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12 months |
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Last month |
3 months |
12 months |
Total |

A New Method for Volatility Estimation with Applications in Foreign Exchange Rate Series |
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93 |
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318 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
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7 |
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52 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
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19 |
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1 |
77 |

A One Line Derivation of EGARCH |
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1 |
7 |

A One Line Derivation of EGARCH |
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13 |
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1 |
60 |

A One Line Derivation of EGARCH |
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28 |
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69 |

A One Line Derivation of EGARCH |
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25 |
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1 |
4 |
95 |

A Simple Model for Now-Casting Volatility Series |
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50 |
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0 |
1 |
63 |

A dynamic conditional score model for the log correlation matrix |
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1 |
47 |
1 |
2 |
4 |
85 |

A dynamic conditional score model for the log correlation matrix |
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0 |
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0 |
4 |
6 |

A dynamic conditional score model for the log correlation matrix |
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0 |
0 |
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2 |
3 |
3 |

A generalized dynamic conditional correlation model for many asset returns |
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66 |
1 |
1 |
2 |
166 |

A note on the Tobit model in the presence of a duration variable |
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3 |

A note on the Tobit model in the presence of a duration variable |
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15 |
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55 |

A note on the Tobit model in the presence of a duration variable |
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0 |
0 |
0 |
0 |
0 |
0 |
4 |

A note on the Tobit model in the presence of a duration variable |
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0 |
0 |
0 |
0 |
0 |
2 |
12 |

A simple model for now-casting volatility series |
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3 |
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1 |
13 |

A simple model for now-casting volatility series |
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1 |
3 |

A simple model for now-casting volatility series |
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1 |
2 |
18 |

A simple model for now-casting volatility series |
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1 |
4 |
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3 |
5 |
22 |

A simple model for now-casting volatility series |
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48 |
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0 |
0 |
102 |

A simple model for now-casting volatility series |
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0 |
0 |
0 |
1 |
1 |
1 |
7 |

A simple solution of the spurious regression problem |
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0 |
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1 |
6 |
11 |

An ARCH Model Without Intercept |
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16 |

An ARCH model without intercept |
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4 |

An Almost Closed Form Estimator For The EGARCH Model |
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2 |
5 |

An Almost Closed Form Estimator for the EGARCH |
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9 |

An Almost Closed Form Estimator for the EGARCH model |
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1 |
7 |

An almost closed form estimator for the EGARCH model |
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74 |
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108 |

An almost closed form estimator for the EGARCH model |
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21 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
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10 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
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2 |
44 |

An augmented Taylor rule for the Federal Reserveâ€™s response to asset prices |
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1 |
4 |

Analysis of cryptocurrency connectedness based on network to transaction volume ratios |
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1 |
2 |
5 |
7 |

Analytical quasi maximum likelihood inference in multivariate volatility models |
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43 |
2 |
2 |
4 |
138 |

Asymmetries in Business Cycles and the Role of Oil Prices |
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4 |

Asymmetries in Business Cycles and the Role of Oil Prices |
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5 |

Asymmetries in Business Cycles and the Role of Oil Production |
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2 |

Asymptotic theory for a factor GARCH model |
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57 |
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0 |
0 |
151 |

Cross-correlating wavelet coefficients with applications to high-frequency financial time series |
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0 |
0 |
0 |
0 |
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1 |
6 |

Deciding between GARCH and Stochastic Volatility via Strong Decision Rules |
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36 |

Deciding between GARCH and stochastic volatility via strong decision rules |
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1 |
102 |
1 |
1 |
4 |
272 |

Discrete time option pricing with flexible volatility estimation |
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11 |
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0 |
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88 |

Discrete time option pricing with flexible volatility estimation |
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1 |
0 |
0 |
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15 |

Discrete time option pricing with flexible volatility estimation |
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1 |
10 |
0 |
0 |
2 |
193 |

Durations, Volume and the Prediction of Financial Returns in Transaction Time |
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419 |
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732 |

Durations, volume and the prediction of financial returns in transaction time |
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3 |
0 |
0 |
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20 |

Dynamic Autoregressive Liquidity (DArLiQ) |
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18 |
0 |
0 |
4 |
21 |

Dynamic Autoregressive Liquidity (DArLiQ) |
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0 |
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7 |
0 |
1 |
5 |
15 |

Dynamic Autoregressive Liquidity (DArLiQ) |
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0 |
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32 |
0 |
1 |
2 |
14 |

Dynamic Autoregressive Liquidity (DArLiQ) |
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0 |
2 |
11 |
0 |
0 |
7 |
17 |

Dynamic portfolio selection with sector-specific regularization |
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2 |
42 |
0 |
2 |
7 |
149 |

Dynamic portfolio selection with sector-specific regularization |
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0 |
0 |
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1 |
4 |

