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

A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data |
0 |
0 |
0 |
26 |
1 |
1 |
2 |
106 |

An Assessment of Alternative State Space Models for Count Time Series |
0 |
0 |
1 |
138 |
0 |
0 |
2 |
422 |

Approximate Bayesian Computation in State Space Models |
0 |
0 |
0 |
78 |
2 |
3 |
5 |
115 |

Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility |
0 |
1 |
2 |
122 |
1 |
2 |
4 |
411 |

Bayesian Analysis of Continuous Time Models of the Australian Short Rate |
0 |
1 |
1 |
176 |
1 |
3 |
3 |
460 |

Bayesian Analysis of a Cointegration Model Using Markov Chain Monte Carlo |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
450 |

Bayesian Analysis of the Stochastic Conditional Duration Model |
0 |
0 |
0 |
229 |
0 |
1 |
3 |
566 |

Bayesian Estimation of Non-Gausian Time Series with Applicaitons to Transaction Data |
0 |
0 |
0 |
5 |
0 |
0 |
4 |
434 |

Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices |
0 |
0 |
2 |
663 |
0 |
0 |
3 |
1,774 |

Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter |
0 |
0 |
1 |
690 |
0 |
0 |
2 |
1,385 |

Bias Correction of Persistence Measures in Fractionally Integrated Models |
0 |
0 |
0 |
19 |
1 |
1 |
4 |
34 |

Bias Correction of Persistence Measures in Fractionally Integrated Models |
0 |
0 |
0 |
16 |
1 |
2 |
4 |
34 |

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap |
0 |
0 |
1 |
31 |
1 |
1 |
3 |
70 |

Bias Reduction of Long Memory Parameter Estimators via the Pre-filtered Sieve Bootstrap |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
30 |

Coherent Predictions of Low Count Time Series |
0 |
0 |
0 |
163 |
0 |
1 |
9 |
478 |

Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures? |
0 |
0 |
1 |
79 |
0 |
0 |
2 |
247 |

Fractional Cointegration: A Bayesian Aproach |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
273 |

Fractional Cointegration: Bayesian Inferences Using a Jeffreys Prior |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
814 |

Higher Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes |
0 |
0 |
0 |
34 |
1 |
1 |
3 |
78 |

Higher-Order Improvements of the Sieve Bootstrap for Fractionally Integrated Processes |
0 |
0 |
0 |
13 |
0 |
2 |
4 |
27 |

Implicit Bayesian Inference Using Option Prices |
0 |
0 |
0 |
273 |
0 |
0 |
1 |
782 |

Implicit Bayesian Inference Using Option Prices |
0 |
0 |
1 |
141 |
1 |
1 |
2 |
481 |

Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
2 |
26 |
2 |
2 |
7 |
68 |

Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
15 |
0 |
1 |
10 |
44 |

Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures |
0 |
0 |
0 |
20 |
1 |
1 |
6 |
36 |

Issues in the Estimation of Mis-Specified Models of Fractionally Integrated Processes |
0 |
0 |
0 |
31 |
0 |
1 |
5 |
44 |

Non-Parametric Estimation of Forecast Distributions in Non-Gaussian, Non-linear State Space Models |
1 |
1 |
1 |
40 |
3 |
4 |
7 |
169 |

Optimal Probabilistic Forecasts for Counts |
0 |
0 |
0 |
68 |
0 |
1 |
2 |
130 |

Parameterisation and Efficient MCMC Estimation of Non-Gaussian State Space Models |
0 |
0 |
0 |
158 |
3 |
5 |
6 |
436 |

Parametric Pricing of Higher Order Moments in S&P500 Options |
1 |
1 |
3 |
229 |
2 |
2 |
16 |
1,016 |

Persistence and Nonstationary Models |
0 |
0 |
0 |
185 |
0 |
0 |
3 |
360 |

Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms |
0 |
0 |
1 |
158 |
0 |
0 |
3 |
486 |

Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns |
0 |
0 |
1 |
329 |
3 |
5 |
12 |
1,414 |

Private and Public Consumption Expenditure Substitutability: Bayesian Estimates for the G7 Countries |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
1,198 |

Probabilistic Forecasts of Volatility and its Risk Premia |
0 |
0 |
0 |
52 |
3 |
3 |
4 |
115 |

Simulation-Based Bayesian Estimation of Affine Term Structure Models |
0 |
0 |
0 |
456 |
1 |
4 |
4 |
964 |

Spot Market Competition with Stranded Costs in the Spanish Electricity Industry |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
431 |

Testing for Dependence in Non-Gaussian Time Series Data |
0 |
0 |
0 |
109 |
0 |
0 |
0 |
341 |

Testing for Dependence in Non-Gaussian Time Series Data |
0 |
0 |
0 |
87 |
0 |
0 |
2 |
335 |

U.S. Deficit Sustainability: A New Approach Based on Multiple Endogenous Breaks |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
1,217 |

Total Working Papers |
2 |
4 |
18 |
4,867 |
29 |
54 |
161 |
18,275 |