| 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 |
1 |
3 |
101 |
| A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
16 |
| A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
601 |
| A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
0 |
42 |
1 |
1 |
7 |
49 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
1 |
1 |
9 |
0 |
1 |
6 |
50 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
4 |
1 |
1 |
4 |
49 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
42 |
0 |
0 |
3 |
125 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
33 |
0 |
0 |
3 |
62 |
| A spectral EM algorithm for dynamic factor models |
1 |
1 |
1 |
25 |
1 |
2 |
7 |
52 |
| A unifying approach to the empirical evaluation of asset pricing models |
0 |
1 |
1 |
50 |
0 |
2 |
6 |
124 |
| Aggregate Output Measurements: A Common Trend Approach |
1 |
1 |
1 |
1 |
2 |
6 |
10 |
10 |
| Aggregate Output Measurements: A Common Trend Approach |
1 |
2 |
2 |
2 |
2 |
6 |
9 |
9 |
| Aggregate Output Measurements: A Common Trend Approach |
0 |
3 |
3 |
3 |
1 |
6 |
6 |
6 |
| Aggregate Output Measurements: a Common Trend Approach |
0 |
2 |
25 |
25 |
2 |
10 |
16 |
16 |
| Aggregate output measurements: a common trend approach |
0 |
4 |
6 |
6 |
4 |
12 |
20 |
20 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
1,140 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
29 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
1 |
3 |
7 |
426 |
| CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
82 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
1 |
4 |
10 |
18 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
0 |
2 |
4 |
931 |
| Conditional means of time series processes and time series processes for conditional means |
2 |
2 |
3 |
18 |
6 |
26 |
37 |
141 |
| Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
36 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
29 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
1 |
1 |
2 |
17 |
1 |
1 |
5 |
55 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
23 |
0 |
0 |
2 |
21 |
| Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
405 |
| Constrained EMM and Indirect Inference Estimation. Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
| Constrained Indirect Inference Estimation |
0 |
0 |
0 |
99 |
0 |
0 |
1 |
269 |
| Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
10 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
113 |
0 |
3 |
8 |
511 |
| Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
0 |
1 |
1 |
0 |
2 |
8 |
8 |
| Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions |
0 |
23 |
24 |
24 |
2 |
8 |
9 |
9 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations |
0 |
0 |
1 |
9 |
0 |
1 |
7 |
77 |
| Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
0 |
28 |
0 |
0 |
0 |
110 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
48 |
0 |
1 |
6 |
137 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
80 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
76 |
0 |
0 |
2 |
257 |
| Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
0 |
59 |
0 |
0 |
7 |
112 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
66 |
0 |
1 |
2 |
236 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
41 |
0 |
0 |
2 |
100 |
| Dynamic specification tests for dynamic factor models |
0 |
1 |
1 |
10 |
1 |
2 |
10 |
32 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
0 |
0 |
2 |
23 |
1 |
1 |
8 |
30 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
0 |
0 |
3 |
46 |
0 |
1 |
18 |
88 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
1 |
1 |
90 |
0 |
3 |
7 |
353 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
1 |
3 |
5 |
149 |
1 |
3 |
8 |
413 |
| Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
1 |
151 |
0 |
0 |
5 |
424 |
| Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
0 |
1 |
7 |
0 |
1 |
3 |
25 |
| Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
461 |
| Factor Representing Portfolios in Large Asset Markets.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
92 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
9 |
0 |
0 |
5 |
