| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
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 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A FAST FRACTIONAL DIFFERENCE ALGORITHM |
0 |
0 |
17 |
82 |
1 |
4 |
39 |
187 |
| A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets |
0 |
0 |
6 |
73 |
10 |
12 |
37 |
185 |
| A NECESSARY MOMENT CONDITION FOR THE FRACTIONAL FUNCTIONAL CENTRAL LIMIT THEOREM |
0 |
0 |
4 |
44 |
0 |
1 |
10 |
206 |
| A POWERFUL TEST OF THE AUTOREGRESSIVE UNIT ROOT HYPOTHESIS BASED ON A TUNING PARAMETER FREE STATISTIC |
0 |
0 |
1 |
61 |
2 |
4 |
9 |
157 |
| A fractionally cointegrated VAR analysis of economic voting and political support |
1 |
5 |
11 |
80 |
2 |
10 |
36 |
179 |
| A fractionally cointegrated VAR model with deterministic trends and application to commodity futures markets |
3 |
4 |
11 |
33 |
3 |
7 |
30 |
112 |
| A regime switching long memory model for electricity prices |
1 |
1 |
3 |
316 |
3 |
4 |
15 |
838 |
| A vector autoregressive model for electricity prices subject to long memory and regime switching |
0 |
0 |
1 |
87 |
1 |
1 |
7 |
274 |
| Asset Market Perspectives on the Israeli–Palestinian Conflict |
0 |
0 |
2 |
72 |
0 |
1 |
11 |
316 |
| Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting |
0 |
0 |
8 |
162 |
1 |
2 |
20 |
373 |
| Asymptotics for the Conditional-Sum-of-Squares Estimator in Multivariate Fractional Time-Series Models |
0 |
1 |
4 |
30 |
1 |
2 |
13 |
82 |
| Bias-Reduced Estimation of Long-Memory Stochastic Volatility |
0 |
0 |
1 |
44 |
1 |
1 |
7 |
157 |
| Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets |
0 |
1 |
1 |
56 |
2 |
4 |
12 |
160 |
| Comment |
0 |
0 |
0 |
26 |
0 |
0 |
3 |
130 |
| Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns |
0 |
0 |
4 |
162 |
1 |
5 |
21 |
507 |
| Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach |
0 |
0 |
4 |
232 |
1 |
2 |
24 |
593 |
| Directional Congestion and Regime Switching in a Long Memory Model for Electricity Prices |
0 |
0 |
0 |
91 |
1 |
3 |
9 |
249 |
| EFFICIENT LIKELIHOOD INFERENCE IN NONSTATIONARY UNIVARIATE MODELS |
0 |
0 |
0 |
48 |
2 |
2 |
9 |
134 |
| Economic significance of commodity return forecasts from the fractionally cointegrated VAR model |
0 |
0 |
12 |
12 |
1 |
5 |
43 |
46 |
| Efficient inference in multivariate fractionally integrated time series models |
0 |
0 |
1 |
82 |
4 |
4 |
13 |
314 |
| Estimation of fractional integration in the presence of data noise |
0 |
0 |
1 |
101 |
0 |
0 |
10 |
240 |
| Fast and wild: Bootstrap inference in Stata using boottest |
4 |
17 |
27 |
27 |
29 |
66 |
115 |
115 |
| Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration |
0 |
0 |
1 |
49 |
0 |
1 |
13 |
210 |
| Finite sample accuracy and choice of sampling frequency in integrated volatility estimation |
0 |
0 |
1 |
114 |
1 |
2 |
9 |
460 |
| Forecasting daily political opinion polls using the fractionally cointegrated vector auto†regressive model |
2 |
4 |
22 |
22 |
3 |
12 |
56 |
59 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
1 |
3 |
1 |
1 |
4 |
21 |
| Fully modified narrow‐band least squares estimation of weak fractional cointegration |
