exchange markets |
0 |
0 |
0 |
1 |
1 |
2 |
2 |
5 |
| Macroeconomic news surprises and volatility spillover in foreign exchange markets |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
| Modelling multivariate volatility of electricity futures |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
| Monthly Art Market Returns |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
16 |
| Monthly art market returns |
0 |
1 |
1 |
33 |
2 |
5 |
6 |
64 |
| Multivariate Time Series Models for Asset Prices |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
5 |
| Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
149 |
3 |
5 |
6 |
478 |
| Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
21 |
4 |
6 |
6 |
109 |
| Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
3 |
2 |
2 |
3 |
19 |
| Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
20 |
1 |
3 |
5 |
115 |
| Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
15 |
| Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
66 |
1 |
4 |
5 |
213 |
| Nonparametric multistep-ahead prediction in time series analysis |
0 |
0 |
0 |
2 |
1 |
2 |
6 |
40 |
| On Asymptotic Theory for ARCH (infinity) Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
| On Asymptotic Theory for ARCH(infinite) Models |
0 |
0 |
0 |
10 |
4 |
7 |
8 |
65 |
| On asymptotic theory for ARCH([infinite]) models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
20 |
| On asymptotic theory for ARCH(infinite) models |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
14 |
| On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
12 |
| On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
1 |
1 |
13 |
1 |
7 |
10 |
108 |
| On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
2 |
4 |
6 |
13 |
| On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
11 |
| On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
17 |
| Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
0 |
0 |
0 |
127 |
1 |
3 |
5 |
669 |
| Panel stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| Reconciling negative return skewness with positive time-varying risk premia |
0 |
0 |
0 |
0 |
2 |
3 |
4 |
6 |
| Ridge regression revisited |
0 |
1 |
4 |
62 |
1 |
2 |
11 |
184 |
| Semi-Parametric Modelling of Correlation Dynamics |
0 |
0 |
0 |
58 |
1 |
3 |
3 |
142 |
| Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
0 |
0 |
3 |
3 |
5 |
59 |
| Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
0 |
8 |
2 |
3 |
5 |
26 |
| Semiparametric estimation and variable selection for single-index copula models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
| Semiparametric multivariate GARCH models |
0 |
0 |
1 |
76 |
2 |
2 |
5 |
169 |
| Semiparametric multivariate volatility models |
0 |
0 |
0 |
33 |
2 |
4 |
6 |
97 |
| Semiparametric multivariate volatility models |
0 |
0 |
0 |
15 |
1 |
3 |
3 |
99 |
| Sentiment-Induced Bubbles in the Cryptocurrency Market |
0 |
0 |
0 |
0 |
1 |
5 |
10 |
48 |
| Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
0 |
0 |
25 |
2 |
2 |
4 |
106 |
| Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
0 |
1 |
3 |
1 |
3 |
6 |
22 |
| Support Vector Machines with Evolutionary Model Selection for Default Prediction |
0 |
0 |
0 |
0 |
2 |
2 |
7 |
32 |
| Support vector machines with evolutionary feature selection for default prediction |
0 |
0 |
1 |
97 |
0 |
0 |
2 |
226 |
| Teaching statistical inference without normality |
0 |
1 |
1 |
128 |
0 |
2 |
9 |
318 |
| Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
17 |
5 |
6 |
10 |
84 |
| Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
269 |
0 |
2 |
5 |
641 |
| Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
16 |
| Testing for Causality in Variance using Multivariate GARCH Models |
0 |
1 |
1 |
610 |
2 |
4 |
11 |
1,567 |
| Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
33 |
| Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
85 |
0 |
3 |
4 |
131 |
| Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
4 |
1 |
2 |
2 |
27 |
| Testing for causality in variance using multivariate GARCH models |
0 |
0 |
0 |
48 |
0 |
0 |
1 |
137 |
| Testing for linear autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
5 |
2 |
3 |
6 |
151 |
| Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
6 |
0 |
1 |
4 |
41 |
| Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
19 |
2 |
2 |
2 |
74 |
| The "wrong skewness" problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
48 |
| The Effect of Additive Outliers on Fractional Unit Root Tests |
0 |
0 |
0 |
0 |
2 |
2 |
4 |
25 |
| The Euro Introduction and Non-Euro Currencies |
0 |
1 |
1 |
217 |
1 |
4 |
7 |