Dynamic portfolio selection with sector-specific regularization |
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1 |
1 |
0 |
0 |
2 |
9 |

Dynamic score driven independent component analysis |
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2 |
4 |
29 |
2 |
3 |
6 |
84 |

Dynamic score driven independent component analysis |
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0 |
0 |
0 |
0 |
0 |
1 |
3 |

Dynamic stochastic copula models: Estimation, inference and applications |
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2 |
3 |
11 |

Dynamic stochastic copula models: estimation, inference and applications |
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1 |
289 |
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0 |
1 |
677 |

Econometric analysis of volatile art markets |
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0 |
0 |
0 |
0 |
1 |
1 |
21 |

Econometric analysis of volatile art markets |
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92 |
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0 |
4 |
309 |

Econometric analysis of volatile art markets |
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0 |
0 |
0 |
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11 |

Econometric analysis of volatile art markets |
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0 |
0 |
35 |
0 |
0 |
2 |
175 |

Efficient Estimation of a Multivariate Multiplicative Volatility Model |
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0 |
0 |
0 |
0 |
2 |
4 |
38 |

Efficient estimation of a multivariate multiplicative volatility model |
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0 |
0 |
5 |
0 |
0 |
2 |
41 |

Efficient estimation of a semiparametric dynamic copula model |
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0 |
0 |
0 |
0 |
0 |
1 |
12 |

Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models |
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0 |
0 |
0 |
0 |
0 |
0 |
239 |

Estimating autocorrelations in the presence of deterministic trends |
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0 |
0 |
73 |
0 |
0 |
0 |
192 |

Estimating autocorrelations in the presence of deterministic trends |
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0 |
0 |
0 |
0 |
0 |
1 |
2 |

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case |
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0 |
0 |
25 |
2 |
2 |
2 |
64 |

Estimation of a Multiplicative Covariance Structure |
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0 |
0 |
26 |
0 |
1 |
2 |
31 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
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0 |
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22 |
0 |
0 |
0 |
35 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
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0 |
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11 |
0 |
0 |
5 |
86 |

Estimation of a multiplicative correlation structure in the large dimensional case |
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0 |
0 |
0 |
0 |
0 |
0 |
3 |

Estimation of a multiplicative covariance structure in the large dimensional case |
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0 |
0 |
2 |
0 |
0 |
0 |
19 |

Estimation of temporally aggregated multivariate GARCH models |
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0 |
0 |
21 |
0 |
0 |
0 |
84 |

Estimation of temporally aggregated multivariate GARCH models |
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0 |
0 |
24 |
0 |
0 |
0 |
107 |

Exponential-Type GARCH Models With Linear-in-Variance Risk Premium |
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0 |
0 |
0 |
0 |
1 |
1 |
12 |

Exponential-type GARCH models with linear-in-variance risk premium |
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0 |
2 |
45 |
0 |
2 |
6 |
67 |

Fair Revaluation of Wine as an Investment |
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0 |
0 |
0 |
0 |
1 |
2 |
7 |

Fair re-valuation of wine as an investment |
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0 |
1 |
1 |
0 |
0 |
2 |
10 |

Fair re-valuation of wine as an investment |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
109 |

Fair re-valuation of wine as an investment |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
87 |

Flexible stochastic volatility structures for high frequency financial data |
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0 |
0 |
1 |
0 |
0 |
1 |
160 |

Foreign Exchange Rates Have Surprising Volatility |
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0 |
0 |
93 |
0 |
0 |
2 |
444 |

Fourth moments of multivariate GARCH processes |
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0 |
0 |
155 |
0 |
0 |
0 |
449 |

Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
178 |

Heterogeneous Liquidity Effects in Corporate Bond Spreads |
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0 |
0 |
0 |
0 |
0 |
0 |
3 |

Heterogeneous Liquidity Effects in Corporate Bond Spreads |
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0 |
0 |
0 |
1 |
2 |
2 |
9 |

Identification of structural multivariate GARCH models |
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0 |
0 |
64 |
0 |
0 |
1 |
117 |

Identification of structural multivariate GARCH models |
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0 |
0 |
0 |
0 |
0 |
2 |
15 |

Inference in stochastic frontier analysis with dependent error terms |
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0 |
0 |
0 |
0 |
0 |
0 |
6 |

Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |

Investing in superheroes? Comic art as a new alternative investment |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
10 |

Investing in superheroes? Comic art as a new alternative investment |
1 |
1 |
3 |
34 |
3 |
3 |
9 |
109 |

Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
8 |

Local government efficiency: The case of Moroccan municipalities |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |

Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |

Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |

Looking Backward and Looking Forward |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |

Looking Backward and Looking Forward |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
55 |

Looking backward and looking forward |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |

Macroeconomic news surprises and volatility spillover in foreign exchange markets |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Macroeconomic news surprises and volatility spillover in foreign exchange markets |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
3 |

Modelling multivariate volatility of electricity futures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |

Monthly Art Market Returns |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
12 |

Monthly art market returns |
0 |
0 |
1 |
32 |
0 |
0 |
2 |
57 |

Multivariate Time Series Models for Asset Prices |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |

Multivariate Volatility Modeling of Electricity Futures |
0 |
0 |
1 |
66 |
0 |
0 |
1 |
208 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
16 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
149 |
0 |
0 |
0 |
472 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
102 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
110 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
10 |

Nonparametric multistep-ahead prediction in time series analysis |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
34 |

On Asymptotic Theory for ARCH (infinity) Models |
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0 |
0 |
0 |
1 |
1 |
2 |
12 |

On Asymptotic Theory for ARCH(infinite) Models |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
56 |

On asymptotic theory for ARCH([infinite]) models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |

On asymptotic theory for ARCH(infinite) models |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
12 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
93 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
7 |

On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
7 |

On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
0 |
0 |
0 |
127 |
1 |
1 |
1 |
664 |

Panel stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |

Reconciling negative return skewness with positive time-varying risk premia |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

Ridge regression revisited |
0 |
0 |
1 |
56 |
0 |
0 |
4 |
168 |

Semi-Parametric Modelling of Correlation Dynamics |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
135 |

Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
50 |

Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
1 |
7 |
1 |
1 |
3 |
19 |

Semiparametric estimation and variable selection for single-index copula models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |

Semiparametric multivariate GARCH models |
0 |
0 |
1 |
75 |
0 |
0 |
2 |
164 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
91 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
15 |
1 |
1 |
1 |
95 |

Sentiment-Induced Bubbles in the Cryptocurrency Market |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
37 |

Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
99 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
0 |
2 |
95 |
0 |
0 |
4 |
222 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
1 |
1 |
2 |
1 |
3 |
4 |
13 |

Support Vector Machines with Evolutionary Model Selection for Default Prediction |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
16 |

Teaching statistical inference without normality |
0 |
0 |
5 |
127 |
0 |
0 |
7 |
308 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
74 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
269 |
0 |
0 |
1 |
636 |

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
12 |

Testing for Causality in Variance using Multivariate GARCH Models |
0 |
1 |
1 |
608 |
2 |
3 |
7 |
1,553 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
1 |
1 |
2 |
4 |
1 |
2 |
9 |
21 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
30 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
3 |
85 |
0 |
0 |
8 |
127 |

Testing for causality in variance using multivariate GARCH models |
0 |
0 |
1 |
48 |
0 |
0 |
2 |
134 |

Testing for linear autoregressive dynamics under heteroskedasticity |
0 |
0 |
1 |
5 |
0 |
1 |
2 |
145 |

Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
36 |

Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
72 |

The "wrong skewness" problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
41 |

The Effect of Additive Outliers on Fractional Unit Root Tests |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
21 |

The Euro Introduction and Non-Euro Currencies |
0 |
0 |
0 |
216 |
0 |
0 |
1 |
890 |

The Euro-introduction and non-Euro currencies |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |

The Impact of Acquisitions on New Technology Stocks: The Googleâ€“Motorola Case |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |

The Spread of the Covid-19 Pandemic in Time and Space |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
37 |

The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |

The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |

The wrong skewness problem in stochastic frontier models: A new approach |
0 |
1 |
1 |
47 |
0 |
1 |
4 |
94 |

The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
5 |

The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |

The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
6 |

The “wrong skewness” problem in stochastic frontier models: a new approach |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
55 |

Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
25 |

Time-Varying Mixture Copula Models with Copula Selection |
1 |
3 |
12 |
53 |
4 |
9 |
27 |
111 |

Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
110 |

Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications |
0 |
0 |
0 |
26 |
0 |
1 |
2 |
793 |

Trending Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
11 |

Trending Mixture Copula Models with Copula Selection |
0 |
0 |
1 |
59 |
0 |
1 |
5 |
130 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
20 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
3 |
9 |
40 |

Volatility impulse response functions for multivariate GARCH models |
0 |
0 |
0 |
81 |
0 |
0 |
0 |
1,267 |

Volatility impulse response functions for multivariate GARCH models |
0 |
0 |
0 |
192 |
0 |
1 |
4 |
597 |

Volatility models |
0 |
0 |
1 |
307 |
0 |
0 |
2 |
628 |

Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
15 |

Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
6 |

Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
128 |

Volatility of price indices for heterogenous goods with applications to the fine art market |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
33 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
4 |

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
65 |
0 |
0 |
1 |
99 |

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |

Total Working Papers |
4 |
10 |
57 |
5,501 |
31 |
86 |
347 |
18,920 |