| 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 |
7 |
9 |
10 |
305 |
| A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
1 |
88 |
3 |
5 |
10 |
374 |
| A nonparametric copula based test for conditional independence with applications to Granger causality |
0 |
0 |
0 |
41 |
4 |
11 |
13 |
158 |
| A nonparametric copula based test for conditional independence with applications to granger causality |
0 |
0 |
0 |
182 |
3 |
9 |
11 |
616 |
| Asymptotic properties of the Bernstein density copula estimator for alpha-mixing data |
0 |
0 |
0 |
3 |
3 |
4 |
7 |
29 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
41 |
3 |
7 |
7 |
160 |
| Asymptotic properties of the Bernstein density copula for dependent data |
0 |
0 |
0 |
93 |
2 |
4 |
6 |
256 |
| Bernstein Estimator for Unbounded Density Copula |
0 |
0 |
0 |
0 |
4 |
5 |
7 |
10 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
0 |
8 |
10 |
12 |
15 |
| Bernstein estimator for unbounded density copula |
0 |
0 |
0 |
32 |
4 |
8 |
8 |
120 |
| Copula-based estimation of health concentration curves with an application to COVID-19 |
0 |
0 |
0 |
10 |
4 |
6 |
8 |
24 |
| Copula-based estimation of health inequality measures with an application to COVID-19 |
0 |
2 |
2 |
26 |
3 |
6 |
9 |
39 |
| Did the Euro Change the Effect of Fundamentals on Growth and Uncertainty? |
0 |
0 |
0 |
136 |
2 |
5 |
5 |
320 |
| Exact optimal and adaptive inference in regression models under heteroskedasticity and non-normality of unknown forms |
0 |
0 |
0 |
61 |
5 |
10 |
11 |
220 |
| Financial Frictions and the Futures Pricing Puzzle |
0 |
0 |
0 |
6 |
9 |
13 |
15 |
67 |
| Investigating the impact of consumption distribution on CRRA estimation: QuantileCCAPM-based approach |
1 |
1 |
3 |
10 |
2 |
5 |
8 |
18 |
| Machine Learning Based Portfolio Selection Under Systemic Risk |
1 |
1 |
3 |
8 |
4 |
5 |
10 |
21 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility |
0 |
0 |
0 |
127 |
3 |
4 |
5 |
343 |
| Measuring causality between volatility and returns with high-frequency data |
0 |
0 |
0 |
96 |
3 |
5 |
7 |
408 |
| Nonparametric Estimation and Inference for Granger Causality Measures |
0 |
0 |
0 |
0 |
6 |
7 |
8 |
14 |
| Nonparametric estimation and inference for Granger causality measures |
0 |
0 |
0 |
10 |
4 |
7 |
11 |
68 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
0 |
0 |
2 |
3 |
3 |
5 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
0 |
65 |
3 |
11 |
12 |
183 |
| Parametric Portfolio Policies with Common Volatility Dynamics |
0 |
0 |
0 |
22 |
6 |
10 |
11 |
105 |
| Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach |
1 |
1 |
2 |
5 |
8 |
10 |
13 |
18 |
| Portfolio Selection Under Systemic Risk |
1 |
2 |
2 |
2 |
10 |
17 |
22 |
25 |
| Quantile Consumption-Capital Asset Pricing |
0 |
0 |
0 |
20 |
4 |
5 |
10 |
57 |
| Risk Premium, Variance Premium and the Maturity Structure of Uncertainty |
0 |
0 |
1 |
30 |
7 |
13 |
17 |
147 |
| Risk premium, variance premium and the maturity structure of uncertainty |
0 |
0 |
0 |
24 |
5 |
5 |
8 |
126 |
| Short and long run causality measures: theory and inference |
0 |
0 |
2 |
272 |
6 |
6 |
10 |
780 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
1 |
48 |
7 |
7 |
13 |
208 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
0 |
33 |
17 |
28 |
32 |
215 |
| Testing Granger Non-Causality in Expectiles |
0 |
0 |
1 |
39 |
1 |
3 |
5 |
31 |
| Testing Granger Non-Causality in Expectiles |
1 |
1 |
1 |
15 |
3 |
7 |
12 |
26 |
| The Reaction of Stock Market Returns to Unemployment |
0 |
1 |
3 |
430 |
15 |
70 |
139 |
3,827 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
0 |
73 |
7 |
13 |
16 |
440 |
| The reaction of stock market returns to anticipated unemployment |
0 |
0 |
1 |
124 |
4 |
5 |
7 |
633 |
| Value-at Risk under Measurement Error |
1 |
1 |
1 |
6 |
