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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 4 96
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 0 1 5 31
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 2 5 1,189
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 37 0 0 0 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 0 0 0 247
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 1 1 2 126
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 39 0 0 1 99
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 1 1 12 12 1 4 19 19
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 1 62 0 0 24 75
A Panel Clustering Approach to Analyzing Bubble Behavior 0 1 3 18 0 2 7 40
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 1 2 52
A Quantile-based Asset Pricing Model 0 0 0 65 0 0 9 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 0 0 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 0 1 609
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 0 2 5 263
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 1 2 77
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 0 1 77
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 0 0 1 26
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 0 1 2 27 0 2 5 45
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 3 93
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 0 12 12 50
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 1 2 3 111
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 0 1 1 37
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 1 1 3 60
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 0 1 3 105
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 10 1 1 4 77
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 0 0 0 136
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 2 5 0 0 4 21
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 1 3 224
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 1 1 117
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 0 1 1 62
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 0 1 51
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 1 1 116
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 0 7 7 7 2 16 16 16
Bubble Testing under Deterministic Trends 0 0 1 32 0 1 3 67
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 1 1 104
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 2 92 0 0 5 317
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 2 3 100
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 18 0 0 4 95
Dating the Timeline of Financial Bubbles During the Subprime Crisis 1 1 1 168 1 1 2 433
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 0 0 4 239
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 1 297 0 1 4 958
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 0 0 0 47
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 0 1 2 244
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 0 2 2 55
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 26 1 4 8 101
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 0 3 18 18
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? 0 0 1 4 0 1 4 39
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 0 2 96
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 0 1 3 54
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 1 83 0 1 2 137
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 0 1 57
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 1 13 131
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 3 105 0 0 7 87
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 1 3 4 8 1 4 5 25
Empirical Characteristic Function in Time Series Estimation 0 0 2 9 0 1 5 51
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 0 0 2 37
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 1 1 674
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 0 0 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 1 1 25
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 0 0 7 335
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 0 80
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 2 5 287 1 3 14 972
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 0 1 1 178
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 1 1 7 393
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 0 0 1 36
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 1 1 21 44
Forecast combinations in machine learning 0 0 2 143 0 1 14 253
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 0 0 3 125
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 1 3 96
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 0 1 2 107
Forecasting Singapore GDP using the SPF data 0 0 0 20 0 0 8 46
Forecasting Volatility in the New Zealand Stock Market 0 0 1 8 0 4 6 52
Forecasting Volatility:Evidence from the German Stock Market 0 1 3 13 1 4 13 90
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 0 2 1,016
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 0 2 3 82
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 0 0 1 41
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 0 0 3 68
Indirect Inference for Dynamic Panel Models 0 0 0 17 1 2 3 119
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 97 0 0 0 592
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 1 1 2 167
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 2 3 158
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 1 2 282
Jackknifing Bond Option Prices 0 0 0 459 0 1 2 1,620
Jacknifing Bond Option Prices 0 0 0 1 0 1 3 44
Latent Local-to-Unity Models 0 0 0 21 0 0 1 37
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 0 0 1 87
Limit Theory for an Explosive Autoregressive Process 0 0 1 46 0 0 1 89
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 0 0 1 16
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 0 1 3 32
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 4 85 0 1 10 173
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 4 22 22 22 6 36 36 36
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 0 0 97
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 0 0 0 1,813
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 0 0 47
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 0 0 1 33
Model Selection for Explosive Models 0 0 0 22 0 0 3 27
Model Selection for Explosive Models 0 0 0 1 0 0 1 7
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 18 18 18 18 11 12 12 12
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 21 21 21 21 4 5 5 5
Multivariate Stochastic Volatility 1 1 1 36 1 1 3 189
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 1 8 8 0 1 23 23
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 0 42
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 1 1 353
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 1 2 453
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 0 2 34 0 0 4 26
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 23 23 1 1 22 22
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 0 1 69
