| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
0 |
62 |
0 |
0 |
1 |
293 |
| A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
0 |
87 |
0 |
0 |
0 |
361 |
| A nonparametric copula based test for conditional independence with applications to Granger causality |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
144 |
| A nonparametric copula based test for conditional independence with applications to granger causality |
0 |
0 |
1 |
182 |
0 |
0 |
5 |
600 |
| Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
20 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
92 |
0 |
0 |
0 |
248 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
153 |
| Bernstein Estimator for Unbounded Density Copula |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Bernstein estimator for unbounded density copula |
0 |
0 |
2 |
32 |
0 |
0 |
2 |
112 |
| Copula-based estimation of health concentration curves with an application to COVID-19 |
0 |
0 |
10 |
10 |
0 |
0 |
11 |
11 |
| Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty? |
0 |
0 |
1 |
136 |
0 |
0 |
1 |
310 |
| Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms |
0 |
0 |
0 |
60 |
0 |
0 |
0 |
207 |
| Financial Frictions and the Futures Pricing Puzzle |
1 |
1 |
2 |
5 |
2 |
2 |
6 |
46 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility |
0 |
0 |
1 |
126 |
0 |
1 |
3 |
334 |
| Measuring causality between volatility and returns with high-frequency data |
0 |
0 |
0 |
95 |
0 |
0 |
3 |
394 |
| Nonparametric Estimation and Inference for Granger Causality Measures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
| Nonparametric estimation and inference for Granger causality measures |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
55 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
2 |
63 |
0 |
0 |
4 |
164 |
| Parametric Portfolio Policies with Common Volatility Dynamics |
0 |
0 |
0 |
20 |
0 |
2 |
5 |
89 |
| Quantile Consumption-Capital Asset Pricing |
0 |
0 |
0 |
16 |
2 |
2 |
3 |
38 |
| Risk Premium, Variance Premium and the Maturity Structure of Uncertainty |
0 |
0 |
1 |
29 |
0 |
1 |
3 |
127 |
| Risk premium, variance premium and the maturity structure of uncertainty |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
113 |
| Short and long run causality measures: theory and inference |
0 |
0 |
0 |
269 |
0 |
0 |
2 |
766 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
1 |
31 |
0 |
0 |
3 |
173 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
0 |
47 |
1 |
1 |
8 |
193 |
| The Reaction of Stock Market Returns to Unemployment |
3 |
15 |
63 |
362 |
100 |
189 |
664 |
2,772 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
3 |
69 |
1 |
1 |
8 |
402 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
2 |
120 |
1 |
1 |
9 |
614 |
| What Drives International Equity Correlations? Volatility or Market Direction? |
0 |
0 |
0 |
89 |
0 |
0 |
1 |
369 |
| Total Working Papers |
4 |
16 |
89 |
2,121 |
107 |
200 |
745 |
9,116 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Better Understanding of Granger Causality Analysis: A Big Data Environment |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
42 |
| Analytical Value-at-Risk and Expected Shortfall under regime-switching |
0 |
0 |
1 |
91 |
0 |
1 |
5 |
253 |
| Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data |
0 |
0 |
0 |
55 |
0 |
0 |
1 |
131 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
84 |
| Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market |
0 |
0 |
3 |
3 |
1 |
1 |
6 |
8 |
| Covid‐19 Control and the Economy: Test, Test, Test |
0 |
0 |
2 |
3 |
0 |
0 |
3 |
11 |
| Did the euro change the effect of fundamentals on growth and uncertainty? |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
50 |
| Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
92 |
| FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
27 |
| Financial frictions and the futures pricing puzzle |
0 |
0 |
1 |
6 |
1 |
1 |
8 |
31 |
| In search of the determinants of European asset market comovements |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
53 |
| Measuring Granger Causality in Quantiles |
0 |
0 |
0 |
1 |
0 |
2 |
10 |
13 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility |
1 |
1 |
1 |
17 |
1 |
1 |
1 |
56 |
| Measuring Nonlinear Granger Causality in Mean |
0 |
0 |
1 |
11 |
0 |
0 |
4 |
44 |
| Moments of multivariate regime switching with application to risk-return trade-off |
0 |
0 |
0 |
27 |
0 |
0 |
0 |
82 |
| Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
74 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
1 |
15 |
0 |
0 |
1 |
79 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
24 |
| Partial Structural Break Identification |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
26 |
| Portfolio risk management in a data-rich environment |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
87 |
| Portfolio selection in a data-rich environment |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
74 |
| Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty |
0 |
0 |
1 |
12 |
0 |
0 |
1 |
46 |
| Short and long run causality measures: Theory and inference |
1 |
2 |
5 |
347 |
5 |
8 |
24 |
1,183 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
0 |
19 |
1 |
1 |
2 |
118 |
| Stock market’s reaction to money supply: a nonparametric analysis |
0 |
0 |
0 |
8 |
0 |
1 |
2 |
46 |
| Testing for Asymmetric Comovements |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
| Testing independence based on Bernstein empirical copula and copula density |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
7 |
| Testing the eigenvalue structure of spot and integrated covariance |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
3 |
| The information content of forward moments |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
28 |
| The reaction of stock market returns to unemployment |
0 |
3 |
6 |
37 |
1 |
5 |
18 |
166 |
| What drives international equity correlations? Volatility or market direction? |
0 |
0 |
0 |
35 |
0 |
0 |
2 |
178 |
| Total Journal Articles |
2 |
6 |
23 |
822 |
10 |
22 |
104 |
3,119 |
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