Working Paper |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
0 |
93 |
1 |
1 |
1 |
361 |
A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
1 |
271 |
1 |
2 |
6 |
792 |
A Feasible Central Limit Theory for Realised Volatility Under Leverage |
1 |
1 |
1 |
125 |
1 |
1 |
2 |
614 |
A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
A feasible central limit theory for realised volatility under leverage |
1 |
1 |
1 |
92 |
1 |
1 |
2 |
363 |
Aggregation and Model Construction for Volatility Models |
0 |
0 |
0 |
1 |
0 |
0 |
5 |
1,017 |
Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models |
0 |
0 |
0 |
199 |
0 |
0 |
0 |
699 |
Autoregressive conditional root model |
0 |
0 |
0 |
190 |
0 |
0 |
0 |
850 |
BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time |
1 |
2 |
11 |
349 |
2 |
4 |
23 |
770 |
Basics of Levy processes |
0 |
0 |
1 |
106 |
1 |
1 |
2 |
250 |
Basics of Levy processes |
0 |
0 |
3 |
59 |
0 |
1 |
15 |
188 |
Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models |
0 |
0 |
0 |
146 |
0 |
0 |
2 |
339 |
Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" |
0 |
0 |
0 |
139 |
0 |
1 |
1 |
646 |
Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession |
0 |
0 |
0 |
10 |
0 |
1 |
3 |
65 |
Computationally-intensive Econometrics using a Distributed Matrix-programming Language |
0 |
0 |
0 |
181 |
0 |
0 |
0 |
904 |
Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
16 |
Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
23 |
0 |
0 |
2 |
8 |
Deferred fees for universities |
0 |
0 |
0 |
37 |
0 |
1 |
3 |
167 |
Deletion Diagnostics and Transformations for Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
3 |
88 |
1 |
2 |
9 |
325 |
Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
1 |
133 |
0 |
0 |
3 |
526 |
Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
0 |
1 |
4 |
259 |
Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
1 |
41 |
0 |
0 |
2 |
87 |
Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
2 |
321 |
0 |
3 |
5 |
822 |
Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
0 |
135 |
0 |
0 |
1 |
307 |
Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
1 |
1 |
367 |
0 |
2 |
2 |
1,274 |
Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
0 |
1 |
30 |
0 |
1 |
2 |
135 |
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
146 |
Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
1 |
21 |
0 |
0 |
1 |
151 |
Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
0 |
1 |
2 |
754 |
Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
0 |
0 |
2 |
529 |
0 |
0 |
5 |
1,289 |
Econometrics of testing for jumps in financial economics using bipower variation |
1 |
2 |
2 |
472 |
1 |
3 |
6 |
1,142 |
Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
1 |
1 |
3 |
598 |
Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
20 |
0 |
0 |
1 |
102 |
Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
1 |
13 |
0 |
1 |
3 |
93 |
Estimating quadratic variation using realised volatility |
0 |
1 |
2 |
329 |
0 |
1 |
2 |
986 |
Estimation and Testing of Stochastic Variance Models |
0 |
0 |
0 |
0 |
0 |
4 |
10 |
213 |
Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
49 |
Filtering via simulation: auxiliary particle filters |
1 |
1 |
2 |
772 |
1 |
1 |
4 |
1,997 |
Fitting vast dimensional time-varying covariance models |
1 |
1 |
1 |
125 |
2 |
3 |
5 |
286 |
Fitting vast dimensional time-varying covariance models |
0 |
2 |
2 |
356 |
1 |
3 |
8 |
827 |
Generalized linear autoregressions |
0 |
2 |
5 |
520 |
0 |
2 |
6 |
1,170 |
Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
0 |
0 |
0 |
284 |
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
2 |
80 |
0 |
0 |
12 |
263 |
How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
1 |
3 |
61 |
0 |
2 |
10 |
157 |
How accurate is the asymptotic approximation to the distribution of realised volatility? |
0 |
0 |
2 |
398 |
1 |
2 |
5 |
1,118 |
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
0 |
0 |
1 |
684 |
Income contingent tuition fees for universities |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
101 |
Income contingent tuition fees for universities |
0 |
0 |
0 |
38 |
1 |
1 |
