| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Degeneracy in the Analysis of Volatility and Covolatility Effects |
0 |
0 |
1 |
18 |
0 |
0 |
2 |
70 |
| Causality Between Returns and Trated Volumes |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
52 |
| Compound Autoregressive Models |
2 |
2 |
2 |
78 |
3 |
3 |
9 |
271 |
| DYNAMIC QUANTILE MODELS |
0 |
1 |
1 |
403 |
1 |
5 |
12 |
776 |
| Dynamic Factor Models |
0 |
1 |
2 |
37 |
3 |
7 |
15 |
107 |
| Filtering and Prediction in Noncausal Processes |
0 |
1 |
5 |
171 |
1 |
4 |
22 |
179 |
| Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors |
0 |
0 |
1 |
257 |
1 |
2 |
9 |
2,351 |
| Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors |
0 |
0 |
0 |
89 |
0 |
1 |
8 |
323 |
| GARCH for Irregularly Spaced Data: The ACD-GARCH Model |
0 |
0 |
5 |
1,385 |
1 |
1 |
18 |
5,764 |
| Inference for Noisy Long Run Component Process |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| Kernel Autocorrelogram for Time Deformed Processes |
0 |
0 |
0 |
164 |
0 |
0 |
5 |
1,521 |
| L-performance with an application to hedge funds |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
46 |
| Local Likelihood Density Estimation and Value at Risk |
0 |
0 |
0 |
33 |
1 |
1 |
3 |
83 |
| Market Time and Asset Price Movements Theory and Estimation |
0 |
0 |
1 |
606 |
0 |
0 |
6 |
2,226 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
1 |
30 |
0 |
1 |
7 |
213 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
375 |
| Misspecification of Causal and Noncausal Orders in Autoregressive Processes |
0 |
0 |
2 |
42 |
0 |
1 |
7 |
116 |
| Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives |
0 |
1 |
1 |
47 |
2 |
8 |
16 |
170 |
| Nonlinear Autocorrelograms: An Application to Intra-Trade Durations |
0 |
0 |
0 |
14 |
0 |
1 |
6 |
50 |
| Nonlinear Innovations and Impulse Response |
0 |
0 |
0 |
12 |
0 |
0 |
5 |
60 |
| Nonlinear Panel Data Models with Dynamic Heterogeneity |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
48 |
| Nonlinear Persistence and Copersistence |
0 |
0 |
1 |
15 |
0 |
1 |
4 |
61 |
| Nonlinear Persistence and Copersistence |
0 |
0 |
0 |
55 |
0 |
0 |
6 |
144 |
| Nonlinear innovations and impulse responses |
0 |
0 |
0 |
288 |
1 |
2 |
9 |
1,302 |
| Persistence in Intertrade Durations |
1 |
1 |
3 |
147 |
4 |
4 |
16 |
409 |
| Robust Analysis of the Martingale Hypothesis |
0 |
0 |
0 |
7 |
3 |
4 |
12 |
36 |
| Semi-Parametric Estimation of Noncausal Vector Autoregression |
0 |
0 |
4 |
53 |
1 |
2 |
16 |
122 |
| Stationary Bubble Equilibria in Rational Expectation Models |
1 |
1 |
11 |
21 |
1 |
2 |
29 |
65 |
| Stochastic Volatility Duration Models |
0 |
0 |
1 |
36 |
0 |
0 |
5 |
114 |
| Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects |
1 |
2 |
5 |
578 |
2 |
5 |
21 |
2,936 |
| Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
0 |
3 |
9 |
17 |
310 |
| Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects |
0 |
0 |
1 |
35 |
0 |
1 |
21 |
196 |
| Structural Laplace Transform and Compound Autoregressive Models |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
14 |
| The Ordered Qualitative Model For Credit Rating Transitions |
1 |
2 |
3 |
519 |
3 |
8 |
20 |
1,224 |
| The Wishart Autoregressive Process of Multivariate Stochastic Volatility |
0 |
1 |
4 |
705 |
3 |
5 |
12 |
1,294 |
| The Wishart Autoregressive of Multivariate Stochastic Volatility |
0 |
0 |
0 |
27 |
0 |
0 |
4 |
69 |
| Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus |
1 |
11 |
36 |
36 |
1 |
12 |
23 |
23 |
| Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets |
0 |
1 |
3 |
788 |
1 |
3 |
18 |
2,996 |
| Truncated Maximum Likelihood and Nonparametric Tail Analysis |
0 |
0 |
0 |
20 |
0 |
0 |
3 |
49 |
| Total Working Papers |
7 |
25 |
94 |
6,763 |
38 |
96 |
405 |
26,167 |
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