| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Mean-Variance Efficiency Tests |
0 |
0 |
0 |
23 |
0 |
3 |
11 |
114 |
| A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
26 |
| A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
0 |
2 |
11 |
616 |
| A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
0 |
43 |
0 |
3 |
20 |
77 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
11 |
0 |
6 |
16 |
74 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
42 |
0 |
2 |
11 |
141 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
5 |
0 |
0 |
10 |
68 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
34 |
0 |
3 |
11 |
85 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
28 |
0 |
3 |
20 |
80 |
| A unifying approach to the empirical evaluation of asset pricing models |
0 |
0 |
0 |
50 |
1 |
5 |
13 |
141 |
| Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
0 |
2 |
1 |
2 |
12 |
30 |
| Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
2 |
9 |
1 |
3 |
15 |
35 |
| Aggregate Output Measurements: A Common Trend Approach |
0 |
0 |
0 |
7 |
0 |
2 |
9 |
29 |
| Aggregate Output Measurements: a Common Trend Approach |
0 |
0 |
0 |
26 |
0 |
6 |
15 |
41 |
| Aggregate output measurements: a common trend approach |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
40 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
3 |
7 |
1,151 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
3 |
12 |
23 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
40 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
438 |
| CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
22 |
0 |
1 |
3 |
87 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
40 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
1 |
10 |
945 |
| Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
0 |
26 |
0 |
4 |
15 |
186 |
| Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators |
0 |
0 |
0 |
20 |
0 |
3 |
6 |
46 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
24 |
0 |
2 |
9 |
38 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
5 |
0 |
4 |
11 |
45 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
63 |
| Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
419 |
| Constrained EMM and Indirect Inference Estimation. Versión Revisada |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
11 |
| Constrained Indirect Inference Estimation |
0 |
0 |
0 |
99 |
0 |
0 |
6 |
275 |
| Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
18 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
113 |
0 |
1 |
10 |
528 |
| Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
0 |
0 |
54 |
2 |
2 |
13 |
86 |
| Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
0 |
0 |
5 |
0 |
1 |
6 |
28 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations |
0 |
0 |
0 |
9 |
0 |
1 |
12 |
97 |
| Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
0 |
28 |
0 |
1 |
9 |
125 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
1 |
49 |
0 |
3 |
9 |
150 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
1 |
9 |
95 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
76 |
0 |
6 |
10 |
278 |
| Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
0 |
61 |
0 |
3 |
17 |
143 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
43 |
0 |
4 |
15 |
123 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
66 |
1 |
2 |
13 |
254 |
| Dynamic specification tests for dynamic factor models |
0 |
0 |
0 |
12 |
0 |
4 |
11 |
58 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
0 |
0 |
0 |
49 |
0 |
3 |
11 |
108 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
0 |
0 |
0 |
26 |
0 |
0 |
8 |
97 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
0 |
156 |
0 |
4 |
14 |
445 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
0 |
98 |
0 |
2 |
12 |
376 |
| Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
0 |
156 |
0 |
1 |
24 |
460 |
| Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
0 |
7 |
0 |
1 |
9 |
37 |
| Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
470 |
| Factor Representing Portfolios in Large Asset Markets.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
9 |
| Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
