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Abstract Views |

Last month |
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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 |
0 |
1 |
313 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
1 |
19 |
1 |
4 |
9 |
73 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
0 |
6 |
3 |
4 |
6 |
47 |

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process |
0 |
0 |
1 |
38 |
1 |
3 |
7 |
96 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
13 |
0 |
2 |
7 |
56 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
25 |
1 |
4 |
9 |
83 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
28 |
0 |
4 |
15 |
63 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
4 |

A One Line Derivation of EGARCH |
0 |
0 |
0 |
49 |
1 |
6 |
16 |
84 |

A Simple Model for Now-Casting Volatility Series |
0 |
0 |
0 |
48 |
0 |
1 |
4 |
54 |

A dynamic conditional score model for the log correlation matrix |
0 |
1 |
32 |
34 |
3 |
4 |
34 |
37 |

A generalized dynamic conditional correlation model for many asset returns |
1 |
2 |
2 |
66 |
3 |
4 |
7 |
159 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
15 |
2 |
2 |
4 |
49 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
3 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
2 |

A note on the Tobit model in the presence of a duration variable |
0 |
0 |
0 |
0 |
2 |
2 |
7 |
9 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
1 |
3 |
6 |
6 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
5 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
15 |

A simple model for now-casting volatility series |
0 |
0 |
0 |
46 |
0 |
0 |
2 |
95 |

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

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

A simple solution of the spurious regression problem |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
3 |

An ARCH Model Without Intercept |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
14 |

An ARCH model without intercept |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

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

An Almost Closed Form Estimator for the EGARCH |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
6 |

An Almost Closed Form Estimator for the EGARCH model |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
2 |

An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
104 |

An almost closed form estimator for the EGARCH model |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
11 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |

An augmented Taylor rule for the Federal Reserve's response to asset prices |
0 |
0 |
0 |
0 |
1 |
2 |
13 |
34 |

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

Analytical quasi maximum likelihood inference in multivariate volatility models |
0 |
0 |
2 |
43 |
1 |
1 |
8 |
130 |

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 |
1 |
3 |
4 |
4 |

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 |
1 |
57 |
0 |
0 |
2 |
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 |
2 |
30 |
30 |

Deciding between GARCH and stochastic volatility via strong decision rules |
0 |
0 |
0 |
101 |
0 |
1 |
3 |
265 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
11 |
0 |
1 |
4 |
87 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
1 |
0 |
0 |
4 |
13 |

Discrete time option pricing with flexible volatility estimation |
0 |
0 |
0 |
9 |
4 |
5 |
7 |
190 |

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 |
4 |
19 |

Dynamic portfolio selection with sector-specific regularization |
9 |
9 |
9 |
9 |
68 |
68 |
68 |
68 |

Dynamic score driven independent component analysis |
4 |
4 |
4 |
4 |
32 |
32 |
32 |
32 |

Dynamic stochastic copula models: Estimation, inference and applications |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

Dynamic stochastic copula models: estimation, inference and applications |
0 |
0 |
4 |
282 |
1 |
4 |
24 |
653 |

Econometric analysis of volatile art markets |
0 |
0 |
2 |
35 |
0 |
1 |
17 |
168 |

Econometric analysis of volatile art markets |
0 |
1 |
2 |
88 |
0 |
2 |
10 |
286 |

Econometric analysis of volatile art markets |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
10 |

Econometric analysis of volatile art markets |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
9 |

Efficient Estimation of a Multivariate Multiplicative Volatility Model |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
32 |

Efficient estimation of a multivariate multiplicative volatility model |
0 |
0 |
1 |
5 |
0 |
0 |
2 |
36 |

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

Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
236 |

Estimating autocorrelations in the presence of deterministic trends |
0 |
0 |
0 |
73 |
0 |
1 |
5 |
190 |

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

Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case |
1 |
1 |
5 |
23 |
6 |
8 |
27 |
52 |

