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12 months |
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Last month |
3 months |
12 months |
Total |

A Financial Metric for Comparing Volatility Models: Do Better Models Make Money? |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
23 |

A New Structural Break Model with Application to Canadian Inflation Forecasting |
0 |
0 |
0 |
41 |
1 |
1 |
4 |
75 |

A New Structural Break Model with Application to Canadian Inflation Forecasting |
0 |
0 |
0 |
56 |
0 |
0 |
5 |
152 |

A Semi-Markov Approach to Modeling Volatility Dynamics |
0 |
0 |
0 |
1 |
1 |
1 |
5 |
519 |

A new structural break model with application to Canadian inflation forecasting |
0 |
0 |
2 |
56 |
0 |
0 |
6 |
114 |

An Efficient Bayesian Approach to Multiple Structural Change in Multivariate Time Series |
0 |
0 |
1 |
108 |
3 |
4 |
13 |
50 |

An Infinite Hidden Markov Model for Short-term Interest Rates |
0 |
0 |
2 |
45 |
0 |
0 |
3 |
80 |

An Infinite Hidden Markov Model for Short-term Interest Rates |
0 |
0 |
1 |
47 |
1 |
1 |
5 |
72 |

Are there Structural Breaks in Realized Volatility? |
0 |
0 |
0 |
220 |
0 |
0 |
6 |
528 |

Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models |
0 |
0 |
7 |
160 |
2 |
4 |
42 |
528 |

Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models |
0 |
0 |
0 |
62 |
2 |
4 |
9 |
176 |

Bayesian Nonparametric Estimation of Ex-post Variance |
0 |
0 |
0 |
43 |
2 |
2 |
15 |
52 |

Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices |
0 |
0 |
1 |
22 |
1 |
2 |
12 |
58 |

Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices |
0 |
0 |
0 |
63 |
1 |
2 |
5 |
22 |

Bayesian Semiparametric Modeling of Realized Covariance Matrices |
0 |
1 |
2 |
16 |
0 |
2 |
13 |
85 |

Bayesian Semiparametric Modeling of Realized Covariance Matrices |
0 |
0 |
1 |
43 |
0 |
0 |
11 |
92 |

Bayesian Semiparametric Multivariate GARCH Modeling |
0 |
0 |
0 |
58 |
1 |
1 |
8 |
134 |

Bayesian Semiparametric Stochastic Volatility Modeling |
0 |
0 |
0 |
39 |
1 |
1 |
7 |
146 |

Bayesian semiparametric multivariate GARCH modeling |
0 |
0 |
1 |
37 |
0 |
0 |
7 |
131 |

Bayesian semiparametric multivariate GARCH modeling |
0 |
0 |
0 |
35 |
0 |
0 |
4 |
81 |

Bayesian semiparametric stochastic volatility modeling |
0 |
0 |
0 |
47 |
0 |
0 |
6 |
161 |

Bayesian semiparametric stochastic volatility modeling |
0 |
0 |
0 |
135 |
0 |
5 |
12 |
354 |

Components of bull and bear markets: bull corrections and bear rallies |
0 |
2 |
2 |
147 |
1 |
3 |
14 |
448 |

Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions? |
0 |
0 |
0 |
28 |
2 |
2 |
6 |
97 |

Do Jumps Contribute to the Dynamics of the Equity Premium? |
1 |
3 |
5 |
135 |
2 |
6 |
21 |
405 |

Do high-frequency measures of volatility improve forecasts of return distributions? |
0 |
0 |
2 |
133 |
0 |
0 |
7 |
308 |

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture |
0 |
0 |
0 |
28 |
1 |
1 |
8 |
115 |

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture |
0 |
0 |
0 |
33 |
1 |
1 |
16 |
166 |

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture |
0 |
0 |
0 |
23 |
2 |
2 |
6 |
74 |

