| 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 |
303 |
4 |
6 |
8 |
723 |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
32 |
| A Time Varying Parameter Model to Test for Predictability and Integration in Stock Markets of Transition Economies |
0 |
0 |
0 |
349 |
0 |
0 |
2 |
837 |
| Asset Allocation in Transition Economies |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
26 |
| Asset Allocation in Transition Economies |
1 |
1 |
1 |
13 |
1 |
1 |
2 |
106 |
| Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion? |
0 |
0 |
1 |
308 |
1 |
1 |
8 |
893 |
| Conditional Dependency of Financial Series: An Application of Copulas |
0 |
0 |
1 |
90 |
0 |
1 |
4 |
1,072 |
| Conditional Dependency of Financial Series: An Application of Copulas |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
47 |
| Conditional Dependency of Financial Series: The Copula-GARCH Model |
1 |
3 |
4 |
589 |
2 |
7 |
9 |
1,247 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
0 |
146 |
0 |
2 |
7 |
2,480 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
50 |
| Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence |
0 |
0 |
0 |
483 |
0 |
1 |
2 |
1,455 |
| Conditional dependency of financial series: an application of copulas |
0 |
0 |
0 |
565 |
1 |
1 |
2 |
1,148 |
| Density-Embedding Functions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
507 |
| Density-embedding Functions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
15 |
| Determinants of Capital Flow to Mutual Funds |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
52 |
| Do Structured Products Improve Portfolio Performance? A Backtesting Exercise |
0 |
0 |
0 |
4 |
4 |
6 |
14 |
29 |
| Entropy Densities |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
21 |
| Entropy Densities: with an Application to Autoregressive Conditional Skewness and Kurtosis |
0 |
0 |
0 |
64 |
1 |
3 |
6 |
992 |
| Entropy densities |
0 |
0 |
0 |
88 |
1 |
2 |
3 |
311 |
| Estimating Gram-Charlier Expansions Under Positivity Constraints |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
34 |
| Estimating Gram-Charlier Expansions with Positivity Constraints |
1 |
2 |
4 |
252 |
2 |
4 |
8 |
2,597 |
| Estimating the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps |
0 |
1 |
1 |
16 |
2 |
3 |
9 |
76 |
| Estimation et interprétation des densités neutres au risque: une comparaison de méthodes |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
20 |
| Estimation of Jump-Diffusion Process vis Empirical Characteristic Function |
0 |
0 |
0 |
566 |
3 |
6 |
8 |
1,348 |
| Forecasting Conditional Volatility with Garch and Change of Regime Models: International Evidence |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
12 |
| Forecasting Financial Returns with a Structural Macroeconomic Model |
0 |
0 |
0 |
126 |
1 |
2 |
3 |
104 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
0 |
21 |
1 |
2 |
4 |
126 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
1 |
19 |
3 |
4 |
5 |
74 |
| Fourth order pseudo maximum likelihood methods |
0 |
0 |
0 |
5 |
3 |
3 |
5 |
42 |
| Information Content of Russian Stock Indices |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
19 |
| Investment incentives in endogenously growing economies |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
12 |
| Long-Term Portfolio Management with a Structural Macroeconomic Model |
0 |
1 |
1 |
10 |
0 |
3 |
6 |
26 |
| Moment Component Analysis: An Illustration with International Stock Markets |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
106 |
| New Extreme-Value Dependance Measures and Finance Applications |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
26 |
