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Last month |
3 months |
12 months |
Total |

A Fast Fractional Difference Algorithm |
0 |
0 |
0 |
234 |
2 |
3 |
9 |
519 |

A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support |
0 |
1 |
4 |
173 |
0 |
3 |
20 |
344 |

A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets |
0 |
1 |
5 |
88 |
0 |
3 |
19 |
236 |

A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets |
0 |
3 |
7 |
184 |
1 |
7 |
36 |
385 |

A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model |
3 |
15 |
73 |
879 |
5 |
36 |
172 |
1,525 |

A Necessary Moment Condition For The Fractional Functional Central Limit Theorem |
0 |
0 |
1 |
61 |
0 |
1 |
5 |
161 |

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem |
0 |
0 |
1 |
23 |
1 |
1 |
9 |
134 |

A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic |
0 |
1 |
2 |
79 |
0 |
1 |
4 |
268 |

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic |
0 |
0 |
0 |
59 |
0 |
2 |
2 |
151 |

A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis |
0 |
0 |
1 |
114 |
1 |
3 |
11 |
481 |

A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
135 |

A Regime Switching Long Memory Model for Electricity Prices |
0 |
0 |
1 |
626 |
0 |
2 |
14 |
1,440 |

A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching |
0 |
0 |
0 |
270 |
0 |
1 |
3 |
750 |

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching |
0 |
0 |
0 |
131 |
0 |
1 |
5 |
379 |

A fast fractional difference algorithm |
0 |
0 |
1 |
37 |
0 |
2 |
12 |
108 |

A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
0 |
3 |
51 |
0 |
2 |
16 |
84 |

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets |
0 |
0 |
1 |
38 |
1 |
5 |
13 |
114 |

A necessary moment condition for the fractional functional central limit theorem |
0 |
0 |
0 |
15 |
0 |
3 |
4 |
62 |

Adaptive Inference In Heteroskedastic Fractional Time Series Models |
0 |
5 |
21 |
167 |
1 |
10 |
53 |
278 |

Adaptive Inference in Heteroskedastic Fractional Time Series Models |
0 |
1 |
3 |
3 |
1 |
6 |
12 |
12 |

Asset Market Perspectives on the Israeli-Palestinian Conflict |
0 |
0 |
1 |
3 |
0 |
3 |
10 |
14 |

Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors |
2 |
7 |
26 |
199 |
3 |
13 |
55 |
375 |

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors |
0 |
0 |
1 |
6 |
0 |
4 |
15 |
38 |

Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models |
0 |
0 |
0 |
210 |
2 |
4 |
7 |
407 |

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models |
0 |
0 |
0 |
19 |
0 |
1 |
9 |
47 |

Bias-reduced estimation of long memory stochastic volatility |
0 |
0 |
1 |
62 |
0 |
2 |
9 |
188 |

Bootstrap And Asymptotic Inference With Multiway Clustering |
1 |
6 |
21 |
205 |
1 |
15 |
50 |
383 |

Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets |
0 |
1 |
3 |
177 |
1 |
5 |
13 |
397 |

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets |
0 |
1 |
2 |
44 |
1 |
3 |
9 |
82 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
1 |
61 |
0 |
0 |
10 |
251 |

Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
0 |
0 |
2 |
370 |
1 |
3 |
20 |
881 |

Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach |
0 |
0 |
1 |
164 |
1 |
2 |
5 |
517 |

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
133 |
1 |
2 |
11 |
357 |

Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model |
0 |
0 |
6 |
220 |
1 |
8 |
33 |
511 |

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
0 |
5 |
0 |
4 |
16 |
38 |

Efficient Inference in Multivariate Fractionally Integrated Time Series Models |
0 |
0 |
0 |
187 |
0 |
0 |
1 |
535 |

Efficient Likelihold Inference in Nonstationary Univariate Models |
0 |
0 |
0 |
21 |
0 |
1 |
8 |
102 |