Estimation of a Multiplicative Covariance Structure |
0 |
0 |
0 |
26 |
1 |
1 |
3 |
27 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
0 |
0 |
10 |
3 |
3 |
16 |
58 |

Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
31 |

Estimation of a multiplicative covariance structure in the large dimensional case |
0 |
0 |
0 |
2 |
1 |
1 |
3 |
17 |

Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
0 |
23 |
0 |
2 |
5 |
102 |

Estimation of temporally aggregated multivariate GARCH models |
0 |
0 |
2 |
21 |
0 |
1 |
13 |
83 |

Exponential-type GARCH models with linear-in-variance risk premium |
0 |
0 |
7 |
35 |
3 |
4 |
24 |
38 |

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

Fair re-valuation of wine as an investment |
0 |
0 |
3 |
22 |
1 |
1 |
6 |
82 |

Fair re-valuation of wine as an investment |
0 |
0 |
1 |
15 |
1 |
1 |
12 |
97 |

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

Flexible stochastic volatility structures for high frequency financial data |
0 |
1 |
1 |
1 |
0 |
3 |
4 |
156 |

Foreign Exchange Rates Have Surprising Volatility |
0 |
0 |
0 |
93 |
1 |
1 |
4 |
436 |

Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
155 |
0 |
0 |
3 |
446 |

Fourth moments of multivariate GARCH processes |
0 |
0 |
0 |
60 |
0 |
0 |
2 |
177 |

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

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

Identification of structural multivariate GARCH models |
0 |
0 |
10 |
61 |
2 |
4 |
27 |
100 |

Inference in stochastic frontier analysis with dependent error terms |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
2 |

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

Investing in superheroes? Comic art as a new alternative investment |
0 |
2 |
11 |
22 |
4 |
9 |
38 |
51 |

Local Government Efficiency: The Case of Moroccan Municipalities |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
3 |

Local government efficiency: The case of Moroccan municipalities |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
4 |

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

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

Looking Backward and Looking Forward |
0 |
0 |
0 |
0 |
2 |
3 |
5 |
5 |

Looking Backward and Looking Forward |
0 |
0 |
0 |
16 |
1 |
3 |
12 |
47 |

Looking backward and looking forward |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
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 |
0 |
0 |
0 |

Monthly art market returns |
0 |
0 |
5 |
28 |
1 |
3 |
16 |
35 |

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

Multivariate Volatility Modeling of Electricity Futures |
0 |
0 |
0 |
65 |
1 |
2 |
6 |
200 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
149 |
0 |
1 |
4 |
469 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
21 |
0 |
0 |
5 |
101 |

Multivariate mixed normal conditional heteroskedasticity |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
14 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
5 |

Multivariate volatility modeling of electricity futures |
0 |
0 |
0 |
20 |
0 |
2 |
8 |
109 |

Nonparametric multistep-ahead prediction in time series analysis |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
27 |

On Asymptotic Theory for ARCH (infinity) Models |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
4 |

On Asymptotic Theory for ARCH(infinite) Models |
0 |
0 |
3 |
9 |
0 |
0 |
8 |
52 |

On asymptotic theory for ARCH([infinite]) models |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
15 |

On asymptotic theory for ARCH(infinite) models |
0 |
0 |
2 |
2 |
0 |
1 |
5 |
5 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
3 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |

On heterogeneous latent class models with applications to the analysis of rating scores |
0 |
1 |
1 |
12 |
0 |
2 |
8 |
88 |

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

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

Option pricing under linear autoregressive dynamics, heteroskedasticity, and conditional leptokurtosis |
0 |
0 |
0 |
127 |
0 |
0 |
1 |
661 |

Ridge regression revisited |
0 |
0 |
2 |
55 |
2 |
2 |
7 |
158 |

Semi-Parametric Modelling of Correlation Dynamics |
1 |
1 |
3 |
57 |
1 |
1 |
8 |
129 |

Semiparametric Estimation and Variable Selection for Single-index Copula Models |
0 |
0 |
0 |
0 |
2 |
3 |
13 |
25 |

