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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian Chi-Squared Test for Hypothesis Testing 0 0 0 20 0 1 3 95
A Class of Nonlinear Stochastic Volatility Models 0 0 1 3 0 3 5 30
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 1 3 1,187
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 0 3 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 0 0 1 247
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 0 100
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 39 0 0 2 99
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 1 1 1 125
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 0 0 0 30
A Note on AIC and TIC for Model Selection 2 6 11 11 2 7 15 15
A Panel Clustering Approach to Analyzing Bubble Behavior 0 1 3 17 1 3 12 38
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 1 62 0 0 24 75
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 0 1 51
A Quantile-based Asset Pricing Model 0 0 0 65 0 0 10 97
A Semiparametric Stochastic Volatility Model 0 0 0 7 0 0 0 48
A Specification Test based on the MCMC Output 0 0 0 19 0 0 0 88
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 1 1 2 18
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 0 0 0 78
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 0 1 1 609
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 1 3 261
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 0 1 77
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 1 1 1 76
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 1 1 2 26
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 0 2 26 0 0 5 43
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 0 0 0 19
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 0 1 2 92
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 0 0 0 38
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 1 109
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 0 0 0 36
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 2 2 3 59
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 0 2 2 104
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 0 0 136
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 10 1 1 3 76
Bayesian Hypothesis Testing in Latent Variable Models 0 0 1 45 0 0 1 179
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 0 3 223
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 3 5 0 1 5 21
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 0 0 0 189
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 0 0 0 155
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 0 0 116
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 0 0 1 61
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 1 1 51
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 0 0 115
Bubble Testing under Deterministic Trends 1 1 1 32 1 1 2 66
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 0 103
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 2 92 0 0 6 317
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 1 1 98
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 0 1 180
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 0 0 0 69
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 167 0 1 1 432
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 0 0 5 95
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 1 2 5 239
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 1 297 0 2 3 957
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 0 0 3 243
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 0 0 0 47
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 0 0 0 53
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 26 0 0 12 97
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 0 0 0 80
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 0 3 3 3 6 15 15
Different Strokes for Different Folks: Long Memory and Roughness 0 0 1 19 0 0 1 14
Do Topics Diffuse from Core to Periphery Journals? 1 1 1 4 1 1 4 38
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 2 2 2 96
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 0 2 2 53
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 1 83 0 0 2 136
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 0 3 57
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 2 12 130
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 1 5 105 1 3 10 87
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 1 1 1 5 1 1 1 21
Empirical Characteristic Function in Time Series Estimation 0 0 3 9 0 1 5 50
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 0 0 0 79
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 1 1 2 37
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 0 0 673
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 1 1 2 38
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 0 6 0 0 0 20
Exact Gaussian Estimation of Continuous Time Models of The Term Structure of Interest Rates Rankings of Economics Departments in New Zealand 0 0 0 2 0 0 0 24
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 1 80
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 2 2 4 285 3 4 13 969
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 0 0 0 177
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 1 2 6 392
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 1 1 7 335
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 1 1 2 36
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 1 13 1 1 23 43
Forecast combinations in machine learning 0 0 5 143 1 4 18 252
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 3 3 4 125
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 0 0 1 106
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 1 1 2 95
Forecasting Singapore GDP using the SPF data 0 0 0 20 1 2 9 46
Forecasting Volatility in the New Zealand Stock Market 0 0 1 8 1 1 2 48
Forecasting Volatility:Evidence from the German Stock Market 1 2 2 12 1 6 13 86
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 1 2 1,016
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 0 0 1 80
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 1 1 1 41
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 0 0 6 68
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 1 1 117
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 0 0 832
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 1 1 1 166
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 0 0 0 592
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 0 1 156
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 0 0 0 45
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 0 1 79
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 0 1 90
Jackknifing Bond Option Prices 0 0 0 52 0 0 1 281
Jackknifing Bond Option Prices 0 0 0 459 1 1 1 1,619
Jacknifing Bond Option Prices 0 0 0 1 1 1 2 43
Latent Local-to-Unity Models 0 0 0 21 1 1 1 37
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 1 2 87
Limit Theory for an Explosive Autoregressive Process 1 1 1 46 1 1 1 89
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 1 2 16
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 1 1 2 31
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 6 85 1 1 14 172
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 0 0 47
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 0 1 97
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 0 0 0 1,813
Measurement and High Finance 0 0 0 22 0 0 0 66
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 1 1 1 33
Model Selection for Explosive Models 0 0 0 1 0 0 2 7
Model Selection for Explosive Models 0 0 0 22 1 1 4 27
Multivariate Stochastic Volatility 0 0 0 35 1 2 3 188
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 7 7 3 8 22 22
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 0 1 719
On Bias in the Estimation of Structural Break Points 0 0 0 32 0 0 2 42
On Leverage in a Stochastic Volatility Model 0 0 0 1 1 1 1 452
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 0 0 352
On leverage in a stochastic volatility model 0 0 0 0 0 0 0 320
On the Optimal Forecast with the Fractional Brownian Motion 0 1 4 34 0 1 8 26
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 23 23 1 5 21 21
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 0 88
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 0 1 69
