| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation |
1 |
1 |
1 |
87 |
1 |
4 |
7 |
348 |
| (IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates |
0 |
0 |
1 |
183 |
0 |
3 |
5 |
442 |
| (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? |
0 |
0 |
0 |
333 |
1 |
5 |
8 |
809 |
| Are "market neutral" hedge funds really market neutral? |
1 |
2 |
3 |
11 |
2 |
3 |
18 |
83 |
| Asymptotic Inference about Predictive Accuracy Using High Frequency Data |
0 |
0 |
0 |
51 |
0 |
2 |
5 |
69 |
| Better the Devil You Know: Improved Forecasts from Imperfect Models |
105 |
116 |
116 |
116 |
17 |
24 |
24 |
24 |
| Change You Can Believe In? Hedge Fund Data Revisions |
1 |
1 |
1 |
95 |
2 |
2 |
6 |
326 |
| Common Factors in Conditional Distributions |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
51 |
| Common factors in conditional distributions |
0 |
0 |
0 |
223 |
0 |
0 |
2 |
1,077 |
| Common factors in conditional distributions for Bivariate time series |
0 |
0 |
0 |
240 |
0 |
0 |
2 |
604 |
| Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter |
0 |
1 |
3 |
37 |
0 |
2 |
17 |
40 |
| Copula-Based Models for Financial Time Series |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
66 |
| Copula-Based Models for Financial Time Series |
1 |
1 |
6 |
1,078 |
1 |
3 |
20 |
1,650 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
1 |
65 |
1 |
3 |
16 |
151 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
1 |
83 |
0 |
0 |
5 |
96 |
| Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes |
1 |
2 |
8 |
184 |
4 |
10 |
46 |
474 |
| Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows |
0 |
1 |
1 |
122 |
0 |
2 |
7 |
543 |
| Does beta move with news?: Systematic risk and firm-specific information flows |
0 |
0 |
1 |
6 |
0 |
0 |
6 |
44 |
| Dynamic Copula Models and High Frequency Data |
0 |
0 |
0 |
61 |
0 |
2 |
6 |
153 |
| Dynamic Factor Copula Models with Estimated Cluster Assignments |
0 |
2 |
21 |
21 |
0 |
5 |
25 |
25 |
| Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) |
0 |
0 |
2 |
90 |
0 |
0 |
17 |
123 |
| Estimation of Copula Models for Time Series of Possibly Different Length |
0 |
0 |
0 |
17 |
1 |
1 |
5 |
66 |
| Evaluating Volatility and Correlation Forecasts |
0 |
1 |
1 |
379 |
1 |
2 |
3 |
499 |
| Evaluating Volatility and Correlation Forecasts |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
37 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
1 |
6 |
286 |
1 |
3 |
31 |
634 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
1 |
44 |
2 |
3 |
12 |
165 |
| High-Dimensional Copula-Based Distributions with Mixed Frequency Data |
0 |
0 |
0 |
73 |
0 |
0 |
3 |
97 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
26 |
0 |
1 |
6 |
100 |
| Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts |
0 |
0 |
3 |
147 |
1 |
1 |
7 |
370 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
1 |
2 |
4 |
425 |
4 |
5 |
10 |
122 |
| Modelling Dependence in High Dimensions with Factor Copulas |
0 |
0 |
2 |
68 |
0 |
0 |
14 |
125 |
| Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula |
1 |
4 |
9 |
46 |
4 |
8 |
33 |
185 |
| On the Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
1 |
38 |
0 |
0 |
4 |
225 |
| On the High-Frequency Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
1 |
68 |
1 |
1 |
6 |
226 |
| On the out-of-sample importance of skewness and asymetric dependence for asset allocation |
0 |
1 |
1 |
17 |
1 |
2 |
11 |
133 |
| Properties of Optimal Forecasts |
0 |
0 |
0 |
181 |
2 |
2 |
4 |
694 |
| Properties of Optimal Forecasts |
0 |
0 |
1 |
285 |
0 |
0 |
16 |
645 |
| Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates |
0 |
0 |
3 |
8 |
0 |
0 |
8 |
64 |
| Testable Implications of Forecast Optimality |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
30 |
| Testable implications of forecast optimality |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
40 |
| Testing Forecast Rationality for Measures of Central Tendency |
0 |
0 |
0 |
29 |
0 |
1 |
5 |
28 |
| Testing for Unobserved Heterogeneity via k-means Clustering |
0 |
0 |
1 |
34 |
0 |
1 |
6 |
17 |
| Testing forecast rationality for measures of central tendency |
0 |
0 |
1 |
6 |
0 |
1 |
20 |
24 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
0 |
26 |
1 |
3 |
22 |
86 |
| The Impact of Hedge Funds on Asset Markets |
0 |
1 |
1 |
56 |
1 |
5 |
11 |
97 |
| The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast |
0 |
0 |
2 |
115 |
0 |
0 |
4 |
333 |
| Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads |
0 |
1 |
6 |
103 |
0 |
2 |
14 |
228 |
| Volatility Forecast Comparison using Imperfect Volatility Proxies |
7 |
14 |
51 |
567 |
10 |
42 |
144 |
1,537 |
| Total Working Papers |
119 |
