| 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 |
1 |
2 |
4 |
99 |
| A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
10 |
| A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix |
0 |
0 |
0 |
0 |
1 |
1 |
6 |
599 |
| A Spectral EM Algorithm for Dynamic Factor Models |
0 |
0 |
1 |
42 |
0 |
0 |
8 |
42 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
8 |
1 |
3 |
10 |
45 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
0 |
4 |
1 |
3 |
5 |
46 |
| A Unifying Approach to the Empirical Evaluation of Asset Pricing Models |
0 |
0 |
1 |
42 |
1 |
2 |
5 |
123 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
24 |
0 |
1 |
6 |
45 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
33 |
0 |
0 |
3 |
59 |
| A unifying approach to the empirical evaluation of asset pricing models |
0 |
1 |
1 |
49 |
3 |
7 |
9 |
121 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
| An EM Algorithm for Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
1,138 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
38 |
419 |
| An Index of Co-Movements in Financial Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
21 |
22 |
| CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION |
0 |
0 |
1 |
22 |
0 |
0 |
5 |
81 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
1 |
5 |
8 |
9 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
1 |
1 |
2 |
6 |
928 |
| Conditional means of time series processes and time series processes for conditional means |
0 |
0 |
1 |
15 |
1 |
7 |
30 |
105 |
| Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators |
0 |
0 |
4 |
17 |
0 |
0 |
14 |
34 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
2 |
15 |
0 |
1 |
10 |
50 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
1 |
5 |
0 |
0 |
9 |
27 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
1 |
23 |
0 |
2 |
7 |
19 |
| Constrained EMM and Indirect Inference Estimation |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
405 |
| Constrained EMM and Indirect Inference Estimation. Versión Revisada |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
6 |
| Constrained Indirect Inference Estimation |
0 |
0 |
0 |
99 |
0 |
0 |
3 |
268 |
| Constrained indirect inference estimation |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
10 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
113 |
1 |
13 |
16 |
504 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations |
0 |
0 |
0 |
8 |
0 |
0 |
6 |
70 |
| Distributional tests in multivariate dynamic models with Normal and Student t innovations |
0 |
0 |
0 |
28 |
0 |
0 |
8 |
110 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
48 |
0 |
3 |
5 |
131 |
| Duality in Mean-Variance Frontiers with Conditioning Information |
0 |
0 |
0 |
7 |
0 |
1 |
5 |
79 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
76 |
1 |
2 |
6 |
256 |
| Dynamic Specification Tests for Dynamic Factor Models |
0 |
0 |
1 |
59 |
0 |
0 |
4 |
105 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
98 |
| Dynamic Specification Tests for Static Factor Models |
0 |
0 |
0 |
66 |
0 |
0 |
8 |
234 |
| Dynamic specification tests for dynamic factor models |
0 |
1 |
2 |
9 |
0 |
1 |
8 |
22 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
2 |
4 |
4 |
45 |
3 |
7 |
17 |
73 |
| Empirical Evaluation of Overspecified Asset Pricing Models |
0 |
0 |
1 |
21 |
1 |
2 |
6 |
23 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
1 |
89 |
0 |
1 |
11 |
346 |
| Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations |
0 |
0 |
2 |
144 |
0 |
0 |
6 |
405 |
| Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations |
0 |
0 |
2 |
150 |
0 |
2 |
14 |
419 |
| Estimation and testing of dynamic models with generalised hyperbolic innovations |
0 |
1 |
2 |
6 |
1 |
2 |
9 |
23 |
| Factor Representing Portfolios in Large Asset Markets |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
457 |
| Factor Representing Portfolios in Large Asset Markets.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation |
0 |
0 |
1 |
37 |
0 |
2 |
14 |
90 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
9 |
0 |
0 |
7 |
41 |
| Fast ML estimation of dynamic bifactor models: an application to European inflation |
