| 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 |
1 |
86 |
0 |
0 |
1 |
337 |
| (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 |
182 |
1 |
2 |
5 |
432 |
| (IAM Series No 005) Are “Market Neutral” Hedge Funds Really Market Neutral? |
0 |
1 |
1 |
333 |
1 |
4 |
6 |
795 |
| Are "market neutral" hedge funds really market neutral? |
0 |
0 |
1 |
4 |
1 |
1 |
11 |
41 |
| Asymptotic Inference about Predictive Accuracy Using High Frequency Data |
0 |
0 |
0 |
51 |
3 |
4 |
5 |
52 |
| Change You Can Believe In? Hedge Fund Data Revisions |
0 |
0 |
0 |
94 |
0 |
1 |
4 |
312 |
| Common Factors in Conditional Distributions |
0 |
0 |
0 |
3 |
0 |
1 |
4 |
37 |
| Common factors in conditional distributions |
0 |
0 |
0 |
223 |
1 |
1 |
4 |
1,069 |
| Common factors in conditional distributions for Bivariate time series |
1 |
1 |
7 |
236 |
3 |
5 |
12 |
594 |
| Copula-Based Models for Financial Time Series |
0 |
1 |
5 |
1,053 |
0 |
5 |
11 |
1,595 |
| Daily House Price Indexes: Construction, Modeling, and Longer-Run Predictions |
0 |
0 |
1 |
61 |
1 |
1 |
8 |
126 |
| Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions |
0 |
1 |
2 |
79 |
2 |
5 |
9 |
83 |
| Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes |
1 |
4 |
9 |
160 |
4 |
12 |
35 |
361 |
| Does Beta Move with News? Systematic Risk and Firm-Specific Information Flows |
0 |
0 |
2 |
121 |
3 |
3 |
12 |
517 |
| Does beta move with news?: Systematic risk and firm-specific information flows |
0 |
0 |
0 |
5 |
2 |
2 |
5 |
29 |
| Dynamic Copula Models and High Frequency Data |
0 |
1 |
1 |
60 |
0 |
3 |
8 |
130 |
| Estimation of Copula Models for Time Series of Possibly Different Length |
0 |
0 |
0 |
17 |
0 |
0 |
5 |
58 |
| Evaluating Volatility and Correlation Forecasts |
0 |
0 |
1 |
369 |
1 |
2 |
7 |
468 |
| Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting |
0 |
1 |
10 |
272 |
3 |
9 |
53 |
549 |
| Forecast Rationality Tests Based on Multi-Horizon Bounds |
0 |
0 |
0 |
43 |
1 |
2 |
8 |
140 |
| High-Dimensional Copula-Based Distributions with Mixed Frequency Data |
1 |
1 |
1 |
72 |
3 |
4 |
7 |
85 |
| Impacts of Trades in an Error-Correction Model of Quote Prices |
0 |
0 |
1 |
26 |
1 |
1 |
3 |
84 |
| Learning in Real Time: Theory and Empirical Evidence from the Term Structure of Survey Forecasts |
0 |
0 |
0 |
144 |
0 |
1 |
2 |
358 |
| Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions |
0 |
2 |
6 |
420 |
0 |
0 |
11 |
95 |
| Modelling Asymmetric Exchange Rate Dependence |
0 |
2 |
10 |
126 |
0 |
3 |
22 |
289 |
| Modelling Dependence in High Dimensions with Factor Copulas |
0 |
0 |
2 |
65 |
0 |
0 |
19 |
104 |
| Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula |
0 |
2 |
5 |
32 |
1 |
5 |
17 |
133 |
| On the Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
0 |
37 |
0 |
0 |
4 |
215 |
| On the High-Frequency Dynamics of Hedge Fund Risk Exposures |
0 |
0 |
1 |
67 |
2 |
5 |
10 |
208 |
| On the out-of-sample importance of skewness and asymetric dependence for asset allocation |
0 |
0 |
4 |
13 |
1 |
2 |
13 |
107 |
| Properties of Optimal Forecasts |
0 |
0 |
0 |
181 |
1 |
2 |
7 |
674 |
| Properties of Optimal Forecasts |
0 |
0 |
1 |
281 |
0 |
3 |
10 |
580 |
| Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity |
0 |
0 |
1 |
39 |
1 |
2 |
7 |
97 |
| Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates |
0 |
0 |
0 |
48 |
0 |
1 |
8 |
128 |
| Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates |
0 |
0 |
0 |
3 |
1 |
2 |
6 |
43 |
| Testable Implications of Forecast Optimality |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
22 |
| Testable implications of forecast optimality |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
38 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
0 |
25 |
0 |
0 |
9 |
45 |
| The Impact of Hedge Funds on Asset Markets |
0 |
0 |
0 |
54 |
1 |
1 |
2 |
75 |
| The Resolution of Macroeconomic Uncertainty: Evidence from Survey Forecast |
0 |
0 |
1 |
111 |
1 |
5 |
6 |
322 |
| Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads |
0 |
0 |
5 |
91 |
1 |
2 |
19 |
194 |
| Volatility Forecast Comparison using Imperfect Volatility Proxies |
1 |
11 |
44 |
455 |
4 |
22 |
103 |
1,234 |
| Total Working Papers |
4 |
28 |
123 |
5,744 |
45 |
125 |
502 |
12,855 |
LogEc is hosted by the
Örebro University School of Business.