| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
132 |
1 |
3 |
5 |
434 |
| A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects |
0 |
0 |
0 |
223 |
0 |
2 |
6 |
567 |
| A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation |
0 |
0 |
0 |
1,293 |
3 |
3 |
5 |
3,233 |
| Activity Signature Functions for High-Frequency Data Analysis |
0 |
0 |
0 |
10 |
2 |
2 |
3 |
86 |
| Alternative Models for Stock Price Dynamic |
0 |
0 |
0 |
441 |
1 |
2 |
4 |
1,400 |
| Alternative Models for Stock Price Dynamics |
0 |
0 |
1 |
909 |
8 |
9 |
14 |
2,723 |
| EMM: A Program for Efficient Method of Moments Estimation. Version 1.1. User's Guide |
0 |
0 |
0 |
285 |
0 |
0 |
1 |
1,002 |
| Efficient Method of Moments |
0 |
0 |
2 |
670 |
1 |
1 |
7 |
1,781 |
| Estimation of Continuous Time Models for Stock Returns and Interest Rates |
0 |
0 |
0 |
40 |
2 |
3 |
5 |
775 |
| Estimation of Stochastic Volatility Models with Diagnostics |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
671 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
0 |
354 |
2 |
5 |
8 |
868 |
| Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
96 |
| Levy Process Models for High Frequency Financial Data |
0 |
1 |
2 |
115 |
2 |
4 |
6 |
324 |
| Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation |
0 |
0 |
0 |
12 |
2 |
2 |
4 |
61 |
| New Minimum Chi-Square Methods in Empirical Finance |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
1,085 |
| ON FITTING A RECALCITRANT SERIES: THE POUND/DOLLAR EXCHANGE RATE, 1974- 83 |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
2,849 |
| Pricing of the Time-Change Risks |
0 |
0 |
0 |
7 |
1 |
1 |
4 |
68 |
| Pricing of the Time-Change Risks |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
36 |
| Rational Pessimism, Rational Exuberance, and Asset Pricing Models |
0 |
0 |
0 |
108 |
0 |
1 |
2 |
430 |
| Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models |
0 |
0 |
0 |
9 |
1 |
1 |
2 |
68 |
| Realized jumps on financial markets and predicting credit spreads |
0 |
0 |
0 |
140 |
0 |
0 |
2 |
450 |
| Regime-shifts, risk premiums in the term structure, and the business cycle |
0 |
0 |
0 |
176 |
1 |
1 |
1 |
510 |
| Reproducing Partial Observed Systems with Application to Interest Rate Diffusions |
0 |
0 |
0 |
20 |
2 |
2 |
3 |
92 |
| Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
321 |
| Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability |
0 |
0 |
0 |
179 |
0 |
1 |
3 |
486 |
| Risk, Jumps, and Diversification |
0 |
0 |
0 |
107 |
1 |
1 |
1 |
268 |
| SEMINONPARAMETRIC ESTIMATION OF CONDITIONALLY CONSTRAINED HETEROGENEOUS PROCESSES: ASSET PRICING APPLICATIONS |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
458 |
| SNP: A Program for Nonparametric Time Series Analysis. Version 8.4. User's Guide |
0 |
0 |
1 |
263 |
0 |
0 |
1 |
1,095 |
| Simulated Score Methods and Indirect Inference for Continuous-time Models |
0 |
0 |
1 |
403 |
0 |
1 |
4 |
854 |
| Specification Analysis of Continuous Time Models in Finance |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
388 |
| The Fine Structure of Equity-Index Option Dynamics |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
114 |
| The Objective Function of Simulation Estimators Near the Boundary of the Unstable Region of the Parameter Space |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
449 |
| The Realized Laplace Transform of Volatility |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
76 |
| Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance |
0 |
0 |
0 |
266 |
0 |
1 |
3 |
912 |
| Volatility Activity: Specification and Estimation |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
111 |
| Volatility Jumps |
0 |
0 |
1 |
46 |
2 |
3 |
6 |
194 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
117 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
203 |
0 |
1 |
2 |
406 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
152 |
| Volume, Volatility and Leverage: A Dynamic Analysis |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
668 |
| Which Moments to Match |
0 |
0 |
0 |
10 |
1 |
1 |
3 |
1,218 |
| Total Working Papers |
0 |
1 |
8 |
6,669 |
35 |
55 |
124 |
27,896 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects |
0 |
0 |
1 |
157 |
1 |
6 |
10 |
480 |
| A note on the asymptotic lower bound for the covariance matrix of the GMM estimator of the parameters of agents' utility functions |
0 |
0 |
0 |
14 |
0 |
1 |
4 |
62 |
| Activity signature functions for high-frequency data analysis |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
167 |
| Adaptive estimation of continuous-time regression models using high-frequency data |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
55 |
| Alternative models for stock price dynamics |
1 |
1 |
3 |
340 |
5 |
7 |
13 |
890 |
| An Investigation of Transactions Data for NYSE Stocks: Discussion |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
126 |
| Diagnostic testing and evaluation of maximum likelihood models |
0 |
0 |
4 |
305 |
0 |
0 |
9 |
651 |
| ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
29 |
| ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES |
1 |
1 |
3 |
27 |
2 |
2 |
4 |
93 |
| Estimation of stochastic volatility models with diagnostics |
0 |
0 |
1 |
229 |
2 |
3 |
10 |
490 |
| Expected Stock Returns and Variance Risk Premia |
0 |
2 |
4 |
227 |
5 |
21 |
37 |
805 |
| Finite state markov-chain approximations to univariate and vector autoregressions |
2 |
3 |
17 |
1,548 |
12 |
19 |
133 |
2,963 |
| Frontiers of financial econometrics and financial engineering |
0 |
0 |
1 |
106 |
1 |
1 |
3 |
278 |
| Guessing and the Error Structure of Learning Models |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
114 |
| Inference theory for volatility functional dependencies |
0 |
0 |
0 |
4 |
0 |
2 |
3 |
59 |
| Introduction to: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
24 |
| Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
27 |
| Jump Regressions |
0 |
0 |
1 |
8 |
0 |
0 |
3 |
74 |
| Leverage and Volatility Feedback Effects in High-Frequency Data |
0 |
1 |
3 |
173 |
2 |
5 |
11 |
487 |
| Mixed-scale jump regressions with bootstrap inference |
0 |
0 |
0 |
11 |
0 |
0 |
3 |
87 |
| Nonlinear Dynamic Structures |
0 |
0 |
2 |
426 |
2 |
2 |
6 |
1,354 |
| Nonparametric estimation of structural models for high-frequency currency market data |
0 |
0 |
0 |
230 |
1 |
4 |
4 |
523 |
| Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data |
0 |
0 |
0 |
16 |
0 |
0 |
1 |
62 |
| Notes on financial econometrics |
0 |
0 |
0 |
156 |
0 |
0 |
2 |
364 |
| Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
189 |
| Pricing of the time-change risks |
0 |
0 |
0 |
10 |
0 |
0 |
4 |
57 |
| Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models |
0 |
0 |
2 |
1,097 |
7 |
9 |
17 |
2,344 |
| Rational Pessimism, Rational Exuberance, and Asset Pricing Models |
1 |
1 |
1 |
105 |
1 |
2 |
13 |
390 |
| Realized Laplace transforms for estimation of jump diffusive volatility models |