46 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
53 |
0 |
0 |
4 |
35 |
| Finite Underidentification |
0 |
0 |
0 |
22 |
0 |
0 |
5 |
17 |
| Gaussian Rank Correlation and Regression |
0 |
10 |
10 |
10 |
0 |
7 |
8 |
8 |
| Gaussian rank correlation and regression |
0 |
4 |
9 |
9 |
2 |
15 |
37 |
37 |
| Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
269 |
| Has the EMS Reduced the Cost of Capital? Versión Revisada |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
10 |
| Hypothesis Tests with a Repeatedly Singular Information Matrix |
1 |
3 |
3 |
3 |
2 |
7 |
7 |
7 |
| Hypothesis tests with a repeatedly singular information matrix |
0 |
1 |
21 |
21 |
1 |
5 |
39 |
39 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
1 |
3 |
25 |
876 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
0 |
34 |
1 |
1 |
17 |
110 |
| Indirect Estimation of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
195 |
0 |
0 |
4 |
565 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
2 |
1 |
3 |
8 |
27 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
1 |
23 |
0 |
1 |
9 |
58 |
| Is a normal copula the right copula? |
0 |
0 |
0 |
38 |
0 |
1 |
4 |
53 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
1 |
4 |
138 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
1,425 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
1 |
1 |
175 |
0 |
1 |
4 |
736 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
1 |
234 |
0 |
0 |
2 |
1,097 |
| Least Squares Predictions and Mean-Variance Analysis. Versión Revisada |
1 |
1 |
1 |
1 |
1 |
1 |
1 |
2 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
0 |
1 |
7 |
15 |
| Likelihood-based estimation of latent generalised ARCH |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
2 |
6 |
241 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
1 |
1 |
159 |
0 |
2 |
6 |
478 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
1 |
5 |
35 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
1 |
5 |
304 |
| Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
9 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
582 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
232 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
1 |
0 |
0 |
3 |
19 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
8 |
0 |
2 |
5 |
32 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
327 |
2 |
3 |
6 |
708 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
0 |
1 |
3 |
1,277 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
2 |
3 |
4 |
5 |
4 |
7 |
12 |
25 |
| Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
0 |
615 |
0 |
1 |
4 |
1,029 |
| Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
0 |
1 |
7 |
33 |
| Moment tests of independent components |
0 |
21 |
21 |
21 |
1 |
11 |
11 |
11 |
| Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation |
0 |
0 |
1 |
11 |
0 |
1 |
5 |
99 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
1 |
2 |
56 |
0 |
1 |
8 |
188 |
| Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
0 |
36 |
0 |
0 |
6 |
49 |
| New Testing Approaches for Mean-Variance Predictability |
0 |
0 |
1 |
5 |
1 |
2 |
10 |
20 |
| New testing approaches for mean-variance predictability |
0 |
0 |
2 |
10 |
0 |
2 |
10 |
27 |
| New testing approaches for mean-variance predictability |
0 |
0 |
3 |
54 |
3 |
8 |
25 |
84 |
| New testing approaches for mean-variance predictability |
0 |
0 |
1 |
18 |
0 |
3 |
14 |
27 |
| Normality Tests for Latent Variables |
0 |
0 |
0 |
17 |
1 |
5 |
30 |
71 |
| On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
46 |
0 |
1 |
6 |
191 |
| On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
1 |
1 |
4 |
0 |
1 |
7 |
34 |
| Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
230 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
59 |
0 |
1 |
2 |
250 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
0 |
83 |
0 |
3 |
5 |
286 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
1 |
138 |
0 |
0 |
5 |
647 |
| Quadratic ARCH Models |
0 |
0 |
0 |
0 |
0 |
3 |
20 |
40 |
| Quadratic Arch Models |
0 |
0 |
0 |
1 |
0 |
2 |
12 |
873 |