0 |
0 |
2 |
93 |
2 |
2 |
18 |
293 |
| Improved likelihood ratio tests for cointegration rank in the VAR model |
0 |
0 |
3 |
24 |
1 |
1 |
13 |
94 |
| Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model |
1 |
2 |
29 |
507 |
7 |
15 |
72 |
1,156 |
| Likelihood inference for a nonstationary fractional autoregressive model |
0 |
1 |
4 |
64 |
0 |
2 |
16 |
172 |
| Local Whittle Analysis of Stationary Fractional Cointegration and the ImpliedRealized Volatility Relation |
0 |
0 |
0 |
61 |
0 |
0 |
9 |
157 |
| Local empirical spectral measure of multivariate processes with long range dependence |
0 |
0 |
0 |
13 |
1 |
1 |
7 |
56 |
| Local polynomial Whittle estimation of perturbed fractional processes |
0 |
0 |
1 |
35 |
0 |
1 |
5 |
201 |
| Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model |
1 |
1 |
4 |
113 |
2 |
2 |
15 |
368 |
| Multivariate Lagrange Multiplier Tests for Fractional Integration |
0 |
0 |
2 |
132 |
0 |
0 |
8 |
754 |
| NUMERICAL DISTRIBUTION FUNCTIONS OF FRACTIONAL UNIT ROOT AND COINTEGRATION TESTS |
1 |
2 |
13 |
58 |
3 |
6 |
36 |
143 |
| Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots |
0 |
1 |
4 |
27 |
1 |
3 |
12 |
112 |
| Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis |
0 |
0 |
10 |
129 |
2 |
3 |
39 |
410 |
| Noncontemporaneous cointegration and the importance of timing |
0 |
0 |
1 |
47 |
0 |
0 |
4 |
152 |
| Nonparametric cointegration analysis of fractional systems with unknown integration orders |
0 |
1 |
7 |
210 |
0 |
1 |
28 |
529 |
| Nonstationary Cointegration in the Fractionally Cointegrated VAR Model |
1 |
2 |
2 |
2 |
3 |
12 |
12 |
12 |
| Optimal Residual-Based Tests for Fractional Cointegration and Exchange Rate Dynamics |
0 |
0 |
2 |
83 |
0 |
0 |
7 |
190 |
| Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form |
0 |
0 |
4 |
25 |
2 |
7 |
28 |
95 |
| SEASONALITY IN ECONOMIC MODELS |
0 |
0 |
2 |
190 |
0 |
0 |
6 |
487 |
| Semiparametric Estimation in Time-Series Regression with Long-Range Dependence |
0 |
0 |
2 |
87 |
0 |
0 |
8 |
332 |
| Special Issue of the Journal of Time Series Analysis in Honour of the 35th Anniversary of the Publication of Geweke and Porter‐Hudak (1983): Guest Editors' Introduction |
0 |
2 |
2 |
2 |
3 |
11 |
11 |
11 |
| Spectral analysis of fractionally cointegrated systems |
0 |
0 |
1 |
97 |
0 |
0 |
12 |
263 |
| THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS |
0 |
0 |
2 |
11 |
1 |
3 |
14 |
43 |
| Testing the CVAR in the Fractional CVAR Model |
0 |
1 |
12 |
12 |
2 |
7 |
47 |
47 |
| The Effect of Long Memory in Volatility on Stock Market Fluctuations |
0 |
0 |
4 |
193 |
0 |
1 |
16 |
558 |
| The cointegrated vector autoregressive model with general deterministic terms |
0 |
0 |
12 |
26 |
0 |
5 |
47 |
97 |
| The impact of financial crises on the risk–return tradeoff and the leverage effect |
0 |
0 |
4 |
29 |
1 |
4 |
16 |
92 |
| The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets |
2 |
3 |
23 |
353 |
6 |
13 |
56 |
1,192 |
| Total Journal Articles |
17 |
49 |
296 |
4,732 |
108 |
256 |
1,137 |
14,320 |
LogEc is hosted by the
Örebro University School of Business.