| 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)? |
0 |
2 |
6 |
1,219 |
2 |
10 |
18 |
2,455 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
1 |
260 |
2 |
4 |
9 |
630 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
380 |
1 |
7 |
8 |
1,032 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
2 |
7 |
8 |
849 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
2 |
134 |
2 |
9 |
18 |
542 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
2 |
88 |
1 |
10 |
18 |
337 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
3 |
702 |
4 |
7 |
17 |
1,909 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
2 |
371 |
3 |
5 |
9 |
1,017 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
0 |
1 |
3 |
333 |
| Model confidence sets for forecasting models |
0 |
2 |
3 |
268 |
4 |
17 |
24 |
688 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
0 |
4 |
7 |
262 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
1 |
7 |
8 |
215 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
11 |
26 |
30 |
225 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
3 |
10 |
12 |
394 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
2 |
2 |
4 |
724 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
3 |
7 |
8 |
307 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
1 |
4 |
4 |
158 |
| Realized Variance and IID Market Microstructure Noise |
0 |
1 |
1 |
320 |
5 |
7 |
7 |
924 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
0 |
2 |
5 |
367 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
4 |
4 |
7 |
444 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
2 |
6 |
8 |
343 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
2 |
4 |
5 |
244 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
4 |
6 |
7 |
261 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
1 |
1 |
1 |
1,793 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
2 |
2 |
3 |
148 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
3 |
4 |
673 |
| The Model Confidence Set |
1 |
2 |
4 |
223 |
8 |
12 |
18 |
748 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
1 |
1 |
2 |
101 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
0 |
280 |
2 |
3 |
4 |
530 |
| Total Working Papers |
1 |
7 |
26 |
6,520 |
73 |
188 |
276 |
18,653 |
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