| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Class of Multivariate skew Densities, with Application to GARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
540 |
| A New Class of Robust Observation-Driven Models |
0 |
1 |
3 |
51 |
0 |
1 |
4 |
52 |
| A new class of multivariate skew densities, with application to GARCH models |
0 |
0 |
0 |
99 |
1 |
1 |
1 |
237 |
| A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models |
0 |
0 |
0 |
17 |
0 |
1 |
2 |
52 |
| Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
54 |
| Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas |
0 |
0 |
1 |
4 |
2 |
2 |
5 |
62 |
| Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas |
0 |
1 |
1 |
5 |
0 |
1 |
4 |
70 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
1 |
1 |
6 |
1 |
3 |
4 |
48 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
1 |
70 |
0 |
0 |
3 |
174 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Autoregressive conditional betas |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Bridging the gap between Ox and Gauss using OxGauss |
0 |
0 |
0 |
44 |
0 |
0 |
2 |
165 |
| Bridging the gap between Ox and Gauss using OxGauss |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
128 |
| Central Bank forex interventions assessed using realized moments |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
123 |
| Central Bank intervention and exchange rate volatility: its continuous and jump components |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
93 |
| Central Bank interventions and jumps in double long memory models of daily exchange rates |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
75 |
| Central bank FOREX interventions assessed using realized moments |
0 |
0 |
0 |
3 |
2 |
2 |
3 |
44 |
| Central bank FOREX interventions assessed using realized moments |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
| Central bank intervention and exchange rate volatility, its continuous and jump components |
0 |
1 |
1 |
157 |
1 |
2 |
2 |
477 |
| Central bank intervention in the foreign exchange markets assessed using realized moments |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
54 |
| Central bank interventions and jumps in double long memory models of daily exchange rates |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
31 |
| Common intraday periodicity |
0 |
0 |
1 |
51 |
0 |
0 |
3 |
217 |
| Consistent ranking of multivariate volatility models |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
155 |
| Do We Need High Frequency Data to Forecast Variances? |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
76 |
| Do We Need Ultra-High Frequency Data to Forecast Variances? |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
121 |
| Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
| Econometric modeling of exchange rate volatility and jumps |
0 |
0 |
0 |
279 |
1 |
1 |
5 |
813 |
| Estimating and forecasting ARCH models using G@RCH 6 |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
313 |
| G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models |
0 |
0 |
2 |
882 |
0 |
0 |
6 |
2,040 |
| Generating Univariate Fractional Integration within a Large VAR(1) |
0 |
0 |
0 |
26 |
1 |
1 |
3 |
58 |
| Generating Univariate Fractional Integration within a Large VAR(1) |
0 |
0 |
0 |
3 |
1 |
1 |
1 |
32 |
| Generating univariate fractional integration within a large VAR(1) |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
33 |
| Have sequential interventions of Central Banks in foreign exchange been effective ? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
20 |
| Interpretable Machine Learning Using Partial Linear Models* |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Introduction to the special issue on recent developments in Financial Econometrics |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
91 |
| Jumps et modèles de type GARCH (Chapitre 3) |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
| Jumps, cojumps and macro announcements |
0 |
0 |
0 |
145 |
1 |
1 |
3 |
468 |
| Jumps, cojumps and macro announcements |
0 |
0 |
0 |
16 |
0 |
1 |
1 |
78 |
| La persistance des chocs de volatilité sur le marché des changes s'est-elle modifiée depuis le début des années quatre-vingts ? |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
27 |
| Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence |
0 |
0 |
0 |
64 |
1 |
1 |
1 |
141 |
| Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence |
0 |
0 |
0 |
34 |
1 |
1 |
2 |
71 |
| Long memory through marginalization of large systems and hidden cross-section dependence |
0 |
0 |
1 |
32 |
0 |
0 |
2 |
67 |
| Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| L’impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change deutschemark – dollar |
0 |
0 |
1 |
1 |
1 |
1 |
4 |
17 |
| Market risk in commodity markets: a VaR approach |
0 |
0 |
7 |
420 |
1 |
2 |
18 |
1,390 |
| Market risk in commodity markets: a VaR approach |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
33 |
| Minimal manipulability: anonymity and surjectivity |
0 |
0 |
0 |
500 |
0 |
0 |
0 |
1,195 |
| Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
24 |
| Modeling Time-Varying Conditional Betas. A Comparison of Methods with Application for REITs |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
33 |
| Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
664 |
| Modelling daily Value-at-Risk using realized volatility and ARCH type models |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
