| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Test for Volatility Spillovers |
0 |
0 |
0 |
63 |
0 |
0 |
10 |
188 |
| A Test for Volatility Spillovers |
0 |
0 |
0 |
55 |
1 |
1 |
8 |
167 |
| Big swings in the data and perceived changes in the risk premia |
0 |
1 |
6 |
21 |
0 |
2 |
24 |
45 |
| Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting |
0 |
0 |
0 |
65 |
1 |
1 |
15 |
303 |
| Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting |
0 |
0 |
0 |
22 |
0 |
0 |
16 |
216 |
| Contemporaneous threshold autoregressive models: estimation, testing and forecasting |
0 |
0 |
0 |
467 |
0 |
1 |
11 |
1,302 |
| Contemporaneous-Threshold Smooth Transition GARCH Models |
0 |
0 |
0 |
96 |
0 |
0 |
11 |
239 |
| Cross-Border Portfolio Flows and News Media Coverage |
0 |
0 |
1 |
33 |
0 |
1 |
18 |
134 |
| Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets |
0 |
0 |
0 |
35 |
1 |
1 |
19 |
107 |
| Cyber-Attacks, Cryptocurrencies, and Cyber Security |
0 |
0 |
2 |
91 |
0 |
2 |
18 |
234 |
| Do Periods of Extreme Asset Price Volatility Signal the Beginning of a Recession? An International Comparison |
0 |
0 |
0 |
8 |
1 |
1 |
16 |
26 |
| Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model |
0 |
0 |
2 |
110 |
1 |
1 |
34 |
276 |
| Estimating and Forecasting the Yield Curve Using a Markov Switching Dynamic Nelson and Siegel Model |
0 |
0 |
1 |
278 |
0 |
0 |
12 |
515 |
| Exchange Rates and Macro News in Emerging Markets |
0 |
0 |
0 |
10 |
1 |
1 |
8 |
66 |
| Exchange Rates and Macro News in Emerging Markets |
0 |
0 |
1 |
44 |
0 |
0 |
16 |
137 |
| International Portfolio Flows and Exchange Rate Volatility for Emerging Markets |
0 |
0 |
0 |
31 |
0 |
0 |
16 |
127 |
| International Portfolio Flows and Exchange Rate Volatility for Emerging Markets |
0 |
0 |
2 |
47 |
1 |
2 |
20 |
110 |
| Macro News and Bond Yield Spreads in the Euro Area |
0 |
0 |
1 |
42 |
1 |
1 |
15 |
106 |
| Macro News and Bond Yield Spreads in the Euro Area |
0 |
0 |
1 |
25 |
0 |
0 |
14 |
114 |
| Macro News and Commodity Returns |
0 |
0 |
0 |
15 |
2 |
2 |
15 |
83 |
| Macro News and Commodity Returns |
0 |
0 |
1 |
27 |
0 |
0 |
11 |
86 |
| Macro News and Exchange Rates in the BRICS |
0 |
0 |
0 |
26 |
0 |
0 |
12 |
108 |
| Macro News and Exchange Rates in the BRICS |
0 |
0 |
0 |
15 |
1 |
1 |
7 |
77 |
| Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis |
0 |
0 |
0 |
25 |
0 |
0 |
7 |
88 |
| Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Means Analysis |
0 |
0 |
0 |
17 |
0 |
0 |
10 |
80 |
| Multivariate Contemporaneous Threshold Autoregressive Models |
0 |
0 |
0 |
62 |
0 |
0 |
13 |
190 |
| Multivariate Contemporaneous-Threshold Autoregressive Models |
0 |
0 |
0 |
74 |
0 |
0 |
11 |
204 |
| Multivariate contemporaneous threshold autoregressive models |
0 |
0 |
0 |
69 |
0 |
0 |
16 |
194 |
| Non-Linearities, Cyber Attacks and Cryptocurrencies |
0 |
0 |
0 |
38 |
1 |
3 |
12 |
108 |
| On Model Selection and Markov Switching: A Empirical Examination of Term Structure Models with Regime Shifts |
0 |
0 |
0 |
339 |
0 |
1 |
