| 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 |
1 |
4 |
1,221 |
2 |
5 |
34 |
2,478 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
0 |
260 |
0 |
2 |
18 |
643 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
381 |
0 |
1 |
15 |
1,040 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
0 |
1 |
23 |
865 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
3 |
136 |
0 |
3 |
44 |
573 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
2 |
90 |
0 |
5 |
37 |
363 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
1 |
703 |
0 |
1 |
19 |
1,920 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
1 |
2 |
373 |
2 |
2 |
25 |
1,036 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
1 |
1 |
117 |
0 |
1 |
10 |
341 |
| Model confidence sets for forecasting models |
0 |
2 |
5 |
271 |
1 |
5 |
50 |
721 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
2 |
3 |
23 |
280 |
| 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 |
0 |
22 |
405 |
| 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 |
0 |
16 |
224 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
0 |
47 |
244 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
1 |
2 |
7 |
729 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
0 |
2 |
14 |
314 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
0 |
7 |
161 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
1 |
320 |
0 |
2 |
30 |
947 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
0 |
1 |
12 |
377 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
1 |
18 |
457 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
1 |
1 |
19 |
354 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
1 |
19 |
273 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
1 |
18 |
258 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
2 |
3 |
10 |
1,802 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
0 |
6 |
675 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
0 |
1 |
6 |
152 |
| The Model Confidence Set |
0 |
3 |
8 |
229 |
8 |
16 |
59 |
793 |
| Trades and Quotes: A Bivariate Point Process |
0 |
1 |
1 |
20 |
0 |
1 |
8 |
108 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
0 |
280 |
0 |
0 |
10 |
536 |
| Total Working Papers |
1 |
9 |
30 |
6,541 |
19 |
61 |
626 |
19,069 |
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