3 |
5 |
6 |
15 |
| What Drives International Equity Correlations? Volatility or Market Direction? |
0 |
0 |
0 |
89 |
6 |
8 |
11 |
380 |
| Total Working Papers |
6 |
10 |
24 |
2,329 |
200 |
371 |
535 |
10,806 |
| 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 |
7 |
7 |
10 |
15 |
67 |
| A bargaining model for PLS entrepreneurial financing: A game theoretic model using agent‐based simulation |
0 |
0 |
0 |
0 |
2 |
4 |
5 |
7 |
| Analytical Value-at-Risk and Expected Shortfall under regime-switching |
0 |
0 |
0 |
91 |
2 |
2 |
6 |
262 |
| Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data |
0 |
0 |
0 |
55 |
5 |
8 |
10 |
143 |
| Bernstein estimator for unbounded copula densities |
0 |
0 |
0 |
15 |
3 |
4 |
7 |
98 |
| Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market |
0 |
0 |
3 |
6 |
2 |
2 |
8 |
18 |
| Covid‐19 Control and the Economy: Test, Test, Test |
0 |
0 |
0 |
3 |
2 |
5 |
5 |
18 |
| Did the euro change the effect of fundamentals on growth and uncertainty? |
0 |
0 |
0 |
3 |
5 |
10 |
10 |
63 |
| Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form |
0 |
0 |
0 |
34 |
4 |
6 |
10 |
105 |
| FINITE-SAMPLE SIGN-BASED INFERENCE IN LINEAR AND NONLINEAR REGRESSION MODELS WITH APPLICATIONS IN FINANCE |
0 |
0 |
0 |
2 |
2 |
3 |
3 |
30 |
| Financial frictions and the futures pricing puzzle |
0 |
0 |
0 |
8 |
5 |
6 |
12 |
49 |
| In search of the determinants of European asset market comovements |
0 |
0 |
0 |
12 |
5 |
7 |
12 |
70 |
| Measuring Granger Causality in Quantiles |
1 |
2 |
5 |
6 |
2 |
5 |
14 |
37 |
| Measuring High-Frequency Causality Between Returns, Realized Volatility, and Implied Volatility |
0 |
0 |
0 |
17 |
6 |
7 |
10 |
66 |
| Measuring Nonlinear Granger Causality in Mean |
0 |
0 |
5 |
21 |
2 |
2 |
9 |
68 |
| Moments of multivariate regime switching with application to risk-return trade-off |
1 |
1 |
1 |
28 |
5 |
5 |
6 |
91 |
| Nonparametric Copula-Based Test for Conditional Independence with Applications to Granger Causality |
0 |
0 |
0 |
18 |
10 |
14 |
14 |
90 |
| Nonparametric estimation and inference for conditional density based Granger causality measures |
0 |
0 |
0 |
17 |
2 |
3 |
6 |
90 |
| Nonparametric tests for conditional independence using conditional distributions |
0 |
0 |
0 |
1 |
4 |
9 |
9 |
33 |
| Partial Structural Break Identification |
0 |
0 |
0 |
4 |
5 |
6 |
9 |
38 |
| Portfolio risk management in a data-rich environment |
0 |
0 |
0 |
24 |
5 |
7 |
7 |
96 |
| Portfolio selection in a data-rich environment |
0 |
0 |
0 |
16 |
4 |
7 |
9 |
86 |
| Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty |
0 |
0 |
1 |
14 |
4 |
8 |
11 |
64 |
| Short and long run causality measures: Theory and inference |
0 |
0 |
2 |
352 |
6 |
6 |
15 |
1,214 |
| Sovereign credit ratings, market volatility, and financial gains |
0 |
0 |
1 |
22 |
2 |
5 |
11 |
135 |
| Stock market’s reaction to money supply: a nonparametric analysis |
0 |
0 |
0 |
9 |
5 |
8 |
8 |
57 |
| Testing Granger non-causality in expectiles |
0 |
0 |
0 |
1 |
1 |
6 |
9 |
11 |
| Testing for Asymmetric Comovements |
0 |
0 |
0 |
0 |
3 |
3 |
3 |
9 |
| Testing independence based on Bernstein empirical copula and copula density |
0 |
0 |
1 |
3 |
1 |
3 |
6 |
15 |
| Testing the eigenvalue structure of spot and integrated covariance |
0 |
0 |
0 |
0 |
4 |
8 |
12 |
17 |
| The information content of forward moments |
0 |
0 |
0 |
2 |
7 |
13 |
14 |
49 |
| The reaction of stock market returns to unemployment |
0 |
1 |
5 |
46 |
5 |
13 |
28 |
228 |
| Value‐at‐Risk under Measurement Error |
0 |
0 |
0 |
0 |
3 |
5 |
8 |
12 |
| What drives international equity correlations? Volatility or market direction? |
0 |
0 |
1 |
37 |
9 |
11 |
13 |
196 |
| Total Journal Articles |
2 |
4 |
26 |
874 |
139 |
221 |
334 |
3,632 |
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