| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Minimum MSE and Maximum Power for the Nearly Integrated Non-Gaussian Model |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
567 |
| A Comparison of Minimum MSE and Maximum Power for the nearly Integrated Non-Gaussian Model |
0 |
0 |
0 |
57 |
1 |
2 |
2 |
496 |
| A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests |
0 |
0 |
0 |
330 |
0 |
0 |
0 |
1,355 |
| A Dynamic Model of Investor Decision-Making: How Adaptation to Losses affects Future Selling Decisions |
0 |
1 |
1 |
109 |
1 |
2 |
4 |
350 |
| A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations |
0 |
0 |
1 |
67 |
0 |
5 |
7 |
208 |
| A General Framework for Observation Driven Time-Varying Parameter Models |
0 |
0 |
0 |
118 |
2 |
5 |
9 |
305 |
| A General Framework for Observation Driven Time-Varying Parameter Models |
0 |
2 |
2 |
174 |
4 |
10 |
12 |
421 |
| A Hybrid Joint Moment Ratio Test for Financial Time Series |
0 |
0 |
0 |
249 |
1 |
4 |
5 |
1,297 |
| A New Semiparametric Volatility Model |
0 |
0 |
0 |
64 |
1 |
2 |
3 |
108 |
| A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk |
1 |
1 |
1 |
123 |
1 |
4 |
14 |
478 |
| A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests |
0 |
0 |
0 |
216 |
2 |
2 |
2 |
1,578 |
| A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior |
0 |
1 |
1 |
170 |
0 |
2 |
3 |
534 |
| Accounting for Missing Values in Score-Driven Time-Varying Parameter Models |
0 |
0 |
0 |
14 |
0 |
1 |
2 |
62 |
| Aggregating Credit and Market Risk: The Impact of Model Specification |
0 |
0 |
0 |
96 |
4 |
5 |
7 |
270 |
| An analytic approach to credit risk of large corporate bond and loan portfolios |
0 |
0 |
0 |
875 |
2 |
4 |
6 |
1,744 |
| Analytic Decision Rules for Financial Stochastic Programs |
0 |
0 |
0 |
354 |
0 |
2 |
2 |
1,025 |
| Arbitrage and sampling uncertainty in financial stochastic programming models |
0 |
0 |
0 |
19 |
1 |
1 |
1 |
67 |
| Bank Business Models at Zero Interest Rates |
0 |
0 |
0 |
40 |
0 |
3 |
3 |
85 |
| Bank business models at zero interest rates |
0 |
0 |
1 |
36 |
1 |
5 |
8 |
89 |
| Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong |
0 |
0 |
0 |
425 |
1 |
5 |
7 |
1,470 |
| Blockholder Dispersion and Firm Value |
0 |
0 |
0 |
53 |
1 |
4 |
7 |
218 |
| Blockholder dispersion and firm value |
0 |
0 |
0 |
25 |
6 |
10 |
12 |
134 |
| Business and Default Cycles for Credit Risk |
1 |
1 |
1 |
894 |
3 |
6 |
7 |
1,928 |
| COVID-19, Credit Risk and Macro Fundamentals |
1 |
2 |
3 |
29 |
2 |
3 |
6 |
42 |
| Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced? |
0 |
0 |
0 |
60 |
1 |
6 |
6 |
226 |
| Cash flow and discount rate risk in up and down markets: What is actually priced? |
0 |
0 |
0 |
25 |
1 |
2 |
3 |
154 |
| Closed-Form Multi-Factor Copula Models with Observation-Driven Dynamic Factor Loadings |
0 |
0 |
2 |
40 |
0 |
1 |
3 |
100 |
| Clustering Dynamics and Persistence for Financial Multivariate Panel Data |
0 |
0 |
1 |
18 |
1 |
3 |
8 |
47 |
| Comprehensive Definitions of Breakdown-Points for Independent and Dependent Observations |
0 |
0 |
0 |
78 |
2 |
3 |
4 |
660 |
| Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes |
1 |
2 |
8 |
8 |
4 |
8 |
12 |
12 |
| Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk |
1 |
1 |
1 |
80 |
3 |
4 |
5 |
245 |
| Conditional and joint credit risk |
0 |
0 |
0 |
23 |
1 |
2 |
3 |
89 |
| Conditional euro area sovereign default risk |
