| 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 |
0 |
0 |
0 |
87 |
0 |
1 |
4 |
355 |
| (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 |
0 |
184 |
0 |
0 |
0 |
444 |
| (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? |
0 |
0 |
0 |
333 |
1 |
2 |
2 |
816 |
| Are "market neutral" hedge funds really market neutral? |
0 |
0 |
2 |
18 |
1 |
1 |
4 |
96 |
| Asymptotic Inference about Predictive Accuracy Using High Frequency Data |
0 |
0 |
0 |
51 |
1 |
2 |
4 |
74 |
| Better the Devil You Know: Improved Forecasts from Imperfect Models |
0 |
0 |
0 |
123 |
0 |
0 |
2 |
45 |
| Change You Can Believe In? Hedge Fund Data Revisions |
0 |
0 |
1 |
96 |
0 |
0 |
3 |
332 |
| Common Factors in Conditional Distributions |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
53 |
| Common factors in conditional distributions |
0 |
0 |
0 |
223 |
0 |
0 |
0 |
1,078 |
| Common factors in conditional distributions for Bivariate time series |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Common factors in conditional distributions for Bivariate time series |
0 |
0 |
0 |
240 |
1 |
1 |
1 |
607 |
| Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter |
0 |
0 |
0 |
40 |
0 |
0 |
5 |
56 |
| Copula-Based Models for Financial Time Series |
0 |
0 |
0 |
1,090 |
2 |
3 |
5 |
1,675 |
| Copula-Based Models for Financial Time Series |
0 |
0 |
0 |
0 |
1 |
3 |
11 |
90 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
68 |
0 |
0 |
0 |
167 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
0 |
84 |
1 |
1 |
1 |
103 |
| Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes |
0 |
0 |
1 |
201 |
3 |
4 |
7 |
523 |
| Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows |
0 |
0 |
0 |
122 |
0 |
0 |
6 |
562 |
| Does beta move with news? Systematic risk and firm-specific information flows |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
51 |
| Dynamic Copula Models and High Frequency Data |
0 |
0 |
0 |
61 |
1 |
1 |
3 |
166 |
| Dynamic Factor Copula Models with Estimated Cluster Assignments |
0 |
0 |
3 |
37 |
0 |
0 |
5 |
60 |
| Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk) |
1 |
1 |
1 |
93 |
1 |
1 |
5 |
140 |
| Estimation of Copula Models for Time Series of Possibly Different Length |
0 |
0 |
1 |
19 |
0 |
0 |
1 |
74 |
| Evaluating Volatility and Correlation Forecasts |
0 |
0 |
3 |
383 |
0 |
0 |
4 |
512 |
| Evaluating Volatility and Correlation Forecasts |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
52 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
1 |
4 |
310 |
2 |
4 |
16 |
710 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
1 |
1 |
46 |
0 |
1 |
3 |
196 |
| Generalized Autoregressive Score Trees and Forests |
0 |
0 |
1 |
38 |
0 |
0 |
6 |
18 |
| High-Dimensional Copula-Based Distributions with Mixed Frequency Data |
0 |
0 |
0 |
73 |
0 |
0 |
2 |
107 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
0 |
28 |
1 |
1 |
1 |
108 |
| Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts |
0 |
0 |
0 |
147 |
0 |
2 |
3 |
374 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
0 |
0 |
0 |
427 |
0 |
3 |
4 |
133 |
| Modelling Dependence in High Dimensions with Factor Copulas |
1 |
2 |
3 |
81 |
1 |
2 |
8 |
151 |
| Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula |
0 |
0 |
3 |
66 |
1 |
2 |
5 |
251 |
| Non-Standard Errors |
0 |
0 |
1 |
42 |
6 |
12 |
56 |
432 |
| On the Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
0 |
38 |
0 |
2 |
2 |
228 |
| On the High-Frequency Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
0 |
68 |
0 |
0 |
3 |
235 |
| On the out-of-sample importance of skewness and asymetric dependence for asset allocation |
0 |
1 |
1 |
22 |
0 |
1 |
12 |
160 |
