| 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 |
1 |
20 |
315 |
| A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
0 |
88 |
0 |
1 |
16 |
383 |
| A nonparametric copula based test for conditional independence with applications to Granger causality |
0 |
0 |
0 |
41 |
0 |
2 |
23 |
169 |
| A nonparametric copula based test for conditional independence with applications to granger causality |
0 |
0 |
0 |
182 |
0 |
2 |
17 |
622 |
| Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data |
0 |
0 |
0 |
3 |
1 |
2 |
9 |
32 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
93 |
0 |
0 |
6 |
257 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
41 |
0 |
0 |
10 |
163 |
| Bernstein Estimator for Unbounded Density Copula |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
13 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
0 |
0 |
0 |
14 |
17 |
| Bernstein estimator for unbounded density copula |
0 |
0 |
0 |
32 |
0 |
0 |
10 |
122 |
| Copula-based estimation of health concentration curves with an application to COVID-19 |
0 |
0 |
0 |
10 |
0 |
0 |
12 |
30 |
| Copula-based estimation of health inequality measures with an application to COVID-19 |
0 |
0 |
2 |
26 |
1 |
2 |
14 |
46 |
| Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty? |
0 |
0 |
0 |
136 |
0 |
0 |
7 |
322 |
| Enhancing Portfolio Resilience to Systemic Risk: A Neural Network Approach |
1 |
1 |
4 |
11 |
2 |
2 |
15 |
28 |
| Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms |
0 |
0 |
0 |
61 |
0 |
0 |
14 |
224 |
| Financial Frictions and the Futures Pricing Puzzle |
0 |
0 |
0 |
6 |
0 |
0 |
17 |
70 |
| Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach |
0 |
0 |
1 |
10 |
0 |
2 |
11 |
24 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility |
0 |
0 |
0 |
127 |
0 |
2 |
10 |
349 |
| Measuring causality between volatility and returns with high-frequency data |
0 |
0 |
0 |
96 |
1 |
3 |
14 |
416 |
| Nonparametric Estimation and Inference for Granger Causality Measures |
0 |
0 |
0 |
0 |
0 |
1 |
14 |
20 |
| Nonparametric estimation and inference for Granger causality measures |
0 |
1 |
1 |
11 |
0 |
2 |
15 |
75 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
0 |
0 |
0 |
0 |
10 |
12 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
0 |
65 |
0 |
0 |
15 |
187 |
| Parametric Portfolio Policies with Common Volatility Dynamics |
0 |
1 |
1 |
23 |
0 |
2 |
20 |
114 |
| Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach |
0 |
0 |
1 |
5 |
0 |
2 |
16 |
23 |
| Portfolio Selection Under Systemic Risk |
0 |
0 |
2 |
2 |
0 |
0 |
25 |
29 |
| Quantile Consumption-Capital Asset Pricing |
0 |
0 |
0 |
20 |
0 |
1 |
9 |
61 |
| Risk Premium, Variance Premium and the Maturity Structure of Uncertainty |
0 |
0 |
0 |
30 |
0 |
1 |
22 |
154 |
| Risk premium, variance premium and the maturity structure of uncertainty |
0 |
0 |
0 |
24 |
0 |
1 |
10 |
129 |
| Short and long run causality measures: theory and inference |
0 |
0 |
0 |
272 |
0 |
1 |
13 |
787 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
0 |
48 |
0 |
0 |
14 |
212 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
0 |
33 |
0 |
0 |
33 |
220 |
| Testing Granger Non-Causality in Expectiles |
0 |
0 |
1 |
15 |
0 |
2 |
13 |
31 |
| Testing Granger Non-Causality in Expectiles |
0 |
0 |
0 |
39 |
0 |
2 |
7 |
35 |
| The Reaction of Stock Market Returns to Unemployment |
0 |
0 |
1 |
430 |
2 |
43 |
199 |
3,923 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
1 |
74 |
0 |
0 |
27 |
451 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
1 |
124 |
0 |
1 |
14 |
640 |