0 |
1 |
1 |
57 |
1 |
5 |
7 |
120 |
| Consistency, distributional convergence, and optimality of score-driven filters |
1 |
1 |
1 |
14 |
5 |
9 |
12 |
23 |
| Copula tensor count autoregressions for modeling multidimensional integer-valued time series |
1 |
1 |
9 |
9 |
4 |
6 |
10 |
10 |
| Credit Cycles and Macro Fundamentals |
0 |
0 |
0 |
285 |
1 |
2 |
6 |
871 |
| Credit cycles and macro fundamentals |
0 |
0 |
2 |
182 |
1 |
1 |
5 |
605 |
| De Pensioen- en Verzekeringskamer komen van rechts: buffervorming en beleggingsbeleid bij Nederlandse Pensioenfondsen |
0 |
0 |
0 |
54 |
0 |
0 |
0 |
457 |
| Deepening the measurement of technical inefficiency in private farming in Georgia: locally parametric regression |
0 |
0 |
0 |
63 |
0 |
0 |
0 |
366 |
| Density Forecasting for Electricity Prices under Tail Heterogeneity with the t-Riesz Distribution |
1 |
1 |
1 |
12 |
7 |
9 |
17 |
28 |
| Discrete versus Continuous State Switching Models for Portfolio Credit Risk |
0 |
1 |
1 |
191 |
1 |
3 |
4 |
918 |
| Do Negative Interest Rates Make Banks Less Safe? |
0 |
0 |
0 |
37 |
1 |
2 |
3 |
62 |
| Do negative interest rates make banks less safe? |
0 |
0 |
0 |
41 |
2 |
6 |
6 |
206 |
| Dynamic clustering of multivariate panel data |
0 |
0 |
0 |
6 |
5 |
8 |
12 |
35 |
| Dynamic clustering of multivariate panel data |
0 |
0 |
0 |
80 |
1 |
2 |
3 |
131 |
| Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 |
0 |
0 |
1 |
57 |
2 |
5 |
10 |
172 |
| Dynamic nonparametric clustering of multivariate panel data |
0 |
0 |
0 |
22 |
3 |
5 |
6 |
29 |
| Dynamic term structure models with score-driven time-varying parameters: estimation and forecasting |
0 |
3 |
3 |
77 |
2 |
8 |
12 |
117 |
| Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model |
0 |
0 |
0 |
71 |
1 |
3 |
3 |
516 |
| Explaining Hedge Fund Investment Styles by Loss Aversion |
0 |
0 |
0 |
804 |
0 |
3 |
4 |
2,236 |
| Financial Development and Fragility: A Clustering Analysis |
0 |
1 |
4 |
13 |
1 |
4 |
8 |
25 |
| Finite Sample Optimality of Score-Driven Volatility Models |
0 |
0 |
0 |
49 |
0 |
2 |
3 |
55 |
| Forecasting Cross-Sections of Frailty-Correlated Default |
0 |
0 |
0 |
73 |
4 |
6 |
7 |
282 |
| Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns |
0 |
0 |
0 |
32 |
0 |
1 |
2 |
54 |
| Functional Location-Scale Models with Robust Observation-Driven Dynamics |
1 |
1 |
2 |
2 |
2 |
4 |
9 |
9 |
| Generalized Autoregressive Method of Moments |
0 |
0 |
0 |
74 |
1 |
4 |
6 |
145 |
| Global Credit Risk: World, Country and Industry Factors |
0 |
0 |
0 |
26 |
1 |
3 |
3 |
148 |
| Global Loss Diversification in the Insurance Sector |
0 |
0 |
0 |
47 |
2 |
3 |
5 |
243 |
| Global credit risk: world country and industry factors |
0 |
0 |
0 |
32 |
1 |
4 |
6 |
112 |
| Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics |
1 |
1 |
13 |
13 |
7 |
11 |
17 |
17 |
| In-Sample Bounds for Time-Varying Parameters of Observation Driven Models |
0 |
0 |
0 |
15 |
0 |
2 |
3 |
57 |
| In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models |
0 |
0 |
0 |
61 |
1 |
2 |
3 |
67 |
| Information Theoretic Optimality of Observation Driven Time Series Models |
1 |
2 |
2 |
49 |
3 |
8 |
10 |
103 |
| Intraday Stochastic Volatility in Discrete Price Changes: the Dynamic Skellam Model |
0 |
0 |
0 |
53 |
1 |
1 |
3 |
94 |
| Intraday Stock Price Dependence using Dynamic Discrete Copula Distributions |
0 |
0 |
0 |
35 |
2 |
4 |
4 |
