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Last month |
3 months |
12 months |
Total |

A Bayesian Chi-Squared Test for Hypothesis Testing |
0 |
1 |
1 |
16 |
2 |
4 |
8 |
72 |

A Class of Nonlinear Stochastic Volatility Models |
0 |
1 |
1 |
2 |
1 |
4 |
8 |
19 |

A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options |
0 |
0 |
0 |
484 |
2 |
5 |
15 |
1,148 |

A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics |
0 |
0 |
0 |
15 |
1 |
3 |
7 |
84 |

A New Bayesian Unit Root Test in Stochastic Volatility Models |
0 |
0 |
1 |
36 |
0 |
1 |
5 |
88 |

A New Bayesian Unit Root Test in Stochastic Volatility Models |
0 |
0 |
6 |
48 |
3 |
13 |
80 |
180 |

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market |
0 |
0 |
3 |
30 |
0 |
2 |
16 |
110 |

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market |
0 |
0 |
1 |
38 |
2 |
2 |
16 |
81 |

A New Wald Test for Hypothesis Testing Based on MCMC outputs |
0 |
0 |
2 |
41 |
1 |
1 |
10 |
21 |

A Posterior-Based Wald-Type Statistic for Hypothesis Testing |
0 |
0 |
3 |
34 |
1 |
1 |
15 |
42 |

A Quantile-based Asset Pricing Model |
0 |
1 |
25 |
51 |
3 |
7 |
32 |
37 |

A Specification Test based on the MCMC Output |
0 |
0 |
0 |
19 |
0 |
0 |
8 |
81 |

A Test Statistic and Its Application in Modelling Daily Stock Returns |
0 |
0 |
0 |
0 |
1 |
2 |
7 |
14 |

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete |
0 |
0 |
0 |
8 |
2 |
2 |
9 |
69 |

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations |
0 |
0 |
0 |
242 |
0 |
0 |
3 |
601 |

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility |
0 |
0 |
0 |
86 |
0 |
1 |
5 |
249 |

Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes |
0 |
0 |
0 |
21 |
0 |
0 |
3 |
64 |

Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes |
0 |
0 |
0 |
17 |
0 |
1 |
2 |
70 |

Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model |
0 |
0 |
1 |
22 |
0 |
1 |
5 |
28 |

Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model |
0 |
0 |
0 |
47 |
0 |
0 |
2 |
14 |

Asymptotic Theory for Rough Fractional Vasicek Models |
0 |
0 |
0 |
43 |
5 |
8 |
24 |
57 |

Automated Likelihood Based Inference for Stochastic Volatility Models |
0 |
0 |
0 |
27 |
0 |
0 |
3 |
100 |

BUGS for a Bayesian Analysis of Stochastic Volatility Models |
0 |
0 |
2 |
6 |
3 |
4 |
13 |
30 |

Bayesian Analysis of Bubbles in Asset Prices |
0 |
0 |
0 |
64 |
0 |
1 |
6 |
94 |

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises |
0 |
0 |
0 |
17 |
2 |
3 |
11 |
131 |

Bayesian Hypothesis Testing in Latent Variable Models |
0 |
1 |
1 |
43 |
1 |
3 |
8 |
171 |

Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility |
1 |
1 |
3 |
46 |
2 |
4 |
12 |
150 |

Bias in Estimating Multivariate and Univariate Diffusions |
0 |
0 |
0 |
43 |
0 |
0 |
3 |
182 |

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models |
0 |
0 |
1 |
26 |
2 |
2 |
8 |
148 |

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models |
0 |
0 |
0 |
11 |
0 |
0 |
6 |
109 |

Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes |
0 |
0 |
0 |
44 |
2 |
3 |
7 |
109 |

Bubble Testing under Deterministic Trends |
0 |
0 |
0 |
28 |
0 |
0 |
3 |
46 |

Comment on Ã¢â‚¬Å“Realized Variance and Market Microstructure NoiseÃ¢â‚¬Â by Peter R. Hansen and Asger Lunde |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
96 |

Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde |
0 |
0 |
0 |
84 |
0 |
1 |
4 |
289 |

Comments on Ã¢â‚¬Å“A selective overview of nonparametric methods in financial econometricsÃ¢â‚¬Â |
0 |
0 |
0 |
2 |
0 |
1 |
2 |
91 |

Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan |
0 |
0 |
0 |
42 |
0 |
0 |
3 |
175 |

Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" |
0 |
0 |
0 |
28 |
0 |
0 |
3 |
63 |

Dating the Timeline of Financial Bubbles During the Subprime Crisis |
0 |
0 |
4 |
43 |
1 |
1 |
21 |
208 |

Dating the Timeline of Financial Bubbles During the Subprime Crisis |
0 |
0 |
0 |
165 |
2 |
3 |
17 |
411 |

Dating the Timeline of Financial Bubbles during the Subprime Crisis |
0 |
1 |
10 |
292 |
2 |
14 |
75 |
885 |

Detecting Bubbles in Hong Kong Residential Property Market |
0 |
1 |
1 |
70 |
0 |
4 |
9 |
225 |

Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models |
0 |
0 |
0 |
3 |
1 |
2 |
3 |
26 |