0 |
0 |
0 |
53 |
1 |
1 |
7 |
32 |
| Finite Underidentification |
0 |
0 |
0 |
22 |
2 |
3 |
5 |
14 |
| Gaussian rank correlation and regression |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Has the EMS Reduced the Cost of Capital? |
0 |
0 |
0 |
0 |
3 |
3 |
6 |
269 |
| Has the EMS Reduced the Cost of Capital? Versión Revisada |
0 |
0 |
0 |
0 |
4 |
4 |
8 |
9 |
| Hypothesis tests with a repeatedly singular information matrix |
1 |
1 |
1 |
1 |
2 |
2 |
2 |
2 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model |
0 |
0 |
0 |
2 |
2 |
4 |
10 |
853 |
| Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
2 |
34 |
1 |
2 |
5 |
94 |
| Indirect Estimation of Conditionally Heteroskedastic Factor Models |
0 |
1 |
1 |
195 |
1 |
5 |
9 |
562 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
2 |
1 |
3 |
4 |
20 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
1 |
22 |
0 |
3 |
7 |
49 |
| Is a normal copula the right copula? |
0 |
1 |
1 |
38 |
0 |
2 |
9 |
49 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
1 |
1 |
7 |
135 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
1,420 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
1 |
1 |
174 |
0 |
1 |
3 |
732 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
0 |
0 |
233 |
0 |
1 |
4 |
1,095 |
| Least Squares Predictions and Mean-Variance Analysis. Versión Revisada |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
1 |
1 |
1 |
1 |
7 |
9 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
0 |
9 |
30 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
1 |
1 |
6 |
236 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
158 |
2 |
2 |
7 |
474 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
1 |
2 |
9 |
300 |
| Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
578 |
| Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
228 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
8 |
0 |
2 |
7 |
27 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
1 |
0 |
1 |
6 |
16 |
| Mean Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
327 |
1 |
1 |
6 |
703 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
1 |
1 |
2 |
5 |
14 |
15 |
| Mean-Variance Portfolio Allocation with a Value at Risk Constraint |
0 |
0 |
0 |
3 |
2 |
3 |
9 |
1,276 |
| Mean-Variance Portfolio allocation with a Value at Risk Constraint |
0 |
0 |
0 |
615 |
2 |
2 |
5 |
1,027 |
| Mean-variance portfolio allocation with a value at risk constraint |
0 |
0 |
0 |
2 |
1 |
2 |
6 |
27 |
| Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation |
0 |
0 |
0 |
10 |
1 |
2 |
12 |
95 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
0 |
1 |
54 |
1 |
2 |
9 |
181 |
| Neglected Serial Correlation Tests in UCARIMA Models |
0 |
0 |
0 |
36 |
1 |
1 |
6 |
44 |
| New Testing Approaches for Mean-Variance Predictability |
0 |
1 |
2 |
4 |
0 |
0 |
7 |
10 |
| New testing approaches for mean-variance predictability |
0 |
0 |
1 |
17 |
0 |
1 |
5 |
13 |
| New testing approaches for mean-variance predictability |
0 |
0 |
4 |
51 |
9 |
13 |
40 |
68 |
| New testing approaches for mean-variance predictability |
0 |
0 |
1 |
8 |
0 |
0 |
7 |
17 |
| Normality Tests for Latent Variables |
0 |
0 |
2 |
17 |
1 |
1 |
22 |
42 |
| On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models |
0 |
1 |
3 |
46 |
1 |
3 |
9 |
186 |
| On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
4 |
| On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models |
0 |
0 |
1 |
3 |
1 |
1 |
6 |
28 |
| Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation |
0 |
0 |
0 |
58 |
0 |
2 |
7 |
230 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
59 |
0 |
1 |
7 |
248 |
| Parametric properties of semi-nonparametric distributions, with applications to option valuation |
0 |
0 |
0 |
83 |
0 |
6 |
13 |
281 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
4 |
| Pricing Options on Assets with Predictable White Noise Returns |
0 |
0 |
0 |
137 |
1 |
1 |
6 |
643 |
| Quadratic ARCH Models |
0 |
0 |
0 |
0 |
0 |
5 |
19 |
20 |
| Quadratic Arch Models |
0 |
0 |
0 |
1 |
1 |
3 |
13 |
862 |
| Riesgo y rentabilidad en el mercado de valores español |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
5 |