99 |
| Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models |
0 |
0 |
0 |
72 |
1 |
2 |
2 |
66 |
| Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter |
1 |
1 |
5 |
20 |
4 |
5 |
14 |
40 |
| Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter |
1 |
1 |
16 |
16 |
4 |
4 |
20 |
20 |
| Long Memory Dynamics for Multivariate Dependence under Heavy Tails |
0 |
0 |
1 |
48 |
0 |
7 |
9 |
169 |
| Long-Term versus Short-Term Contingencies in Asset Allocation |
0 |
0 |
1 |
13 |
0 |
1 |
2 |
227 |
| Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective |
0 |
0 |
0 |
57 |
4 |
5 |
7 |
168 |
| Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers |
2 |
3 |
13 |
13 |
6 |
8 |
13 |
13 |
| Maximum Likelihood Estimation for Score-Driven Models |
0 |
0 |
0 |
59 |
2 |
6 |
9 |
195 |
| Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties |
0 |
0 |
1 |
52 |
2 |
6 |
8 |
124 |
| Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics |
0 |
0 |
0 |
103 |
0 |
5 |
5 |
196 |
| Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics |
1 |
2 |
7 |
7 |
5 |
7 |
16 |
16 |
| Mixed Density based Copula Likelihood |
0 |
0 |
0 |
22 |
1 |
2 |
3 |
80 |
| Model-based Business Cycle and Financial Cycle Decomposition for Europe and the U.S |
0 |
0 |
1 |
95 |
2 |
3 |
8 |
238 |
| Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails |
0 |
0 |
0 |
55 |
2 |
2 |
5 |
157 |
| Modeling Portfolio Defaults using Hidden Markov Models with Covariates |
0 |
0 |
2 |
145 |
3 |
7 |
12 |
570 |
| Modeling extreme events: time-varying extreme tail shape |
1 |
1 |
2 |
29 |
2 |
6 |
8 |
81 |
| Modeling extreme events: time-varying extreme tail shape |
0 |
0 |
0 |
22 |
1 |
4 |
6 |
71 |
| Modeling extreme events:time-varying extreme tail shape |
0 |
0 |
0 |
9 |
1 |
3 |
4 |
18 |
| Modeling financial sector joint tail risk in the euro area |
0 |
0 |
0 |
18 |
1 |
3 |
3 |
76 |
| Modeling financial sector joint tail risk in the euro area |
0 |
0 |
0 |
36 |
3 |
4 |
5 |
70 |
| Network, Market, and Book-Based Systemic Risk Rankings |
0 |
0 |
0 |
65 |
1 |
5 |
6 |
127 |
| New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels |
0 |
0 |
0 |
34 |
1 |
3 |
3 |
72 |
| Nonparametric Estimation for Non-Homogeneous Semi-Markov Processes: An Application to Credit Risk |
0 |
0 |
0 |
205 |
0 |
0 |
0 |
610 |
| Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State Space Models |
0 |
1 |
1 |
77 |
2 |
3 |
4 |
156 |
| Nut, gebruik en beperkingen van value-at-risk voor risicomanagement |
0 |
0 |
0 |
95 |
0 |
0 |
0 |
370 |
| Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk |
0 |
0 |
0 |
57 |
3 |
4 |
5 |
161 |
| Observation driven mixed-measurement dynamic factor models with an application to credit risk |
0 |
0 |
1 |
49 |
0 |
2 |
8 |
167 |
| Observation-driven Models for Realized Variances and Overnight Returns |
0 |
0 |
1 |
32 |
1 |
1 |
4 |
43 |
| On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework |
0 |
0 |
0 |
340 |
0 |
0 |
1 |
898 |
| Optimal Formulations for Nonlinear Autoregressive Processes |
0 |
0 |
0 |
53 |
2 |
4 |
8 |
108 |
| Outlier Robust Analysis of Market Share and Distribution Relations for Weekly Scanning Data |
0 |
0 |
0 |
4 |
2 |
4 |
9 |
50 |
| Outlier robust cointegration analysis |
0 |
0 |
0 |
240 |
0 |
0 |
1 |
566 |
| Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models |
0 |
0 |
0 |
93 |
0 |
5 |
6 |
239 |
| Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation |
0 |
0 |
0 |
307 |
1 |
1 |
4 |
816 |
| Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models |
0 |
0 |
0 |
193 |
0 |
1 |
1 |
518 |
| Regime switches in the volatility and correlation of financial institutions |
0 |
0 |
0 |
102 |
4 |
8 |
11 |
201 |
| Risk Aversion under Preference Uncertainty |
0 |
0 |
0 |
36 |
2 |
4 |
5 |
102 |
| Risk aversion under preference uncertainty |
0 |
0 |
0 |
7 |
3 |
4 |
4 |
57 |
| Risk endogeneity at the lender/investor-of-last-resort |
0 |
0 |
1 |
9 |
2 |
6 |
8 |
61 |
| Risk endogeneity at the lender/investor-of-last-resort |
0 |
0 |
0 |
10 |
1 |
2 |
3 |
48 |
| Risk endogeneity at the lender/investor-of-last-resort |
0 |
0 |
0 |
24 |
2 |
3 |
3 |
30 |
| Round-the-Clock Price Discovery for Cross-Listed Stocks: US-Dutch Evidence |
0 |
0 |
0 |
245 |
1 |
3 |
4 |
1,053 |
| SETS, Arbitrage Activity, and Stock Price Dynamics |
0 |
0 |
0 |
310 |
4 |
4 |
5 |
1,387 |
| Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting |
0 |
0 |
0 |
36 |
0 |
5 |
6 |
79 |
| Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting |
0 |
0 |
0 |
91 |
2 |
4 |
7 |
136 |
| Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads |
0 |
0 |
0 |
35 |
0 |
1 |
4 |
65 |
| Semi-nonparametric cointegration testing |
0 |
0 |
0 |
152 |
0 |
2 |
3 |
481 |
| Short Patches of Outliers, ARCH and Volatility Modeling |
0 |
0 |
0 |
281 |
1 |
3 |
4 |
1,019 |
| Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models |
0 |
1 |
1 |
69 |
2 |
8 |
8 |
125 |
| Spillover dynamics for systemic risk measurement using spatial financial time series models |
0 |
0 |
2 |
51 |
4 |
7 |
10 |
159 |
| Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models |
0 |
0 |
0 |
7 |
1 |
4 |
4 |
63 |
| Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes |
0 |
0 |
0 |
60 |
0 |
6 |
9 |
140 |
| Stochastic processes, non-normal innovations, and the use of scaling ratios |
0 |
0 |
0 |
81 |
2 |
2 |
2 |
327 |
| Stock Selection, Style Rotation, and Risk |
0 |
0 |
0 |
666 |
1 |
1 |
2 |
1,801 |
| Strategic and tactical asset allocation and the effect of long-run equilibrium relations |
0 |
0 |
0 |
1,953 |
2 |
4 |
8 |
5,576 |
| Systemic Risk Diagnostics |
0 |
0 |
0 |
93 |
2 |
4 |
5 |
216 |
| Systemic risk diagnostics: coincident indicators and early warning signals |
0 |
0 |
1 |
149 |
2 |
8 |
10 |
476 |
| Tail Behavior of Credit Loss Distributions for General Latent Factor Models |
0 |
0 |
1 |
414 |
1 |
2 |
5 |
1,157 |
| Tail Heterogeneity for Dynamic Covariance Matrices: the F-Riesz Distribution |
0 |
0 |
1 |
35 |
2 |
4 |
7 |
63 |
| Tail behavior of credit loss distributions |
0 |
0 |
0 |
336 |
1 |
3 |
3 |
1,075 |
| Testing backtesting: an evaluation of the Basle guidelines for backtesting internal risk management models of banks |
0 |
0 |
0 |
675 |
2 |
2 |
2 |
1,669 |
| Testing for ARCH in the Presence of Additive Outliers |
0 |
0 |
0 |
26 |
3 |
4 |
6 |
145 |
| Testing for Parameter Instability in Competing Modeling Frameworks |
0 |
0 |
0 |
21 |
1 |
7 |
9 |
85 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
0 |
0 |
0 |
47 |
0 |
0 |
2 |
143 |
| The Dynamic Skellam Model with Applications |
0 |
0 |
1 |
36 |
2 |
4 |
6 |
145 |
| The Information in Systemic Risk Rankings |
0 |
0 |
0 |
28 |
4 |
9 |
15 |
106 |
| The Multi-State Latent Factor Intensity Model for Credit Rating Transitions |
0 |
0 |
2 |
239 |
1 |
3 |
7 |
686 |
| The information in systemic risk rankings |
