| 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 |
271 |
2 |
7 |
14 |
804 |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
1 |
94 |
0 |
5 |
9 |
369 |
| A Feasible Central Limit Theory for Realised Volatility Under Leverage |
0 |
0 |
1 |
125 |
0 |
8 |
11 |
624 |
| 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 |
4 |
7 |
10 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
1 |
92 |
0 |
5 |
6 |
368 |
| Aggregation and Model Construction for Volatility Models |
0 |
0 |
0 |
1 |
0 |
5 |
8 |
1,025 |
| Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models |
0 |
0 |
0 |
199 |
1 |
7 |
9 |
708 |
| Autoregressive conditional root model |
0 |
0 |
0 |
190 |
0 |
8 |
12 |
862 |
| BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time |
1 |
2 |
8 |
355 |
2 |
11 |
30 |
796 |
| Basics of Levy processes |
1 |
1 |
2 |
108 |
1 |
9 |
14 |
263 |
| Basics of Levy processes |
0 |
0 |
0 |
59 |
0 |
3 |
10 |
197 |
| Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models |
0 |
0 |
0 |
146 |
1 |
5 |
10 |
349 |
| 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 |
2 |
6 |
651 |
| Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession |
0 |
0 |
0 |
10 |
1 |
7 |
13 |
77 |
| Computationally-intensive Econometrics using a Distributed Matrix-programming Language |
0 |
0 |
0 |
181 |
0 |
7 |
8 |
912 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
2 |
0 |
2 |
7 |
22 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
23 |
3 |
12 |
15 |
23 |
| Deferred fees for universities |
0 |
0 |
0 |
37 |
0 |
4 |
9 |
175 |
| Deletion Diagnostics and Transformations for Time Series |
0 |
0 |
0 |
0 |
1 |
4 |
6 |
15 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
1 |
2 |
135 |
3 |
14 |
30 |
556 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
2 |
2 |
90 |
2 |
9 |
23 |
346 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
3 |
6 |
8 |
266 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
1 |
1 |
42 |
1 |
12 |
17 |
104 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
1 |
136 |
0 |
5 |
11 |
318 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
0 |
321 |
0 |
3 |
13 |
832 |
| Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
0 |
1 |
367 |
1 |
10 |
15 |
1,287 |
| Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
0 |
1 |
31 |
1 |
5 |
17 |
151 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
21 |
1 |
4 |
8 |
159 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
29 |
0 |
5 |
11 |
157 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
1 |
8 |
13 |
766 |
| Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
1 |
1 |
3 |
532 |
2 |
9 |
19 |
1,308 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
3 |
473 |
1 |
7 |
24 |
1,163 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
0 |
2 |
11 |
608 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
13 |
1 |
5 |
7 |
99 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
20 |
1 |
3 |
5 |
107 |
| Estimating quadratic variation using realised volatility |
0 |
0 |
1 |
329 |
2 |
6 |
12 |
997 |
| Estimation and Testing of Stochastic Variance Models |
0 |
0 |
0 |
0 |
1 |
10 |
18 |
227 |
| 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 |
10 |
58 |
| Filtering via simulation: auxiliary particle filters |
0 |
0 |
1 |
772 |
1 |
7 |
21 |
2,017 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
356 |
1 |
8 |
19 |
843 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
1 |
125 |
3 |
8 |
15 |
298 |
| Generalized linear autoregressions |
0 |
0 |
6 |
524 |
2 |
5 |
16 |
1,184 |
| Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
1 |
9 |
12 |
296 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
2 |
62 |
1 |
11 |
20 |
175 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
2 |
82 |
3 |
7 |
13 |
276 |
| How accurate is the asymptotic approximation to the distribution of realised volatility? |
0 |
0 |
0 |
398 |
1 |
9 |
16 |
1,132 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
2 |
6 |
7 |
691 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
32 |
0 |
2 |
8 |
140 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
22 |
0 |
4 |
8 |
