| 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 |
1 |
1 |
94 |
4 |
6 |
8 |
368 |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
0 |
271 |
2 |
6 |
9 |
799 |
| A Feasible Central Limit Theory for Realised Volatility Under Leverage |
0 |
0 |
1 |
125 |
6 |
7 |
9 |
622 |
| 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 |
4 |
7 |
7 |
10 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
1 |
92 |
3 |
3 |
4 |
366 |
| Aggregation and Model Construction for Volatility Models |
0 |
0 |
0 |
1 |
5 |
6 |
8 |
1,025 |
| Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models |
0 |
0 |
0 |
199 |
6 |
8 |
8 |
707 |
| Autoregressive conditional root model |
0 |
0 |
0 |
190 |
4 |
7 |
8 |
858 |
| BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time |
1 |
4 |
10 |
354 |
6 |
12 |
30 |
791 |
| Basics of Levy processes |
0 |
0 |
0 |
59 |
2 |
6 |
10 |
196 |
| Basics of Levy processes |
0 |
0 |
1 |
107 |
7 |
10 |
12 |
261 |
| Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models |
0 |
0 |
0 |
146 |
3 |
5 |
8 |
347 |
| 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 |
1 |
3 |
5 |
650 |
| Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession |
0 |
0 |
0 |
10 |
4 |
8 |
10 |
74 |
| Computationally-intensive Econometrics using a Distributed Matrix-programming Language |
0 |
0 |
0 |
181 |
4 |
4 |
5 |
909 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
23 |
4 |
7 |
8 |
15 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
2 |
2 |
3 |
7 |
22 |
| Deferred fees for universities |
0 |
0 |
0 |
37 |
3 |
7 |
9 |
174 |
| Deletion Diagnostics and Transformations for Time Series |
0 |
0 |
0 |
0 |
2 |
3 |
4 |
13 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
3 |
135 |
9 |
14 |
27 |
551 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
1 |
1 |
2 |
89 |
5 |
10 |
22 |
342 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
2 |
3 |
6 |
262 |
| Discrete-valued Levy processes and low latency financial econometrics |
1 |
1 |
1 |
42 |
9 |
11 |
14 |
101 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
2 |
321 |
1 |
4 |
13 |
830 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
1 |
136 |
3 |
7 |
9 |
316 |
| Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
0 |
1 |
367 |
4 |
6 |
9 |
1,281 |
| Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
1 |
2 |
31 |
3 |
10 |
16 |
149 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
21 |
3 |
5 |
7 |
158 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
29 |
4 |
6 |
11 |
156 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
6 |
9 |
11 |
764 |
| Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
0 |
2 |
4 |
531 |
4 |
9 |
17 |
1,303 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
1 |
3 |
473 |
6 |
11 |
24 |
1,162 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
2 |
7 |
11 |
608 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
13 |
3 |
4 |
5 |
97 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
20 |
2 |
3 |
4 |
106 |
| Estimating quadratic variation using realised volatility |
0 |
0 |
2 |
329 |
2 |
5 |
9 |
993 |
| Estimation and Testing of Stochastic Variance Models |
0 |
0 |
0 |
0 |
9 |
11 |
17 |
226 |
| Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) |
0 |
0 |
0 |
0 |
1 |
5 |
8 |
54 |
| Filtering via simulation: auxiliary particle filters |
0 |
0 |
1 |
772 |
5 |
12 |
19 |
2,015 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
125 |
5 |
6 |
12 |
295 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
356 |
5 |
11 |
16 |
840 |
| Generalized linear autoregressions |
0 |
0 |
6 |
524 |
2 |
5 |
13 |
1,181 |
| Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
6 |
9 |
9 |
293 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
2 |
82 |
3 |
7 |
11 |
272 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
2 |
62 |
7 |
10 |
16 |
171 |
| How accurate is the asymptotic approximation to the distribution of realised volatility? |
0 |
0 |
1 |
398 |
5 |
7 |
13 |
1,128 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
2 |
2 |
3 |
687 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
38 |
1 |
6 |
8 |
123 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