| New Extreme-Value Dependance Measures and Finance Applications |
0 |
0 |
0 |
213 |
3 |
6 |
10 |
810 |
| New Extreme-Value Dependence Measures and Finance Applications |
0 |
1 |
1 |
364 |
3 |
4 |
4 |
839 |
| On Stock Market Returns and Returns on Investments |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1,057 |
| On stock market returns and returns on investment |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
76 |
| Optimal Liquidation Strategies in Illiquid Markets |
0 |
0 |
0 |
9 |
1 |
3 |
4 |
32 |
| Optimal Long-Term Allocation with Pension Fund Liabilities |
0 |
0 |
0 |
34 |
0 |
0 |
3 |
35 |
| Optimal Portfolio Allocation Under Higher Moments |
0 |
0 |
2 |
211 |
2 |
4 |
10 |
605 |
| Periodic or Generational Actuarial Tables: Which One to Choose? |
0 |
0 |
1 |
15 |
0 |
0 |
3 |
44 |
| Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty |
0 |
0 |
0 |
11 |
0 |
2 |
2 |
49 |
| Portfolio allocation in transition economies |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
23 |
| Portfolio allocation in transition economies |
0 |
0 |
0 |
104 |
0 |
2 |
3 |
381 |
| Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data |
0 |
0 |
0 |
250 |
3 |
3 |
5 |
605 |
| Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election |
0 |
0 |
0 |
195 |
1 |
1 |
11 |
1,362 |
| Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election |
0 |
0 |
1 |
22 |
0 |
1 |
3 |
2,840 |
| Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
21 |
| Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral |
0 |
0 |
2 |
41 |
2 |
2 |
5 |
1,156 |
| Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities |
1 |
1 |
1 |
221 |
1 |
4 |
5 |
770 |
| Reading the Smile: The Message Conveyed by Methods which Infer Risk Neutral Densities |
0 |
0 |
0 |
0 |
4 |
6 |
6 |
50 |
| Regime Switching: Evidence for the French Stock Market |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
23 |
| Remarks concerning 'traditional' investment equations |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
| Short horizons vs. empire building: some empirical evidence |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
22 |
| Switching Regressions of Unexpected Macroeconomic Events Explaining the French Stock Index |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
15 |
| Systemic Risk in Europe |
0 |
1 |
4 |
82 |
2 |
7 |
12 |
101 |
| Testing for differences in the tails of stock-market returns |
0 |
0 |
0 |
194 |
1 |
4 |
4 |
476 |
| Testing for differences in the tails of stock-market returns |
0 |
0 |
0 |
0 |
1 |
1 |
7 |
34 |
| Testing the Fisher Relation: the Russian Case |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
22 |
| The Allocation of Assets Under Higher Moments |
0 |
0 |
1 |
155 |
1 |
1 |
2 |
370 |
| The Bank Bias: Segmentation of French Fund Families |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
116 |
| The Economic Value of Distributional Timing |
0 |
0 |
0 |
51 |
1 |
1 |
1 |
162 |
| The Impact of News on Higher Moments |
0 |
0 |
0 |
82 |
0 |
0 |
0 |
186 |
| The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
1,331 |
| The Tail Behavior of Stock Returns: Emerging versus Mature Markets |
0 |
0 |
0 |
340 |
0 |
0 |
1 |
1,131 |
| The devil's horns: a problem with the densities of AR statistics |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
15 |
| Volatility Clustering, Asymmetry and Hysteresis in Stock Returns: International Evidence |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
24 |
| Volatility Indices for the French Financial Market |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
14 |
| Total Working Papers |
4 |
11 |
27 |
6,693 |
68 |
131 |
262 |
31,483 |
| 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 |
