| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
39 |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
0 |
0 |
0 |
303 |
0 |
1 |
15 |
732 |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
0 |
0 |
0 |
349 |
1 |
1 |
8 |
845 |
| Asset Allocation in Transition Economies |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
32 |
| Asset Allocation in Transition Economies |
0 |
0 |
1 |
13 |
0 |
1 |
13 |
118 |
| Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? |
0 |
0 |
1 |
309 |
0 |
0 |
9 |
901 |
| Conditional Dependency of Financial Series: An Application of Copulas |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
53 |
| Conditional Dependency of Financial Series: An Application of Copulas |
0 |
0 |
0 |
90 |
0 |
0 |
6 |
1,077 |
| Conditional Dependency of Financial Series: The Copula-GARCH Model |
0 |
0 |
2 |
590 |
2 |
2 |
24 |
1,266 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
0 |
0 |
1 |
1 |
10 |
58 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
1 |
484 |
0 |
1 |
21 |
1,475 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
1 |
147 |
1 |
3 |
17 |
2,495 |
| Conditional dependency of financial series: an application of copulas |
0 |
0 |
1 |
566 |
0 |
1 |
9 |
1,156 |
| Density-Embedding Functions |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
515 |
| Density-embedding Functions |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
21 |
| Determinants of Capital Flow to Mutual Funds |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
54 |
| Do Structured Products Improve Portfolio Performance? A Backtesting Exercise |
0 |
0 |
3 |
7 |
1 |
1 |
17 |
40 |
| Entropy Densities |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
28 |
| Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis |
0 |
0 |
0 |
64 |
0 |
0 |
12 |
1,001 |
| Entropy densities |
0 |
0 |
0 |
88 |
0 |
0 |
6 |
315 |
| Estimating Gram-Charlier Expansions Under Positivity Constraints |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
38 |
| Estimating Gram-Charlier Expansions with Positivity Constraints |
0 |
0 |
3 |
253 |
0 |
0 |
17 |
2,610 |
| Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps |
0 |
0 |
0 |
16 |
6 |
10 |
62 |
136 |
| Estimation et interprétation des densités neutres au risque: une comparaison de méthodes |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
23 |
| Estimation of Jump-Diffusion Process vis Empirical Characteristic Function |
0 |
0 |
0 |
566 |
1 |
1 |
16 |
1,358 |
| Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
13 |
| Forecasting Financial Returns with a Structural Macroeconomic Model |
0 |
0 |
0 |
126 |
0 |
2 |
13 |
115 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
1 |
20 |
0 |
0 |
16 |
86 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
1 |
22 |
0 |
1 |
11 |
136 |
| Fourth order pseudo maximum likelihood methods |
0 |
0 |
0 |
5 |
0 |
0 |
12 |
51 |
| Information Content of Russian Stock Indices |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
22 |
| Investment incentives in endogenously growing economies |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
14 |
| Long-Term Portfolio Management with a Structural Macroeconomic Model |
0 |
0 |
1 |
10 |
0 |
1 |
10 |
34 |
| Moment Component Analysis: An Illustration with International Stock Markets |
0 |
0 |
0 |
22 |
0 |
1 |
4 |
110 |
| New Extreme-Value Dependance Measures and Finance Applications |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
33 |
| New Extreme-Value Dependance Measures and Finance Applications |
0 |
0 |
0 |
213 |
0 |
0 |
23 |
828 |
| New Extreme-Value Dependence Measures and Finance Applications |
0 |
0 |
0 |
364 |
0 |
0 |
9 |
845 |
| On Stock Market Returns and Returns on Investments |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
1,067 |
| On stock market returns and returns on investment |
0 |
0 |
0 |
0 |
1 |
2 |
10 |
84 |
| Optimal Liquidation Strategies in Illiquid Markets |
0 |
0 |
0 |
9 |
0 |
0 |
8 |
39 |
| Optimal Long-Term Allocation with Pension Fund Liabilities |
0 |
0 |
0 |
34 |
1 |
2 |
11 |
46 |
| Optimal Portfolio Allocation Under Higher Moments |
1 |
1 |
2 |
213 |
1 |
2 |
28 |
629 |
| Periodic or Generational Actuarial Tables: Which One to Choose? |
0 |
0 |
0 |
15 |
0 |
0 |
8 |
52 |
| Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty |
0 |
0 |
0 |
11 |
0 |
0 |
8 |
55 |
| Portfolio allocation in transition economies |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
30 |
| Portfolio allocation in transition economies |
0 |
0 |
0 |
104 |
1 |
1 |
11 |
390 |
| Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data |
0 |
1 |
1 |
251 |
0 |
2 |
17 |
619 |
| Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election |
0 |
0 |
0 |
195 |
0 |
0 |
9 |
1,370 |
| Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election |
0 |
0 |
0 |
22 |
1 |
1 |
3 |
2,843 |
| Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
23 |
| Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral |
0 |
0 |
0 |
41 |
1 |
2 |
24 |
1,178 |
| Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities |
0 |
0 |
0 |
0 |
0 |
2 |
15 |
60 |
| Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities |
0 |
0 |
1 |
221 |
0 |
0 |
14 |
780 |
| Regime Switching: Evidence for the French Stock Market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