11 |
760 |
| On Model Selection and Markov-Switching: An Empirical Examination of Term Structure Models with Regime Shifts |
0 |
0 |
0 |
49 |
0 |
1 |
12 |
189 |
| Political Tension and Stock Markets in the Arabian Peninsula |
0 |
0 |
0 |
15 |
1 |
1 |
11 |
61 |
| Some Cautionary Results Concerning Markov-Switching Models with Time-Varying Transition Probabilities |
0 |
0 |
3 |
125 |
0 |
0 |
17 |
286 |
| Spillovers between Food and Energy Prices and Structural Breaks |
0 |
0 |
0 |
12 |
0 |
0 |
9 |
72 |
| Spillovers between Food and Energy Prices and Structural Breaks |
0 |
0 |
0 |
14 |
0 |
1 |
10 |
74 |
| Spillovers between food and energy prices and structural breaks |
0 |
0 |
0 |
31 |
0 |
0 |
13 |
100 |
| State-Dependent Threshold STAR Models |
0 |
0 |
0 |
99 |
0 |
0 |
9 |
235 |
| The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20 |
0 |
0 |
0 |
23 |
0 |
0 |
17 |
60 |
| The Feldstein-Horioka puzzle is not as bad as you think |
0 |
0 |
1 |
402 |
0 |
1 |
11 |
1,036 |
| The Impact of Business and Political News on the GCC Stock Markets |
0 |
0 |
0 |
46 |
0 |
0 |
14 |
111 |
| VOLatility Archive for Realized Estimates (VOLARE) |
0 |
2 |
21 |
21 |
6 |
20 |
58 |
58 |
| Total Working Papers |
0 |
3 |
43 |
3,087 |
19 |
46 |
607 |
8,672 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A simple procedure for detecting periodically collapsing rational bubbles |
0 |
0 |
0 |
67 |
0 |
0 |
10 |
174 |
| A test for volatility spillovers |
0 |
0 |
0 |
69 |
0 |
0 |
13 |
184 |
| Brutality or Frequency?. An Empirical Investigation of the Effects of Terrorism on Economic Growth in India |
0 |
0 |
0 |
19 |
0 |
0 |
7 |
70 |
| Contemporaneous threshold autoregressive models: Estimation, testing and forecasting |
0 |
0 |
0 |
93 |
0 |
0 |
14 |
270 |
| Contemporaneous-Threshold Smooth Transition GARCH Models |
0 |
0 |
0 |
65 |
0 |
1 |
19 |
247 |
| Cross-border portfolio flows and news media coverage |
0 |
0 |
0 |
4 |
0 |
1 |
12 |
34 |
| Cyber-attacks, spillovers and contagion in the cryptocurrency markets |
0 |
0 |
1 |
8 |
0 |
1 |
14 |
57 |
| Estimating and Forecasting the Yield Curve Using A Markov Switching Dynamic Nelson and Siegel Model |
0 |
1 |
3 |
30 |
1 |
3 |
24 |
120 |
| Exchange rates and macro news in emerging markets |
0 |
0 |
2 |
8 |
12 |
13 |
27 |
49 |
| Forecast performance of nonlinear error-correction models with multiple regimes |
0 |
0 |
0 |
90 |
0 |
1 |
11 |
238 |
| Inflation Targeting, Exchange Rate Volatility and International Policy Coordination |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
10 |
| Instrumental-Variables Estimation in Markov Switching Models with Endogenous Explanatory Variables: An Application to the Term Structure of Interest Rates |
0 |
0 |
0 |
182 |
0 |
0 |
19 |
502 |
| International portfolio flows and exchange rate volatility in emerging Asian markets |
0 |
1 |
7 |
19 |
0 |
2 |
24 |
115 |
| Is the Feldstein–Horioka Puzzle History? |
0 |
0 |
0 |
205 |
1 |
3 |
12 |
551 |
| Macro News and Commodity Returns |
0 |
0 |
1 |
9 |
0 |
0 |
17 |
50 |
