| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Comparison of Financial Duration Models via Density Forecasts |
0 |
0 |
0 |
362 |
0 |
0 |
10 |
819 |
| A Monthly Volatility Index for the US Economy |
0 |
0 |
0 |
2 |
3 |
4 |
22 |
68 |
| A Multivariate Hill Estimator |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
12 |
| A comparison of financial duration models via density forecast |
0 |
0 |
0 |
0 |
1 |
1 |
15 |
77 |
| A comparison of financial duration models via density forecasts |
1 |
1 |
1 |
82 |
1 |
2 |
19 |
1,160 |
| A model for vast panels of volatilities |
0 |
0 |
0 |
85 |
0 |
0 |
15 |
182 |
| A simple two-component model for the distribution of intraday returns |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
52 |
| A simple two-component model for the distribution of intraday returns |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
6 |
| Aggregation of linear models for panel data |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
27 |
| Aggregation of linear models for panel data |
0 |
0 |
1 |
9 |
0 |
1 |
9 |
57 |
| Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices |
0 |
0 |
0 |
55 |
0 |
0 |
6 |
86 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
0 |
58 |
1 |
1 |
12 |
182 |
| Does the open limit order book matter in explaining informational volatility? |
0 |
0 |
0 |
0 |
1 |
1 |
13 |
36 |
| Does the open limit order book matter in explaining long run volatility ? |
0 |
0 |
0 |
118 |
1 |
1 |
6 |
441 |
| Estimation of stable distributions by indirect inference |
0 |
0 |
1 |
75 |
4 |
4 |
17 |
272 |
| Estimation of stable distributions with indirect inference |
0 |
0 |
0 |
5 |
0 |
0 |
12 |
62 |
| High frequency finance |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
47 |
| High frequency financial econometrics. Recent developments |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
83 |
| How relevant is infrastructure to growth in East Asia ? |
0 |
0 |
0 |
150 |
0 |
1 |
15 |
335 |
| Indirect estimation of elliptical stable distributions |
0 |
0 |
0 |
25 |
1 |
1 |
11 |
99 |
| Indirect inference of elliptical fat tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
37 |
| Inference for vast dimensional elliptical distributions |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
47 |
| Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation |
0 |
0 |
0 |
80 |
1 |
1 |
12 |
255 |
| Latest developments in heavy-tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
55 |
| Macro Surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
18 |
| Macro surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
0 |
0 |
7 |
25 |
| Macro surprises and short-term behaviour in bond futures |
0 |
0 |
0 |
24 |
0 |
0 |
3 |
112 |
| Marginal quantiles for stationary processes |
0 |
0 |
0 |
15 |
0 |
0 |
11 |
70 |
| Market liquidity as dynamic factors |
0 |
0 |
0 |
4 |
0 |
0 |
12 |
72 |
| On sample marginal quantiles for stationary processes |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
41 |
| On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach |
0 |
0 |
0 |
16 |
1 |
1 |
10 |
401 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
1 |
67 |
0 |
0 |
11 |
182 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
0 |
174 |
1 |
2 |
8 |
442 |
| Optimal portfolios with end-of-period target |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
29 |
| Quantifying and understanding dysfunctions in financial markets |
0 |
0 |
0 |
0 |
0 |
0 |
11 |
51 |
| Quantitative Finance Group: Activity Report 2010-2012 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
37 |
| Rank-based testing in linear models with stable errors |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
33 |
| Seminonparametric models for financial durations |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
15 |
| Short Selling in the Tails |
0 |
0 |
0 |
43 |
0 |
1 |
4 |
78 |
| Statistical Estimation of Portfolios for Dependent Financial Returns |
0 |
0 |
1 |
2 |
0 |
0 |
5 |
25 |
| TailCoR |
0 |
0 |
0 |
42 |
0 |
1 |
16 |
217 |
| Temporal aggregation of univariate and multivariate time series models: A survey |
0 |
0 |
5 |
460 |
1 |
3 |
29 |
1,005 |
| Temporal aggregation of univariate and multivariate time series models: a survey |
0 |
0 |
0 |
0 |
0 |
1 |
69 |
111 |
| Temporal aggregation of univariate linear time series models |
0 |
0 |
0 |
96 |
1 |
2 |
10 |
299 |
| Testing conditional asymmetry. A residual based approach |
0 |
0 |
0 |
0 |
0 |
0 |
19 |
60 |
| Testing weak exogeneity in the exponential family: an application to financial point processes |
0 |
0 |
0 |
29 |
0 |
0 |
17 |
168 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
2 |
3 |
4 |
9 |
39 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
62 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
1 |
46 |
0 |
0 |
7 |
173 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
41 |
0 |
0 |
11 |
179 |
| The method of simulated quantiles |
0 |
0 |
0 |
3 |
0 |
1 |
15 |
39 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
51 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
67 |
0 |
1 |
11 |
1,232 |
| Using intra annual information to forecast the annual state deficit. The case of France |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
31 |
| Using intra annual information to forecast the annual state deficits: the case of France |
0 |
0 |
0 |
22 |
1 |
1 |
12 |
139 |
| What pieces of LOB information are informative? An empirical analysis of a pure order driven market |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
18 |
| What pieces of limit order book information are informative ? |
0 |
0 |
0 |
118 |
0 |
2 |
9 |
457 |
| Which model to match? |
0 |
0 |
0 |
26 |
0 |
1 |
14 |
106 |
| Total Working Papers |
1 |
1 |
11 |
2,403 |
24 |
44 |
640 |
10,514 |
LogEc is hosted by the
Örebro University School of Business.