| 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 |
1,217 |
0 |
3 |
9 |
2,445 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
1 |
260 |
1 |
1 |
5 |
626 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
0 |
0 |
1 |
380 |
0 |
0 |
1 |
1,025 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
0 |
0 |
1 |
842 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
3 |
88 |
0 |
2 |
10 |
327 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
2 |
134 |
1 |
7 |
9 |
533 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
1 |
3 |
702 |
1 |
2 |
11 |
1,902 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
0 |
1 |
2 |
371 |
0 |
3 |
6 |
1,012 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
1 |
1 |
3 |
332 |
| Model confidence sets for forecasting models |
0 |
0 |
1 |
266 |
0 |
0 |
8 |
671 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
1 |
1 |
4 |
258 |
| 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 |
2 |
208 |
| 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 |
2 |
3 |
384 |
| 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 |
3 |
4 |
199 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
0 |
1 |
4 |
722 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
0 |
0 |
1 |
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 |
0 |
917 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
0 |
0 |
3 |
365 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
1 |
2 |
5 |
440 |
| Subsampling realised kernels |
0 |
1 |
1 |
76 |
0 |
2 |
2 |
337 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
240 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
1 |
1 |
255 |
| 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 |
1 |
1 |
1 |
670 |
| The Model Confidence Set |
0 |
0 |
3 |
221 |
1 |
4 |
8 |
736 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
0 |
280 |
0 |
1 |
2 |
527 |
| Total Working Papers |
1 |
5 |
21 |
6,478 |
8 |
37 |
104 |
18,219 |
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