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

A Fast Fractional Difference Algorithm |
0 |
0 |
3 |
233 |
0 |
2 |
13 |
507 |

A Fractionally Cointegrated Var Analysis Of Economic Voting And Political Support |
0 |
1 |
7 |
168 |
0 |
3 |
24 |
321 |

A Fractionally Cointegrated Var Analysis Of Price Discovery In Commodity Futures Markets |
2 |
2 |
8 |
83 |
4 |
4 |
21 |
217 |

A Fractionally Cointegrated Var Model With Deterministic Trends And Application To Commodity Futures Markets |
1 |
2 |
6 |
176 |
2 |
11 |
29 |
344 |

A Matlab Program And User's Guide For The Fractionally Cointegrated Var Model |
4 |
17 |
127 |
793 |
10 |
33 |
272 |
1,325 |

A Necessary Moment Condition For The Fractional Functional Central Limit Theorem |
0 |
0 |
0 |
60 |
0 |
0 |
3 |
154 |

A Necessary Moment Condition for the Fractional Functional Central Limit Theorem |
0 |
0 |
1 |
22 |
0 |
4 |
15 |
122 |

A Powerful Test Of The Autoregressive Unit Root Hypothesis Based On A Tuning Parameter Free Statistic |
0 |
1 |
1 |
77 |
0 |
1 |
1 |
264 |

A Powerful Test of the Autoregressive Unit Root Hypothesis Based on a Tuning Parameter Free Statistic |
0 |
0 |
0 |
59 |
1 |
1 |
2 |
149 |

A Powerful Tuning Parameter Free Test Of The Autoregressive Unit Root Hypothesis |
2 |
2 |
2 |
113 |
2 |
2 |
6 |
468 |

A Powerful Tuning Parameter Free Test of the Autoregressive Unit Root Hypothesis |
0 |
0 |
0 |
37 |
1 |
2 |
3 |
132 |

A Regime Switching Long Memory Model for Electricity Prices |
0 |
0 |
1 |
625 |
3 |
3 |
6 |
1,424 |

A Vector Autoregressive Model For Electricity Prices Subject To Long Memory And Regime Switching |
0 |
0 |
0 |
270 |
0 |
0 |
6 |
741 |

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching |
0 |
0 |
0 |
131 |
0 |
0 |
3 |
373 |

A fast fractional difference algorithm |
0 |
0 |
3 |
36 |
1 |
2 |
11 |
94 |

A fractionally cointegrated VAR analysis of economic voting and political support |
0 |
1 |
4 |
48 |
0 |
1 |
6 |
63 |

A fractionally cointegrated VAR analysis of price discovery in commodity futures markets |
0 |
0 |
1 |
36 |
0 |
0 |
7 |
98 |

A necessary moment condition for the fractional functional central limit theorem |
0 |
0 |
0 |
15 |
0 |
0 |
1 |
56 |

Adaptive Inference In Heteroskedastic Fractional Time Series Models |
5 |
7 |
48 |
140 |
10 |
16 |
105 |
213 |

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

Asymptotic Theory And Wild Bootstrap Inference With Clustered Errors |
5 |
13 |
90 |
162 |
12 |
35 |
202 |
295 |

Asymptotic Theory and Wild Bootstrap Inference with Clustered Errors |
1 |
1 |
5 |
5 |
5 |
9 |
19 |
19 |

Asymptotics For The Conditional-sum-of-squares Estimator In Multivariate Fractional Time Series Models |
0 |
0 |
0 |
209 |
0 |
1 |
7 |
398 |

Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models |
0 |
0 |
0 |
19 |
0 |
2 |
5 |
38 |

Bias-reduced estimation of long memory stochastic volatility |
0 |
0 |
0 |
61 |
1 |
1 |
2 |
178 |

Bootstrap And Asymptotic Inference With Multiway Clustering |
6 |
11 |
50 |
180 |
10 |
21 |
115 |
323 |

Bootstrap Score Tests For Fractional Integration In Heteroskedastic Arfima Models, With An Application To Price Dynamics In Commodity Spot And Futures Markets |
1 |
1 |
2 |
174 |
1 |
1 |
12 |
379 |

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets |
0 |
0 |
0 |
42 |
1 |
1 |
1 |
72 |

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns |
0 |
0 |
0 |
60 |
2 |
3 |
11 |
238 |

Continuous-time Models, Realized Volatilities, And Testable Distributional Implications For Daily Stock Returns |
1 |
1 |
1 |
368 |
1 |
1 |
9 |
854 |