0 |
0 |
1 |
41 |
2 |
3 |
6 |
156 |
| Time Varying Transition Probabilities for Markov Regime Switching Models |
0 |
1 |
2 |
131 |
2 |
9 |
16 |
463 |
| Time-varying tail behavior for realized kernels |
0 |
0 |
0 |
24 |
0 |
4 |
4 |
32 |
| Washington Meets Wall Street: A Closer Examination of the Presidential Cylce Puzzle |
0 |
0 |
0 |
12 |
3 |
5 |
10 |
77 |
| Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle |
0 |
0 |
0 |
63 |
0 |
1 |
5 |
222 |
| Washington meets Wall Street: A closer examination of the presidential cycle puzzle |
0 |
0 |
0 |
12 |
2 |
2 |
4 |
91 |
| Why do investors sell losers? How adaptation to losses affects future capitulation decisions |
0 |
1 |
1 |
13 |
2 |
7 |
8 |
138 |
| Total Working Papers |
17 |
36 |
129 |
16,860 |
234 |
540 |
844 |
52,327 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations |
0 |
0 |
2 |
30 |
0 |
1 |
5 |
116 |
| A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk |
0 |
0 |
0 |
52 |
0 |
2 |
4 |
208 |
| A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
449 |
| A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model |
0 |
0 |
0 |
22 |
2 |
3 |
4 |
238 |
| A note on the relationship between GARCH and symmetric stable processes |
0 |
0 |
0 |
36 |
2 |
3 |
4 |
107 |
| A stochastic recurrence equations approach for score driven correlation models |
0 |
0 |
0 |
1 |
4 |
4 |
6 |
18 |
| Accounting for missing values in score-driven time-varying parameter models |
0 |
0 |
0 |
3 |
0 |
1 |
2 |
35 |
| Amendments and Corrections |
0 |
0 |
0 |
1 |
2 |
4 |
4 |
14 |
| An analytic approach to credit risk of large corporate bond and loan portfolios |
0 |
0 |
0 |
245 |
2 |
2 |
3 |
593 |
| An outlier robust unit root test with an application to the extended Nelson-Plosser data |
0 |
0 |
1 |
103 |
0 |
2 |
3 |
345 |
| Bank Business Models at Zero Interest Rates |
0 |
0 |
0 |
7 |
1 |
6 |
10 |
53 |
| Blockholder dispersion and firm value |
0 |
0 |
8 |
75 |
0 |
4 |
18 |
256 |
| Business and default cycles for credit risk |
0 |
0 |
1 |
454 |
0 |
2 |
6 |
1,243 |
| Business and default cycles for credit risk |
0 |
1 |
3 |
6 |
0 |
1 |
3 |
15 |
| Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced? |
0 |
0 |
0 |
18 |
1 |
2 |
2 |
104 |
| Classical and Bayesian aspects of robust unit root inference |
0 |
0 |
0 |
52 |
1 |
1 |
3 |
159 |
| Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings |
0 |
0 |
1 |
3 |
1 |
4 |
7 |
25 |
| Cointegration Testing Using Pseudolikelihood Ratio Tests |
0 |
0 |
0 |
14 |
0 |
1 |
4 |
62 |
| Community Driven Development and Structural Disadvantage: Interrogating the Social Turn in Development Programming in Indonesia |
0 |
0 |
0 |
9 |
1 |
1 |
4 |
40 |
| Comprehensive definitions of breakdown points for independent and dependent observations |
0 |
1 |
1 |
9 |
1 |
3 |
5 |
104 |
| Conditional Euro Area Sovereign Default Risk |
1 |
1 |
1 |
42 |
2 |
4 |
5 |
126 |
| Covid-19, credit risk management modeling, and government support |
0 |
0 |
0 |
8 |
3 |
4 |
5 |
26 |
| Credit cycles and macro fundamentals |
0 |
0 |
0 |
201 |
1 |
1 |
5 |
595 |
| Deepening the Measuring of Technical Inefficiency in Private Farming in Georgia: Locally Parametric Regression |
0 |
0 |
0 |
89 |
0 |
3 |
4 |
371 |
| Discrete versus continuous state switching models for portfolio credit risk |
0 |
0 |
0 |
38 |
0 |
1 |
1 |
242 |
| Discrete-Time Financial Planning Models Under Loss-Averse Preferences |