109 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
38 |
0 |
1 |
8 |
123 |
| Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality |
0 |
0 |
1 |
27 |
0 |
4 |
10 |
90 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
275 |
0 |
5 |
8 |
708 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form |
0 |
0 |
1 |
183 |
0 |
3 |
9 |
628 |
| Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
0 |
78 |
2 |
10 |
12 |
178 |
| Integrated OU Processes |
1 |
1 |
2 |
316 |
1 |
6 |
13 |
775 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
13 |
21 |
163 |
| Learning and filtering via simulation: smoothly jittered particle filters |
0 |
0 |
1 |
139 |
2 |
11 |
23 |
361 |
| Likelihood Analysis of Non-Gaussian Parameter-Driven Models |
0 |
0 |
0 |
0 |
0 |
5 |
8 |
939 |
| Likelihood INference for Discretely Observed Non-linear Diffusions |
0 |
0 |
0 |
1 |
1 |
6 |
13 |
1,327 |
| Likelihood Inference for Exponential-Trawl Processes |
0 |
0 |
0 |
14 |
0 |
4 |
4 |
10 |
| Likelihood analysis of non-Gaussian parameter driven models |
0 |
0 |
0 |
184 |
0 |
7 |
10 |
609 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
183 |
0 |
2 |
9 |
467 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
114 |
0 |
2 |
4 |
302 |
| Likelihood inference for discretely observed non-linear diffusions |
0 |
0 |
0 |
141 |
0 |
1 |
6 |
432 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
1 |
3 |
11 |
34 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
14 |
14 |
57 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
1 |
7 |
11 |
258 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
0 |
5 |
10 |
492 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
2 |
5 |
8 |
316 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
186 |
0 |
6 |
21 |
562 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
0 |
3 |
5 |
318 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
0 |
1 |
4 |
206 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
0 |
6 |
12 |
399 |
| Martingale unobserved component models |
0 |
0 |
0 |
76 |
0 |
5 |
11 |
190 |
| Martingale unobserved component models |
0 |
0 |
0 |
42 |
1 |
6 |
8 |
143 |
| Measuring and forecasting financial variability using realised variance with and without a model |
0 |
0 |
0 |
199 |
0 |
6 |
9 |
971 |
| Measuring downside risk - realised semivariance |
0 |
1 |
1 |
113 |
2 |
11 |
15 |
353 |
| Measuring downside risk — realised semivariance |
0 |
1 |
1 |
169 |
0 |
7 |
15 |
389 |
| Measuring downside risk-realised semivariance |
1 |
1 |
2 |
350 |
4 |
16 |
32 |
1,270 |
| Modelling and measuring volatility |
0 |
0 |
1 |
259 |
2 |
4 |
11 |
380 |
| Moment conditions and Bayesian nonparametrics |
0 |
0 |
1 |
36 |
1 |
6 |
11 |
53 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
1 |
4 |
9 |
280 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
2 |
7 |
10 |
308 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
0 |
74 |
1 |
23 |
30 |
369 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
1 |
148 |
2 |
16 |
23 |
323 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
0 |
71 |
4 |
10 |
15 |
272 |
| Multivariate Rotated ARCH Models |
0 |
0 |
0 |
33 |
2 |
4 |
17 |
258 |
| Multivariate Rotated ARCH models |
0 |
0 |
0 |
42 |
0 |
3 |
6 |
102 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
10 |
0 |
2 |
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 |
3 |
9 |
21 |
403 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
1 |
14 |
43 |
239 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
1 |
5 |
12 |
436 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
3 |
8 |
16 |
223 |
| 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 |
2 |
6 |
338 |
| Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
0 |
220 |
1 |
10 |
13 |
502 |
| Normal Modified Stable Processes |
0 |
0 |
1 |
43 |
1 |
6 |
14 |
127 |
| Normal modified stable processes |
0 |
0 |
0 |
186 |
1 |
4 |
10 |
567 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
65 |
1 |
15 |
18 |
217 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
21 |
1 |
9 |
15 |
137 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
98 |
0 |
11 |
13 |
347 |
