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12 months |
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Last month |
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12 months |
Total |
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models |
0 |
0 |
0 |
698 |
1 |
1 |
1 |
3,346 |
Aggregations and Marginalization of GARCH and Stochastic Volatility Models |
0 |
0 |
0 |
207 |
0 |
0 |
3 |
604 |
Aggregations and Marginalization of Garch and Stochastic Volatility Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
449 |
Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
589 |
0 |
5 |
5 |
2,594 |
Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
395 |
Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
398 |
Asymmetric Smiles, Leverage Effects and Structural Parameters |
0 |
0 |
0 |
171 |
0 |
1 |
2 |
777 |
Calibrarion By Simulation for Small Sample Bias Correction |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
887 |
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
402 |
Causalites a court et a long terme dans les modeles VAR et ARIMA multivaries |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
238 |
Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation |
0 |
0 |
3 |
235 |
1 |
1 |
5 |
747 |
Conditionaly Heteroskedastic Factor Models: Identificationand Instrumental variables Estmation |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
255 |
Consistent m-estimators in a semi-parametric model |
0 |
0 |
2 |
26 |
0 |
1 |
7 |
201 |
Continuously updated extremum estimators |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
271 |
Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level |
0 |
0 |
0 |
189 |
0 |
0 |
2 |
943 |
Econometric Models of Option Pricing Errors |
0 |
0 |
0 |
1 |
1 |
4 |
16 |
1,754 |
Efficient Derivative Pricing By The Extended Method of Moments |
0 |
0 |
0 |
42 |
1 |
1 |
1 |
134 |
Efficient Derivative Pricing by Extended Method of Moments |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
67 |
Efficient Derivative Pricing by Extended Method of Moments |
0 |
0 |
0 |
183 |
1 |
1 |
3 |
481 |
Efficient Derivative Pricing by Extended Method of Moments |
0 |
1 |
1 |
18 |
0 |
1 |
1 |
88 |
Efficient Inference with Poor Instruments: a General Framework |
0 |
0 |
0 |
69 |
0 |
0 |
2 |
194 |
Efficient Minimum Distance Estimation with Multiple Rates of Convergence |
0 |
0 |
0 |
49 |
1 |
1 |
3 |
242 |
Efficient Two-Step Estimation via Targeting |
0 |
0 |
1 |
37 |
1 |
1 |
4 |
61 |
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
291 |
Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note: Nouvelle version Février 2002) |
0 |
0 |
0 |
442 |
0 |
0 |
2 |
2,274 |
Empirical Assessment of an Intertemporal Option Pricing Model with Latent variables |
0 |
0 |
0 |
84 |
3 |
3 |
3 |
354 |
Empirical Assessment of an Intertemporal option Pricing Model with Latent variables |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
244 |
Estimation of stable distributions by indirect inference |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
255 |
Estimation of stable distributions with indirect inference |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
50 |
GARCH and Irregularly Spaced Data |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
26 |
Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing |
0 |
0 |
0 |
88 |
0 |
0 |
1 |
222 |
Indirect Inference |
0 |
0 |
0 |
4 |
2 |
2 |
4 |
696 |
Indirect Inference With(Out) Constraints |
0 |
0 |
0 |
33 |
0 |
0 |
1 |
39 |
Indirect Inference with Endogenously Missing Exogenous Variables |
0 |
0 |
1 |
36 |
0 |
0 |
4 |
63 |
Iterative and Recursive Estimation in Structural Non-Adaptive Models |
0 |
0 |
0 |
104 |
1 |
1 |
3 |
505 |
Latent Variable Models for Stochastic Discount |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
230 |
Latent Variable Models for Stochastic Discount Factors |
0 |
0 |
0 |
128 |
0 |
0 |
0 |
525 |
Latent Variable Models for Stochastic Discount Factors |
0 |
0 |
0 |
528 |
0 |
0 |
1 |
2,722 |
Latest developments in heavy-tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
50 |
Letent Variable Models for Stochastic Discount Factors |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
252 |
Long Memory in Continuous Time Stochastic Volatility Models |
0 |
0 |
0 |
2 |
0 |
1 |
4 |
1,285 |