2 |
116 |
Income contingent tuition fees for universities |
0 |
0 |
1 |
32 |
0 |
2 |
8 |
134 |
Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality |
0 |
0 |
1 |
26 |
0 |
0 |
2 |
80 |
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
275 |
0 |
0 |
1 |
700 |
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form |
0 |
0 |
1 |
182 |
0 |
0 |
1 |
619 |
Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
0 |
78 |
0 |
0 |
2 |
166 |
Integrated OU Processes |
0 |
1 |
1 |
315 |
0 |
2 |
2 |
764 |
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
142 |
Learning and filtering via simulation: smoothly jittered particle filters |
0 |
0 |
2 |
138 |
0 |
5 |
8 |
343 |
Likelihood Analysis of Non-Gaussian Parameter-Driven Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
931 |
Likelihood INference for Discretely Observed Non-linear Diffusions |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
1,314 |
Likelihood Inference for Exponential-Trawl Processes |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
6 |
Likelihood analysis of non-Gaussian parameter driven models |
0 |
0 |
0 |
184 |
0 |
0 |
2 |
599 |
Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
298 |
Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
183 |
0 |
0 |
0 |
458 |
Likelihood inference for discretely observed non-linear diffusions |
0 |
0 |
0 |
141 |
0 |
1 |
4 |
427 |
Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
23 |
Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
43 |
Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
0 |
1 |
308 |
Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
247 |
Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
0 |
0 |
0 |
482 |
Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
0 |
0 |
2 |
313 |
Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
186 |
0 |
0 |
1 |
541 |
Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
0 |
0 |
1 |
387 |
Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
0 |
0 |
2 |
202 |
Martingale unobserved component models |
0 |
0 |
0 |
42 |
1 |
1 |
2 |
136 |
Martingale unobserved component models |
0 |
0 |
0 |
76 |
0 |
3 |
4 |
182 |
Measuring and forecasting financial variability using realised variance with and without a model |
0 |
0 |
2 |
199 |
0 |
0 |
2 |
962 |
Measuring downside risk - realised semivariance |
0 |
0 |
1 |
112 |
0 |
0 |
8 |
338 |
Measuring downside risk — realised semivariance |
0 |
0 |
1 |
168 |
1 |
1 |
9 |
375 |
Measuring downside risk-realised semivariance |
0 |
0 |
2 |
348 |
0 |
0 |
4 |
1,238 |
Modelling and measuring volatility |
0 |
1 |
4 |
259 |
3 |
5 |
11 |
374 |
Moment conditions and Bayesian nonparametrics |
0 |
1 |
1 |
36 |
0 |
1 |
3 |
43 |
Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
0 |
0 |
0 |
271 |
Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
0 |
0 |
1 |
298 |
Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
1 |
74 |
0 |
0 |
3 |
339 |
Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
1 |
2 |
148 |
0 |
1 |
3 |
301 |
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
1 |
71 |
0 |
0 |
4 |
257 |
Multivariate Rotated ARCH Models |
0 |
0 |
1 |
33 |
0 |
0 |
2 |
241 |
Multivariate Rotated ARCH models |
0 |
0 |
0 |
42 |
0 |
0 |
1 |
96 |
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
1 |
1 |
10 |
0 |
1 |
3 |
95 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
1 |
1 |
2 |
208 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
196 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
0 |
0 |
1 |
424 |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
0 |
0 |
2 |
382 |
Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
332 |
Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
1 |
220 |
0 |
1 |
4 |
490 |
Normal Modified Stable Processes |
0 |
1 |
3 |
43 |
1 |
3 |
7 |
116 |
Normal modified stable processes |
0 |
0 |
1 |
186 |
0 |
0 |
1 |
557 |
Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
98 |
0 |
0 |
13 |
334 |
Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
21 |
0 |
0 |
6 |
122 |
Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
65 |
0 |
0 |
2 |
199 |
Parallel Computation in Econometrics: A Simplified Approach |
