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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 |
0 |
1 |
1 |
314 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
1 |
1 |
7 |
1 |
4 |
9 |
51 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
38 |
0 |
1 |
4 |
97 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
19 |
0 |
1 |
8 |
75 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
4 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
25 |
1 |
5 |
11 |
88 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
13 |
0 |
0 |
5 |
56 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
49 |
0 |
1 |
11 |
86 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
28 |
0 |
2 |
11 |
67 |

A Simple Model for Now-Casting Volatility Series |
0 |
0 |
0 |
48 |
0 |
1 |
4 |
55 |

A dynamic conditional score model for the log correlation matrix |
1 |
1 |
7 |
36 |
5 |
7 |
30 |
48 |

A generalized dynamic conditional correlation model for many asset returns |
0 |
0 |
2 |
66 |
0 |
1 |
6 |
160 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
9 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
15 |
0 |
1 |
8 |
53 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
15 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
46 |
0 |
0 |
2 |
96 |

A simple model for now-casting volatility series |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
3 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
5 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
8 |

A simple solution of the spurious regression problem |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
4 |

An ARCH Model Without Intercept |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
14 |

An ARCH model without intercept |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

An Almost Closed Form Estimator For The EGARCH Model |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

An Almost Closed Form Estimator for the EGARCH |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
7 |

An Almost Closed Form Estimator for the EGARCH model |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
0 |
0 |
3 |
5 |
16 |

An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
74 |
0 |
1 |
1 |
105 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
35 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

An augmented Taylor rule for the Federal Reserveâ€™s response to asset prices |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |

Analytical quasi maximum likelihood inference in multivariate volatility models |
0 |
0 |
0 |
43 |
0 |
1 |
4 |
131 |

Asymmetries in Business Cycles and the Role of Oil Prices |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

Asymmetries in Business Cycles and the Role of Oil Prices |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
5 |

Asymmetries in Business Cycles and the Role of Oil Production |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Asymptotic theory for a factor GARCH model |
0 |
0 |
0 |
57 |
0 |
0 |
0 |
149 |

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

Deciding between GARCH and Stochastic Volatility via Strong Decision Rules |
0 |
0 |
0 |
0 |
0 |
1 |
31 |
31 |

Deciding between GARCH and stochastic volatility via strong decision rules |
0 |
0 |
0 |
101 |
0 |
0 |
2 |
265 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
87 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
9 |
0 |
0 |
5 |
190 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
13 |

Durations, Volume and the Prediction of Financial Returns in Transaction Time |
0 |
0 |
0 |
418 |
0 |
0 |
0 |
730 |

Durations, volume and the prediction of financial returns in transaction time |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
19 |

Dynamic portfolio selection with sector-specific regularization |
1 |
1 |
23 |
23 |
5 |
12 |
99 |
99 |

Dynamic score driven independent component analysis |
0 |
0 |
20 |
20 |
0 |
3 |
58 |
58 |

Dynamic stochastic copula models: Estimation, inference and applications |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
3 |

Dynamic stochastic copula models: estimation, inference and applications |
0 |
1 |
1 |
283 |
3 |
8 |
30 |
664 |

Econometric analysis of volatile art markets |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
10 |

Econometric analysis of volatile art markets |
0 |
0 |
2 |
35 |
0 |
1 |
10 |
169 |

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

Econometric analysis of volatile art markets |
1 |
1 |
2 |
89 |
1 |
1 |
9 |
290 |

Efficient Estimation of a Multivariate Multiplicative Volatility Model |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
32 |

Efficient estimation of a multivariate multiplicative volatility model |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
36 |

Efficient estimation of a semiparametric dynamic copula model |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |

Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
238 |

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

Estimating autocorrelations in the presence of deterministic trends |
0 |
0 |
0 |
73 |
0 |
0 |
4 |
190 |

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case |
0 |
0 |
3 |
23 |
0 |
1 |
22 |
56 |

Estimation of a Multiplicative Covariance Structure |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
27 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
1 |
1 |
11 |
0 |
3 |
14 |
62 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
31 |

Estimation of a multiplicative correlation structure in the large dimensional case |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
1 |

Estimation of a multiplicative covariance structure in the large dimensional case |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
17 |

Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
0 |
23 |
1 |
1 |
5 |
104 |

Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
0 |
21 |
1 |
1 |
5 |
84 |

Exponential-Type GARCH Models With Linear-in-Variance Risk Premium |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |

Exponential-type GARCH models with linear-in-variance risk premium |
1 |
3 |
4 |
38 |
1 |
5 |
18 |
48 |

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

Fair re-valuation of wine as an investment |
0 |
0 |
0 |
15 |
0 |
0 |
7 |
97 |

Fair re-valuation of wine as an investment |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
4 |

Fair re-valuation of wine as an investment |
0 |
0 |
1 |
23 |
0 |
0 |
3 |
83 |

Flexible stochastic volatility structures for high frequency financial data |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
156 |

Foreign Exchange Rates Have Surprising Volatility |
0 |
0 |
0 |
93 |
0 |
2 |
7 |
440 |

Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
60 |
0 |
0 |
1 |
177 |

Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
155 |
0 |
0 |
0 |
446 |

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

Heterogeneous Liquidity Effects in Corporate Bond Spreads |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |

Identification of structural multivariate GARCH models |
0 |
0 |
5 |
62 |
1 |
3 |
20 |
104 |

Identification of structural multivariate GARCH models |
0 |
0 |
0 |
0 |
0 |
5 |
6 |
6 |

Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

Investing in superheroes? Comic art as a new alternative investment |
1 |
3 |
7 |
25 |
4 |
13 |
38 |
72 |

Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

Local government efficiency: The case of Moroccan municipalities |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
4 |

Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

Locally Stationary Factor Models: Identification And Nonparametric Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

Looking Backward and Looking Forward |
0 |
0 |
0 |
16 |
0 |
0 |
13 |
49 |

Looking Backward and Looking Forward |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
6 |

Looking backward and looking forward |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
7 |

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

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

Modelling multivariate volatility of electricity futures |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

Monthly Art Market Returns |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
3 |

Monthly art market returns |
0 |
0 |
2 |
28 |
0 |
1 |
9 |
37 |

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

Multivariate Volatility Modeling of Electricity Futures |
0 |
0 |
0 |
65 |
1 |
1 |
5 |
202 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
149 |
2 |
2 |
3 |
471 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
101 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
14 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
20 |
0 |
0 |
4 |
109 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
6 |

Nonparametric multistep-ahead prediction in time series analysis |
0 |
0 |
0 |
2 |
1 |
2 |
9 |
32 |

On Asymptotic Theory for ARCH (infinity) Models |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
5 |

On Asymptotic Theory for ARCH(infinite) Models |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
52 |

On asymptotic theory for ARCH([infinite]) models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
15 |

On asymptotic theory for ARCH(infinite) models |
0 |
0 |
2 |
2 |
0 |
1 |
6 |
6 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
4 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
7 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
1 |
12 |
0 |
2 |
6 |
90 |

On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

On the estimation of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
0 |
0 |
0 |
127 |
0 |
0 |
0 |
661 |

Ridge regression revisited |
0 |
0 |
2 |
55 |
0 |
3 |
8 |
161 |

Semi-Parametric Modelling of Correlation Dynamics |
0 |
0 |
1 |
57 |
1 |
2 |
5 |
132 |

Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
2 |
2 |
2 |
0 |
4 |
4 |
4 |

Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
0 |
0 |
1 |
7 |
19 |
37 |

Semiparametric multivariate GARCH models |
0 |
0 |
1 |
74 |
0 |
0 |
3 |
160 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
15 |
0 |
1 |
4 |
90 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
33 |
0 |
0 |
2 |
91 |

Sentiment-Induced Bubbles in the Cryptocurrency Market |
0 |
0 |
0 |
0 |
3 |
4 |
12 |
12 |

Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
0 |
0 |
24 |
1 |
1 |
3 |
96 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
0 |
4 |
86 |
2 |
3 |
17 |
206 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
7 |

Support Vector Machines with Evolutionary Model Selection for Default Prediction |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
15 |
0 |
1 |
6 |
69 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
269 |
0 |
1 |
2 |
634 |

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility |
0 |
0 |
0 |
0 |
1 |
4 |
8 |
8 |

Testing for Causality in Variance using Multivariate GARCH Models |
0 |
0 |
1 |
604 |
0 |
1 |
13 |
1,535 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
1 |
1 |
1 |
0 |
3 |
3 |
3 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
0 |
3 |
3 |
11 |
23 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
6 |
80 |
4 |
5 |
18 |
106 |

Testing for causality in variance using multivariate GARCH models |
0 |
0 |
0 |
47 |
0 |
1 |
4 |
131 |

Testing for linear autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
4 |
0 |
1 |
1 |
142 |

Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
35 |

Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
19 |
0 |
0 |
5 |
69 |

The "wrong skewness" problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
38 |

The Effect of Additive Outliers on Fractional Unit Root Tests |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
20 |

The Euro Introduction and Non-Euro Currencies |
0 |
0 |
0 |
214 |
0 |
4 |
11 |
886 |

The Euro-introduction and non-Euro currencies |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
6 |

The Impact of Acquisitions on New Technology Stocks: The Googleâ€“Motorola Case |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

The Spread of the Covid-19 Pandemic in Time and Space |
0 |
0 |
0 |
0 |
4 |
11 |
17 |
17 |

The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

The effect of additive outliers on a fractional unit root test |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

The wrong skewness problem in stochastic frontier models: A new approach |
0 |
0 |
1 |
45 |
2 |
2 |
10 |
73 |

The â€œwrong skewnessâ€Ω problem in stochastic frontier models: A new approach |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
2 |

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

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

The “wrong skewness” problem in stochastic frontier models: a new approach |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
51 |

Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
4 |
10 |
44 |
69 |

Time-Varying Mixture Copula Models with Copula Selection |
1 |
4 |
23 |
23 |
6 |
14 |
24 |
24 |

Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications |
0 |
1 |
5 |
24 |
0 |
2 |
15 |
779 |

Trending Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
2 |

Trending Mixture Copula Models with Copula Selection |
0 |
0 |
3 |
57 |
4 |
5 |
20 |
114 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
9 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
2 |
12 |
12 |

Volatility impulse response functions for multivariate GARCH models |
0 |
3 |
4 |
80 |
0 |
3 |
27 |
1,258 |

Volatility impulse response functions for multivariate GARCH models |
0 |
1 |
6 |
188 |
18 |
42 |
72 |
555 |

Volatility models |
0 |
1 |
5 |
302 |
1 |
4 |
29 |
610 |

Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
11 |

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

Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
30 |
0 |
1 |
1 |
125 |

Volatility of price indices for heterogenous goods with applications to the fine art market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
14 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
32 |

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

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
2 |

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
16 |

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
1 |
65 |
0 |
2 |
10 |
91 |

Total Working Papers |
6 |
25 |
153 |
5,214 |
90 |
288 |
1,286 |
17,434 |