898 |
| The Euro-introduction and non-Euro currencies |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
15 |
| The Impact of Acquisitions on New Technology Stocks: The Google–Motorola Case |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
| The Spread of the Covid-19 Pandemic in Time and Space |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
44 |
| The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
| The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
6 |
| The wrong skewness problem in stochastic frontier models: A new approach |
0 |
0 |
1 |
48 |
2 |
5 |
9 |
105 |
| The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
1 |
3 |
5 |
6 |
11 |
| The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
9 |
| The “wrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
4 |
| The “wrong skewness” problem in stochastic frontier models: a new approach |
0 |
0 |
0 |
9 |
0 |
2 |
4 |
60 |
| Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
2 |
6 |
9 |
125 |
| Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
5 |
10 |
13 |
40 |
| Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications |
0 |
0 |
1 |
29 |
0 |
0 |
3 |
799 |
| Trending Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
61 |
1 |
5 |
7 |
139 |
| Trending Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
15 |
| Volatility Models |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
49 |
| Volatility Models |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
26 |
| Volatility impulse response functions for multivariate GARCH models |
0 |
0 |
0 |
192 |
2 |
8 |
11 |
609 |
| Volatility impulse response functions for multivariate GARCH models |
0 |
0 |
0 |
81 |
0 |
1 |
2 |
1,270 |
| Volatility models |
0 |
0 |
2 |
313 |
2 |
14 |
20 |
658 |
| Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
21 |
| Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
32 |
3 |
5 |
7 |
139 |
| Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
1 |
0 |
3 |
5 |
12 |
| Volatility of price indices for heterogenous goods with applications to the fine art market |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
8 |
| Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
19 |
| Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
2 |
0 |
2 |
3 |
36 |
| Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
1 |
1 |
4 |
4 |
8 |
| Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
65 |
0 |
4 |
6 |
106 |
| Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
18 |
| Total Working Papers |
0 |
9 |
30 |
5,603 |
267 |
558 |
944 |
20,208 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets |
0 |
1 |
1 |
95 |
2 |
8 |
12 |
252 |
| A Lagrange multiplier test for causality in variance |
1 |
1 |
2 |
211 |
2 |
4 |
7 |
436 |
| A One Line Derivation of EGARCH |
0 |
0 |
0 |
34 |
1 |
1 |
4 |
147 |
| A Starting Note: Panel Stochastic Frontier Analysis with Dependent Error Terms |
0 |
0 |
1 |
5 |
0 |
3 |
9 |
20 |
| A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
62 |
| A simple model for now-casting volatility series |
0 |
0 |
2 |
15 |
1 |
4 |
8 |
56 |
| A simple solution of the spurious regression problem |
0 |
0 |
0 |
31 |
1 |
2 |
6 |
156 |
| AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL |
0 |
0 |
0 |
3 |
0 |
3 |
6 |
33 |
| ASYMMETRIES IN BUSINESS CYCLES AND THE ROLE OF OIL PRICES |
0 |
0 |
1 |
5 |
1 |
1 |
3 |
23 |
| ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL |
0 |
0 |
2 |
45 |
16 |
17 |
23 |
131 |
| Alternative Assets and Cryptocurrencies |
0 |
0 |
1 |
22 |
0 |
5 |
17 |
93 |
| An ARCH model without intercept |
0 |
1 |
1 |
20 |
0 |
3 |
7 |
98 |
| An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
1 |
22 |
2 |
2 |
6 |
97 |
| Analysis of cryptocurrency connectedness based on network to transaction volume ratios |
0 |
0 |
6 |
11 |
24 |
41 |
74 |
93 |
| Analytical quasi maximum likelihood inference in multivariate volatility models |
0 |
0 |
0 |
76 |
2 |
7 |
11 |
169 |
| Causality and forecasting in temporally aggregated multivariate GARCH processes |
0 |
0 |
0 |
48 |
0 |
2 |
2 |
189 |
| Comment |
0 |
0 |
0 |
5 |
1 |
1 |
2 |
39 |
| Cross-correlating wavelet coefficients with applications to high-frequency financial time series |
0 |
0 |
0 |
43 |
0 |
0 |
4 |
112 |
| Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
483 |
2 |
5 |
6 |
1,598 |
| Durations, volume and the prediction of financial returns in transaction time |
0 |
0 |
0 |
6 |
2 |
6 |
6 |
38 |
| Dynamic stochastic copula models: estimation, inference and applications |
0 |
0 |
0 |
0 |
1 |
6 |
13 |
256 |
| Econometric analysis of volatile art markets |
0 |
0 |