0 |
39 |
0 |
5 |
12 |
111 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
10 |
0 |
5 |
13 |
65 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
53 |
0 |
0 |
10 |
47 |
| Finite Underidentification |
0 |
0 |
0 |
35 |
1 |
3 |
18 |
57 |
| GDP Solera. The Ideal Vintage Mix |
0 |
0 |
0 |
21 |
0 |
2 |
11 |
44 |
| GDP Solera: The Ideal Vintage Mix |
0 |
0 |
1 |
3 |
0 |
0 |
10 |
23 |
| GDP Solera: The Ideal Vintage Mix |
0 |
0 |
0 |
0 |
1 |
2 |
11 |
15 |
| Gaussian Rank Correlation and Regression |
0 |
1 |
1 |
15 |
0 |
4 |
11 |
62 |
| Gaussian rank correlation and regression |
0 |
0 |
0 |
12 |
0 |
2 |
8 |
87 |
| Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
284 |
| Has the EMS Reduced the Cost of Capital? Versión Revisada |
0 |
0 |
0 |
0 |
0 |
3 |
4 |
14 |
| Highly Irregular Serial Correlation Tests |
0 |
0 |
2 |
16 |
2 |
4 |
11 |
25 |
| Hypothesis Tests with a Repeatedly Singular Information Matrix |
0 |
0 |
1 |
16 |
1 |
5 |
15 |
106 |
| Hypothesis tests with a repeatedly singular information matrix |
0 |
0 |
0 |
25 |
0 |
2 |
11 |
62 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
0 |
4 |
10 |
900 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada |
0 |
0 |
1 |
1 |
0 |
1 |
4 |
11 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
1 |
38 |
0 |
3 |
11 |
127 |
| Indirect Estimation of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
195 |
0 |
2 |
15 |
584 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
1 |
3 |
0 |
2 |
15 |
58 |
| Information matrix tests for multinomial logit models |
0 |
0 |
2 |
17 |
2 |
6 |
19 |
41 |
| Information matrix tests for switching regressions |
0 |
8 |
16 |
16 |
0 |
4 |
7 |
7 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
0 |
25 |
0 |
4 |
19 |
88 |
| Is a normal copula the right copula? |
0 |
0 |
0 |
40 |
0 |
1 |
11 |
69 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
2 |
23 |
165 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
175 |
0 |
4 |
12 |
757 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
1,439 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
235 |
0 |
2 |
13 |
1,112 |
| Least Squares Predictions and Mean-Variance Analysis. Versión Revisada |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
5 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
0 |
1 |
12 |
35 |
| Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
25 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
0 |
1 |
11 |
493 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
5 |
16 |
263 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
3 |
17 |
60 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
5 |
13 |
321 |
| Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
19 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
4 |
12 |
597 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
2 |
12 |
247 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
0 |
0 |
4 |
11 |
14 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
9 |
0 |
3 |
5 |
40 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
1 |
0 |
3 |
14 |
35 |
| Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
327 |
1 |
2 |
13 |
725 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
6 |
0 |
1 |
8 |
36 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
0 |
6 |
1,296 |
| Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
0 |
615 |
0 |
3 |
11 |
1,042 |
| Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
4 |
0 |
3 |
8 |
47 |
| Moment tests of independent components |
0 |
0 |
0 |
30 |
0 |
2 |
19 |
68 |
| Multivariate Hermite polynomials and information matrix tests |
0 |
0 |
0 |
2 |
0 |
3 |
8 |
17 |
| Multivariate Hermite polynomials and information matrix tests |
0 |
0 |
0 |
19 |
0 |
0 |
2 |
33 |
| Multivariate Hermite polynomials and information matrix tests |
0 |
0 |
0 |
11 |
1 |
6 |
13 |
44 |
| Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation |
0 |
0 |
0 |
11 |
0 |
1 |
16 |
116 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
0 |
57 |
0 |
1 |
14 |
216 |
| Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
0 |
38 |
0 |
2 |
7 |
66 |
| New Testing Approaches for Mean-Variance Predictability |
0 |