| Properties of Optimal Forecasts |
0 |
0 |
2 |
287 |
0 |
0 |
2 |
648 |
| Properties of Optimal Forecasts |
0 |
1 |
3 |
184 |
0 |
1 |
7 |
709 |
| Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates |
0 |
0 |
0 |
8 |
1 |
1 |
2 |
71 |
| Testable Implications of Forecast Optimality |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
35 |
| Testable implications of forecast optimality |
0 |
0 |
0 |
1 |
0 |
1 |
1 |
41 |
| Testing Forecast Rationality for Measures of Central Tendency |
0 |
0 |
1 |
35 |
0 |
1 |
3 |
45 |
| Testing for Unobserved Heterogeneity via k-means Clustering |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
24 |
| Testing forecast rationality for measures of central tendency |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
51 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
1 |
57 |
2 |
3 |
4 |
103 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
112 |
| The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast |
0 |
0 |
0 |
117 |
0 |
1 |
1 |
339 |
| Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads |
0 |
0 |
1 |
106 |
0 |
1 |
4 |
253 |
| Volatility Forecast Comparison using Imperfect Volatility Proxies |
1 |
3 |
64 |
798 |
6 |
17 |
146 |
2,009 |
| Total Working Papers |
3 |
10 |
98 |
6,620 |
35 |
80 |
375 |
15,675 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A consistent specification test for dynamic quantile models |
1 |
1 |
4 |
7 |
2 |
2 |
6 |
15 |
| A review of copula models for economic time series |
0 |
0 |
4 |
51 |
0 |
6 |
15 |
205 |
| Are "Market Neutral" Hedge Funds Really Market Neutral? |
0 |
1 |
3 |
72 |
0 |
3 |
14 |
322 |
| Asymptotic inference about predictive accuracy using high frequency data |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
37 |
| Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models |
0 |
1 |
2 |
5 |
0 |
2 |
5 |
11 |
| Change You Can Believe In? Hedge Fund Data Revisions |
0 |
0 |
1 |
4 |
1 |
1 |
5 |
58 |
| Change You Can Believe In? Hedge Fund Data Revisions: Erratum |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
44 |
| Comment |
0 |
0 |
0 |
6 |
1 |
1 |
3 |
31 |
| Common factors in conditional distributions for bivariate time series |
0 |
0 |
0 |
109 |
0 |
1 |
2 |
292 |
| Comparing Possibly Misspecified Forecasts |
0 |
0 |
1 |
11 |
0 |
1 |
2 |
34 |
| Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter |
0 |
0 |
0 |
3 |
1 |
1 |
1 |
7 |
| Copulas in Econometrics |
0 |
0 |
1 |
55 |
1 |
4 |
6 |
189 |
| Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White |
0 |
1 |
3 |
91 |
1 |
4 |
10 |
304 |
| Daily House Price Indices: Construction, Modeling, and Longer‐run Predictions |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
78 |
| Data-based ranking of realised volatility estimators |
0 |
0 |
0 |
45 |
1 |
1 |
3 |
179 |
| Does Beta Move with News? Firm-Specific Information Flows and Learning about Profitability |
0 |
0 |
0 |
36 |
2 |
2 |
3 |
137 |
| Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes |
1 |
2 |
16 |
164 |
4 |
10 |
54 |
560 |
| Dynamic copula models and high frequency data |
2 |
3 |
5 |
30 |
3 |
6 |
9 |
118 |
| Dynamic semiparametric models for expected shortfall (and Value-at-Risk) |
0 |
0 |
4 |
91 |
1 |
3 |
20 |
271 |
| Editorial |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
11 |
| Equity clusters through the lens of realized semicorrelations |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
16 |
| Estimation of multivariate models for time series of possibly different lengths |
0 |
0 |
3 |
4 |
1 |
2 |
9 |
25 |
| Estimation of multivariate models for time series of possibly different lengths |
0 |
0 |
1 |
263 |
1 |
1 |
11 |
776 |