| Parallel Computation in Econometrics: A Simplified Approach |
0 |
0 |
0 |
201 |
0 |
1 |
5 |
504 |
| Power Variation and Time Change |
0 |
0 |
0 |
168 |
0 |
4 |
7 |
481 |
| Power and bipower variation with stochastic volatility and jumps |
0 |
0 |
2 |
847 |
1 |
8 |
44 |
2,052 |
| Power variation & stochastic volatility: a review and some new results |
0 |
0 |
0 |
265 |
1 |
8 |
8 |
686 |
| Realised power variation and stochastic volatility models |
0 |
0 |
0 |
346 |
0 |
7 |
12 |
789 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
121 |
1 |
11 |
32 |
398 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
76 |
0 |
1 |
1 |
214 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
1 |
105 |
3 |
15 |
22 |
342 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
1 |
4 |
8 |
371 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
116 |
0 |
3 |
9 |
447 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
20 |
0 |
2 |
4 |
130 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
36 |
1 |
4 |
9 |
123 |
| STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS |
1 |
1 |
1 |
1,721 |
3 |
5 |
19 |
4,416 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
397 |
1 |
5 |
8 |
819 |
| Statistical Algorithms for Models in State Space Using SsfPack 2.2 |
0 |
0 |
1 |
23 |
6 |
24 |
31 |
141 |
| Stochastic Volatility |
1 |
2 |
3 |
575 |
3 |
23 |
33 |
1,012 |
| Stochastic Volatility with Leverage: Fast Likelihood Inference |
0 |
1 |
1 |
172 |
2 |
7 |
13 |
393 |
| 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 |
2 |
7 |
12 |
107 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
112 |
1 |
7 |
15 |
239 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
342 |
1 |
8 |
15 |
708 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
1 |
248 |
0 |
3 |
11 |
324 |
| Stochastic volatility with leverage: fast likelihood inference |
0 |
0 |
0 |
336 |
2 |
9 |
15 |
928 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
0 |
1 |
1,246 |
6 |
16 |
29 |
3,072 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
1 |
1 |
675 |
1 |
7 |
18 |
1,447 |
| Submission to the review on “Higher Education Funding and Student Finance” |
0 |
0 |
0 |
12 |
0 |
9 |
10 |
63 |
| Subsampling realised kernels |
0 |
0 |
1 |
76 |
0 |
9 |
17 |
352 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
2 |
8 |
15 |
269 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
8 |
12 |
252 |
| Testing the Assumptions Behind the Use of Importance Sampling |
0 |
0 |
0 |
105 |
0 |
10 |
14 |
507 |
| The ACR model: a multivariate dynamic mixture autoregression |
0 |
0 |
0 |
195 |
2 |
5 |
9 |
778 |
| The Autoregressive Conditional Root (ACR) Model |
0 |
0 |
0 |
39 |
0 |
4 |
8 |
125 |
| The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model |
0 |
0 |
0 |
123 |
0 |
6 |
7 |
732 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
295 |
2 |
11 |
19 |
835 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
400 |
0 |
7 |
12 |
1,018 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
1 |
13 |
14 |
444 |
| When do common time series estimands have nonparametric causal meaning? |
0 |
1 |
5 |
68 |
3 |
17 |
45 |
218 |
| Total Working Papers |
7 |
18 |
77 |
23,233 |
140 |
968 |
1,856 |
69,707 |
| 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 |
5 |
7 |
27 |
| Analysis of high dimensional multivariate stochastic volatility models |
0 |
0 |
0 |
278 |
0 |
7 |
12 |
668 |
| Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models |
0 |
0 |
0 |
0 |
2 |
10 |
14 |
20 |
| BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS |
0 |
0 |
1 |
116 |
1 |
7 |
12 |
291 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
215 |
| Comment |
0 |
0 |
0 |
8 |
0 |
8 |
12 |
75 |
| Continuous Time Analysis of Fleeting Discrete Price Moves |
0 |
0 |
0 |
0 |
1 |
6 |
11 |
17 |
| DEFERRED FEES FOR UNIVERSITIES |
0 |
0 |
0 |
6 |
0 |
10 |
12 |
57 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
1 |
1 |
3 |
238 |
6 |
12 |
44 |
765 |
| Detecting shocks: Outliers and breaks in time series |
0 |
1 |
1 |
138 |
0 |
10 |
18 |
368 |
| Distribution of the ML Estimator of an MA(1) and a local level model |
0 |
0 |
0 |