| Macro news and bond yield spreads in the euro area |
0 |
0 |
1 |
9 |
1 |
2 |
13 |
42 |
| Macro news and exchange rates in the BRICS |
0 |
0 |
0 |
18 |
0 |
0 |
3 |
70 |
| Macro news and stock returns in the Euro area: A VAR-GARCH-in-mean analysis |
0 |
0 |
0 |
8 |
0 |
0 |
15 |
78 |
| Multivariate contemporaneous-threshold autoregressive models |
0 |
0 |
1 |
58 |
0 |
0 |
16 |
251 |
| Non-linearities, cyber attacks and cryptocurrencies |
0 |
0 |
1 |
11 |
0 |
1 |
15 |
82 |
| ON THE DETERMINATION OF THE NUMBER OF REGIMES IN MARKOV‐SWITCHING AUTOREGRESSIVE MODELS |
0 |
0 |
2 |
273 |
1 |
6 |
22 |
605 |
| On Markov error-correction models, with an application to stock prices and dividends |
0 |
0 |
0 |
340 |
1 |
3 |
32 |
892 |
| Political tension and stock markets in the Arabian Peninsula |
0 |
0 |
0 |
3 |
2 |
2 |
7 |
27 |
| Portfolio flows and the US dollar–yen exchange rate |
0 |
0 |
0 |
12 |
2 |
7 |
19 |
85 |
| Predicting Markov volatility switches using monetary policy variables |
0 |
0 |
0 |
54 |
1 |
2 |
9 |
123 |
| Red signals: current account deficits and sustainability |
0 |
2 |
2 |
81 |
0 |
3 |
11 |
198 |
| Renewable energy and economic growth: A Markov-switching approach |
0 |
0 |
1 |
19 |
0 |
0 |
13 |
73 |
| Selecting nonlinear time series models using information criteria |
0 |
0 |
1 |
91 |
0 |
1 |
13 |
211 |
| Spillovers between food and energy prices and structural breaks |
0 |
0 |
0 |
18 |
0 |
0 |
15 |
90 |
| Spillovers between food and energy prices and structural breaks |
0 |
0 |
0 |
11 |
1 |
2 |
6 |
47 |
| State-Dependent Threshold Smooth Transition Autoregressive Models |
0 |
0 |
0 |
27 |
1 |
2 |
13 |
109 |
| Stock market returns and climate risk in the U.S |
0 |
0 |
4 |
5 |
0 |
2 |
27 |
45 |
| Sustainable developments, renewable energy, and economic growth in Canada |
0 |
0 |
0 |
6 |
0 |
0 |
7 |
30 |
| Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables |
0 |
0 |
0 |
163 |
1 |
3 |
15 |
538 |
| Testing the unbiased forward exchange rate hypothesis using a Markov switching model and instrumental variables |
0 |
0 |
0 |
2 |
0 |
2 |
11 |
17 |
| The COVID-19 pandemic, policy responses and stock markets in the G20 |
0 |
0 |
1 |
1 |
2 |
2 |
17 |
25 |
| The COVID-19 pandemic, policy responses and stock markets in the G20 |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
19 |
| The Effects of Different Parameterizations of Markov-Switching in a CIR Model of Bond Pricing |
0 |
0 |
0 |
40 |
0 |
1 |
18 |
194 |
| The Prisoner's Dilemma and Regime-Switching in the Greek-Turkish Arms Race |
0 |
1 |
1 |
13 |
0 |
3 |
16 |
49 |
| The economic and welfare state determinants of well-being in Europe |
0 |
0 |
0 |
3 |
0 |
1 |
10 |
25 |
| The economic and welfare state determinants of well-being in Europe |
0 |
0 |
0 |
10 |
0 |
0 |
15 |
41 |
| The impact of business and political news on the GCC stock markets |
0 |
0 |
0 |
10 |
0 |
2 |
14 |
72 |
| Total Journal Articles |
0 |
5 |
29 |
2,156 |
27 |
72 |
609 |
6,709 |
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