| Exploiting the errors: A simple approach for improved volatility forecasting |
0 |
1 |
11 |
239 |
1 |
4 |
34 |
753 |
| Farewell Editorial |
0 |
0 |
0 |
7 |
1 |
1 |
3 |
24 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
115 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
1 |
9 |
0 |
0 |
2 |
20 |
| From zero to hero: Realized partial (co)variances |
0 |
0 |
2 |
5 |
2 |
2 |
6 |
12 |
| Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility |
0 |
0 |
5 |
151 |
4 |
8 |
27 |
646 |
| High-dimensional copula-based distributions with mixed frequency data |
0 |
0 |
1 |
14 |
0 |
1 |
2 |
74 |
| Impacts of trades in an error-correction model of quote prices |
0 |
0 |
2 |
252 |
1 |
1 |
4 |
661 |
| Introduction to the 2016 Hal White Memorial Lecture |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
25 |
| MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE |
0 |
0 |
0 |
447 |
2 |
7 |
29 |
1,262 |
| Modeling Dependence in High Dimensions With Factor Copulas |
0 |
1 |
3 |
45 |
1 |
8 |
24 |
132 |
| Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions |
0 |
0 |
3 |
27 |
0 |
2 |
12 |
85 |
| Monotonicity in asset returns: New tests with applications to the term structure, the CAPM, and portfolio sorts |
3 |
4 |
14 |
316 |
3 |
9 |
36 |
1,164 |
| Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System |
0 |
0 |
0 |
0 |
2 |
6 |
12 |
729 |
| Multivariate leverage effects and realized semicovariance GARCH models |
0 |
0 |
0 |
3 |
1 |
3 |
5 |
54 |
| On the High-Frequency Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
0 |
35 |
0 |
3 |
4 |
182 |
| On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation |
0 |
0 |
1 |
154 |
0 |
1 |
2 |
624 |
| Optimal combinations of realised volatility estimators |
0 |
2 |
7 |
131 |
2 |
5 |
24 |
407 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
0 |
2 |
16 |
0 |
0 |
2 |
69 |
| Predictability of Output Growth and Inflation: A Multi-Horizon Survey Approach |
0 |
0 |
1 |
37 |
0 |
1 |
6 |
152 |
| Properties of optimal forecasts under asymmetric loss and nonlinearity |
1 |
2 |
3 |
119 |
1 |
2 |
8 |
292 |
| Realized Semicovariances |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
92 |
| Realized semibetas: Disentangling “good” and “bad” downside risks |
0 |
1 |
4 |
39 |
5 |
7 |
26 |
236 |
| Rejoinder |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
28 |
| Risk Price Variation: The Missing Half of Empirical Asset Pricing |
0 |
0 |
0 |
7 |
0 |
0 |
3 |
17 |
| Royal Economic Society Annual Conference 2014 Special Issue on Large Dimensional Models |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
15 |
| Simulated Method of Moments Estimation for Copula-Based Multivariate Models |
0 |
0 |
1 |
20 |
0 |
0 |
2 |
66 |
| Testing Forecast Optimality Under Unknown Loss |
0 |
0 |
0 |
76 |
0 |
1 |
2 |
215 |
| Testing for Unobserved Heterogeneity via k-means Clustering |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
9 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
1 |
6 |
0 |
0 |
1 |
26 |
| Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads |
1 |
1 |
8 |
51 |
4 |
7 |
21 |
188 |
| Volatility forecast comparison using imperfect volatility proxies |
0 |
3 |
29 |
454 |
2 |
9 |
85 |
1,480 |
| What good is a volatility model? |
4 |
5 |
14 |
73 |
6 |
10 |
35 |
265 |
| What you see is not what you get: The costs of trading market anomalies |
0 |
0 |
2 |
24 |
1 |
1 |
7 |
97 |
| Why do forecasters disagree? Lessons from the term structure of cross-sectional dispersion |
1 |
2 |
13 |
212 |
7 |
9 |
48 |
586 |
| Total Journal Articles |
14 |
31 |
177 |
4,102 |
67 |
160 |
663 |
14,522 |
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