22 |
3 |
7 |
7 |
108 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
32 |
1 |
5 |
7 |
139 |
| Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality |
0 |
1 |
1 |
27 |
3 |
7 |
9 |
89 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
275 |
5 |
6 |
8 |
708 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form |
0 |
0 |
1 |
183 |
2 |
3 |
8 |
627 |
| Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
0 |
78 |
3 |
5 |
5 |
171 |
| Integrated OU Processes |
0 |
0 |
1 |
315 |
3 |
5 |
10 |
772 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
11 |
18 |
19 |
161 |
| Learning and filtering via simulation: smoothly jittered particle filters |
0 |
0 |
1 |
139 |
7 |
11 |
19 |
357 |
| Likelihood Analysis of Non-Gaussian Parameter-Driven Models |
0 |
0 |
0 |
0 |
4 |
6 |
7 |
938 |
| Likelihood INference for Discretely Observed Non-linear Diffusions |
0 |
0 |
0 |
1 |
4 |
8 |
11 |
1,325 |
| Likelihood Inference for Exponential-Trawl Processes |
0 |
0 |
0 |
14 |
4 |
4 |
4 |
10 |
| Likelihood analysis of non-Gaussian parameter driven models |
0 |
0 |
0 |
184 |
7 |
8 |
12 |
609 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
183 |
1 |
7 |
8 |
466 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
114 |
2 |
3 |
4 |
302 |
| Likelihood inference for discretely observed non-linear diffusions |
0 |
0 |
0 |
141 |
1 |
2 |
7 |
432 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
2 |
6 |
10 |
33 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
5 |
8 |
10 |
256 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
11 |
11 |
14 |
54 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
5 |
8 |
10 |
492 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
2 |
4 |
5 |
313 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
186 |
5 |
11 |
20 |
561 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
3 |
4 |
5 |
318 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
1 |
4 |
5 |
206 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
4 |
9 |
10 |
397 |
| Martingale unobserved component models |
0 |
0 |
0 |
42 |
3 |
4 |
5 |
140 |
| Martingale unobserved component models |
0 |
0 |
0 |
76 |
4 |
7 |
10 |
189 |
| Measuring and forecasting financial variability using realised variance with and without a model |
0 |
0 |
1 |
199 |
5 |
7 |
9 |
970 |
| Measuring downside risk - realised semivariance |
0 |
0 |
0 |
112 |
3 |
5 |
8 |
345 |
| Measuring downside risk — realised semivariance |
0 |
0 |
1 |
168 |
3 |
6 |
13 |
385 |
| Measuring downside risk-realised semivariance |
0 |
1 |
1 |
349 |
9 |
14 |
25 |
1,263 |
| Modelling and measuring volatility |
0 |
0 |
2 |
259 |
1 |
3 |
10 |
377 |
| Moment conditions and Bayesian nonparametrics |
0 |
0 |
1 |
36 |
4 |
8 |
11 |
51 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
3 |
6 |
8 |
279 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
1 |
3 |
5 |
302 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
2 |
148 |
8 |
11 |
16 |
315 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
0 |
74 |
12 |
16 |
20 |
358 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
3 |
3 |
9 |
265 |
| Multivariate Rotated ARCH Models |
0 |
0 |
0 |
33 |
2 |
6 |
15 |
256 |
| Multivariate Rotated ARCH models |
0 |
0 |
0 |
42 |
2 |
3 |
5 |
101 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
10 |
2 |
4 |
6 |
100 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
90 |
6 |
14 |
18 |
400 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
5 |
8 |
13 |
220 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
3 |
5 |
11 |
434 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
12 |
32 |
41 |
237 |
| 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 |
1 |
2 |
5 |
337 |
| Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
0 |
220 |
6 |
8 |
10 |
498 |
| Normal Modified Stable Processes |
0 |
0 |
1 |
43 |
5 |
8 |
13 |
126 |
| Normal modified stable processes |
0 |
0 |
0 |
186 |
2 |
4 |
8 |
565 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
98 |
10 |
11 |
13 |
346 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
21 |
4 |
7 |
11 |
132 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
65 |
8 |