25 |
| Remarks concerning 'traditional' investment equations |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
22 |
| Short horizons vs. empire building: some empirical evidence |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
27 |
| Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
| Systemic Risk in Europe |
0 |
0 |
1 |
82 |
0 |
0 |
23 |
118 |
| Testing for differences in the tails of stock-market returns |
0 |
0 |
0 |
194 |
0 |
0 |
14 |
487 |
| Testing for differences in the tails of stock-market returns |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
38 |
| Testing the Fisher Relation: the Russian Case |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
26 |
| The Allocation of Assets Under Higher Moments |
0 |
0 |
0 |
155 |
0 |
0 |
14 |
383 |
| The Bank Bias: Segmentation of French Fund Families |
0 |
0 |
0 |
22 |
0 |
2 |
6 |
122 |
| The Economic Value of Distributional Timing |
0 |
0 |
0 |
51 |
2 |
3 |
18 |
179 |
| The Impact of News on Higher Moments |
0 |
0 |
0 |
82 |
1 |
1 |
6 |
192 |
| The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets |
0 |
0 |
1 |
39 |
0 |
1 |
15 |
1,346 |
| The Tail Behavior of Stock Returns: Emerging versus Mature Markets |
0 |
0 |
0 |
340 |
2 |
3 |
9 |
1,140 |
| The devil's horns: a problem with the densities of AR statistics |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
16 |
| Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
27 |
| Volatility Indices for the French Financial Market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
15 |
| Total Working Papers |
1 |
2 |
22 |
6,708 |
28 |
57 |
752 |
32,117 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Time-Varying Parameter Model to Test for Predictability and Integration in the Stock Markets of Transition Economies |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
380 |
| Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
12 |
| Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements |
0 |
0 |
4 |
437 |
1 |
1 |
40 |
1,049 |
| DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION |
0 |
0 |
0 |
18 |
0 |
0 |
7 |
114 |
| Distributional properties of continuous time processes: from CIR to bates |
0 |
1 |
2 |
6 |
0 |
1 |
11 |
17 |
| Do structured products improve portfolio performance? A backtesting exercise |
0 |
0 |
3 |
4 |
0 |
4 |
33 |
34 |
| Entropy densities with an application to autoregressive conditional skewness and kurtosis |
0 |
0 |
0 |
150 |
0 |
1 |
21 |
412 |
| Estimating the price impact of trades in a high-frequency microstructure model with jumps |
0 |
0 |
0 |
14 |
5 |
10 |
36 |
129 |
| Fourth order pseudo maximum likelihood methods |
0 |
0 |
0 |
33 |
1 |
2 |
13 |
174 |
| Gram-Charlier densities |
1 |
1 |
3 |
385 |
1 |
1 |
15 |
899 |
| Long-term Portfolio Allocation Based on Long-term Macro forecasts |
0 |
0 |
1 |
21 |
0 |
2 |
11 |
92 |
| Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies |
0 |
0 |
1 |
11 |
0 |
0 |
9 |
44 |
| Market liquidity and institutional trading during the 2007–8 financial crisis |
0 |
0 |
0 |
9 |
1 |
1 |
7 |
92 |
| Moment Component Analysis: An Illustration With International Stock Markets |
0 |
0 |
0 |
5 |
0 |
1 |
8 |
34 |
| Observations concerning the estimation of Heston’s stochastic volatility model using HF data |
0 |
0 |
1 |
1 |
0 |
0 |
15 |
17 |
| On Stock Market Returns and Returns on Investment |
0 |
0 |
0 |
103 |
0 |
2 |
12 |
295 |
| On the Importance of Time Variability in Higher Moments for Asset Allocation |
0 |
0 |
0 |
13 |
0 |
0 |
4 |
39 |
| Optimal Portfolio Allocation under Higher Moments |
0 |
0 |
0 |
85 |
1 |
1 |
18 |
350 |
| Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race |
0 |
0 |
0 |
9 |
0 |
0 |
16 |
54 |
| Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data |
0 |
1 |
1 |
75 |
0 |
2 |
17 |
311 |
| Reading PIBOR futures options smiles: The 1997 snap election |
0 |
0 |
0 |
36 |
0 |
0 |
16 |
224 |
| Reading the smile: the message conveyed by methods which infer risk neutral densities |
0 |
0 |
0 |
114 |
0 |
1 |
9 |
376 |
| Rebalancing with transaction costs: theory, simulations, and actual data |
1 |
3 |
5 |
12 |
5 |
11 |
34 |
46 |
| Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments |
0 |
0 |
2 |
3 |
0 |
0 |
9 |
12 |
| Systemic Risk in Europe |
0 |
0 |
1 |
73 |
0 |
3 |
17 |
285 |
| Systemic Risk in Europe |
0 |
0 |
0 |
10 |
0 |
2 |
12 |
53 |
| Testing for differences in the tails of stock-market returns |
0 |
1 |
1 |
104 |
1 |
3 |
18 |
274 |
| The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions |
0 |
0 |
0 |
1 |
0 |
1 |
5 |
876 |
| The Copula-GARCH model of conditional dependencies: An international stock market application |
0 |
1 |
7 |
911 |
0 |
3 |
38 |
2,177 |
| The Evolution of Stock Markets in Transition Economies |
0 |
0 |
2 |
314 |
0 |
0 |
17 |
705 |
| The Impact of Shocks on Higher Moments |
0 |
0 |
0 |
16 |
0 |
1 |
12 |
94 |
| Unfolding the Transitions in Sustainability Reporting |
0 |
0 |
0 |
1 |
0 |
0 |
9 |
21 |
| User's guide |
0 |
0 |
0 |
38 |
1 |
1 |
11 |
115 |
| Violating United Nations Global Compact Principles: An Event Study |
0 |
0 |
4 |
265 |
2 |
5 |
44 |
1,305 |
| Total Journal Articles |
2 |
8 |
38 |
3,277 |
19 |
60 |
555 |
11,111 |
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