Determining The Cointegrating Rank In Nonstationary Fractional Systems By The Exact Local Whittle Approach |
0 |
0 |
1 |
163 |
1 |
1 |
3 |
512 |

Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
133 |
0 |
0 |
2 |
346 |

Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model |
1 |
1 |
8 |
213 |
5 |
8 |
46 |
464 |

Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
3 |
3 |
2 |
5 |
15 |
15 |

Efficient Inference in Multivariate Fractionally Integrated Time Series Models |
1 |
1 |
1 |
187 |
1 |
1 |
2 |
533 |

Efficient Likelihold Inference in Nonstationary Univariate Models |
0 |
0 |
1 |
21 |
0 |
0 |
2 |
94 |

Estimation of Fractional Integration in the Presence of Data Noise |
0 |
0 |
0 |
33 |
2 |
2 |
5 |
115 |

Fast And Wild: Bootstrap Inference In Stata Using Boottest |
13 |
47 |
244 |
362 |
60 |
182 |
687 |
921 |

Fast and Wild: Bootstrap Inference in Stata Using boottest |
1 |
2 |
5 |
5 |
4 |
11 |
28 |
28 |

Fcvarmodel.m: A Matlab Software Package For Estimation And Testing In The Fractionally Cointegrated Var Model |
1 |
2 |
26 |
726 |
4 |
7 |
83 |
1,510 |

Finite Sample Accuracy Of Integrated Volatility Estimators |
0 |
0 |
1 |
23 |
1 |
2 |
3 |
116 |

Finite Sample Comparison Of Parametric, Semiparametric, And Wavelet Estimators Of Fractional Integration |
2 |
2 |
3 |
71 |
4 |
5 |
17 |
272 |

Forecasting Exchange Rate Volatility In The Presence Of Jumps |
1 |
1 |
4 |
139 |
1 |
1 |
12 |
537 |

Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
7 |
186 |
1 |
2 |
44 |
437 |

Forecasting daily political opinion polls using the fractionally cointegrated VAR model |
0 |
0 |
0 |
34 |
1 |
4 |
19 |
59 |

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
43 |

Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration |
1 |
1 |
1 |
105 |
2 |
2 |
10 |
338 |

Fully Modified Narrow-band Least Squares Estimation Of Weak Fractional Cointegration |
0 |
0 |
0 |
49 |
0 |
0 |
4 |
147 |

Improved Likelihood Ratio Tests For Cointegration Rank In The Var Model |
0 |
0 |
1 |
48 |
0 |
0 |
4 |
167 |

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
1 |
14 |
0 |
0 |
4 |
67 |

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model |
0 |
0 |
0 |
49 |
1 |
1 |
1 |
126 |

Likelihood Inference For A Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
0 |
317 |
0 |
0 |
5 |
527 |

Likelihood Inference For A Nonstationary Fractional Autoregressive Model |
0 |
1 |
2 |
219 |
1 |
3 |
9 |
536 |

Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
0 |
0 |
1 |
44 |
0 |
0 |
6 |
146 |

Likelihood Inference for a Nonstationary Fractional Autoregressive Model |
0 |
0 |
1 |
108 |
0 |
0 |
2 |
247 |

Likelihood inference for a fractionally cointegrated vector autoregressive model |
0 |
0 |
0 |
114 |
0 |
0 |
6 |
169 |

Likelihood inference for a nonstationary fractional autoregressive model |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
84 |

Local Empirical Spectral Measure of Multivariate Processes with Long Range Dependence |
0 |
0 |
0 |
105 |
0 |
0 |
1 |
324 |

Local Polynomial Whittle Estimation Of Perturbed Fractional Processes |
0 |
0 |
0 |
76 |
1 |
1 |
5 |
215 |

Local Whittle Analysis of Stationary Fractional Cointegration |
0 |
0 |
1 |
108 |
0 |
0 |
3 |
379 |

Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
0 |
53 |
1 |
1 |
1 |
154 |

Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model |
1 |
2 |
6 |
190 |
5 |
8 |
39 |
469 |

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model |
0 |
0 |
0 |
139 |
0 |
0 |
0 |
309 |

Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
0 |
0 |
164 |
0 |
0 |
1 |
858 |

Nearly Efficient Likelihood Ratio Tests For Seasonal Unit Roots |
0 |
0 |
0 |
37 |
2 |
3 |
13 |
143 |

