| 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 |
0 |
18 |
0 |
0 |
2 |
78 |
| An econometric panel data model of the COVID-19 pandemic |
0 |
0 |
0 |
1 |
0 |
2 |
3 |
13 |
| Causality Between Returns and Trated Volumes |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
60 |
| Composite Likelihood for Stochastic Migration Model with Unobserved Factor |
0 |
0 |
1 |
12 |
1 |
3 |
7 |
12 |
| Compound Autoregressive Models |
0 |
0 |
1 |
83 |
0 |
0 |
1 |
280 |
| DYNAMIC QUANTILE MODELS |
0 |
0 |
0 |
411 |
0 |
2 |
5 |
805 |
| Digital Divide: Empirical Study of CIUS 2020 |
0 |
0 |
0 |
9 |
0 |
0 |
4 |
20 |
| Dynamic Factor Models |
0 |
0 |
2 |
39 |
0 |
0 |
6 |
119 |
| Filtering and Prediction in Noncausal Processes |
0 |
0 |
0 |
180 |
0 |
0 |
1 |
204 |
| Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors |
0 |
0 |
0 |
89 |
0 |
0 |
0 |
331 |
| Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors |
0 |
0 |
0 |
258 |
0 |
0 |
1 |
2,361 |
| Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors |
0 |
0 |
0 |
117 |
0 |
0 |
3 |
876 |
| GARCH for Irregularly Spaced Data: The ACD-GARCH Model |
0 |
0 |
2 |
1,392 |
1 |
1 |
5 |
5,795 |
| GCov-Based Portmanteau Test |
0 |
0 |
0 |
12 |
0 |
1 |
4 |
11 |
| Generalized Covariance Estimator |
0 |
0 |
0 |
23 |
0 |
1 |
3 |
29 |
| Inference for Noisy Long Run Component Process |
0 |
0 |
0 |
6 |
1 |
2 |
2 |
17 |
| Kernel Autocorrelogram for Time Deformed Processes |
0 |
0 |
0 |
165 |
0 |
0 |
1 |
1,526 |
| L-performance with an application to hedge funds |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
50 |
| Local Likelihood Density Estimation and Value at Risk |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
90 |
| Long Run Risk in Stationary Structural Vector Autoregressive Models |
0 |
0 |
1 |
47 |
0 |
1 |
4 |
27 |
| Market Time and Asset Price Movements Theory and Estimation |
0 |
0 |
0 |
609 |
0 |
2 |
5 |
2,244 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
387 |
| Market Time and Asset Price Movements: Theory and Estimation |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
234 |
| Misspecification of Causal and Noncausal Orders in Autoregressive Processes |
1 |
1 |
2 |
46 |
1 |
2 |
5 |
131 |
| Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives |
0 |
0 |
0 |
47 |
0 |
1 |
5 |
189 |
| Nonlinear Autocorrelograms: An Application to Intra-Trade Durations |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
56 |
| Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models |
0 |
0 |
1 |
66 |
0 |
1 |
9 |
29 |
| Nonlinear Innovations and Impulse Response |
0 |
0 |
1 |
14 |
0 |
1 |
5 |
72 |
| Nonlinear Panel Data Models with Dynamic Heterogeneity |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
52 |
| Nonlinear Persistence and Copersistence |
0 |
0 |
0 |
55 |
0 |
1 |
2 |
149 |
| Nonlinear Persistence and Copersistence |
0 |
0 |
0 |
16 |
0 |
1 |
2 |
68 |
| Nonlinear innovations and impulse responses |
0 |
0 |
1 |
290 |
0 |
1 |
4 |
1,323 |
| Optimization of the Generalized Covariance Estimator in Noncausal Processes |
0 |
0 |
13 |
14 |
0 |
1 |
10 |
11 |
| Optimization of the Generalized Covariance Estimator in Noncausal Processes |
0 |
0 |
3 |
56 |
2 |
4 |
12 |
34 |
| Penalized Likelihood Inference with Survey Data |
0 |
0 |
1 |
24 |
0 |
1 |
4 |
9 |
| Persistence in Intertrade Durations |
0 |
0 |
0 |
163 |
0 |
2 |
4 |
452 |
| Robust Analysis of the Martingale Hypothesis |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
53 |
| Semi-Parametric Estimation of Noncausal Vector Autoregression |
0 |
0 |
1 |
60 |
1 |
2 |
4 |
155 |
| Stationary Bubble Equilibria in Rational Expectation Models |
0 |
0 |
2 |
32 |
1 |
2 |
9 |
105 |
| Stationary Bubble Equilibria in Rational Expectation Models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
8 |
| Stochastic Volatility Duration Models |
0 |
1 |
1 |
38 |
1 |
2 |
2 |
120 |
| Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects |
0 |
0 |
2 |
592 |
0 |
1 |
4 |
2,978 |
| Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
362 |
| Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects |
0 |
0 |
0 |
39 |
0 |
1 |
1 |
208 |
| Structural Laplace Transform and Compound Autoregressive Models |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
19 |
| Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood |
0 |
0 |
1 |
17 |
3 |
4 |
5 |
9 |
| The Ordered Qualitative Model For Credit Rating Transitions |
0 |
0 |
0 |
520 |
1 |
2 |
3 |
1,239 |
| The Wishart Autoregressive Process of Multivariate Stochastic Volatility |
1 |
2 |
3 |
714 |
3 |
4 |
6 |
1,330 |
| The Wishart Autoregressive of Multivariate Stochastic Volatility |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
74 |
| Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus |
0 |
0 |
1 |
43 |
0 |
0 |
2 |
53 |
| Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether |
0 |
0 |
0 |
19 |
0 |
1 |
3 |
17 |
| Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets |
0 |
0 |
0 |
795 |
0 |
0 |
2 |
3,020 |
| Truncated Maximum Likelihood and Nonparametric Tail Analysis |
0 |
0 |
1 |
23 |
0 |
0 |
1 |
55 |
| Total Working Papers |
2 |
4 |
41 |
7,325 |
16 |
54 |
184 |
27,949 |
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