| Value-at Risk under Measurement Error |
0 |
0 |
1 |
6 |
0 |
1 |
12 |
21 |
| What Drives International Equity Correlations? Volatility or Market Direction? |
0 |
0 |
0 |
89 |
1 |
1 |
12 |
381 |
| Total Working Papers |
1 |
3 |
17 |
2,335 |
8 |
81 |
748 |
11,107 |
| 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 |
0 |
7 |
0 |
0 |
15 |
72 |
| A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation |
0 |
0 |
1 |
1 |
1 |
1 |
12 |
14 |
| Analytical Value-at-Risk and Expected Shortfall under regime-switching |
0 |
0 |
0 |
91 |
1 |
1 |
8 |
266 |
| Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data |
0 |
0 |
0 |
55 |
0 |
0 |
13 |
146 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
15 |
0 |
1 |
11 |
104 |
| Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market |
0 |
0 |
1 |
6 |
0 |
1 |
11 |
25 |
| Covid‐19 Control and the Economy: Test, Test, Test |
0 |
0 |
0 |
3 |
0 |
0 |
6 |
19 |
| Did the euro change the effect of fundamentals on growth and uncertainty? |
0 |
0 |
0 |
3 |
1 |
2 |
12 |
65 |
| Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form |
0 |
0 |
1 |
35 |
0 |
0 |
16 |
112 |
| FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE |
0 |
0 |
0 |
2 |
1 |
1 |
6 |
33 |
| Financial frictions and the futures pricing puzzle |
0 |
0 |
0 |
8 |
1 |
1 |
13 |
54 |
| In search of the determinants of European asset market comovements |
0 |
0 |
0 |
12 |
0 |
2 |
20 |
80 |
| Measuring Granger Causality in Quantiles |
0 |
1 |
5 |
7 |
2 |
4 |
16 |
45 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility |
0 |
0 |
0 |
17 |
0 |
0 |
12 |
70 |
| Measuring Nonlinear Granger Causality in Mean |
0 |
1 |
1 |
22 |
0 |
1 |
8 |
74 |
| Moments of multivariate regime switching with application to risk-return trade-off |
0 |
1 |
2 |
29 |
0 |
1 |
15 |
100 |
| Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality |
0 |
1 |
1 |
19 |
0 |
1 |
20 |
96 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
0 |
17 |
0 |
1 |
10 |
95 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
0 |
1 |
1 |
1 |
14 |
38 |
| Partial Structural Break Identification |
0 |
0 |
0 |
4 |
0 |
0 |
11 |
42 |
| Portfolio risk management in a data-rich environment |
0 |
0 |
0 |
24 |
0 |
1 |
11 |
100 |
| Portfolio selection in a data-rich environment |
0 |
1 |
1 |
17 |
0 |
1 |
13 |
90 |
| Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty |
0 |
0 |
0 |
14 |
1 |
2 |
16 |
70 |
| Short and long run causality measures: Theory and inference |
0 |
0 |
1 |
353 |
0 |
1 |
16 |
1,222 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
2 |
23 |
0 |
0 |
10 |
138 |
| Stock market’s reaction to money supply: a nonparametric analysis |
0 |
0 |
1 |
10 |
0 |
0 |
12 |
61 |
| Testing Granger non-causality in expectiles |
0 |
0 |
0 |
1 |
2 |
2 |
17 |
20 |
| Testing for Asymmetric Comovements |
0 |
0 |
0 |
0 |
0 |
2 |
7 |
13 |
| Testing independence based on Bernstein empirical copula and copula density |
0 |
0 |
1 |
3 |
0 |
0 |
10 |
20 |
| Testing the eigenvalue structure of spot and integrated covariance |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
21 |
| The information content of forward moments |
0 |
0 |
0 |
2 |
0 |
0 |
18 |
53 |
| The reaction of stock market returns to unemployment |
0 |
0 |
3 |
47 |
0 |
1 |
25 |
237 |
| Value‐at‐Risk under Measurement Error |
0 |
0 |
0 |
0 |
0 |
3 |
13 |
19 |
| What drives international equity correlations? Volatility or market direction? |
0 |
0 |
0 |
37 |
1 |
1 |
15 |
200 |
| Total Journal Articles |
0 |
5 |
21 |
885 |
12 |
34 |
448 |
3,814 |
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