| 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 |
361 |
0 |
1 |
8 |
793 |
| A Monthly Volatility Index for the US Economy |
0 |
0 |
0 |
1 |
1 |
5 |
14 |
35 |
| A comparison of financial duration models via density forecast |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
48 |
| A comparison of financial duration models via density forecasts |
0 |
0 |
1 |
80 |
0 |
1 |
7 |
1,132 |
| A model for vast panels of volatilities |
0 |
0 |
2 |
83 |
0 |
0 |
7 |
151 |
| A simple two-component model for the distribution of intraday returns |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
40 |
| Aggregation of linear models for panel data |
0 |
0 |
0 |
4 |
0 |
0 |
6 |
29 |
| Aggregation of linear models for panel data |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
16 |
| Disentangled Jump-Robust Realized Covariances and Correlations with Non-Synchronous Prices |
0 |
0 |
0 |
53 |
0 |
0 |
5 |
67 |
| Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets |
0 |
0 |
1 |
54 |
0 |
2 |
6 |
155 |
| Does the open limit order book matter in explaining informational volatility? |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
15 |
| Does the open limit order book matter in explaining long run volatility ? |
0 |
0 |
2 |
114 |
1 |
2 |
7 |
416 |
| Estimation of stable distributions by indirect inference |
0 |
0 |
0 |
74 |
1 |
1 |
6 |
247 |
| Estimation of stable distributions with indirect inference |
0 |
0 |
0 |
5 |
0 |
0 |
5 |
40 |
| High frequency finance |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
35 |
| High frequency financial econometrics. Recent developments |
0 |
0 |
0 |
0 |
2 |
2 |
5 |
65 |
| How relevant is infrastructure to growth in East Asia ? |
0 |
0 |
1 |
141 |
2 |
4 |
13 |
285 |
| Indirect estimation of elliptical stable distributions |
0 |
0 |
0 |
25 |
1 |
2 |
8 |
84 |
| Indirect inference of elliptical fat tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
24 |
| Inference for vast dimensional elliptical distributions |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
36 |
| Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation |
0 |
0 |
0 |
78 |
0 |
0 |
7 |
229 |
| Latest developments in heavy-tailed distributions |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
44 |
| Macro Surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
| Macro surprises and short-term behavior in bond futures |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
17 |
| Macro surprises and short-term behaviour in bond futures |
0 |
0 |
0 |
23 |
0 |
1 |
7 |
105 |
| Marginal quantiles for stationary processes |
0 |
0 |
0 |
12 |
0 |
0 |
10 |
48 |
| Market liquidity as dynamic factors |
0 |
0 |
0 |
4 |
0 |
0 |
9 |
39 |
| On sample marginal quantiles for stationary processes |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
31 |
| On the (Intradaily) Seasonality and Dynamics of a Financial Point Process: A Semiparametric Approach |
0 |
0 |
1 |
13 |
0 |
1 |
6 |
380 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
0 |
59 |
1 |
2 |
6 |
144 |
| On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach |
0 |
0 |
0 |
168 |
1 |
1 |
3 |
418 |
| Optimal portfolios with end-of-period target |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
22 |
| Quantifying and understanding dysfunctions in financial markets |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
38 |
| Quantitative Finance Group: Activity Report 2010-2012 |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
27 |
| Rank-based testing in linear models with stable errors |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
21 |
| Seminonparametric models for financial durations |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
12 |
| Short Selling in the Tails |
0 |
0 |
2 |
39 |
1 |
2 |
13 |
64 |
| Statistical Estimation of Portfolios for Dependent Financial Returns |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
18 |
| TailCoR |
0 |
0 |
0 |
35 |
3 |
7 |
16 |
162 |
| Temporal aggregation of univariate and multivariate time series models: A survey |
1 |
2 |
13 |
415 |
9 |
12 |
46 |
849 |
| Temporal aggregation of univariate and multivariate time series models: a survey |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
34 |
| Temporal aggregation of univariate linear time series models |
0 |
0 |
1 |
95 |
1 |
3 |
4 |
281 |
| Testing conditional asymmetry. A residual based approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
37 |
| Testing weak exogeneity in the exponential family: an application to financial point processes |
0 |
0 |
0 |
29 |
1 |
1 |
3 |
142 |
| The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility |
0 |
0 |
0 |
41 |
0 |
0 |
9 |
164 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
42 |
| The impact of macroeconomic news on quote adjustments, noise and informational volatility |
0 |
0 |
0 |
2 |
0 |
0 |
6 |
28 |
| The impact of macroeconomic news on quote adjustments, noise, and informational volatility |
0 |
0 |
0 |
45 |
1 |
2 |
9 |
161 |
| The method of simulated quantiles |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
18 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
65 |
1 |
2 |
4 |
1,211 |
| The stochastic conditional duration model: a latent factor model for the analysis of financial durations |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
31 |
| Using intra annual information to forecast the annual state deficit. The case of France |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
21 |
| Using intra annual information to forecast the annual state deficits: the case of France |
0 |
0 |
1 |
20 |
1 |
1 |
4 |
116 |
| What pieces of LOB information are informative? An empirical analysis of a pure order driven market |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
14 |
| What pieces of limit order book information are informative ? |
0 |
0 |
4 |
117 |
0 |
5 |
23 |
425 |
| Which model to match? |
0 |
0 |
0 |
24 |
0 |
1 |
4 |
84 |
| Total Working Papers |
1 |
2 |
29 |
2,282 |
29 |
68 |
346 |
9,198 |
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