0 |
0 |
8 |
0 |
1 |
3 |
33 |
| New testing approaches for mean-variance predictability |
0 |
0 |
0 |
55 |
0 |
0 |
4 |
103 |
| New testing approaches for mean-variance predictability |
0 |
0 |
0 |
18 |
1 |
2 |
7 |
48 |
| New testing approaches for mean-variance predictability |
0 |
0 |
0 |
12 |
1 |
1 |
6 |
39 |
| Normal but Skewed? |
0 |
0 |
0 |
29 |
1 |
4 |
9 |
58 |
| Normality Tests for Latent Variables |
0 |
0 |
0 |
18 |
1 |
1 |
9 |
103 |
| On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
49 |
0 |
2 |
15 |
217 |
| On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
1 |
0 |
3 |
13 |
22 |
| On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
0 |
5 |
0 |
5 |
10 |
54 |
| PML vs minimum χ 2: the comeback |
0 |
0 |
0 |
15 |
0 |
4 |
10 |
26 |
| Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
3 |
10 |
245 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
60 |
0 |
2 |
18 |
271 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
6 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
0 |
84 |
0 |
1 |
16 |
312 |
| Portfolio management with big data |
0 |
0 |
4 |
38 |
0 |
5 |
39 |
88 |
| Portfolio management with big data |
0 |
0 |
1 |
3 |
0 |
3 |
17 |
25 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
16 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
0 |
142 |
0 |
2 |
8 |
661 |
| Pricing options on assets with predictable white noise returns |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
9 |
| Quadratic ARCH Models |
0 |
0 |
0 |
0 |
0 |
3 |
11 |
96 |
| Quadratic Arch Models |
0 |
0 |
0 |
1 |
0 |
2 |
10 |
911 |
| Riesgo y rentabilidad en el mercado de valores español |
0 |
0 |
0 |
0 |
1 |
4 |
8 |
29 |
| Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
279 |
0 |
1 |
5 |
1,168 |
| Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
12 |
| Risk and return in the Spanish stock market |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
8 |
| Score-type tests for normal mixtures |
0 |
0 |
0 |
19 |
1 |
4 |
18 |
47 |
| Score-type tests for normal mixtures |
0 |
0 |
0 |
1 |
0 |
4 |
10 |
18 |
| Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
0 |
56 |
1 |
7 |
21 |
169 |
| Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
1 |
2 |
4 |
256 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
127 |
0 |
1 |
7 |
524 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
62 |
0 |
1 |
12 |
315 |
| Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
85 |
0 |
2 |
10 |
391 |
| Specification Tests for Non-Gaussian Maximum Likelihood Estimators |
0 |
0 |
0 |
6 |
0 |
0 |
11 |
27 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
34 |
0 |
1 |
3 |
27 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
44 |
0 |
1 |
8 |
54 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
10 |
0 |
5 |
12 |
57 |
| Specification tests for non-Gaussian structural vector autoregressions |
0 |
0 |
0 |
85 |
1 |
4 |
18 |
85 |
| THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
18 |
1 |
4 |
13 |
120 |
| Testing Distributional Assumptions Using a Continuum of Moments |
0 |
0 |
0 |
26 |
0 |
2 |
13 |
58 |
| Testing Shock Independence in Gaussian Structural VARs |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
96 |
1 |
2 |
7 |
261 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
46 |
0 |
3 |
13 |
169 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
68 |
0 |
4 |
16 |
240 |
| Testing for GARCH Effects: A One-Sided Approach |
0 |
0 |
0 |
0 |
0 |
7 |
15 |
74 |
| Testing shock independence in Gaussian structural VARs |
0 |
2 |
22 |
22 |
0 |
4 |
12 |
12 |
| Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
1 |
51 |
0 |
1 |
11 |
115 |
| Tests for random coefficient variation in vector autoregressive models |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
29 |
| Tests for random coefficient variation in vector autoregressive models |
0 |
0 |
0 |
6 |
0 |
3 |
19 |
31 |
| Tests for random coefficient variation in vector autoregressive models |
0 |
0 |
0 |
65 |
1 |
5 |
11 |
55 |
| The Econometrics of Mean-Variance Efficiency Tests: A Survey |
0 |
0 |
0 |
66 |
1 |
4 |
13 |
261 |
| The Jacobian of the Exponential Function |
0 |
0 |
0 |
27 |
0 |
3 |
14 |