12 |
0 |
5 |
6 |
56 |
| Dynamics of Trade-by-Trade Price Movements: Decomposition and Models |
0 |
0 |
0 |
0 |
1 |
9 |
17 |
355 |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
0 |
1 |
279 |
0 |
4 |
18 |
825 |
| Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice |
0 |
0 |
1 |
44 |
2 |
8 |
11 |
104 |
| Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading |
0 |
0 |
0 |
9 |
4 |
7 |
21 |
156 |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
3 |
3 |
18 |
420 |
6 |
21 |
66 |
1,349 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
1 |
1 |
344 |
3 |
15 |
29 |
1,058 |
| Estimating quadratic variation using realized variance |
0 |
1 |
1 |
619 |
4 |
12 |
22 |
1,864 |
| Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
0 |
0 |
0 |
0 |
4 |
7 |
23 |
936 |
| Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models |
0 |
0 |
0 |
191 |
0 |
1 |
8 |
583 |
| Foreword by the Editors |
0 |
0 |
0 |
0 |
0 |
5 |
6 |
96 |
| From Characteristic Function to Distribution Function: A Simple Framework for the Theory |
0 |
0 |
0 |
67 |
0 |
4 |
7 |
173 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
1 |
74 |
1 |
8 |
13 |
279 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
1 |
48 |
0 |
5 |
10 |
184 |
| Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
0 |
28 |
1 |
7 |
12 |
93 |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
0 |
5 |
1 |
5 |
10 |
32 |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
2 |
5 |
10 |
157 |
| Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates |
0 |
0 |
0 |
4 |
2 |
4 |
11 |
29 |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
0 |
54 |
1 |
3 |
6 |
310 |
| Likelihood Inference for Discretely Observed Nonlinear Diffusions |
0 |
0 |
0 |
0 |
0 |
5 |
10 |
406 |
| Likelihood analysis of a first‐order autoregressive model with exponential innovations |
0 |
0 |
0 |
124 |
0 |
4 |
5 |
513 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
0 |
5 |
7 |
633 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
7 |
1 |
6 |
13 |
66 |
| Local scale models: State space alternative to integrated GARCH processes |
0 |
0 |
0 |
201 |
0 |
5 |
7 |
424 |
| Markov chain Monte Carlo methods for stochastic volatility models |
0 |
0 |
3 |
659 |
4 |
9 |
33 |
1,387 |
| Moment conditions and Bayesian non‐parametrics |
0 |
0 |
0 |
4 |
2 |
3 |
5 |
26 |
| Multivariate Stochastic Variance Models |
0 |
1 |
2 |
1,459 |
1 |
5 |
25 |
3,529 |
| Multivariate high‐frequency‐based volatility (HEAVY) models |
0 |
0 |
0 |
0 |
2 |
19 |
29 |
169 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
1 |
4 |
129 |
1 |
13 |
30 |
462 |
| Multivariate rotated ARCH models |
0 |
0 |
0 |
19 |
0 |
5 |
8 |
156 |
| Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
0 |
2 |
366 |
1 |
6 |
23 |
773 |
| Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment |
0 |
0 |
0 |
0 |
1 |
3 |
6 |
151 |
| ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL |
0 |
2 |
2 |
13 |
0 |
11 |
14 |
43 |
| Realising the future: forecasting with high-frequency-based volatility (HEAVY) models |
0 |
0 |
1 |
260 |
1 |
8 |
28 |
823 |
| Realized Volatility |
0 |
0 |
0 |
44 |
1 |
5 |
7 |
131 |
| Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
2 |
13 |
26 |
616 |
| Simulation-based likelihood inference for limited dependent processes |
0 |
0 |
0 |
0 |
1 |
6 |
8 |
259 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
0 |
16 |
0 |
2 |
8 |
66 |
| Statistical algorithms for models in state space using SsfPack 2.2 |
0 |
0 |
0 |
1 |
2 |
15 |
22 |
1,306 |
| Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models |
1 |
3 |
7 |
842 |
4 |
17 |
62 |
2,105 |
| Stochastic volatility with leverage: Fast and efficient likelihood inference |
0 |
0 |
3 |
213 |
1 |
5 |
24 |
588 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
2 |
7 |
10 |
228 |
| Testing the assumptions behind importance sampling |
0 |
0 |
0 |
67 |
0 |
5 |
10 |
282 |
| The ACR Model: A Multivariate Dynamic Mixture Autoregression* |
0 |
0 |
0 |
91 |
4 |
14 |
30 |
390 |
| Total Journal Articles |
5 |
14 |
53 |
7,958 |
73 |
406 |
903 |
26,674 |
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