0 |
0 |
1 |
29 |
4 |
4 |
7 |
127 |
| Realized jumps on financial markets and predicting credit spreads |
0 |
0 |
1 |
114 |
1 |
1 |
7 |
360 |
| Regime Shifts, Risk Premiums in the Term Structure, and the Business Cycle |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
230 |
| Remarks on My Term at JBES |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
171 |
| Risk and return: Long-run relations, fractional cointegration, and return predictability |
0 |
0 |
0 |
58 |
2 |
2 |
7 |
268 |
| Risk, jumps, and diversification |
0 |
0 |
1 |
204 |
0 |
0 |
4 |
557 |
| Robust Jump Regressions |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
28 |
| Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications |
0 |
0 |
2 |
216 |
2 |
2 |
7 |
516 |
| Simulation Methods for Levy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
196 |
| Solving the Stochastic Growth Model by Using Quadrature Methods and Value-Function Iterations |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
423 |
| Some Evidence on Cross-Sector Effects of the Minimum Wage |
0 |
0 |
0 |
19 |
0 |
1 |
2 |
106 |
| Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data |
0 |
0 |
0 |
0 |
1 |
2 |
3 |
696 |
| Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data: Reply |
0 |
0 |
0 |
0 |
1 |
1 |
3 |
355 |
| Stochastic Volatility in General Equilibrium |
0 |
0 |
0 |
7 |
1 |
1 |
1 |
36 |
| Stock Prices and Volume |
0 |
0 |
2 |
999 |
2 |
3 |
11 |
3,514 |
| Testing Target-Zone Models Using Efficient Method of Moments |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
270 |
| Testing Target-Zone Models Using Efficient Method of Moments: Reply |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
205 |
| The Effect of Liquor Taxes on Heavy Drinking |
0 |
0 |
6 |
509 |
1 |
1 |
11 |
2,601 |
| The Effect of Minimum Drinking Age Legislation on Youthful Auto Fatalities, 1970-1977 |
0 |
0 |
0 |
98 |
2 |
2 |
5 |
256 |
| The Objective Function Of Simulation Estimators Near The Boundary Of The Unstable Region Of The Parameter Space |
0 |
0 |
0 |
25 |
0 |
0 |
2 |
285 |
| The Price Variability-Volume Relationship on Speculative Markets |
1 |
1 |
4 |
1,012 |
3 |
9 |
19 |
2,803 |
| The Realized Laplace Transform of Volatility |
0 |
0 |
0 |
13 |
3 |
3 |
4 |
145 |
| The Relative Contribution of Jumps to Total Price Variance |
0 |
0 |
2 |
201 |
3 |
3 |
10 |
582 |
| The bias of tests for a risk premium in forward exchange rates |
0 |
0 |
0 |
58 |
0 |
0 |
0 |
163 |
| The fine structure of equity-index option dynamics |
0 |
0 |
0 |
19 |
0 |
1 |
6 |
116 |
| The relative efficiency of method of moments estimators1 |
0 |
0 |
0 |
16 |
1 |
1 |
3 |
86 |
| Using Daily Range Data To Calibrate Volatility Diffusions And Extract The Forward Integrated Variance |
0 |
0 |
3 |
169 |
1 |
2 |
15 |
630 |
| Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution |
0 |
0 |
0 |
169 |
1 |
1 |
1 |
402 |
| Volatility Jumps |
0 |
1 |
2 |
23 |
1 |
2 |
4 |
131 |
| Volatility Jumps |
0 |
1 |
3 |
41 |
1 |
4 |
11 |
165 |
| Volatility activity: Specification and estimation |
0 |
0 |
0 |
11 |
1 |
1 |
2 |
116 |
| Volatility in Equilibrium: Asymmetries and Dynamic Dependencies |
0 |
0 |
0 |
19 |
0 |
1 |
5 |
87 |
| Volume, volatility, and leverage: A dynamic analysis |
0 |
1 |
2 |
64 |
0 |
1 |
6 |
227 |
| Which Moments to Match? |
0 |
1 |
1 |
137 |
1 |
2 |
9 |
453 |
| Total Journal Articles |
6 |
14 |
74 |
9,701 |
76 |
138 |
468 |
30,550 |
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