Semiparametric multivariate GARCH models |
0 |
0 |
1 |
74 |
0 |
0 |
6 |
159 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
15 |
0 |
2 |
6 |
88 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
90 |

Sentiment-Induced Bubbles in the Cryptocurrency Market |
0 |
0 |
0 |
0 |
2 |
4 |
7 |
7 |

Simple approximations for option pricing under mean reversion and stochastic volatility |
0 |
0 |
0 |
24 |
0 |
1 |
5 |
94 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
1 |
5 |
86 |
1 |
4 |
15 |
199 |

Support Vector Machines with Evolutionary Feature Selection for Default Prediction |
0 |
0 |
0 |
0 |
2 |
2 |
5 |
5 |

Support Vector Machines with Evolutionary Model Selection for Default Prediction |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
269 |
1 |
1 |
4 |
633 |

Temporal aggregation of multivariate GARCH processes |
0 |
0 |
0 |
15 |
1 |
2 |
7 |
67 |

Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |

Testing for Causality in Variance using Multivariate GARCH Models |
0 |
0 |
2 |
604 |
2 |
3 |
23 |
1,533 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
0 |
0 |
0 |
0 |
0 |
2 |
17 |
17 |

Testing for bubbles in cryptocurrencies with time-varying volatility |
2 |
2 |
11 |
80 |
5 |
6 |
28 |
101 |

Testing for causality in variance using multivariate GARCH models |
0 |
0 |
0 |
47 |
1 |
2 |
5 |
129 |

Testing for linear autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
141 |

Testing for vector autoregressive dynamics under heteroskedasticity |
0 |
0 |
0 |
19 |
1 |
1 |
5 |
68 |

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

The "wrong skewness" problem in stochastic frontier models: A new approach |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
37 |

The Effect of Additive Outliers on Fractional Unit Root Tests |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
20 |

The Euro Introduction and Non-Euro Currencies |
0 |
0 |
3 |
214 |
1 |
1 |
12 |
880 |

The Euro-introduction and non-Euro currencies |
0 |
0 |
0 |
0 |
1 |
4 |
5 |
5 |

The Impact of Acquisitions on New Technology Stocks: The Googleâ€“Motorola Case |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |

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 |
0 |
2 |
2 |

The wrong skewness problem in stochastic frontier models: A new approach |
0 |
0 |
1 |
45 |
0 |
0 |
14 |
70 |

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 |
0 |
2 |
4 |
4 |

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

The “wrong skewness” problem in stochastic frontier models: a new approach |
0 |
0 |
1 |
9 |
1 |
1 |
7 |
49 |

Time-Varying Mixture Copula Models with Copula Selection |
0 |
0 |
0 |
0 |
5 |
13 |
37 |
51 |

Time-varying market price of risk in the CAPM: Approaches, empirical evidence and implications |
0 |
1 |
5 |
23 |
0 |
1 |
19 |
774 |

Trending Mixture Copula Models with Copula Selection |
0 |
0 |
5 |
57 |
2 |
5 |
28 |
107 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
4 |

Volatility Models |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
8 |

Volatility impulse response functions for multivariate GARCH models |
0 |
0 |
2 |
77 |
4 |
6 |
21 |
1,249 |

Volatility impulse response functions for multivariate GARCH models |
0 |
1 |
5 |
187 |
6 |
9 |
45 |
511 |

Volatility models |
0 |
0 |
8 |
300 |
2 |
10 |
35 |
602 |

Volatility of Price Indices for Heterogeneous Goods with Applications to the Fine Art Market |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
9 |

Volatility of price indices for heterogeneous goods |
0 |
0 |
0 |
30 |
0 |
0 |
3 |
124 |

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

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

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

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
32 |

Weak Diffusion Limits of Dynamic Conditional Correlation Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
14 |

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

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
64 |
3 |
3 |
12 |
88 |

Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
15 |

Total Working Papers |
19 |
29 |
168 |
5,136 |
212 |
360 |
1,253 |
16,957 |