Estimation of Fractional Integration in the Presence of Data Noise |
0 |
0 |
0 |
33 |
0 |
1 |
3 |
119 |

Fast And Wild: Bootstrap Inference In Stata Using Boottest |
13 |
25 |
120 |
513 |
36 |
88 |
427 |
1,459 |

Fast and Wild: Bootstrap Inference in Stata Using boottest |
2 |
4 |
14 |
23 |
5 |
12 |
55 |
95 |

Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model |
1 |
5 |
17 |
745 |
2 |
11 |
49 |
1,572 |

Finite Sample Accuracy Of Integrated Volatility Estimators |
0 |
0 |
0 |
23 |
0 |
1 |
5 |
122 |

Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration |
0 |
0 |
1 |
72 |
0 |
2 |
18 |
293 |

Forecasting Exchange Rate Volatility In The Presence Of Jumps |
0 |
0 |
0 |
139 |
0 |
1 |
11 |
550 |

Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
1 |
187 |
0 |
0 |
10 |
449 |

Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
0 |
34 |
0 |
4 |
7 |
67 |

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration |
0 |
0 |
0 |
12 |
0 |
1 |
2 |
48 |

Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration |
0 |
0 |
0 |
105 |
0 |
1 |
6 |
345 |

Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration |
0 |
0 |
0 |
49 |
0 |
0 |
4 |
152 |

Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model |
0 |
0 |
0 |
48 |
0 |
2 |
4 |
178 |

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
14 |
1 |
5 |
9 |
78 |

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
49 |
0 |
2 |
3 |
130 |

Inference on the dimension of the nonstationary subspace in functional time series |
7 |
26 |
100 |
176 |
14 |
55 |
274 |
372 |

Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
317 |
0 |
2 |
7 |
536 |

Likelihood Inference For A Nonstationary Fractional Autoregressive Model |
0 |
0 |
0 |
220 |
0 |
4 |
9 |
547 |

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
1 |
45 |
0 |
4 |
17 |
165 |

Likelihood Inference for a Nonstationary Fractional Autoregressive Model |
0 |
0 |
1 |
109 |
1 |
3 |
8 |
255 |

Likelihood inference for a fractionally cointegrated vector autoregressive model |
0 |
0 |
5 |
119 |
1 |
3 |
14 |
186 |

Likelihood inference for a nonstationary fractional autoregressive model |
0 |
0 |
0 |
27 |
0 |
1 |
8 |
93 |

Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence |
0 |
0 |
0 |
105 |
0 |
1 |
4 |
329 |

Local Polynomial Whittle Estimation Of Perturbed Fractional Processes |
0 |
0 |
2 |
78 |
0 |
2 |
8 |
223 |

Local Whittle Analysis of Stationary Fractional Cointegration |
0 |
0 |
0 |
108 |
0 |
1 |
6 |
385 |

Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
1 |
54 |
0 |
1 |
7 |
161 |

Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model |
0 |
0 |
1 |
191 |
0 |
0 |
9 |
486 |

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model |
0 |
0 |
2 |
141 |
0 |
1 |
6 |
317 |

Multivariate Lagrange Multiplier Tests for Fractional Integration |
1 |
1 |
1 |
166 |
1 |
3 |
6 |
866 |

Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots |
0 |
0 |
0 |
37 |
0 |
4 |
6 |
150 |

Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis |
0 |
0 |
2 |
179 |
0 |
6 |
19 |
394 |

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
17 |
0 |
4 |
10 |
70 |

Nearly Efficient Likelihood Ratio Tests of a Unit Root in an Autoregressive Model of Arbitrary Order |
2 |
6 |
38 |
38 |
3 |
11 |
37 |
37 |

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
0 |
34 |
0 |
3 |
8 |
113 |

Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders |
0 |
0 |
0 |
144 |
0 |
0 |
5 |
379 |

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders |
0 |
0 |
0 |
64 |
1 |
2 |
5 |
157 |