| Risk and Return in the Spanish Stock Market |
0 |
0 |
0 |
279 |
0 |
0 |
3 |
1,160 |
| Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
6 |
| Sequential Estimation of Shape Parameters in Multivariate Dynamic Models |
0 |
0 |
0 |
55 |
0 |
1 |
6 |
141 |
| Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
43 |
1 |
3 |
7 |
245 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
0 |
60 |
1 |
2 |
7 |
292 |
| Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach |
0 |
0 |
1 |
126 |
1 |
1 |
11 |
508 |
| Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach |
0 |
0 |
0 |
83 |
4 |
5 |
11 |
362 |
| Specification Tests for Non-Gaussian Maximum Likelihood Estimators |
0 |
0 |
0 |
3 |
0 |
0 |
4 |
10 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
2 |
42 |
0 |
1 |
8 |
29 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
9 |
0 |
1 |
5 |
17 |
| Specification tests for non-Gaussian maximum likelihood estimators |
0 |
0 |
0 |
32 |
0 |
1 |
8 |
14 |
| THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY |
0 |
0 |
0 |
17 |
1 |
1 |
2 |
96 |
| Testing Distributional Assumptions Using a Continuum of Moments |
0 |
1 |
4 |
23 |
0 |
2 |
20 |
32 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
2 |
2 |
2 |
68 |
2 |
3 |
9 |
218 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
0 |
45 |
1 |
1 |
2 |
151 |
| Testing Uncovered Interest Parity: A Continuous-Time Approach |
0 |
0 |
1 |
96 |
0 |
1 |
7 |
242 |
| Testing for GARCH Effects: A One-Sided Approach |
0 |
0 |
0 |
0 |
0 |
3 |
5 |
5 |
| Tests for Serial Dependence in Static, Non-Gaussian Factor Models |
0 |
0 |
0 |
46 |
1 |
1 |
7 |
95 |
| The Econometrics of Mean-Variance Efficiency Tests: A Survey |
0 |
0 |
1 |
61 |
0 |
0 |
6 |
220 |
| The Jacobian of the exponential function |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
332 |
| The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
| The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
652 |
| The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models |
0 |
1 |
1 |
1 |
1 |
2 |
6 |
6 |
| The Rise and Fall of the Natural Interest Rate |
4 |
5 |
14 |
69 |
9 |
12 |
44 |
76 |
| The Rise and Fall of the Natural Interest Rate |
2 |
7 |
27 |
77 |
6 |
18 |
82 |
130 |
| The Rise and Fall of the Natural Interest Rate |
0 |
0 |
2 |
31 |
1 |
7 |
29 |
43 |
| The Rise and Fall of the Natural Interest Rate |
1 |
4 |
17 |
91 |
4 |
11 |
56 |
132 |
| The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality |
0 |
0 |
0 |
1 |
0 |
0 |
6 |
553 |
| 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 |
1 |
2 |
4 |
| The rise and fall of the natural interest rate |
0 |
0 |
8 |
49 |
1 |
5 |
39 |
72 |
| Underidentification? |
0 |
0 |
1 |
264 |
0 |
4 |
12 |
1,064 |
| Underidentification? |
0 |
0 |
0 |
66 |
1 |
3 |
12 |
285 |
| Underidentification? (Resumen) |
0 |
0 |
0 |
63 |
2 |
3 |
10 |
182 |
| Valuation of VIX Derivatives |
0 |
0 |
0 |
22 |
1 |
3 |
11 |
137 |
| Valuation of VIX Derivatives |
0 |
0 |
0 |
99 |
1 |
3 |
12 |
262 |
| Valuation of vix derivatives |
2 |
2 |
4 |
19 |
2 |
4 |
11 |
122 |
| Volatility, Diversification and Contagion |
0 |
1 |
3 |
11 |
0 |
2 |
9 |
25 |
| Volatility, diversification and contagion |
0 |
0 |
0 |
3 |
0 |
1 |
4 |
22 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
12 |
1 |
1 |
4 |
37 |
| Volatility-related exchange traded assets: an econometric investigation |
0 |
0 |
0 |
53 |
0 |
0 |
4 |
32 |
| Volatiltiy and Links Between National Stock Markets |
0 |
0 |
2 |
397 |
3 |
4 |
13 |
1,099 |
| Zero-diagonality as a linear structure |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Total Working Papers |
14 |
36 |
144 |
6,468 |
116 |
291 |
1,295 |
30,580 |
| 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 |
1 |
3 |
18 |
3 |
5 |
12 |
86 |
| A comparison of mean-variance efficiency tests |
0 |
0 |
0 |
89 |
0 |
1 |
5 |
384 |
| A spectral EM algorithm for dynamic factor models |
0 |
0 |
0 |
2 |
0 |
0 |
8 |
26 |
| An EM Algorithm for Conditionally Heteroscedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
544 |
| Comment |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
18 |
| Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference |
0 |
0 |
2 |
