| 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 |
2 |
6 |
1,219 |
3 |
8 |
17 |
2,453 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
1 |
260 |
2 |
3 |
7 |
628 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
380 |
0 |
6 |
7 |
1,031 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
1 |
5 |
6 |
847 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
3 |
88 |
4 |
9 |
18 |
336 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
2 |
134 |
3 |
8 |
16 |
540 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
3 |
702 |
2 |
4 |
13 |
1,905 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
0 |
2 |
371 |
2 |
2 |
6 |
1,014 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
1 |
2 |
3 |
333 |
| Model confidence sets for forecasting models |
1 |
2 |
3 |
268 |
6 |
13 |
20 |
684 |
| 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 |
5 |
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 |
31 |
9 |
15 |
19 |
214 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
5 |
7 |
9 |
391 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
2 |
6 |
7 |
214 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
0 |
0 |
3 |
722 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
3 |
4 |
5 |
304 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
2 |
3 |
3 |
157 |
| Realized Variance and IID Market Microstructure Noise |
1 |
1 |
1 |
320 |
2 |
2 |
2 |
919 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
1 |
3 |
440 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
2 |
5 |
367 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
1 |
2 |
3 |
257 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
2 |
3 |
242 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
1 |
4 |
6 |
341 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
0 |
0 |
0 |
1,792 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
2 |
4 |
4 |
673 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
146 |
| The Model Confidence Set |
1 |
1 |
4 |
222 |
3 |
5 |
11 |
740 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
100 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
0 |
280 |
1 |
1 |
2 |
528 |
| Total Working Papers |
4 |
7 |
27 |
6,519 |
56 |
123 |
207 |
18,580 |
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