Persistent and Rough Volatility 0 1 1 82 1 2 5 185
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 0 0 55
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 0 0 70
Robust Deviance Information Criterion for Latent Variable Models 1 1 2 56 2 2 3 210
Robust Deviance Information Criterion for Latent Variable Models 1 1 1 3 1 1 2 29
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 1 42 1 1 3 20
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 1 1 1 15
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 1 1 38
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 0 0 0 31
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 0 1 85
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 19 0 0 1 82
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 0 0 0 51
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 0 1 172
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 1 2 2 59
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 0 1 613
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 2 85
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 0 2 39
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 1 102
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 1 1 2 284
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 0 0 0 152
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 0 1 298
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 22 0 1 1 118
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 1 4 0 0 1 24
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 1 19 0 0 2 86
Teaching Financial Econometrics to Students Converting to Finance 5 12 24 24 8 23 42 42
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 1 71
Testing Predictability in the Presence of Persistent Errors 0 0 9 9 0 1 19 19
Testing for Multiple Bubbles 1 2 3 14 1 4 6 58
Testing for Multiple Bubbles 0 0 3 192 4 11 24 517
Testing for Multiple Bubbles 0 0 1 106 1 2 7 354
Testing for Multiple Bubbles 1 1 2 244 2 3 4 787
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 1 1 3 297 1 2 10 474
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 3 3 5 77
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 1 2 9 247
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 2 3 330 0 3 14 795
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 2 120 0 0 6 431
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 7 7 1 2 24 24
Testing for an Explosive Bubble using High-Frequency Volatility 0 1 15 15 0 2 31 31
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 1 63
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 2 2 2 2 10 11 11
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 0 0 5 15
Weak Identification of Long Memory with Implications for Inference 0 0 0 121 9 14 24 128
Total Working Papers 19 41 178 9,843 97 207 702 29,919
4 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Bayesian chi-squared test for hypothesis testing 0 0 0 11 0 1 2 128
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 1 1 1 433
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 1 3 4 1 5 14 18
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 1 2 176
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 1 1 2 35
A new approach to Bayesian hypothesis testing 0 0 1 30 0 0 2 135
A semiparametric stochastic volatility model 0 0 0 41 1 2 3 130
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 1 130
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 0 0 0 24
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 0 0 0 46
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 1 2 42
Asymptotic theory for rough fractional Vasicek models 0 0 1 1 0 0 3 54
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 1 2 1,258
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 1 2 3 54
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 2 4 119
Bayesian hypothesis testing in latent variable models 0 0 0 28 0 0 0 180
Bias in estimating multivariate and univariate diffusions 0 0 0 22 0 0 0 109
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 1 2 2 31
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 1 66 0 1 3 367
Bubble testing under polynomial trends 0 0 0 0 0 0 0 0
Comment 0 0 1 11 0 0 4 105
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ (Yu, J. and P. C. B. Phillips, Econometrics Journal, 4, 210–24) 0 0 0 0 0 0 0 27
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 96 0 0 9 307
Detecting bubbles in Hong Kong residential property market 0 0 2 43 0 2 7 206
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 0 0 0 564
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 1 2 5 101
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 0 2 197
Double asymptotics for explosive continuous time models 0 0 0 12 1 1 1 68
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 1 11 1 1 3 66
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 1 2 34 0 2 4 153
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 2 3 11 695
Editorial 0 0 0 2 0 2 4 54
Empirical Characteristic Function Estimation and Its Applications 0 0 1 292 1 2 3 699
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 1 1 4 1 2 2 28
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 0 2 9
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 1 1 22
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 1 2 2 9
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 0 1 8 24
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 0 1 5
Indirect inference for dynamic panel models 0 1 2 213 0 1 6 531
Inference in continuous systems with mildly explosive regressors 0 0 2 8 0 0 2 63
Information loss in volatility measurement with flat price trading 0 1 1 1 2 6 9 12
Jackknifing Bond Option Prices 0 0 0 81 0 0 3 295
Latent local-to-unity models 0 0 0 1 1 1 2 4
Limit theory for an explosive autoregressive process 0 0 0 8 1 3 5 66
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 1 5 26
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 0 0 2 93
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 0 1 13
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 1 5 16 0 1 11 37
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 62 0 0 3 222
Multivariate Stochastic Volatility: A Review 0 2 6 131 0 3 11 346
New distribution theory for the estimation of structural break point in mean 0 0 0 12 0 0 1 46
New methodology for constructing real estate price indices applied to the Singapore residential market 0 1 2 22 2 4 9 122
On leverage in a stochastic volatility model 0 0 0 260 0 1 2 560
On the optimal forecast with the fractional Brownian motion 0 0 5 5 0 0 11 11
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 2 3 3 3
Optimal jackknife for unit root models 1 1 1 2 1 2 2 25
Posterior-based Wald-type statistics for hypothesis testing 0 0 0 3 0 0 1 13
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 0 2 53
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 1 1 26 1 2 4 283
Robust testing for explosive behavior with strongly dependent errors 0 0 1 1 0 0 7 9
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 0 59
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 0 23 0 2 3 104
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 28 0 0 0 101
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 1 34 0 0 2 132
Specification tests based on MCMC output 0 0 0 1 0 1 1 39
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 1 6 21 33 5 18 76 132
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 1 3 4 8 1 5 13 33
Temporal aggregation and risk-return relation 0 0 0 14 0 0 1 70
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 0 0 0 41
The Grid Bootstrap for Continuous Time Models 0 0 0 2 0 2 2 13
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 0 1 233
Volatility Puzzle: Long Memory or Antipersistency 1 2 4 8 3 4 14 23
Total Journal Articles 4 22 72 2,322 33 101 330 11,334

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Asymptotic Properties of the Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noise 0 0 0 0 0 0 0 1
Deviance Information Criterion for Comparing VAR Models 0 1 1 1 1 2 2 28
Model Selection for Explosive Models 0 0 0 1 0 0 1 23
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 1 1 1 2 3 4
Total Chapters 0 1 2 3 2 4 6 56
3 registered items for which data could not be found
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Statistics updated 2025-03-03