2 |
0 |
1 |
13 |
23 |
| Conditional Means of Time Series Processes and Time Series Processes for Conditional Means |
0 |
0 |
0 |
0 |
2 |
5 |
15 |
336 |
| Consistent non-Gaussian pseudo maximum likelihood estimators |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Constrained Indirect Estimation |
0 |
1 |
1 |
72 |
0 |
1 |
6 |
270 |
| Did the EMS Reduce the Cost of Capital? |
0 |
0 |
0 |
74 |
2 |
2 |
4 |
408 |
| Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations |
0 |
0 |
0 |
23 |
0 |
1 |
3 |
113 |
| Duality in mean-variance frontiers with conditioning information |
0 |
0 |
0 |
4 |
0 |
1 |
4 |
29 |
| Dynamic specification tests for dynamic factor models |
0 |
0 |
1 |
5 |
0 |
0 |
13 |
24 |
| Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix |
0 |
0 |
0 |
84 |
1 |
1 |
3 |
688 |
| Factor representing portfolios in large asset markets |
0 |
0 |
1 |
49 |
0 |
0 |
4 |
150 |
| Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data |
0 |
3 |
23 |
604 |
3 |
11 |
47 |
1,753 |
| Identification, estimation and testing of conditionally heteroskedastic factor models |
0 |
0 |
12 |
183 |
3 |
6 |
31 |
371 |
| Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks |
0 |
0 |
0 |
42 |
0 |
2 |
6 |
114 |
| Is a Normal Copula the Right Copula? |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Least Squares Predictions and Mean-Variance Analysis |
0 |
1 |
2 |
184 |
0 |
1 |
3 |
744 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
1 |
1 |
11 |
619 |
| Marginalization and contemporaneous aggregation in multivariate GARCH processes |
0 |
0 |
0 |
90 |
0 |
0 |
3 |
242 |
| Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations |
0 |
0 |
0 |
4 |
1 |
5 |
10 |
747 |
| Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market |
1 |
1 |
1 |
194 |
1 |
1 |
4 |
788 |
| Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
0 |
1 |
1 |
53 |
0 |
2 |
7 |
201 |
| Neglected serial correlation tests in UCARIMA models |
0 |
0 |
1 |
2 |
1 |
1 |
10 |
32 |
| Normality tests for latent variables |
0 |
0 |
1 |
1 |
2 |
3 |
15 |
15 |
| 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 |
207 |
| On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models |
0 |
0 |
0 |
202 |
1 |
3 |
7 |
1,184 |
| Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation |
0 |
0 |
0 |
32 |
0 |
1 |
9 |
146 |
| Quadratic ARCH Models |
2 |
5 |
18 |
481 |
5 |
19 |
52 |
1,201 |
| Risk and return in the Spanish stock market: some evidence from individual assets |
0 |
0 |
1 |
39 |
1 |
1 |
3 |
135 |
| Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan |
0 |
0 |
0 |
42 |
0 |
0 |
2 |
192 |
| Sequential estimation of shape parameters in multivariate dynamic models |
0 |
0 |
0 |
36 |
1 |
2 |
7 |
167 |
| Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach |
0 |
0 |
0 |
24 |
1 |
1 |
3 |
109 |
| TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH |
1 |
1 |
1 |
32 |
3 |
3 |
4 |
117 |
| Testing for GARCH effects: a one-sided approach |
0 |
0 |
0 |
170 |
0 |
2 |
6 |
493 |
| The Likelihood Function of Conditionally Heteroskedastic Factor Models |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
9 |
| The econometrics of mean-variance efficiency tests: a survey |
0 |
0 |
1 |
108 |
0 |
0 |
7 |
392 |
| The econometrics of the stock market I: rationality tests |
0 |
0 |
0 |
139 |
0 |
0 |
3 |
342 |
| The econometrics of the stock market II: asset pricing |
0 |
0 |
1 |
196 |
0 |
0 |
4 |
514 |
| The relation between conditionally heteroskedastic factor models and factor GARCH models |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
501 |
| Underidentification? |
0 |
0 |
0 |
35 |
3 |
5 |
11 |
178 |
| Unobserved component time series models with Arch disturbances |
0 |
2 |
6 |
620 |
1 |
6 |
27 |
1,068 |
| Valuation of VIX derivatives |
0 |
3 |
9 |
65 |
6 |
13 |
45 |
250 |
| Volatility and Links between National Stock Markets |
1 |
6 |
19 |
1,092 |
6 |
17 |
51 |
2,800 |
| Volatility-Related Exchange Traded Assets: An Econometric Investigation |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
5 |
| Total Journal Articles |
5 |
25 |
105 |
5,297 |
49 |
128 |
501 |
18,736 |
LogEc is hosted by the
Örebro University School of Business.