11 |
11 |
210 |
| Parallel Computation in Econometrics: A Simplified Approach |
0 |
0 |
0 |
201 |
1 |
2 |
6 |
504 |
| Power Variation and Time Change |
0 |
0 |
0 |
168 |
3 |
6 |
6 |
480 |
| Power and bipower variation with stochastic volatility and jumps |
0 |
1 |
2 |
847 |
7 |
25 |
43 |
2,051 |
| Power variation & stochastic volatility: a review and some new results |
0 |
0 |
1 |
265 |
6 |
6 |
7 |
684 |
| Realised power variation and stochastic volatility models |
0 |
0 |
1 |
346 |
2 |
6 |
8 |
784 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
76 |
1 |
1 |
1 |
214 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
121 |
9 |
26 |
31 |
396 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
1 |
105 |
7 |
10 |
14 |
334 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
2 |
3 |
7 |
369 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
1 |
5 |
8 |
445 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
36 |
2 |
4 |
7 |
121 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
20 |
2 |
4 |
4 |
130 |
| STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS |
0 |
0 |
1 |
1,720 |
2 |
8 |
18 |
4,413 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
1 |
397 |
1 |
3 |
5 |
815 |
| Statistical Algorithms for Models in State Space Using SsfPack 2.2 |
0 |
0 |
1 |
23 |
11 |
14 |
18 |
128 |
| Stochastic Volatility |
0 |
1 |
1 |
573 |
14 |
20 |
26 |
1,003 |
| Stochastic Volatility with Leverage: Fast Likelihood Inference |
1 |
1 |
1 |
172 |
5 |
9 |
11 |
391 |
| 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 |
5 |
6 |
10 |
105 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
112 |
6 |
8 |
14 |
238 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
342 |
5 |
11 |
12 |
705 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
248 |
3 |
7 |
13 |
324 |
| Stochastic volatility with leverage: fast likelihood inference |
0 |
0 |
0 |
336 |
3 |
5 |
10 |
922 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
0 |
1 |
1,246 |
6 |
10 |
20 |
3,062 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
0 |
0 |
674 |
5 |
11 |
16 |
1,445 |
| Submission to the review on “Higher Education Funding and Student Finance” |
0 |
0 |
0 |
12 |
7 |
8 |
9 |
61 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
8 |
11 |
16 |
351 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
6 |
11 |
13 |
267 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
7 |
9 |
12 |
251 |
| Testing the Assumptions Behind the Use of Importance Sampling |
0 |
0 |
0 |
105 |
5 |
8 |
9 |
502 |
| The ACR model: a multivariate dynamic mixture autoregression |
0 |
0 |
0 |
195 |
0 |
1 |
6 |
773 |
| The Autoregressive Conditional Root (ACR) Model |
0 |
0 |
0 |
39 |
3 |
4 |
7 |
124 |
| The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model |
0 |
0 |
0 |
123 |
3 |
4 |
6 |
729 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
6 |
7 |
7 |
437 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
295 |
6 |
11 |
14 |
830 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
400 |
5 |
5 |
10 |
1,016 |
| When do common time series estimands have nonparametric causal meaning? |
1 |
2 |
5 |
68 |
12 |
25 |
41 |
213 |
| Total Working Papers |
6 |
19 |
85 |
23,221 |
594 |
1,033 |
1,557 |
69,333 |
| 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 |
4 |
5 |
6 |
26 |
| Analysis of high dimensional multivariate stochastic volatility models |
0 |
0 |
0 |
278 |
3 |
5 |
10 |
664 |
| Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models |
0 |
0 |
0 |
0 |
7 |
8 |
12 |
17 |
| BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS |
0 |
1 |
1 |
116 |
4 |
6 |
9 |
288 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
215 |
| Comment |
0 |
0 |
0 |
8 |
6 |
9 |
10 |
73 |
| Continuous Time Analysis of Fleeting Discrete Price Moves |
0 |
0 |
0 |
0 |
3 |
6 |
9 |
14 |
| DEFERRED FEES FOR UNIVERSITIES |
0 |
0 |
0 |
6 |
9 |
11 |
11 |
56 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
1 |
2 |
237 |
3 |
16 |
36 |
756 |
| Detecting shocks: Outliers and breaks in time series |
1 |
1 |
1 |
138 |
8 |
13 |
16 |
366 |
| Distribution of the ML Estimator of an MA(1) and a local level model |
0 |
0 |