0 |
0 |
0 |
2 |
1 |
4 |
6 |
18 |
| Do negative interest rates make banks less safe? |
0 |
0 |
1 |
65 |
1 |
5 |
7 |
204 |
| Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 |
0 |
0 |
0 |
30 |
2 |
4 |
8 |
136 |
| Dynamic Nonparametric Clustering of Multivariate Panel Data* |
0 |
0 |
1 |
1 |
0 |
2 |
8 |
10 |
| Dynamic clustering of multivariate panel data |
0 |
2 |
3 |
6 |
2 |
7 |
17 |
28 |
| Dynamic discrete copula models for high‐frequency stock price changes |
0 |
0 |
0 |
1 |
0 |
2 |
5 |
28 |
| Dynamic partial correlation models |
0 |
0 |
0 |
2 |
0 |
2 |
4 |
8 |
| Empirical credit cycles and capital buffer formation |
1 |
1 |
1 |
143 |
2 |
3 |
4 |
400 |
| Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664] |
0 |
0 |
0 |
32 |
0 |
1 |
1 |
134 |
| Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model |
0 |
0 |
0 |
16 |
0 |
1 |
1 |
106 |
| Evaluating the Basle Guidelines for Backtesting Banks' Internal Risk Management Models |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
1,613 |
| Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
9 |
| Fractional Integration and Fat Tails for Realized Covariance Kernels |
0 |
0 |
0 |
5 |
1 |
2 |
3 |
18 |
| GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS |
0 |
3 |
9 |
112 |
1 |
12 |
25 |
360 |
| Global Credit Risk: World, Country and Industry Factors |
0 |
1 |
2 |
9 |
1 |
4 |
7 |
98 |
| Global loss diversification in the insurance sector |
0 |
0 |
0 |
25 |
0 |
1 |
2 |
137 |
| Hedging Large Portfolios of Options in Discrete Time |
0 |
0 |
0 |
39 |
0 |
2 |
2 |
149 |
| Heterogeneity and dynamics in network models |
0 |
0 |
1 |
3 |
2 |
2 |
7 |
16 |
| In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models |
0 |
0 |
0 |
30 |
1 |
3 |
5 |
103 |
| Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods |
0 |
0 |
0 |
17 |
0 |
2 |
2 |
84 |
| Information-theoretic optimality of observation-driven time series models for continuous responses |
1 |
1 |
2 |
24 |
5 |
9 |
10 |
74 |
| Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model |
0 |
0 |
0 |
1 |
3 |
8 |
9 |
37 |
| Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
22 |
| Long memory dynamics for multivariate dependence under heavy tails |
0 |
0 |
1 |
24 |
1 |
3 |
6 |
110 |
| Long-Term versus Short-Term Contingencies in Asset Allocation |
0 |
0 |
0 |
3 |
1 |
2 |
4 |
69 |
| Maximum likelihood estimation for score-driven models |
0 |
0 |
2 |
11 |
5 |
9 |
17 |
55 |
| Modeling Around-the-Clock Price Discovery for Cross-Listed Stocks Using State Space Methods |
0 |
0 |
0 |
82 |
16 |
17 |
17 |
222 |
| Modeling Extreme Events: Time-Varying Extreme Tail Shape |
0 |
0 |
2 |
3 |
4 |
4 |
12 |
18 |
| Modeling Financial Sector Joint Tail Risk in the Euro Area |
0 |
0 |
0 |
5 |
1 |
1 |
3 |
47 |
| Modeling frailty-correlated defaults using many macroeconomic covariates |
0 |
0 |
0 |
66 |
0 |
5 |
6 |
258 |
| Modelling Portfolio Defaults Using Hidden Markov Models with Covariates |
0 |
0 |
0 |
87 |
0 |
4 |
8 |
434 |
| Network, market, and book-based systemic risk rankings |
0 |
0 |
1 |
13 |
0 |
1 |
3 |
91 |
| New HEAVY Models for Fat-Tailed Realized Covariances and Returns |
0 |
0 |
0 |
5 |
1 |
3 |
5 |
18 |
| Nonlinear autoregressive models with optimality properties |
0 |
0 |
1 |
3 |
2 |
3 |
5 |
19 |
| Nowcasting and forecasting global financial sector stress and credit market dislocation |
0 |
0 |
0 |
19 |
1 |
3 |
5 |
98 |
| Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models |
0 |
0 |
0 |
16 |
1 |
4 |
6 |
66 |
| Nut, gebruik en beperkingen van Value-at-Risk voor risicomanagement |
0 |
0 |
0 |
4 |
0 |
1 |
1 |
28 |
| Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk |
1 |
1 |
2 |
45 |
1 |
4 |
9 |
202 |
| Observation-driven filtering of time-varying parameters using moment conditions |
0 |
0 |
1 |
7 |
2 |
3 |
7 |
17 |
| Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting |
0 |
0 |
1 |
5 |
1 |
5 |
8 |
23 |
| Outlier Detection in Cointegration Analysis |
0 |
0 |
0 |
0 |
1 |
3 |
5 |
770 |
| Outlier robust analysis of long-run marketing effects for weekly scanning data |
0 |
0 |
0 |
46 |
2 |
3 |
6 |
208 |
| Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models |
0 |
0 |
2 |
42 |
2 |
7 |
17 |
176 |
| Quantile forecasting for credit risk management using possibly misspecified hidden Markov models |
0 |
0 |
1 |
54 |
0 |
3 |
4 |
212 |
| Quantiles for t-statistics based on M-estimators of unit roots |
0 |
0 |
1 |
23 |
4 |
4 |
6 |
306 |
| Risk aversion under preference uncertainty |
0 |
0 |
0 |
17 |
1 |
3 |
4 |
119 |
| Risk endogeneity at the lender/investor-of-last-resort |
0 |
0 |
0 |
7 |
0 |
1 |
3 |
35 |
| SETS, arbitrage activity, and stock price dynamics |
0 |
0 |
1 |
36 |
1 |
1 |
6 |
176 |
| Score-driven exponentially weighted moving averages and Value-at-Risk forecasting |
0 |
0 |
0 |
17 |
1 |
1 |
2 |
91 |
| Semi-nonparametric cointegration testing |
0 |
0 |
0 |
42 |
1 |
3 |
4 |
161 |
| Semiparametric score driven volatility models |
0 |
0 |
2 |
26 |
1 |
4 |
8 |
91 |
| Short patches of outliers, ARCH and volatility modelling |
0 |
0 |
0 |
37 |
2 |
6 |
7 |
217 |
| Spillover dynamics for systemic risk measurement using spatial financial time series models |
0 |
0 |
3 |
46 |
4 |
7 |
20 |
183 |
| Stock selection, style rotation, and risk |
0 |
0 |
0 |
125 |
0 |
2 |
8 |
477 |
| Tail behaviour of credit loss distributions for general latent factor models |
0 |
0 |
0 |
100 |
0 |
1 |
1 |
455 |
| Testing for ARCH in the Presence of Additive Outliers |
0 |
0 |
0 |
213 |
0 |
3 |
5 |
794 |
| Testing for Parameter Instability across Different Modeling Frameworks |
0 |
0 |
0 |
4 |
3 |
4 |
6 |
32 |
| Testing for Smooth Transition Nonlinearity in the Presence of Outliers |
0 |
0 |
0 |
0 |
1 |
4 |
8 |
520 |
| The Conditional Autoregressive F-Riesz Model for Realized Covariance Matrices |
0 |
1 |
1 |
1 |
1 |
3 |
5 |
5 |
| The Effect of Shortfall as a Risk Measure for Portfolios with Hedge Funds |
0 |
0 |
0 |
3 |
0 |
2 |
4 |
21 |
| The information in systemic risk rankings |
0 |
0 |
0 |
23 |
0 |
3 |
5 |
103 |
| The multi-state latent factor intensity model for credit rating transitions |
0 |
1 |
1 |
154 |
0 |
1 |
4 |
471 |
| Time-Varying Parameters in Econometrics: The editor’s foreword |
0 |
2 |
2 |
4 |
2 |
5 |
9 |
16 |
| Time-Varying Transition Probabilities for Markov Regime Switching Models |
0 |
3 |
4 |
17 |
3 |
11 |
19 |
69 |
| Time-varying variance and skewness in realized volatility measures |
0 |
0 |
1 |
3 |
1 |
7 |
10 |
19 |
| Unit Root Tests Based on M Estimators |
0 |
0 |
0 |
22 |
0 |
1 |
1 |
75 |
| Washington meets Wall Street: A closer examination of the presidential cycle puzzle |
0 |
0 |
0 |
15 |
2 |
7 |
11 |
104 |
| Total Journal Articles |
4 |
19 |
68 |
3,558 |
116 |
317 |
579 |
17,017 |
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