| Riesgo y rentabilidad en el mercado de valores español |
0 |
0 |
0 |
0 |
1 |
4 |
5 |
10 |
| Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
279 |
0 |
0 |
2 |
1,162 |
| Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
| Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
0 |
55 |
0 |
1 |
2 |
143 |
| Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
0 |
1 |
4 |
248 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
1 |
2 |
2 |
62 |
1 |
2 |
7 |
298 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
126 |
1 |
3 |
5 |
512 |
| Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
1 |
1 |
1 |
84 |
3 |
3 |
12 |
370 |
| Specification Tests for Non-Gaussian Maximum Likelihood Estimators |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
13 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
1 |
2 |
44 |
0 |
3 |
9 |
38 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
1 |
10 |
0 |
1 |
12 |
29 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
1 |
2 |
34 |
0 |
1 |
6 |
20 |
| THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
17 |
0 |
1 |
5 |
100 |
| Testing Distributional Assumptions Using a Continuum of Moments |
0 |
0 |
0 |
23 |
0 |
1 |
2 |
34 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
2 |
68 |
0 |
1 |
5 |
221 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
45 |
0 |
0 |
2 |
152 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
96 |
0 |
0 |
1 |
243 |
| Testing for GARCH Effects: A One-Sided Approach |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
11 |
| Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
0 |
46 |
1 |
1 |
4 |
98 |
| The Econometrics of Mean-Variance Efficiency Tests: A Survey |
0 |
0 |
0 |
61 |
0 |
3 |
4 |
224 |
| The Jacobian of the Exponential Function |
0 |
17 |
17 |
17 |
2 |
10 |
10 |
10 |
| The Jacobian of the exponential function |
0 |
0 |
43 |
43 |
0 |
2 |
31 |
31 |
| The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
333 |
| The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
| The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
655 |
| The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models |
0 |
1 |
1 |
2 |
0 |
1 |
2 |
7 |
| The Rise and Fall of the Natural Interest Rate |
3 |
7 |
15 |
90 |
7 |
25 |
66 |
190 |
| The Rise and Fall of the Natural Interest Rate |
0 |
2 |
10 |
100 |
3 |
10 |
37 |
165 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
1 |
32 |
0 |
4 |
14 |
56 |
| The Rise and Fall of the Natural Interest Rate |
0 |
3 |
10 |
75 |
5 |
21 |
41 |
108 |
| The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
559 |
| The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| The rise and fall of the natural interest rate |
0 |
5 |
9 |
58 |
2 |
11 |
33 |
104 |
| Underidentification? |
0 |
0 |
1 |
265 |
0 |
1 |
5 |
1,069 |
| Underidentification? |
0 |
0 |
0 |
66 |
1 |
1 |
7 |
291 |
| Underidentification? (Resumen) |
0 |
0 |
0 |
63 |
0 |
0 |
9 |
189 |
| Valuation of VIX Derivatives |
0 |
1 |
2 |
24 |
2 |
3 |
15 |
151 |
| Valuation of VIX Derivatives |
0 |
0 |
0 |
99 |
0 |
1 |
5 |
266 |
| Valuation of vix derivatives |
1 |
1 |
6 |
23 |
3 |
5 |
20 |
140 |
| Volatility, Diversification and Contagion |
0 |
0 |
0 |
11 |
3 |
4 |
7 |
32 |
| Volatility, diversification and contagion |
0 |
0 |
0 |
3 |
0 |
1 |
5 |
27 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
12 |
0 |
0 |
3 |
39 |
| Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
0 |
53 |
0 |
0 |
3 |
35 |
| Volatiltiy and Links Between National Stock Markets |
0 |
3 |
3 |
400 |
5 |
15 |
29 |
1,125 |
| Zero-Diagonality as a Linear Structure |
0 |
4 |
4 |
4 |
0 |
3 |
3 |
3 |
| Zero-diagonality as a linear structure |
0 |
0 |
1 |
1 |
1 |
1 |
9 |
9 |
| Total Working Papers |
17 |
142 |
304 |
6,758 |
93 |
380 |
1,235 |
31,715 |
| 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 |
3 |
21 |
1 |
3 |
19 |
102 |
| A comparison of mean-variance efficiency tests |
0 |
0 |
0 |
89 |
0 |
1 |
4 |
388 |
| A spectral EM algorithm for dynamic factor models |
0 |
1 |
2 |
4 |
1 |
3 |
7 |
33 |
| An EM Algorithm for Conditionally Heteroscedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