94 |
| Modelling daily value-at-risk using realized volatility and arch type models |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
232 |
| Multivariate GARCH models and their Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
529 |
| Multivariate GARCH models: a survey |
0 |
0 |
0 |
40 |
1 |
1 |
8 |
222 |
| Multivariate GARCH models: a survey |
0 |
0 |
0 |
475 |
0 |
0 |
2 |
1,138 |
| Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
26 |
| Official central bank interventions and exchange rate volatility: evidence from a regime-switching analysis |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
61 |
| On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models |
0 |
0 |
0 |
147 |
2 |
2 |
4 |
532 |
| On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models |
0 |
0 |
0 |
72 |
0 |
1 |
3 |
221 |
| On the Forecasting Accuracy of Multivariate GARCH Models |
0 |
0 |
1 |
193 |
0 |
0 |
1 |
700 |
| On the Univariate Representation of BEKK Models with Common Factors |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
45 |
| On the forecasting accuracy of multivariate GARCH models |
0 |
0 |
0 |
114 |
0 |
0 |
7 |
271 |
| On the univariate representation of BEKK models with common factors |
0 |
0 |
1 |
79 |
0 |
1 |
3 |
187 |
| On the univariate representation of multivariate volatility models with common factors |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
105 |
| Outlyingness weighted covariation |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
20 |
| Over de verhouding tussen overheid, marktwerking en privatisering. Een economische meta-analyse |
0 |
0 |
0 |
572 |
1 |
1 |
1 |
1,620 |
| Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity |
0 |
0 |
0 |
81 |
1 |
1 |
1 |
152 |
| Positive semidefinite integrated covariance estimation, factorizations and asynchronicity |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
50 |
| Quasi score-driven models |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
10 |
| Risk Measure Inference |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
39 |
| Risk Measure Inference |
0 |
0 |
0 |
181 |
0 |
0 |
2 |
369 |
| Sluggish news reactions: A combinatorial approach for synchronizing stock jumps |
0 |
0 |
1 |
2 |
2 |
2 |
7 |
17 |
| Structural Change and Long Memory in Volatility: New Evidence from Daily Exchange Rates |
0 |
0 |
1 |
210 |
0 |
0 |
3 |
398 |
| Structural change and long memory in volatility: new evidence from daily exchange rates |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
58 |
| Testing Conditional Dynamics in Asymmetry. A Residual-Based Approach |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
125 |
| Testing conditional asymmetry. A residual based approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
41 |
| Testing conditional asymmetry: A residual-based approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
| Testing for jumps in conditionally Gaussian ARMA-GARCH models, a robust approach |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
38 |
| The impact of Central Bank FX interventions on currency components |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
44 |
| The impact of Central Bank FX interventions on currency components |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
111 |
| The impact of monetary policy signals on the intradaily deutsche mark-dollar volatility [L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar] |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
| Trading activity, realized volatility and jumps |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
47 |
| Treatment-effect estimation in high dimension: An inference-based approach |
0 |
1 |
6 |
12 |
0 |
1 |
18 |
28 |
| Unit Root Test with High-Frequency Data |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
9 |
| Value-at-Risk for long and short trading positions |
0 |
0 |
0 |
11 |
1 |
1 |
4 |
56 |
| Value-at-risk for long and short trading positions |
0 |
0 |
0 |
164 |
0 |
1 |
3 |
1,453 |
| Volatility Estimation and Jump Detection for drift-diffusion Processes |
0 |
0 |
0 |
9 |
1 |
1 |
1 |
57 |
| Volatility Estimation and Jump Detection for drift-diffusion Processes |
0 |
0 |
0 |
45 |
0 |
0 |
2 |
90 |
| Volatility Models |
0 |
0 |
0 |
0 |
1 |
2 |
5 |
47 |
| Volatility Models |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
23 |
| Volatility estimation and jump detection for drift–diffusion processes |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
14 |
| Volatility forecasts evaluation and comparison |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
46 |
| Volatility models |
0 |
2 |
2 |
313 |
1 |
4 |
7 |
644 |
| We modeled long memory with just one lag! |
0 |
1 |
1 |
55 |
0 |
1 |
5 |
35 |
| We modeled long memory with just one lag! |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| 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 |
0 |
0 |
0 |
1 |
4 |
| 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 |
2 |
0 |
1 |
1 |
34 |
| Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
65 |
0 |
1 |
2 |
102 |
| Weak diffusion limits of dynamic conditional correlation models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
17 |
| Which continuous-time model is most appropriate for exchange rates? |
0 |
0 |
0 |
73 |
0 |
1 |
1 |
173 |
| Which continuous-time model is most appropriate for exchange rates? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
44 |
| Total Working Papers |
0 |
8 |
34 |
6,124 |
32 |
56 |
