| 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 |
6 |
1,220 |
2 |
11 |
26 |
2,464 |
| And Now, The Rest of the News: Volatility and Firm Specific News Arrival |
0 |
0 |
1 |
260 |
1 |
8 |
13 |
636 |
| Choosing the Best Volatility Models:The Model Confidence Set Approach |
1 |
1 |
1 |
381 |
1 |
5 |
11 |
1,036 |
| Choosing the best volatility models: the model confidence set approach |
0 |
0 |
0 |
248 |
3 |
15 |
20 |
862 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
2 |
135 |
2 |
13 |
28 |
553 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
2 |
2 |
90 |
2 |
8 |
23 |
344 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
1 |
4 |
703 |
3 |
11 |
22 |
1,916 |
| Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets |
1 |
1 |
3 |
372 |
2 |
9 |
15 |
1,023 |
| Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error |
0 |
0 |
0 |
116 |
1 |
5 |
7 |
338 |
| Model confidence sets for forecasting models |
0 |
0 |
3 |
268 |
8 |
17 |
36 |
701 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
3 |
6 |
12 |
268 |
| 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 |
9 |
18 |
400 |
| 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 |
24 |
42 |
238 |
| 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 |
6 |
13 |
220 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
351 |
1 |
5 |
7 |
727 |
| Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility |
0 |
0 |
0 |
62 |
1 |
4 |
8 |
308 |
| Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility |
0 |
0 |
0 |
27 |
0 |
2 |
5 |
159 |
| Realized Variance and IID Market Microstructure Noise |
0 |
0 |
1 |
320 |
5 |
22 |
24 |
941 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
2 |
7 |
10 |
447 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
3 |
7 |
370 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
1 |
11 |
17 |
352 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
10 |
13 |
267 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
1 |
10 |
12 |
252 |
| Testing the significance of calendar effects |
0 |
0 |
0 |
669 |
2 |
4 |
4 |
1,796 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
16 |
2 |
5 |
6 |
151 |
| The Hazards of Mutual Fund Underperformance: A Cox Regression Analysis |
0 |
0 |
0 |
140 |
0 |
1 |
5 |
674 |
| The Model Confidence Set |
2 |
3 |
6 |
225 |
9 |
22 |
32 |
762 |
| Trades and Quotes: A Bivariate Point Process |
0 |
0 |
0 |
19 |
0 |
5 |
6 |
105 |
| Wavelet Estimation of Integrated Volatility |
0 |
0 |
0 |
280 |
2 |
8 |
10 |
536 |
| Total Working Papers |
6 |
10 |
30 |
6,529 |
56 |
266 |
452 |
18,846 |
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