Nonstationary Cointegration In The Fractionally Cointegrated Var Model |
0 |
2 |
14 |
122 |
0 |
4 |
34 |
177 |

Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
1 |
6 |
29 |
0 |
3 |
13 |
38 |

Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
1 |
2 |
9 |
0 |
5 |
10 |
33 |

Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests |
0 |
2 |
11 |
474 |
1 |
4 |
19 |
902 |

Numerical distribution functions of fractional unit root and cointegration tests |
1 |
1 |
3 |
53 |
1 |
2 |
8 |
119 |

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
176 |
2 |
4 |
5 |
522 |

Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form |
0 |
0 |
0 |
24 |
0 |
2 |
7 |
41 |

Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form |
0 |
1 |
5 |
215 |
0 |
1 |
24 |
415 |

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data |
0 |
0 |
1 |
300 |
0 |
1 |
10 |
1,173 |

Semiparametric Estimation in Time Series Regression with Long Range Dependence |
0 |
0 |
0 |
114 |
3 |
6 |
17 |
379 |

Semiparametric Tests for the Order of Integration in the Possible Presence of Level Breaks |
3 |
6 |
22 |
22 |
4 |
13 |
26 |
26 |

Spectral Analysis of Fractionally Cointegrated Systems |
0 |
0 |
0 |
109 |
0 |
2 |
4 |
261 |

Testing The Cvar In The Fractional Cvar Model |
0 |
0 |
1 |
71 |
1 |
5 |
14 |
88 |

Testing for the appropriate level of clustering in linear regression models |
21 |
43 |
122 |
122 |
32 |
78 |
165 |
165 |

Testing the CVAR in the fractional CVAR model |
0 |
0 |
2 |
5 |
0 |
1 |
8 |
34 |

Testing the CVAR in the fractional CVAR model |
0 |
0 |
3 |
17 |
0 |
0 |
5 |
31 |

The Cointegrated Vector Autoregressive Model With General Deterministic Terms |
0 |
1 |
1 |
82 |
0 |
3 |
13 |
133 |

The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
1 |
1 |
79 |
0 |
1 |
6 |
229 |

The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect |
0 |
0 |
0 |
114 |
0 |
3 |
9 |
410 |

The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices |
0 |
0 |
0 |
191 |
0 |
3 |
18 |
696 |

The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps |
0 |
0 |
0 |
204 |
2 |
6 |
19 |
1,056 |

The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets |
0 |
0 |
1 |
380 |
0 |
3 |
15 |
1,146 |

The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models |
1 |
1 |
4 |
206 |
1 |
2 |
18 |
378 |

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets |
0 |
0 |
1 |
209 |
0 |
3 |
24 |
590 |

The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
0 |
63 |
0 |
5 |
14 |
57 |

The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
1 |
11 |
0 |
1 |
6 |
47 |

The impact of financial crises on the risk-return tradeoff and the leverage effect |
0 |
0 |
0 |
87 |
0 |
4 |
12 |
319 |

The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
31 |
2 |
5 |
6 |
63 |

The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
15 |
0 |
2 |
4 |
56 |

To infinity and beyond: Efficient computation of ARCH(\infty) models |
1 |
5 |
73 |
73 |
2 |
9 |
56 |
56 |

Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends |
0 |
0 |
5 |
95 |
1 |
4 |
18 |
152 |

Truncated sum of squares estimation of fractional time series models with deterministic trends |
0 |
0 |
3 |
3 |
0 |
4 |
10 |
10 |

Validity Of Wild Bootstrap Inference With Clustered Errors |
0 |
1 |
3 |
112 |
1 |
4 |
11 |
178 |

Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
2 |
2 |
7 |
7 |
3 |
7 |
14 |
14 |

Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
3 |
10 |
34 |
118 |
3 |
17 |
77 |
236 |

Total Working Papers |
64 |
187 |
822 |
13,712 |
149 |
621 |
2,507 |
34,797 |