1 |
3 |
373 |
| Artificial neural network small‐sample‐bias‐corrections of the AR(1) parameter close to unit root |
0 |
0 |
0 |
0 |
1 |
1 |
9 |
9 |
| Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements |
1 |
1 |
3 |
434 |
1 |
3 |
11 |
1,012 |
| DENSITY FUNCTIONALS, WITH AN OPTION-PRICING APPLICATION |
0 |
0 |
0 |
18 |
1 |
2 |
2 |
109 |
| Distributional properties of continuous time processes: from CIR to bates |
0 |
1 |
3 |
5 |
1 |
3 |
5 |
9 |
| Do structured products improve portfolio performance? A backtesting exercise |
0 |
1 |
1 |
1 |
2 |
4 |
4 |
4 |
| Entropy densities with an application to autoregressive conditional skewness and kurtosis |
0 |
0 |
0 |
150 |
0 |
2 |
4 |
393 |
| Estimating the price impact of trades in a high-frequency microstructure model with jumps |
0 |
0 |
0 |
14 |
1 |
2 |
5 |
94 |
| Fourth order pseudo maximum likelihood methods |
0 |
0 |
0 |
33 |
0 |
1 |
3 |
161 |
| Gram-Charlier densities |
1 |
1 |
3 |
383 |
2 |
3 |
9 |
887 |
| Long-term Portfolio Allocation Based on Long-term Macro forecasts |
0 |
0 |
1 |
20 |
0 |
0 |
1 |
81 |
| Market Response to Earnings Announcements and Interim Reports: An Analysis of SBF120 Companies |
0 |
0 |
0 |
10 |
1 |
2 |
2 |
36 |
| Market liquidity and institutional trading during the 2007–8 financial crisis |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
85 |
| Moment Component Analysis: An Illustration With International Stock Markets |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
26 |
| Observations concerning the estimation of Heston’s stochastic volatility model using HF data |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| On Stock Market Returns and Returns on Investment |
0 |
0 |
1 |
103 |
0 |
1 |
5 |
284 |
| On the Importance of Time Variability in Higher Moments for Asset Allocation |
0 |
0 |
1 |
13 |
1 |
1 |
4 |
36 |
| Optimal Portfolio Allocation under Higher Moments |
0 |
0 |
1 |
85 |
1 |
2 |
5 |
333 |
| Predicting Long‐Term Financial Returns: VAR versus DSGE Model—A Horse Race |
0 |
0 |
0 |
9 |
5 |
5 |
8 |
43 |
| Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data |
0 |
0 |
1 |
74 |
0 |
3 |
6 |
296 |
| Reading PIBOR futures options smiles: The 1997 snap election |
0 |
0 |
0 |
36 |
2 |
2 |
4 |
210 |
| Reading the smile: the message conveyed by methods which infer risk neutral densities |
0 |
0 |
0 |
114 |
0 |
0 |
0 |
367 |
| Rebalancing with transaction costs: theory, simulations, and actual data |
0 |
0 |
2 |
7 |
0 |
2 |
5 |
14 |
| Simulating the Cox–Ingersoll–Ross and Heston processes: matching the first four moments |
0 |
0 |
1 |
1 |
0 |
0 |
3 |
3 |
| Systemic Risk in Europe |
0 |
0 |
1 |
72 |
1 |
5 |
11 |
272 |
| Systemic Risk in Europe |
0 |
1 |
2 |
10 |
1 |
4 |
6 |
44 |
| Testing for differences in the tails of stock-market returns |
0 |
0 |
0 |
103 |
1 |
2 |
4 |
258 |
| The 'Devil's Horns' Problem of Inverting Confluent Characteristic Functions |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
871 |
| The Copula-GARCH model of conditional dependencies: An international stock market application |
1 |
2 |
8 |
905 |
4 |
7 |
22 |
2,145 |
| The Evolution of Stock Markets in Transition Economies |
0 |
0 |
3 |
312 |
1 |
2 |
8 |
690 |
| The Impact of Shocks on Higher Moments |
0 |
0 |
0 |
16 |
1 |
2 |
4 |
84 |
| Unfolding the Transitions in Sustainability Reporting |
0 |
0 |
0 |
1 |
3 |
4 |
6 |
16 |
| User's guide |
0 |
0 |
0 |
38 |
0 |
1 |
4 |
105 |
| Violating United Nations Global Compact Principles: An Event Study |
1 |
2 |
6 |
263 |
1 |
10 |
29 |
1,269 |
| Total Journal Articles |
4 |
9 |
38 |
3,245 |
32 |
78 |
199 |
10,622 |
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