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 0 88
Persistent and Rough Volatility 1 1 2 83 1 2 6 187
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 0 0 1 56 0 0 2 210
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 3 0 0 2 29
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 1 42 0 0 3 20
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 0 0 1 15
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 0 1 38
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 1 1 1 32
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 1 1 86
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 0 0 0 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 1 2 173
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 0 2 59
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 1 85
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 0 0 1 613
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 1 2 40
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 0 0 0 102
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 0 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 22 0 0 1 118
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 0 1 298
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 0 19 0 0 1 86
Teaching Financial Econometrics to Students Converting to Finance 0 5 29 29 1 9 51 51
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 1 71
Testing Predictability in the Presence of Persistent Errors 0 2 11 11 0 8 27 27
Testing for Multiple Bubbles 1 3 6 195 1 8 28 525
Testing for Multiple Bubbles 1 1 4 15 1 2 7 60
Testing for Multiple Bubbles 1 1 3 245 1 3 7 790
Testing for Multiple Bubbles 0 0 1 106 1 1 6 355
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 1 3 298 0 3 7 477
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 0 4 77
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 1 2 10 249
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 3 330 0 1 9 796
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 120 1 1 3 432
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 14 15 0 0 28 31
Testing for an Explosive Bubble using High-Frequency Volatility 1 1 8 8 1 2 26 26
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 0 2 2 1 5 16 16
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 0 0 4 15
Weak Identification of Long Memory with Implications for Inference 0 1 1 122 0 1 21 129
Total Working Papers 52 96 252 9,939 51 222 806 30,141
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 1 1 3 129
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 0 1 433
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 1 4 5 0 3 15 21
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 0 1 3 177
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 0 2 35
A new approach to Bayesian hypothesis testing 0 0 1 30 0 0 1 135
A semiparametric stochastic volatility model 0 0 0 41 1 1 4 131
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 0 2 42
Asymptotic theory for rough fractional Vasicek models 0 0 1 1 1 1 3 55
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 1 1 2 1,259
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 0 3 54
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 1 5 120
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 1 1 181
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 0 0 2 31
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 1 66 0 0 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 1 1 3 97 3 4 13 311
Detecting bubbles in Hong Kong residential property market 0 0 1 43 0 2 7 208
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 0 0 4 101
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 0 0 1 68
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 0 0 2 66
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 2 34 0 0 4 153
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 0 1 10 696
Editorial 0 0 0 2 0 0 4 54
Empirical Characteristic Function Estimation and Its Applications 1 1 1 293 1 1 3 700
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 1 4 0 0 2 28
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 0 1 9
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 0 0 1 22
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Fractional stochastic volatility model 0 0 0 0 1 1 3 3
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 0 0 2 9
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 0 1 8 25
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 1 1 6
Indirect inference for dynamic panel models 0 0 1 213 1 2 4 533
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 0 0 63
Information loss in volatility measurement with flat price trading 0 0 1 1 1 3 10 15
Jackknifing Bond Option Prices 0 0 0 81 0 1 3 296
Latent local-to-unity models 0 0 0 1 1 2 3 6
Limit theory for an explosive autoregressive process 0 0 0 8 0 0 4 66
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 0 5 26
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 0 1 3 94
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 1 1 6 17 1 3 12 40
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 62 0 1 3 223
Multivariate Stochastic Volatility: A Review 0 0 5 131 0 0 8 346
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 23 0 1 7 123
On leverage in a stochastic volatility model 0 0 0 260 0 0 2 560
On stiffness in affine asset pricing models 0 0 0 0 0 1 1 1
On the optimal forecast with the fractional Brownian motion 0 0 5 5 1 3 11 14
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 2 4 7 7
Optimal jackknife for unit root models 0 0 1 2 0 0 2 25
Posterior-based Wald-type statistics for hypothesis testing 0 0 0 3 0 0 0 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 0 1 26 1 4 8 287
Robust testing for explosive behavior with strongly dependent errors 0 0 1 1 0 1 7 10
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 0 3 104
Simulation-Based Estimation of Contingent-Claims Prices 0 1 1 29 0 2 2 103
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 0 0 1 132
Specification tests based on MCMC output 0 0 0 1 0 0 1 39
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 0 1 17 34 4 9 61 141
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 0 3 8 2 4 11 37
Temporal aggregation and risk-return relation 0 0 0 14 0 1 2 71
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 1 3 14
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 1 2 234
Volatility Puzzle: Long Memory or Antipersistency 0 1 5 9 1 3 16 26
Total Journal Articles 3 8 65 2,330 26 69 329 11,405

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 1 1 2
Deviance Information Criterion for Comparing VAR Models 1 1 2 2 3 4 6 32
Information loss in volatility measurement with flat price trading 0 0 0 0 1 1 2 2
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 0 1 0 0 2 4
Total Chapters 1 1 2 4 4 6 12 63
3 registered items for which data could not be found
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Statistics updated 2025-06-06