546 |
| Comment |
0 |
0 |
0 |
6 |
2 |
2 |
6 |
24 |
| Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference |
0 |
0 |
1 |
3 |
0 |
2 |
5 |
28 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
338 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
0 |
1 |
3 |
11 |
11 |
| Constrained Indirect Estimation |
0 |
0 |
2 |
74 |
1 |
1 |
7 |
277 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
74 |
0 |
0 |
4 |
410 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations |
0 |
0 |
3 |
26 |
0 |
0 |
10 |
123 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
30 |
| Dynamic specification tests for dynamic factor models |
0 |
1 |
1 |
6 |
0 |
2 |
10 |
34 |
| Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix |
0 |
0 |
0 |
84 |
0 |
1 |
4 |
691 |
| Factor representing portfolios in large asset markets |
0 |
0 |
0 |
49 |
2 |
3 |
6 |
156 |
| Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data |
3 |
11 |
25 |
629 |
7 |
23 |
64 |
1,814 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
1 |
10 |
193 |
1 |
4 |
24 |
392 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
42 |
1 |
2 |
7 |
121 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
2 |
2 |
0 |
1 |
8 |
8 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
2 |
2 |
186 |
0 |
4 |
5 |
749 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
0 |
1 |
6 |
624 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
90 |
0 |
2 |
4 |
246 |
| Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations |
0 |
0 |
0 |
4 |
3 |
3 |
10 |
756 |
| Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market |
0 |
0 |
1 |
194 |
0 |
1 |
2 |
789 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
2 |
55 |
0 |
3 |
10 |
211 |
| Neglected serial correlation tests in UCARIMA models |
0 |
0 |
1 |
3 |
0 |
2 |
8 |
39 |
| Normality tests for latent variables |
0 |
0 |
0 |
1 |
1 |
4 |
15 |
28 |
| 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 |
0 |
0 |
2 |
209 |
| On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models |
0 |
0 |
0 |
202 |
2 |
4 |
9 |
1,192 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
32 |
1 |
1 |
2 |
148 |
| Quadratic ARCH Models |
3 |
7 |
20 |
499 |
6 |
24 |
52 |
1,248 |
| Risk and return in the Spanish stock market: some evidence from individual assets |
0 |
0 |
0 |
39 |
0 |
1 |
3 |
137 |
| Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan |
1 |
1 |
1 |
43 |
1 |
1 |
2 |
194 |
| Sequential estimation of shape parameters in multivariate dynamic models |
0 |
0 |
1 |
37 |
0 |
1 |
3 |
169 |
| Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach |
0 |
1 |
1 |
25 |
1 |
3 |
11 |
119 |
| TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH |
0 |
0 |
1 |
32 |
0 |
3 |
7 |
121 |
| Testing distributional assumptions using a continuum of moments |
0 |
0 |
0 |
0 |
0 |
2 |
9 |
9 |
| Testing for GARCH effects: a one-sided approach |
1 |
1 |
3 |
173 |
1 |
1 |
5 |
498 |
| The Likelihood Function of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
1 |
4 |
4 |
13 |
| The econometrics of mean-variance efficiency tests: a survey |
0 |
1 |
1 |
109 |
0 |
1 |
1 |
393 |
| The econometrics of the stock market I: rationality tests |
0 |
0 |
0 |
139 |
0 |
0 |
2 |
344 |
| The econometrics of the stock market II: asset pricing |
0 |
0 |
0 |
196 |
1 |
2 |
2 |
516 |
| The relation between conditionally heteroskedastic factor models and factor GARCH models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
504 |
| Underidentification? |
0 |
0 |
2 |
37 |
6 |
13 |
40 |
215 |
| Unobserved component time series models with Arch disturbances |
2 |
2 |
3 |
623 |
4 |
8 |
15 |
1,082 |
| Valuation of VIX derivatives |
2 |
5 |
14 |
79 |
5 |
12 |
45 |
289 |
| Volatility and Links between National Stock Markets |
0 |
0 |
6 |
1,097 |
4 |
18 |
62 |
2,856 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
| Zero-diagonality as a linear structure |
0 |
0 |
0 |
0 |
0 |
3 |
8 |
8 |
| Total Journal Articles |
12 |
34 |
109 |
5,401 |
54 |
177 |
553 |
19,240 |
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