0 |
0 |
0 |
201 |
0 |
0 |
2 |
499 |
Power Variation and Time Change |
0 |
0 |
1 |
168 |
0 |
0 |
2 |
474 |
Power and bipower variation with stochastic volatility and jumps |
0 |
1 |
1 |
846 |
1 |
2 |
7 |
2,010 |
Power variation & stochastic volatility: a review and some new results |
0 |
0 |
2 |
265 |
0 |
0 |
3 |
678 |
Realised power variation and stochastic volatility models |
0 |
0 |
1 |
346 |
0 |
0 |
2 |
777 |
Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
1 |
1 |
105 |
0 |
1 |
2 |
321 |
Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
1 |
121 |
0 |
0 |
2 |
366 |
Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
213 |
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
2 |
3 |
365 |
Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
0 |
6 |
438 |
Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
1 |
36 |
0 |
0 |
1 |
114 |
Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
126 |
STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS |
0 |
0 |
6 |
1,720 |
2 |
4 |
13 |
4,401 |
Some recent developments in stochastic volatility modelling |
0 |
0 |
1 |
397 |
0 |
0 |
4 |
811 |
Statistical Algorithms for Models in State Space Using SsfPack 2.2 |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
110 |
Stochastic Volatility |
0 |
0 |
7 |
572 |
0 |
0 |
15 |
979 |
Stochastic Volatility with Leverage: Fast Likelihood Inference |
0 |
0 |
0 |
171 |
0 |
0 |
1 |
380 |
Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) |
0 |
0 |
0 |
18 |
1 |
2 |
3 |
97 |
Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
247 |
0 |
0 |
2 |
313 |
Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
111 |
0 |
1 |
1 |
225 |
Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
341 |
0 |
0 |
1 |
693 |
Stochastic volatility with leverage: fast likelihood inference |
0 |
0 |
0 |
336 |
1 |
2 |
5 |
915 |
Stochastic volatility: likelihood inference and comparison with ARCH models |
1 |
1 |
1 |
1,246 |
1 |
1 |
4 |
3,044 |
Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
0 |
1 |
674 |
0 |
0 |
2 |
1,429 |
Submission to the review on “Higher Education Funding and Student Finance” |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
53 |
Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
254 |
Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
1 |
240 |
Subsampling realised kernels |
0 |
0 |
0 |
75 |
0 |
0 |
2 |
335 |
Testing the Assumptions Behind the Use of Importance Sampling |
0 |
0 |
0 |
105 |
0 |
0 |
2 |
493 |
The ACR model: a multivariate dynamic mixture autoregression |
0 |
0 |
0 |
195 |
0 |
1 |
5 |
770 |
The Autoregressive Conditional Root (ACR) Model |
0 |
0 |
0 |
39 |
0 |
0 |
1 |
117 |
The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model |
0 |
0 |
0 |
123 |
0 |
0 |
4 |
725 |
Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
295 |
0 |
2 |
5 |
818 |
Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
0 |
0 |
3 |
430 |
Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
399 |
0 |
1 |
15 |
1,007 |
When do common time series estimands have nonparametric causal meaning? |
0 |
1 |
3 |
64 |
1 |
3 |
11 |
176 |
Total Working Papers |
7 |
25 |
107 |
23,181 |
32 |
100 |
468 |
67,951 |
Journal Article |
File Downloads |
Abstract Views |
Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
A comparison of sample survey measures of earnings of English graduates with administrative data |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
20 |
Analysis of high dimensional multivariate stochastic volatility models |
0 |
0 |
1 |
278 |
0 |
1 |
56 |
657 |
Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS |
0 |
0 |
0 |
115 |
0 |
1 |
2 |
280 |
Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
211 |
Comment |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
63 |
Continuous Time Analysis of Fleeting Discrete Price Moves |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |
DEFERRED FEES FOR UNIVERSITIES |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
45 |
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
1 |
1 |
236 |
0 |
1 |
3 |
722 |
Detecting shocks: Outliers and breaks in time series |
0 |
0 |
2 |
137 |
