Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Distributional Approach to Realized Volatility |
0 |
0 |
0 |
7 |
1 |
3 |
3 |
58 |
A Theoretical Comparison Between Integrated and Realized Volatilies |
0 |
0 |
0 |
0 |
2 |
3 |
3 |
165 |
A Theoretical Comparison Between Integrated and Realized Volatilies |
0 |
0 |
0 |
64 |
1 |
1 |
4 |
287 |
A Theoretical Comparison Between Integrated and Realized Volatilities |
0 |
1 |
1 |
153 |
2 |
3 |
5 |
527 |
ARMA REPRESENTATION OF INTEGRATED AND REALIZED VARIANCES |
0 |
0 |
0 |
19 |
1 |
1 |
1 |
201 |
ARMA Representation of Integrated and Realized Variances |
0 |
0 |
0 |
54 |
1 |
2 |
2 |
194 |
ARMA Representation of Integrated and Realized Variances |
1 |
1 |
1 |
134 |
2 |
2 |
2 |
692 |
ARMA Representation of Two-Factor Models |
0 |
0 |
0 |
297 |
1 |
1 |
1 |
1,061 |
Aggregations and Marginalization of GARCH and Stochastic Volatility Models |
0 |
0 |
0 |
207 |
1 |
2 |
3 |
604 |
Aggregations and Marginalization of Garch and Stochastic Volatility Models |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
449 |
An Eigenfunction Approach for Volatility Modeling |
0 |
0 |
0 |
260 |
0 |
0 |
2 |
768 |
An Eigenfunction Approach for Volatility Modeling |
0 |
0 |
0 |
311 |
0 |
0 |
0 |
1,372 |
An Eigenfunction Approach for Volatility Modeling |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
275 |
Analytic Evaluation of Volatility Forecasts |
0 |
0 |
0 |
815 |
0 |
0 |
3 |
1,880 |
Bootstrap inference for pre-averaged realized volatility based on non-overlapping returns |
0 |
0 |
0 |
53 |
0 |
2 |
4 |
111 |
Bootstrapping pre-averaged realized volatility under market microstructure noise |
0 |
0 |
1 |
57 |
0 |
1 |
6 |
164 |
Bootstrapping realized multivariate volatility measures |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
62 |
CORRECTING THE ERRORS: A NOTE ON VOLATILITY FORECAST EVALUATION BASED ON HIGH-FREQUENCY DATA AND REALIZED VOLATILITIES |
0 |
0 |
1 |
119 |
1 |
1 |
7 |
445 |
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
421 |
1 |
1 |
2 |
951 |
Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities |
0 |
0 |
0 |
171 |
0 |
1 |
1 |
491 |
Expected Value Models: A New Approach |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
2,351 |
GARCH and Irregularly Spaced Data |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
26 |
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices |
0 |
0 |
0 |
27 |
1 |
2 |
4 |
107 |
Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices |
0 |
0 |
1 |
88 |
1 |
1 |
2 |
253 |
Quadratic M-Estimators for ARCH-Type Processes |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
255 |
Quadratic M-Estimators for ARCH-Type Processes |
0 |
0 |
0 |
209 |
1 |
3 |
4 |
948 |
TESTING NORMALITY: A GMM APPROACH |
0 |
0 |
0 |
64 |
1 |
1 |
2 |
338 |
Temporal Aggregation of Volatility Models |
0 |
0 |
0 |
133 |
0 |
0 |
1 |
290 |
Temporal Aggregation of Volatility Models |
0 |
0 |
0 |
428 |
0 |
0 |
3 |
1,339 |
Testing Distributional Assumptions: A GMM Approach |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
295 |
Testing Distributional Assumptions: A GMM Approach |
0 |
0 |
0 |
114 |
1 |
1 |
4 |
426 |
Testing Normality: A GMM Approach |
0 |
0 |
0 |
183 |
1 |
1 |
1 |
699 |
Testing Normality: A GMM Approach |
0 |
0 |
0 |
309 |
1 |
1 |
2 |
1,587 |
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation |
0 |
0 |
0 |
97 |
1 |
3 |
4 |
395 |
Volatility Forecasting when the Noise Variance Is Time-Varying |
0 |
0 |
0 |
13 |
0 |
1 |
1 |
58 |
Total Working Papers |
1 |
2 |
5 |
4,854 |
24 |
41 |
82 |
20,124 |