Extracting bull and bear markets from stock returns |
0 |
0 |
1 |
346 |
2 |
3 |
10 |
938 |

Forecasting Realized Volatility: A Bayesian Model Averaging Approach |
0 |
0 |
1 |
361 |
0 |
4 |
17 |
980 |

How useful are historical data for forecasting the long-run equity return distribution? |
2 |
3 |
4 |
421 |
7 |
12 |
39 |
2,000 |

How useful are historical data for forecasting the long-run equity return distribution? |
0 |
0 |
2 |
7 |
0 |
0 |
7 |
46 |

Improving Forecasts of Inflation using the Term Structure of Interest Rates |
0 |
0 |
4 |
170 |
1 |
2 |
25 |
438 |

Improving Markov switching models using realized variance |
0 |
1 |
3 |
71 |
1 |
2 |
10 |
63 |

Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market |
0 |
0 |
0 |
67 |
2 |
2 |
5 |
234 |

Learning, Forecasting and Structural Breaks |
0 |
0 |
0 |
719 |
2 |
3 |
11 |
2,487 |

Learning, Forecasting and Structural Breaks |
0 |
0 |
0 |
171 |
1 |
3 |
11 |
440 |

Modeling Covariance Breakdowns in Multivariate GARCH |
0 |
0 |
3 |
40 |
1 |
2 |
11 |
66 |

Modeling Covariance Breakdowns in Multivariate GARCH |
0 |
0 |
2 |
201 |
2 |
4 |
28 |
392 |

Modeling foreign exchange rates with jumps |
0 |
0 |
0 |
283 |
0 |
0 |
13 |
687 |

Modelling Realized Covariances |
0 |
1 |
1 |
67 |
0 |
1 |
5 |
145 |

Modelling Realized Covariances and Returns |
0 |
1 |
3 |
93 |
0 |
3 |
10 |
210 |

Modelling Realized Covariances and Returns |
0 |
0 |
1 |
45 |
1 |
1 |
11 |
127 |

Modelling Realized Covariances and Returns |
0 |
0 |
0 |
48 |
1 |
1 |
6 |
102 |

News Arrival, Jump Dynamics and Volatility Components for Individual Stock Returns |
0 |
0 |
3 |
429 |
1 |
2 |
12 |
1,076 |

Nonlinear Features of Realized FX Volatility |
0 |
0 |
0 |
295 |
0 |
0 |
4 |
1,071 |

Nonparametric Dynamic Conditional Beta |
0 |
1 |
2 |
49 |
0 |
1 |
7 |
48 |

Oil Price Shocks and Economic Growth: The Volatility Link |
0 |
0 |
5 |
40 |
0 |
0 |
12 |
68 |

Oil Price Shocks and Economic Growth: The Volatility Link |
0 |
0 |
0 |
29 |
0 |
1 |
2 |
33 |

Oil Price Shocks and Economic Growth: The Volatility Link |
0 |
1 |
4 |
38 |
1 |
2 |
17 |
58 |

Real Time Detection of Structural Breaks in GARCH Models |
0 |
0 |
0 |
70 |
1 |
1 |
5 |
196 |

Real Time Detection of Structural Breaks in GARCH Models |
0 |
0 |
0 |
151 |
1 |
2 |
7 |
386 |

Real Time Detection of Structural Breaks in GARCH Models |
0 |
0 |
0 |
34 |
0 |
0 |
6 |
134 |

Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis |
0 |
0 |
0 |
43 |
1 |
3 |
15 |
136 |

Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis |
0 |
0 |
0 |
14 |
2 |
5 |
22 |
90 |

Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis |
0 |
0 |
1 |
7 |
1 |
4 |
16 |
66 |

Volatility Dynamics Under Duration-Dependent Mixing |
0 |
0 |
0 |
98 |
0 |
1 |
4 |
238 |

Total Working Papers |
3 |
14 |
67 |
6,269 |
55 |
111 |
628 |
18,201 |