0 |
0 |
3 |
350 |
Distribution of the ML Estimator of an MA(1) and a local level model |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
50 |
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models |
0 |
0 |
0 |
0 |
0 |
3 |
15 |
341 |
Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
1 |
1 |
279 |
0 |
4 |
6 |
811 |
Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice |
0 |
0 |
4 |
43 |
1 |
2 |
10 |
95 |
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
135 |
Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
1 |
4 |
14 |
406 |
6 |
17 |
67 |
1,300 |
Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
0 |
0 |
343 |
0 |
2 |
8 |
1,031 |
Estimating quadratic variation using realized variance |
0 |
0 |
1 |
618 |
0 |
0 |
5 |
1,842 |
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
0 |
0 |
0 |
0 |
1 |
6 |
11 |
919 |
Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models |
0 |
0 |
0 |
191 |
1 |
1 |
1 |
576 |
Foreword by the Editors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
90 |
From Characteristic Function to Distribution Function: A Simple Framework for the Theory |
0 |
0 |
1 |
67 |
0 |
0 |
2 |
166 |
Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
2 |
73 |
0 |
0 |
5 |
266 |
Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
174 |
Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
0 |
28 |
1 |
2 |
3 |
83 |
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
1 |
5 |
0 |
0 |
2 |
22 |
Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
147 |
Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
18 |
LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
1 |
54 |
0 |
0 |
1 |
304 |
Likelihood Inference for Discretely Observed Nonlinear Diffusions |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
396 |
Likelihood analysis of a first‐order autoregressive model with exponential innovations |
0 |
0 |
0 |
124 |
0 |
0 |
1 |
508 |
Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
0 |
0 |
0 |
626 |
Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
1 |
7 |
0 |
0 |
4 |
53 |
Local scale models: State space alternative to integrated GARCH processes |
0 |
0 |
0 |
201 |
0 |
0 |
2 |
417 |
Markov chain Monte Carlo methods for stochastic volatility models |
1 |
1 |
8 |
657 |
1 |
2 |
13 |
1,356 |
Moment conditions and Bayesian non‐parametrics |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
21 |
Multivariate Stochastic Variance Models |
0 |
0 |
5 |
1,457 |
0 |
0 |
12 |
3,504 |
Multivariate high‐frequency‐based volatility (HEAVY) models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
140 |
Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
1 |
3 |
4 |
128 |
3 |
5 |
14 |
437 |
Multivariate rotated ARCH models |
0 |
0 |
0 |
19 |
0 |
0 |
4 |
148 |
Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
1 |
3 |
365 |
0 |
1 |
6 |
751 |
Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
145 |
ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL |
0 |
0 |
2 |
11 |
0 |
0 |
5 |
29 |
Realising the future: forecasting with high-frequency-based volatility (HEAVY) models |
0 |
1 |
5 |
260 |
0 |
2 |
16 |
797 |
Realized Volatility |
0 |
0 |
0 |
44 |
0 |
1 |
2 |
125 |
Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
0 |
1 |
14 |
591 |
Simulation-based likelihood inference for limited dependent processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
251 |
Some recent developments in stochastic volatility modelling |
0 |
0 |
2 |
16 |
0 |
0 |
4 |
58 |
Statistical algorithms for models in state space using SsfPack 2.2 |
0 |
0 |
0 |
1 |
1 |
3 |
7 |
1,287 |
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models |
0 |
0 |
4 |
835 |
2 |
4 |
25 |
2,047 |
Stochastic volatility with leverage: Fast and efficient likelihood inference |
0 |
1 |
10 |
211 |
0 |
1 |
17 |
565 |
Subsampling realised kernels |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
218 |
Testing the assumptions behind importance sampling |
0 |
0 |
0 |
67 |
0 |
0 |
2 |
272 |
The ACR Model: A Multivariate Dynamic Mixture Autoregression* |
0 |
0 |
1 |
91 |
2 |
6 |
29 |
366 |
Total Journal Articles |
3 |
13 |
74 |
7,918 |
19 |
68 |
390 |
25,839 |