73 |
| The Jacobian of the exponential function |
0 |
0 |
0 |
44 |
0 |
1 |
8 |
53 |
| The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
346 |
| The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
13 |
| The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
663 |
| The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models |
0 |
0 |
0 |
2 |
1 |
4 |
19 |
30 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
0 |
109 |
0 |
0 |
3 |
193 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
1 |
94 |
0 |
5 |
20 |
210 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
1 |
114 |
0 |
6 |
17 |
307 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
0 |
33 |
0 |
4 |
18 |
80 |
| The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
2 |
11 |
578 |
| The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada |
0 |
0 |
0 |
2 |
1 |
2 |
4 |
12 |
| The information matrix test for Gaussian mixtures |
0 |
1 |
1 |
21 |
0 |
4 |
12 |
45 |
| The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities |
0 |
3 |
10 |
21 |
0 |
8 |
36 |
53 |
| The rise and fall of the natural interest rate |
0 |
1 |
4 |
97 |
0 |
6 |
18 |
217 |
| Underidentification? |
0 |
0 |
1 |
268 |
1 |
2 |
14 |
1,106 |
| Underidentification? |
0 |
0 |
0 |
69 |
0 |
4 |
11 |
313 |
| Underidentification? (Resumen) |
0 |
0 |
0 |
63 |
0 |
3 |
20 |
219 |
| Unobservable No More: Estimating the Natural Rate of Interest under Flat IS and Phillips Curves |
0 |
1 |
1 |
1 |
0 |
2 |
2 |
2 |
| Unobservable no more: estimating the natural rate of interest under flat IS and Phillips curves |
0 |
10 |
12 |
12 |
1 |
7 |
12 |
12 |
| Valuation of VIX Derivatives |
0 |
0 |
0 |
26 |
0 |
3 |
13 |
183 |
| Valuation of VIX Derivatives |
0 |
0 |
0 |
102 |
2 |
6 |
27 |
321 |
| Valuation of vix derivatives |
0 |
0 |
0 |
25 |
2 |
8 |
18 |
190 |
| Volatility, Diversification and Contagion |
0 |
0 |
0 |
12 |
0 |
5 |
20 |
66 |
| Volatility, diversification and contagion |
0 |
0 |
0 |
4 |
0 |
2 |
13 |
45 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
13 |
0 |
2 |
5 |
46 |
| Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
0 |
53 |
1 |
3 |
11 |
53 |
| Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
6 |
| Volatiltiy and Links Between National Stock Markets |
0 |
0 |
1 |
410 |
1 |
5 |
28 |
1,203 |
| Zero-Diagonality as a Linear Structure |
0 |
0 |
0 |
4 |
0 |
3 |
13 |
21 |
| Zero-diagonality as a linear structure |
0 |
0 |
0 |
3 |
0 |
4 |
13 |
29 |
| Total Working Papers |
0 |
27 |
89 |
7,557 |
38 |
480 |
2,072 |
36,252 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
24 |
0 |
1 |
15 |
131 |
| A comparison of mean-variance efficiency tests |
0 |
0 |
0 |
89 |
0 |
6 |
18 |
417 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
10 |
0 |
2 |
14 |
68 |
| An EM Algorithm for Conditionally Heteroscedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
560 |
| Comment |
0 |
0 |
0 |
6 |
0 |
2 |
6 |
40 |
| Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference |
0 |
0 |
0 |
3 |
0 |
3 |
11 |
42 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
0 |
3 |
14 |
356 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
0 |
0 |
2 |
14 |
29 |
| Constrained Indirect Estimation |
0 |
0 |
0 |
78 |
0 |
2 |
11 |
298 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
74 |
0 |
2 |
10 |
424 |
| Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
12 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations |
0 |
0 |
0 |
26 |
0 |
4 |
17 |
150 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
6 |
0 |
2 |
11 |
43 |
| Dynamic specification tests for dynamic factor models |
0 |
0 |
0 |
8 |
0 |
2 |
13 |
63 |
| Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix |
0 |
0 |
0 |
85 |
0 |
1 |
8 |
711 |
| Empirical evaluation of overspecified asset pricing models |
0 |
0 |
0 |
9 |
0 |
0 |
12 |
54 |
| Factor representing portfolios in large asset markets |
0 |
0 |
0 |
49 |
0 |
3 |
16 |
181 |
| Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data |
0 |
0 |
3 |
668 |
2 |
4 |
26 |
1,951 |
| Finite underidentification |
0 |
0 |
1 |
4 |
0 |
1 |
8 |
14 |
| GDP Solera: The Ideal Vintage Mix |
0 |
0 |
1 |
5 |
0 |
2 |
10 |