254 |
21,113 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models |
0 |
1 |
2 |
143 |
0 |
2 |
6 |
340 |
| Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates |
0 |
0 |
0 |
111 |
0 |
0 |
0 |
450 |
| Analytical Derivates of the APARCH Model |
0 |
0 |
1 |
255 |
0 |
1 |
4 |
709 |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas |
0 |
0 |
2 |
16 |
0 |
2 |
10 |
110 |
| Autoregressive conditional betas |
1 |
1 |
2 |
5 |
2 |
3 |
10 |
16 |
| Bridging the gap between Ox and Gauss using OxGauss |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
5 |
| Bridging the gap between Ox and Gauss using OxGauss |
0 |
0 |
0 |
122 |
0 |
0 |
1 |
342 |
| Capital humain, emploi et revenus du travail: Belgique, 1992 |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
71 |
| Capital humain, emploi et salaire en Belgique et dans ses régions |
0 |
0 |
0 |
11 |
1 |
1 |
1 |
165 |
| Central bank FOREX interventions assessed using realized moments |
0 |
0 |
0 |
48 |
0 |
2 |
11 |
245 |
| Central bank intervention and exchange rate volatility, its continuous and jump components |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
299 |
| Central bank interventions and jumps in double long memory models of daily exchange rates |
0 |
0 |
0 |
63 |
1 |
1 |
2 |
247 |
| Common Intraday Periodicity |
0 |
0 |
1 |
11 |
0 |
0 |
7 |
124 |
| Do We Need High Frequency Data to Forecast Variances? |
0 |
0 |
1 |
29 |
0 |
0 |
2 |
105 |
| Do jumps mislead the FX market? |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
91 |
| Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
147 |
| G@RCH 2.2: An Ox Package for Estimating and Forecasting Various ARCH Models |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
12 |
| Generating univariate fractional integration within a large VAR(1) |
0 |
0 |
0 |
15 |
0 |
0 |
1 |
70 |
| Interpretable Machine Learning Using Partial Linear Models |
0 |
0 |
4 |
4 |
0 |
1 |
10 |
12 |
| Introduction |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
40 |
| Jumps, cojumps and macro announcements |
0 |
0 |
0 |
0 |
2 |
4 |
7 |
194 |
| L'absentéisme dans une institution hospitalière: les facteurs déterminants |
0 |
1 |
1 |
18 |
1 |
2 |
4 |
73 |
| L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
113 |
| L'impact des signaux de politique monétaire sur la volatilité intrajournalière du taux de change Deutsche Mark-dollar |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
47 |
| La persistance des chocs de volatilité sur le marché des changes s'est-elle modifée depuis le debut des annees 1980 ? |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
67 |
| Life-cycle behaviour of US households: A nonlinear GMM estimation on pseudopanel data |
0 |
0 |
0 |
108 |
0 |
0 |
2 |
282 |
| Market risk in commodity markets: a VaR approach |
0 |
2 |
7 |
374 |
0 |
3 |
17 |
1,037 |
| Modelling daily Value-at-Risk using realized volatility and ARCH type models |
0 |
0 |
7 |
674 |
0 |
1 |
20 |
1,690 |
| Multivariate GARCH models: a survey |
0 |
6 |
15 |
25 |
2 |
14 |
46 |
118 |
| Multivariate GARCH models: a survey |
1 |
2 |
5 |
1,737 |
2 |
6 |
23 |
3,735 |
| Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis |
0 |
0 |
0 |
88 |
0 |
0 |
2 |
319 |
| On loss functions and ranking forecasting performances of multivariate volatility models |
0 |
0 |
1 |
104 |
1 |
3 |
8 |
377 |
| On the Univariate Representation of BEKK Models with Common Factors |
0 |
0 |
0 |
10 |
1 |
1 |
1 |
61 |
| On the forecasting accuracy of multivariate GARCH models |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
272 |
| Outlyingness Weighted Covariation |
0 |
0 |
0 |
7 |
0 |
1 |
1 |
45 |
| Positive semidefinite integrated covariance estimation, factorizations and asynchronicity |
0 |
0 |
0 |
11 |
0 |
2 |
2 |
75 |
| Quasi score-driven models |
1 |
1 |
1 |
4 |
1 |
2 |
5 |
16 |
| Risk Measure Inference |
0 |
0 |
0 |
6 |
0 |
2 |
4 |
47 |
| Robust estimation of intraweek periodicity in volatility and jump detection |
1 |
1 |
10 |
113 |
2 |
2 |
16 |
359 |
| Robust forecasting of dynamic conditional correlation GARCH models |
0 |
0 |
5 |
42 |
0 |
0 |
7 |
140 |
| Testing conditional asymmetry: A residual-based approach |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
122 |
| Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach |
0 |
1 |
3 |
25 |
0 |
2 |
10 |
90 |
| The Impact of Central Bank FX Interventions on Currency Components |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
180 |
| The information content of implied volatility in light of the jump/continuous decomposition of realized volatility |
0 |
0 |
1 |
11 |
0 |
1 |
7 |
51 |
| Time Series for QFFE: Special Issue of the Journal of Time Series Analysis |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
3 |
| Trading activity, realized volatility and jumps |
1 |
1 |
3 |
91 |
2 |
2 |
5 |
295 |
| UNIT ROOT TEST WITH HIGH-FREQUENCY DATA |
0 |
0 |
0 |
7 |
0 |
1 |
2 |
23 |
| Value-at-risk for long and short trading positions |
0 |
0 |
2 |
883 |
0 |
1 |
10 |
2,222 |
| Volatility estimation and jump detection for drift–diffusion processes |
0 |
0 |
1 |
10 |
2 |
3 |
6 |
57 |
| WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
23 |
| We modeled long memory with just one lag! |
0 |
0 |
1 |
4 |
0 |
1 |
6 |
13 |
| Which continuous-time model is most appropriate for exchange rates? |
0 |
0 |
0 |
8 |
0 |
0 |
2 |
125 |
| Total Journal Articles |
5 |
17 |
76 |
5,424 |
21 |
70 |
304 |
15,871 |
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