0 |
20 |
3 |
5 |
6 |
125 |
| Efficient estimation of a multivariate multiplicative volatility model |
0 |
0 |
1 |
87 |
1 |
5 |
8 |
219 |
| Efficient estimation of a semiparametric dynamic copula model |
0 |
0 |
0 |
86 |
0 |
4 |
9 |
197 |
| Estimating Autocorrelations in the Presence of Deterministic Trends |
0 |
0 |
0 |
43 |
1 |
2 |
5 |
157 |
| Estimation of a multiplicative correlation structure in the large dimensional case |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
33 |
| Exponential-Type GARCH Models With Linear-in-Variance Risk Premium |
0 |
0 |
1 |
8 |
1 |
3 |
5 |
24 |
| Fair Revaluation of Wine as an Investment* |
0 |
0 |
0 |
8 |
1 |
2 |
4 |
40 |
| Fourth Moment Structure of Multivariate GARCH Models |
0 |
0 |
0 |
0 |
2 |
3 |
6 |
298 |
| Identification of structural multivariate GARCH models |
0 |
0 |
2 |
12 |
2 |
5 |
13 |
50 |
| Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
1 |
7 |
0 |
0 |
4 |
42 |
| Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
8 |
0 |
1 |
1 |
41 |
| Information Spillover, Volatility and the Currency Markets for the Binary Choice Model |
0 |
0 |
0 |
27 |
2 |
4 |
7 |
159 |
| LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION |
0 |
0 |
1 |
20 |
2 |
4 |
12 |
83 |
| Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
0 |
1 |
6 |
11 |
147 |
| Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
9 |
1 |
1 |
3 |
65 |
| Looking Backward and Looking Forward |
0 |
0 |
0 |
7 |
1 |
1 |
1 |
41 |
| MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES |
0 |
0 |
0 |
36 |
1 |
6 |
7 |
120 |
| Macroeconomic news surprises and volatility spillover in foreign exchange markets |
0 |
0 |
1 |
25 |
0 |
5 |
7 |
98 |
| Monthly Art Market Returns |
0 |
0 |
0 |
8 |
1 |
2 |
6 |
49 |
| Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
51 |
0 |
3 |
4 |
142 |
| Nonparametric multistep‐ahead prediction in time series analysis |
0 |
0 |
0 |
89 |
0 |
2 |
3 |
340 |
| On Asymptotic Theory for ARCH (∞) Models |
0 |
0 |
0 |
4 |
2 |
2 |
3 |
25 |
| On asymptotic theory for multivariate GARCH models |
0 |
1 |
1 |
61 |
3 |
4 |
11 |
184 |
| On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
4 |
0 |
3 |
5 |
70 |
| On the estimation of dynamic conditional correlation models |
0 |
0 |
1 |
59 |
3 |
5 |
8 |
168 |
| Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
0 |
0 |
0 |
91 |
0 |
7 |
8 |
279 |
| Reconciling negative return skewness with positive time-varying risk premia |
0 |
0 |
0 |
1 |
1 |
2 |
4 |
7 |
| Ridge regression revisited |
0 |
0 |
0 |
37 |
0 |
2 |
4 |
109 |
| SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
113 |
| Semiparametric estimation and variable selection for single‐index copula models |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
15 |
| Sentiment-Induced Bubbles in the Cryptocurrency Market |
0 |
0 |
4 |
25 |
2 |
7 |
22 |
123 |
| Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
24 |
| Statistics of Financial Markets: An Introduction, 2nd Edition by Jürgen Franke, Wolfgang K. Härdle, Christian M. Hafner |
0 |
0 |
1 |
85 |
0 |
2 |
4 |
234 |
| Structural analysis of portfolio risk using beta impulse response functions |
0 |
0 |
0 |
3 |
2 |
3 |
5 |
15 |
| THE IMPACT OF ACQUISITIONS ON NEW TECHNOLOGY STOCKS: THE GOOGLE–MOTOROLA CASE |
0 |
1 |
2 |
15 |
7 |
10 |
14 |
75 |
| Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
71 |
0 |
0 |
2 |
197 |
| Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility |
0 |
0 |
4 |
23 |
2 |
3 |
14 |
102 |
| Testing for Causality in Variance Usinf Multivariate GARCH Models |
0 |
0 |
2 |
10 |
5 |
7 |
13 |
63 |
| Testing for linear autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
10 |
3 |
4 |
6 |
495 |
| Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity |
0 |
0 |
0 |
71 |
2 |
6 |
8 |
163 |
| The Spread of the Covid-19 Pandemic in Time and Space |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
6 |
| The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
2 |
1 |
1 |
2 |
50 |
| The euro introduction and noneuro currencies |
0 |
0 |
0 |
39 |
0 |
1 |
2 |
200 |
| The “wrong skewness” problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
37 |
| Volatility impulse responses for multivariate GARCH models: An exchange rate illustration |
1 |
4 |
7 |
440 |
5 |
19 |
31 |
984 |
| Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market |
0 |
0 |
1 |
16 |
1 |
3 |
6 |
78 |
| WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS |
0 |
0 |
0 |
2 |
1 |
2 |
4 |
26 |
| Total Journal Articles |
2 |
9 |
48 |
2,850 |
119 |
284 |
542 |
10,410 |
LogEc is hosted by the
Örebro University School of Business.