Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? |
1 |
1 |
2 |
1,214 |
1 |
2 |
7 |
2,438 |
And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
0 |
259 |
2 |
2 |
4 |
623 |
Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
2 |
379 |
0 |
0 |
3 |
1,024 |
Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
0 |
0 |
0 |
841 |
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
0 |
132 |
0 |
0 |
3 |
524 |
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
2 |
2 |
87 |
1 |
3 |
5 |
320 |
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
0 |
699 |
2 |
2 |
11 |
1,894 |
Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
2 |
369 |
0 |
1 |
5 |
1,008 |
Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
1 |
1 |
4 |
331 |
Model confidence sets for forecasting models |
0 |
0 |
2 |
265 |
0 |
0 |
8 |
664 |
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
1 |
71 |
1 |
1 |
3 |
256 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
0 |
1 |
1 |
207 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
0 |
1 |
2 |
382 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
1 |
1 |
1 |
196 |
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
0 |
1 |
2 |
720 |
Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
1 |
1 |
4 |
300 |
Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
154 |
Realized Variance and IID Market Microstructure Noise |
0 |
0 |
0 |
319 |
0 |
0 |
1 |
917 |
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
2 |
6 |
437 |
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
0 |
0 |
0 |
362 |
Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
239 |
Subsampling realised kernels |
0 |
0 |
0 |
75 |
0 |
0 |
2 |
335 |
Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
254 |
Testing the significance of calendar effects |
0 |
0 |
1 |
669 |
0 |
0 |
3 |
1,792 |
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
669 |
The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
145 |
The Model Confidence Set |
0 |
1 |
5 |
219 |
0 |
2 |
8 |
730 |
Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
99 |
Wavelet Estimation of Integrated Volatility |
0 |
0 |
1 |
280 |
0 |
0 |
4 |
526 |
Total Working Papers |
2 |
4 |
18 |
6,496 |
10 |
21 |
89 |
18,387 |