17 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
1 |
2 |
233 |
1 |
6 |
21 |
505 |
| Identification, inference and risk |
0 |
4 |
10 |
13 |
0 |
5 |
22 |
29 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
43 |
0 |
3 |
10 |
144 |
| Information matrix tests for multinomial logit models |
0 |
0 |
0 |
0 |
0 |
4 |
17 |
18 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
1 |
6 |
0 |
7 |
13 |
42 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
1 |
189 |
0 |
4 |
17 |
782 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
0 |
1 |
8 |
634 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
93 |
0 |
2 |
9 |
265 |
| Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations |
0 |
0 |
0 |
4 |
0 |
0 |
18 |
799 |
| Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market |
0 |
0 |
0 |
195 |
0 |
6 |
12 |
806 |
| Moment tests of independent components |
0 |
0 |
0 |
4 |
0 |
2 |
14 |
33 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
0 |
58 |
0 |
1 |
31 |
258 |
| Neglected serial correlation tests in UCARIMA models |
0 |
0 |
0 |
3 |
0 |
4 |
17 |
59 |
| New testing approaches for mean–variance predictability |
0 |
0 |
0 |
3 |
0 |
3 |
8 |
25 |
| Normal but skewed? |
0 |
0 |
0 |
1 |
0 |
5 |
13 |
25 |
| Normality tests for latent variables |
0 |
0 |
0 |
3 |
1 |
3 |
20 |
61 |
| Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo |
0 |
0 |
0 |
29 |
1 |
3 |
4 |
214 |
| On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models |
0 |
0 |
0 |
202 |
0 |
4 |
11 |
1,213 |
| PML versus minimum $${\chi }^{2}$$ χ 2: the comeback |
0 |
0 |
0 |
1 |
0 |
4 |
10 |
13 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
33 |
0 |
1 |
8 |
163 |
| Quadratic ARCH Models |
0 |
1 |
5 |
563 |
0 |
5 |
29 |
1,430 |
| Reprint of: Finite underidentification |
0 |
0 |
1 |
1 |
0 |
5 |
18 |
19 |
| Risk and return in the Spanish stock market: some evidence from individual assets |
0 |
0 |
0 |
39 |
0 |
1 |
6 |
144 |
| Score-type tests for normal mixtures |
0 |
0 |
1 |
1 |
1 |
4 |
17 |
20 |
| Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan |
0 |
0 |
0 |
44 |
0 |
2 |
19 |
217 |
| Sequential estimation of shape parameters in multivariate dynamic models |
0 |
0 |
0 |
38 |
0 |
5 |
15 |
189 |
| Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach |
0 |
0 |
0 |
26 |
0 |
5 |
24 |
155 |
| Specification tests for non-Gaussian structural vector autoregressions |
0 |
0 |
0 |
0 |
1 |
3 |
18 |
22 |
| Specification tests for non‐Gaussian maximum likelihood estimators |
0 |
0 |
0 |
2 |
0 |
1 |
17 |
35 |
| TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH |
0 |
0 |
0 |
34 |
3 |
5 |
12 |
141 |
| Testing distributional assumptions using a continuum of moments |
0 |
0 |
0 |
3 |
0 |
2 |
24 |
48 |
| Testing for GARCH effects: a one-sided approach |
0 |
0 |
1 |
177 |
1 |
4 |
12 |
518 |
| The Jacobian of the exponential function |
0 |
0 |
0 |
4 |
0 |
0 |
14 |
41 |
| The Likelihood Function of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
1 |
0 |
2 |
10 |
30 |
| The econometrics of mean-variance efficiency tests: a survey |
0 |
0 |
0 |
109 |
1 |
6 |
14 |
415 |
| The econometrics of the stock market I: rationality tests |
0 |
0 |
0 |
139 |
0 |
1 |
16 |
368 |
| The econometrics of the stock market II: asset pricing |
0 |
0 |
0 |
196 |
0 |
4 |
15 |
535 |
| The information matrix test for Gaussian mixtures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| The relation between conditionally heteroskedastic factor models and factor GARCH models |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
516 |
| Underidentification? |
0 |
1 |
1 |
46 |
0 |
3 |
18 |
281 |
| Unobserved component time series models with Arch disturbances |
0 |
0 |
1 |
649 |
2 |
4 |
19 |
1,163 |
| Valuation of VIX derivatives |
0 |
1 |
4 |
114 |
1 |
5 |
25 |
402 |
| Volatility and Links between National Stock Markets |
0 |
0 |
1 |
1,116 |
2 |
6 |
75 |
3,030 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
0 |
0 |
4 |
27 |
38 |
| Zero-diagonality as a linear structure |
0 |
0 |
0 |
1 |
0 |
2 |
10 |
23 |
| Total Journal Articles |
0 |
8 |
34 |
5,732 |
17 |
195 |
996 |
21,429 |
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