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12 months |
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A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models |
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178 |
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0 |
1 |
216 |

A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models |
0 |
0 |
0 |
83 |
0 |
0 |
4 |
143 |

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
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0 |
1 |
87 |
0 |
0 |
3 |
361 |

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
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0 |
0 |
62 |
0 |
0 |
1 |
293 |

A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models |
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0 |
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58 |
0 |
0 |
0 |
150 |

A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models |
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0 |
0 |
60 |
1 |
1 |
1 |
74 |

A nonparametric copula based test for conditional independence with applications to Granger causality |
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0 |
0 |
41 |
1 |
1 |
2 |
144 |

A nonparametric copula based test for conditional independence with applications to granger causality |
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0 |
3 |
182 |
0 |
1 |
11 |
600 |

Asymptotic properties of the Bernstein density copula for dependent data |
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0 |
1 |
92 |
0 |
0 |
3 |
248 |

Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
153 |

BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS |
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0 |
0 |
193 |
0 |
0 |
2 |
491 |

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models |
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0 |
1 |
44 |
0 |
0 |
1 |
203 |

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models |
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0 |
0 |
46 |
0 |
0 |
3 |
142 |

Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models |
0 |
0 |
0 |
52 |
0 |
2 |
15 |
439 |

Bayesian clustering of many GARCH models |
0 |
0 |
1 |
43 |
1 |
1 |
2 |
119 |

Bayesian inference for the mixed conditional heteroskedasticity model |
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0 |
0 |
62 |
0 |
0 |
1 |
321 |

Bayesian inference for the mixed conditional heteroskedasticity model |
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0 |
0 |
41 |
0 |
0 |
1 |
230 |

Bayesian inference for the mixed conditional heteroskedasticity model |
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0 |
0 |
14 |
0 |
0 |
3 |
102 |

Bayesian option pricing using mixed normal heteroskedasticity models |
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0 |
0 |
39 |
1 |
1 |
1 |
105 |

Clustered panel data models: an efficient approach for nowcasting from poor data |
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0 |
1 |
36 |
0 |
0 |
4 |
130 |

Consistent ranking of multivariate volatility models |
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0 |
0 |
49 |
0 |
0 |
2 |
155 |

Density and Hazard Rate Estimation for Censored and ?-mixing Data Using Gamma Kernels |
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0 |
0 |
85 |
0 |
0 |
0 |
346 |

Density and hazard rate estimation for censored and a-mixing data using gamma kernels |
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0 |
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25 |
0 |
1 |
1 |
91 |

Dynamic Optimal Portfolio Selection in a VaR Framework |
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0 |
0 |
668 |
0 |
0 |
0 |
1,822 |

Dynamic optimal portfolio selection in a VaR framework |
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0 |
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60 |
0 |
0 |
1 |
155 |

Econometrics |
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0 |
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21 |
1 |
1 |
3 |
98 |

Estimation of temporally aggregated multivariate GARCH models |
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0 |
1 |
24 |
0 |
0 |
3 |
107 |

Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models |
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0 |
0 |
201 |
1 |
3 |
4 |
524 |

Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models |
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0 |
2 |
543 |
0 |
0 |
4 |
1,384 |

MIXED EXPONENTIAL POWER ASYMMETRIC CONDITIONAL HETEROSKEDASTICITY |
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0 |
0 |
23 |
0 |
0 |
3 |
141 |

Marginal Likelihood for Markov-Switching and Change-Point Garch Models |
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0 |
0 |
31 |
0 |
0 |
0 |
105 |

Marginal Likelihood for Markov-switching and Change-point Garch Models |
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0 |
1 |
55 |
0 |
0 |
5 |
152 |

Marginal likelihood for Markov-switching and change-point GARCH models |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
73 |

Mixed Exponential Power Asymmetric Conditional Heteroskedasticity |
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0 |
0 |
57 |
0 |
0 |
2 |
355 |

Mixed exponential power asymmetric conditional heteroskedasticity |
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0 |
0 |
16 |
0 |
0 |
3 |
123 |

Multivariate GARCH models and their Estimation |
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0 |
0 |
0 |
0 |
1 |
6 |
518 |

Multivariate GARCH models: a survey |
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0 |
4 |
470 |
0 |
2 |
16 |
1,120 |