Nearly Efficient Likelihood Ratio Tests Of The Unit Root Hypothesis |
1 |
2 |
5 |
177 |
1 |
4 |
22 |
372 |

Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
0 |
0 |
17 |
0 |
2 |
4 |
57 |

Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
0 |
34 |
0 |
1 |
4 |
104 |

Nonparametric Cointegration Analysis Of Fractional Systems With Unknown Integration Orders |
0 |
0 |
0 |
144 |
0 |
0 |
0 |
371 |

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders |
0 |
1 |
1 |
64 |
0 |
3 |
4 |
151 |

Nonstationary Cointegration In The Fractionally Cointegrated Var Model |
1 |
3 |
30 |
106 |
3 |
8 |
72 |
126 |

Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
0 |
0 |
5 |
0 |
3 |
7 |
17 |

Nonstationary cointegration in the fractionally cointegrated VAR model |
0 |
0 |
4 |
21 |
0 |
3 |
15 |
22 |

Numerical Distribution Functions Of Fractional Unit Root And Cointegration Tests |
1 |
1 |
5 |
461 |
2 |
4 |
21 |
876 |

Numerical distribution functions of fractional unit root and cointegration tests |
0 |
0 |
2 |
50 |
0 |
5 |
8 |
111 |

Optimal Residual Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
0 |
176 |
0 |
0 |
2 |
516 |

Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form |
0 |
0 |
1 |
24 |
1 |
1 |
6 |
33 |

Quasi-maximum Likelihood Estimation And Bootstrap Inference In Fractional Time Series Models With Heteroskedasticity Of Unknown Form |
2 |
2 |
10 |
210 |
2 |
5 |
36 |
386 |

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data |
0 |
1 |
3 |
298 |
0 |
1 |
7 |
1,161 |

Semiparametric Estimation in Time Series Regression with Long Range Dependence |
0 |
0 |
0 |
114 |
0 |
0 |
3 |
360 |

Spectral Analysis of Fractionally Cointegrated Systems |
0 |
1 |
2 |
109 |
0 |
1 |
2 |
255 |

Testing The Cvar In The Fractional Cvar Model |
0 |
0 |
2 |
70 |
0 |
1 |
7 |
71 |

Testing the CVAR in the fractional CVAR model |
0 |
0 |
1 |
14 |
0 |
1 |
10 |
24 |

Testing the CVAR in the fractional CVAR model |
0 |
0 |
2 |
2 |
1 |
3 |
10 |
23 |

The Cointegrated Vector Autoregressive Model With General Deterministic Terms |
0 |
0 |
1 |
79 |
0 |
1 |
12 |
116 |

The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
0 |
78 |
0 |
2 |
4 |
221 |

The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect |
0 |
0 |
1 |
114 |
2 |
3 |
15 |
401 |

The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices |
1 |
2 |
2 |
191 |
3 |
6 |
12 |
676 |

The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps |
1 |
1 |
1 |
204 |
2 |
3 |
9 |
1,031 |

The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets |
1 |
1 |
2 |
378 |
2 |
2 |
8 |
1,127 |

The Role Of Initial Values In Conditional Sum-of-squares Estimation Of Nonstationary Fractional Time Series Models |
0 |
0 |
1 |
202 |
0 |
1 |
7 |
357 |

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets |
0 |
0 |
1 |
207 |
2 |
4 |
7 |
559 |

The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
1 |
9 |
1 |
2 |
10 |
38 |

The cointegrated vector autoregressive model with general deterministic terms |
1 |
1 |
2 |
63 |
1 |
3 |
8 |
40 |

The impact of financial crises on the risk-return tradeoff and the leverage effect |
0 |
0 |
0 |
87 |
0 |
1 |
3 |
306 |

The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
49 |

The role of initial values in nonstationary fractional time series models |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
57 |

Truncated Sum Of Squares Estimation Of Fractional Time Series Models With Deterministic Trends |
5 |
5 |
18 |
87 |
7 |
9 |
41 |
131 |

Validity Of Wild Bootstrap Inference With Clustered Errors |
1 |
1 |
7 |
108 |
3 |
5 |
25 |
160 |

Variance ratio test for the number of stochastic trends in functional time series |
24 |
24 |
24 |
24 |
31 |
31 |
31 |
31 |

Wild Bootstrap and Asymptotic Inference with Multiway Clustering |
15 |
22 |
72 |
72 |
55 |
79 |
128 |
128 |

Total Working Papers |
104 |
188 |
879 |
12,724 |
287 |
609 |
2,563 |
31,731 |