Non Parametric Instrumental Regression |
0 |
0 |
0 |
193 |
0 |
0 |
3 |
506 |
Nonparametric Instrumental Regression |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
69 |
Nonparametric Instrumental Regression |
1 |
1 |
4 |
209 |
2 |
2 |
8 |
543 |
Nonparametric Instrumental Regression |
0 |
0 |
0 |
33 |
2 |
2 |
2 |
306 |
Nonparametric Methods and Option Pricing |
0 |
0 |
0 |
676 |
0 |
0 |
4 |
2,437 |
Nonparametric methods and option pricing |
0 |
0 |
1 |
7 |
0 |
0 |
2 |
648 |
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk |
0 |
0 |
1 |
153 |
2 |
4 |
6 |
675 |
On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood |
1 |
2 |
4 |
128 |
2 |
3 |
5 |
455 |
On the relevance of weaker instruments |
0 |
0 |
2 |
119 |
0 |
1 |
10 |
273 |
Option Hedging and Implicit Volatilities |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
508 |
Option Hedging and Implicit Volatilities in a Stochastic Volatility Model |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
239 |
Option Hedging and Implicit Volatilities. Non Causality in Continuous Time Varma Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
279 |
Quadratic M-Estimators for ARCH-Type Processes |
0 |
0 |
0 |
38 |
0 |
0 |
1 |
255 |
Quadratic M-Estimators for ARCH-Type Processes |
0 |
0 |
0 |
209 |
0 |
0 |
4 |
948 |
Recursive Utility, Precautionary Saving and the Demand for Insurance |
0 |
0 |
0 |
269 |
0 |
0 |
3 |
826 |
Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
498 |
Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
0 |
110 |
0 |
0 |
1 |
546 |
Risk Aversion, Intertemporal Substitution, and Option Pricing |
1 |
1 |
1 |
848 |
1 |
2 |
3 |
4,527 |
Risk Aversion, Intertemporal Substitution, and Option Pricing |
0 |
0 |
1 |
13 |
0 |
0 |
2 |
85 |
Risque de modèle de volatilité |
0 |
0 |
0 |
665 |
2 |
2 |
4 |
2,448 |
Semi-Parametric Indirect Inference |
0 |
0 |
0 |
6 |
0 |
1 |
2 |
55 |
Semi-parametric indirect inference |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
44 |
Short Run and Long Run Causality in Time Series: Inference |
0 |
0 |
0 |
205 |
0 |
0 |
1 |
654 |
Short Run and Long Run Causality in Time Series: Inference |
0 |
0 |
0 |
531 |
0 |
2 |
3 |
1,644 |
Short run and long run causality in time series: Inference |
0 |
0 |
0 |
236 |
1 |
1 |
4 |
622 |
Short-Run and Long-Rub Causality in Time Series: Theory |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
363 |
Short-Run and Long-Rub Causality in Time Series: Theory |
0 |
0 |
0 |
70 |
0 |
0 |
1 |
236 |
Simulated residuals |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
267 |
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle |
0 |
0 |
0 |
111 |
1 |
1 |
3 |
331 |
Statistical Inference for Random Variance Option Pricing |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
63 |
Statistical Inference for Random Variance Option Pricing |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
677 |
Stochastic Volatility |
0 |
0 |
0 |
37 |
0 |
0 |
3 |
242 |
Stochastic Volatility |
0 |
0 |
0 |
3 |
0 |
0 |
8 |
1,642 |
Stochastic Volatility |
0 |
0 |
0 |
8 |
2 |
8 |
32 |
3,520 |
Stochastic Volatility |
0 |
3 |
6 |
475 |
1 |
5 |
15 |
1,637 |
Stochastic Volatility |
1 |
4 |
7 |
2,087 |
1 |
7 |
17 |
4,801 |
Stochatic Volatility Models with Transaction Time Risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
27 |
Temporal Aggregation and Tests of Arbitrage Pricing Theory |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
234 |
Temporal Aggregation of Volatility Models |
0 |
0 |
0 |
428 |
0 |
0 |
3 |
1,339 |
Testing Identification Strength |
0 |
0 |
0 |
142 |
0 |
1 |
6 |
449 |
Testing for Common GARCH Factors |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
56 |
Testing for Common GARCH Factors |
0 |
0 |
1 |
18 |
0 |
0 |
3 |
68 |
Testing for Spurious Causality in Exchange Rates |
0 |
0 |
0 |
0 |
1 |
3 |
4 |
77 |
Testing unknown linear restrictions on parameter functions |
0 |
0 |
0 |
4 |
0 |
1 |
1 |
283 |
The Econometrics of Option Pricing |
1 |
1 |
1 |
1,258 |
1 |
2 |
3 |
3,131 |
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments |
0 |
0 |
0 |
191 |
0 |
0 |
0 |
761 |
True Versus Spurious Instantaneous Causality |
0 |
0 |
0 |
3 |
0 |
0 |
2 |
431 |
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
280 |
Total Working Papers |
5 |
13 |
37 |
13,670 |
34 |
76 |
282 |
66,616 |