Multivariate Option Pricing With Time Varying Volatility and Correlations |
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0 |
0 |
26 |
0 |
0 |
2 |
136 |

Multivariate Option Pricing with Time Varying Volatility and Correlations |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
220 |

Multivariate Option Pricing with Time Varying Volatility and Correlations |
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0 |
1 |
45 |
0 |
0 |
2 |
161 |

Multivariate mixed normal conditional heteroskedasticity |
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0 |
0 |
149 |
0 |
0 |
0 |
472 |

Multivariate mixed normal conditional heteroskedasticity |
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0 |
0 |
21 |
0 |
0 |
1 |
102 |

Multivariate option pricing with time varying volatility and correlations |
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0 |
0 |
33 |
0 |
0 |
1 |
127 |

Nonparametric Density Estimation for Multivariate Bounded Data |
0 |
0 |
0 |
91 |
0 |
0 |
0 |
364 |

Nonparametric Density Estimation for Positive Time Series |
0 |
0 |
1 |
111 |
0 |
0 |
6 |
345 |

Nonparametric density estimation for multivariate bounded data |
0 |
0 |
0 |
44 |
0 |
0 |
0 |
119 |

Nonparametric density estimation for multivariate bounded data |
0 |
0 |
0 |
15 |
0 |
1 |
9 |
61 |

Nonparametric density estimation for positive time series |
0 |
0 |
0 |
30 |
1 |
1 |
2 |
131 |

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models |
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1 |
1 |
147 |
0 |
9 |
28 |
499 |

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models |
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0 |
0 |
71 |
0 |
0 |
3 |
215 |

On Marginal Likelihood Computation in Change-point Models |
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0 |
0 |
113 |
0 |
0 |
0 |
354 |

On marginal likelihood computation in change-point models |
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0 |
0 |
33 |
0 |
0 |
2 |
98 |

On the Forecasting Accuracy of Multivariate GARCH Models |
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0 |
3 |
190 |
0 |
1 |
8 |
691 |

On the forecasting accuracy of multivariate GARCH models |
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2 |
3 |
112 |
0 |
5 |
13 |
243 |

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models |
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0 |
1 |
33 |
0 |
0 |
8 |
120 |

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models |
0 |
0 |
0 |
47 |
0 |
0 |
2 |
135 |

Option pricing with asymmetric heteroskedastic normal mixture models |
0 |
0 |
0 |
28 |
0 |
0 |
5 |
75 |

Regime switching GARCH models |
1 |
1 |
2 |
603 |
1 |
1 |
4 |
1,283 |

Regime switching GARCH models |
0 |
0 |
1 |
78 |
2 |
2 |
4 |
249 |

Regime switching GARCH models |
0 |
0 |
0 |
187 |
0 |
0 |
1 |
522 |

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas |
0 |
0 |
0 |
51 |
0 |
0 |
0 |
116 |

Semiparametric Multivariate Density Estimation for Positive Data Using Copulas |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
243 |

Semiparametric multivariate GARCH models |
0 |
0 |
0 |
74 |
0 |
0 |
1 |
162 |

Semiparametric multivariate density estimation for positive data using copulas |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
57 |

Semiparametric multivariate volatility models |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
94 |

Style rotation and performance persistence of mutual funds |
0 |
0 |
0 |
58 |
0 |
1 |
1 |
206 |

The Contribution of Structural Break Models to Forecasting Macroeconomic Series |
0 |
0 |
5 |
372 |
0 |
2 |
16 |
670 |

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options |
0 |
0 |
0 |
28 |
0 |
0 |
3 |
116 |

The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options |
0 |
0 |
0 |
68 |
0 |
0 |
6 |
135 |

Theory and Inference for a Markov-Switching GARCH Model |
0 |
1 |
1 |
548 |
0 |
2 |
5 |
1,347 |

Theory and inference for a Markov switching GARCH model |
0 |
0 |
1 |
53 |
0 |
0 |
1 |
159 |

Theory and inference for a Markov switching GARCH model |
0 |
0 |
0 |
128 |
0 |
2 |
5 |
335 |

Theory and inference for a Markov switching Garch model |
0 |
0 |
1 |
391 |
0 |
0 |
1 |
729 |

Total Working Papers |
1 |
5 |
37 |
7,931 |
10 |
42 |
257 |
23,024 |