152 |
261 |
6,138 |
60 |
158 |
659 |
14,005 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A review of copula models for economic time series |
0 |
3 |
11 |
36 |
1 |
10 |
37 |
148 |
| Are "Market Neutral" Hedge Funds Really Market Neutral? |
2 |
4 |
4 |
60 |
6 |
12 |
19 |
265 |
| Asymptotic inference about predictive accuracy using high frequency data |
0 |
0 |
1 |
4 |
0 |
0 |
6 |
32 |
| Change You Can Believe In? Hedge Fund Data Revisions |
0 |
0 |
0 |
1 |
0 |
1 |
11 |
46 |
| Change You Can Believe In? Hedge Fund Data Revisions: Erratum |
0 |
1 |
2 |
2 |
0 |
1 |
8 |
39 |
| Comment |
0 |
0 |
0 |
5 |
0 |
3 |
7 |
23 |
| Common factors in conditional distributions for bivariate time series |
0 |
0 |
0 |
108 |
0 |
1 |
2 |
285 |
| Comparing Possibly Misspecified Forecasts |
1 |
2 |
7 |
7 |
2 |
4 |
14 |
16 |
| Copulas in Econometrics |
0 |
2 |
7 |
44 |
2 |
5 |
28 |
165 |
| Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White |
0 |
1 |
6 |
75 |
0 |
6 |
19 |
268 |
| Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions |
0 |
0 |
1 |
17 |
0 |
1 |
6 |
67 |
| Data-based ranking of realised volatility estimators |
0 |
0 |
1 |
43 |
1 |
2 |
9 |
170 |
| Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability |
0 |
0 |
1 |
30 |
1 |
3 |
11 |
122 |
| Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes |
1 |
4 |
21 |
100 |
6 |
17 |
68 |
339 |
| Dynamic copula models and high frequency data |
0 |
0 |
4 |
20 |
2 |
3 |
12 |
96 |
| Dynamic semiparametric models for expected shortfall (and Value-at-Risk) |
2 |
7 |
24 |
50 |
8 |
24 |
74 |
151 |
| Editorial |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
| Estimation of multivariate models for time series of possibly different lengths |
0 |
0 |
2 |
253 |
4 |
10 |
24 |
729 |
| Exploiting the errors: A simple approach for improved volatility forecasting |
4 |
17 |
52 |
156 |
11 |
44 |
152 |
530 |
| Farewell Editorial |
0 |
1 |
1 |
6 |
0 |
2 |
6 |
16 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
0 |
26 |
1 |
1 |
9 |
96 |
| Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility |
2 |
10 |
33 |
118 |
14 |
39 |
140 |
491 |
| High-dimensional copula-based distributions with mixed frequency data |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
51 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
2 |
245 |
0 |
0 |
6 |
643 |
| Introduction to the 2016 Hal White Memorial Lecture |
0 |
0 |
0 |
6 |
1 |
1 |
4 |
23 |
| MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE |
0 |
0 |
5 |
447 |
8 |
15 |
49 |
1,126 |
| Modeling Dependence in High Dimensions With Factor Copulas |
0 |
1 |
3 |
7 |
0 |
1 |
8 |
28 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
1 |
3 |
9 |
17 |
1 |
4 |
19 |
55 |
| Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts |
4 |
10 |
27 |
240 |
16 |
30 |
153 |
982 |
| Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System |
0 |
0 |
0 |
0 |
1 |
4 |
15 |
691 |
| Multivariate leverage effects and realized semicovariance GARCH models |
0 |
0 |
1 |
2 |
5 |
6 |
18 |
36 |
| On the High-Frequency Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
0 |
34 |
0 |
0 |
6 |
172 |
| On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation |
1 |
2 |
5 |
146 |
1 |
8 |
34 |
599 |
| Optimal combinations of realised volatility estimators |
0 |
4 |
12 |
107 |
4 |
11 |
40 |
311 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
0 |
2 |
34 |
0 |
3 |
10 |
138 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
0 |
1 |
11 |
0 |
0 |
6 |
57 |
| Properties of optimal forecasts under asymmetric loss and nonlinearity |
1 |
2 |
6 |
107 |
3 |
4 |
13 |
264 |
| Realized Semicovariances |
1 |
2 |
6 |
8 |
3 |
9 |
33 |
56 |
| Rejoinder |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
27 |
| Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
15 |
| Simulated Method of Moments Estimation for Copula-Based Multivariate Models |
0 |
0 |
0 |
17 |
0 |
0 |
4 |
54 |
| Testing Forecast Optimality Under Unknown Loss |
0 |
1 |
2 |
72 |
1 |
4 |
22 |
200 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
22 |
| Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads |
0 |
1 |
12 |
27 |
4 |
10 |
51 |
106 |
| Volatility forecast comparison using imperfect volatility proxies |
3 |
12 |
63 |
335 |
15 |
49 |
184 |
1,131 |
| What good is a volatility model? |
0 |
0 |
0 |
37 |
2 |
4 |
10 |
158 |
| What you see is not what you get: The costs of trading market anomalies |
0 |
1 |
7 |
10 |
3 |
9 |
34 |
59 |
| Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion |
2 |
3 |
16 |
139 |
5 |
14 |
49 |
394 |
| Total Journal Articles |
25 |
94 |
357 |
3,226 |
132 |
375 |
1,441 |
11,499 |
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