0 |
12 |
3 |
3 |
4 |
54 |
| Dynamics of Trade-by-Trade Price Movements: Decomposition and Models |
0 |
0 |
0 |
0 |
6 |
9 |
18 |
352 |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
0 |
1 |
279 |
1 |
7 |
16 |
822 |
| Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice |
0 |
0 |
1 |
44 |
5 |
5 |
8 |
101 |
| Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading |
0 |
0 |
0 |
9 |
2 |
13 |
16 |
151 |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
0 |
5 |
16 |
417 |
8 |
21 |
59 |
1,336 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
0 |
0 |
343 |
5 |
9 |
20 |
1,048 |
| Estimating quadratic variation using realized variance |
1 |
1 |
1 |
619 |
7 |
12 |
17 |
1,859 |
| Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
0 |
0 |
0 |
0 |
1 |
7 |
19 |
930 |
| Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models |
0 |
0 |
0 |
191 |
1 |
5 |
8 |
583 |
| Foreword by the Editors |
0 |
0 |
0 |
0 |
4 |
5 |
5 |
95 |
| From Characteristic Function to Distribution Function: A Simple Framework for the Theory |
0 |
0 |
0 |
67 |
1 |
3 |
4 |
170 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
1 |
74 |
5 |
7 |
10 |
276 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
1 |
48 |
4 |
6 |
9 |
183 |
| Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
0 |
28 |
4 |
7 |
9 |
90 |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
1 |
5 |
2 |
7 |
9 |
29 |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
3 |
5 |
8 |
155 |
| Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates |
0 |
0 |
0 |
4 |
1 |
4 |
8 |
26 |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
0 |
54 |
2 |
3 |
5 |
309 |
| Likelihood Inference for Discretely Observed Nonlinear Diffusions |
0 |
0 |
0 |
0 |
3 |
7 |
10 |
404 |
| Likelihood analysis of a first‐order autoregressive model with exponential innovations |
0 |
0 |
0 |
124 |
4 |
5 |
6 |
513 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
4 |
6 |
6 |
632 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
7 |
3 |
6 |
10 |
63 |
| Local scale models: State space alternative to integrated GARCH processes |
0 |
0 |
0 |
201 |
4 |
4 |
7 |
423 |
| Markov chain Monte Carlo methods for stochastic volatility models |
0 |
0 |
4 |
659 |
5 |
15 |
30 |
1,383 |
| Moment conditions and Bayesian non‐parametrics |
0 |
0 |
0 |
4 |
1 |
2 |
3 |
24 |
| Multivariate Stochastic Variance Models |
0 |
0 |
1 |
1,458 |
1 |
10 |
24 |
3,525 |
| Multivariate high‐frequency‐based volatility (HEAVY) models |
0 |
0 |
0 |
0 |
12 |
16 |
23 |
162 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
1 |
1 |
4 |
129 |
11 |
17 |
28 |
460 |
| Multivariate rotated ARCH models |
0 |
0 |
0 |
19 |
3 |
3 |
6 |
154 |
| Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
0 |
3 |
366 |
3 |
10 |
21 |
770 |
| Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment |
0 |
0 |
0 |
0 |
2 |
4 |
5 |
150 |
| ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL |
0 |
0 |
0 |
11 |
5 |
6 |
9 |
37 |
| Realising the future: forecasting with high-frequency-based volatility (HEAVY) models |
0 |
0 |
2 |
260 |
3 |
10 |
26 |
818 |
| Realized Volatility |
0 |
0 |
0 |
44 |
4 |
5 |
6 |
130 |
| Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
7 |
11 |
22 |
610 |
| Simulation-based likelihood inference for limited dependent processes |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
254 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
16 |
2 |
7 |
8 |
66 |
| Statistical algorithms for models in state space using SsfPack 2.2 |
0 |
0 |
0 |
1 |
5 |
7 |
12 |
1,296 |
| Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models |
2 |
4 |
6 |
841 |
6 |
22 |
56 |
2,094 |
| Stochastic volatility with leverage: Fast and efficient likelihood inference |
0 |
0 |
3 |
213 |
3 |
9 |
23 |
586 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
5 |
6 |
8 |
226 |
| Testing the assumptions behind importance sampling |
0 |
0 |
0 |
67 |
4 |
7 |
10 |
281 |
| The ACR Model: A Multivariate Dynamic Mixture Autoregression* |
0 |
0 |
0 |
91 |
5 |
13 |
25 |
381 |
| Total Journal Articles |
5 |
14 |
49 |
7,949 |
218 |
430 |
763 |
26,486 |
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