Deviance Information Criterion for Bayesian Model Selection: Justification and Variation |
0 |
1 |
7 |
23 |
0 |
1 |
19 |
43 |

Deviance Information Criterion for Comparing VAR Models |
0 |
0 |
0 |
106 |
1 |
2 |
4 |
72 |

Do Topics Diffuse from Core to Periphery Journals? |
0 |
0 |
0 |
1 |
3 |
4 |
9 |
24 |

Double Asymptotics for Explosive Continuous Time Models |
0 |
0 |
0 |
40 |
0 |
1 |
2 |
86 |

Double Asymptotics for an Explosive Continuous Time Model |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
43 |

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results |
0 |
0 |
0 |
80 |
0 |
0 |
9 |
125 |

Econometric Analysis of Continuous Time Models: A Survey of Peter PhillipsÃ¢â‚¬â„¢ Work and Some New Results |
0 |
0 |
0 |
19 |
0 |
3 |
11 |
92 |

Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods |
1 |
89 |
89 |
89 |
3 |
29 |
29 |
29 |

Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
13 |

Empirical Characteristic Function in Time Series Estimation |
0 |
0 |
1 |
3 |
1 |
3 |
11 |
30 |

Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time |
0 |
0 |
0 |
34 |
0 |
0 |
2 |
75 |

Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data |
0 |
0 |
19 |
19 |
2 |
3 |
15 |
15 |

Estimation of Hyperbolic Diffusion Using MCMC Method |
0 |
0 |
0 |
198 |
0 |
0 |
8 |
666 |

Estimation of Hyperbolic Diffusion using MCMC Method |
0 |
0 |
0 |
1 |
3 |
4 |
9 |
27 |

Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method |
0 |
2 |
2 |
4 |
1 |
3 |
8 |
14 |

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 |
2 |
2 |
7 |
22 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
3 |
74 |
0 |
0 |
16 |
292 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
2 |
2 |
3 |
29 |
6 |
7 |
17 |
136 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
2 |
3 |
10 |
138 |
5 |
7 |
32 |
330 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
1 |
6 |
272 |
2 |
5 |
31 |
863 |

Forecast combinations in machine learning |
1 |
63 |
64 |
64 |
2 |
21 |
23 |
23 |

Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks |
0 |
1 |
3 |
57 |
2 |
7 |
22 |
38 |

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model |
0 |
0 |
0 |
50 |
0 |
0 |
5 |
84 |

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model |
0 |
0 |
0 |
12 |
2 |
3 |
7 |
96 |

Forecasting Singapore GDP using the SPF data |
14 |
15 |
15 |
15 |
13 |
14 |
14 |
14 |

Forecasting Volatility in the New Zealand Stock Market |
0 |
0 |
0 |
2 |
0 |
1 |
8 |
28 |

Forecasting Volatility:Evidence from the German Stock Market |
0 |
1 |
1 |
4 |
3 |
5 |
14 |
42 |

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate |
0 |
0 |
0 |
331 |
1 |
1 |
7 |
1,001 |

Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel |
0 |
0 |
3 |
27 |
1 |
7 |
33 |
41 |

Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling |
0 |
0 |
7 |
29 |
1 |
2 |
11 |
17 |

In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory |
0 |
2 |
2 |
36 |
2 |
6 |
18 |
45 |

Indirect Inference for Dynamic Panel Models |
0 |
0 |
3 |
320 |
1 |
1 |
15 |
811 |

Indirect Inference for Dynamic Panel Models |
0 |
0 |
0 |
16 |
2 |
2 |
8 |
110 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
38 |
1 |
2 |
8 |
153 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
34 |
0 |
0 |
4 |
152 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
96 |
0 |
3 |
6 |
586 |

Integrated Deviance Information Criterion for Latent Variable Models |
0 |
0 |
3 |
36 |
1 |
1 |
18 |
57 |

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach |
0 |
0 |
0 |
16 |
0 |
0 |
5 |
81 |

Jackknifing Bond Option Prices |
0 |
0 |
0 |
51 |
0 |
0 |
11 |
270 |

Jackknifing Bond Option Prices |
0 |
0 |
1 |
458 |
1 |
2 |
9 |
1,608 |

Jacknifing Bond Option Prices |
0 |
0 |
1 |
1 |
3 |
4 |
10 |
29 |

Limit Theory for an Explosive Autoregressive Process |
0 |
0 |
0 |
44 |
1 |
2 |
11 |
73 |

Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process |
0 |
0 |
28 |
28 |
0 |
1 |
7 |
7 |

MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) |
0 |
0 |
1 |
6 |
1 |
1 |
8 |
19 |

Maximum Likelihood Estimation for the Fractional Vasicek Model |
0 |
2 |
19 |
67 |
3 |
13 |
93 |
114 |

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance |
0 |
0 |
2 |
515 |
0 |
0 |
9 |
1,796 |

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance |
0 |
0 |
0 |
14 |
0 |
0 |
8 |
82 |

Measurement and High Finance |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
62 |

Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors |
0 |
0 |
0 |
25 |
0 |
1 |
7 |
19 |

Model Selection for Explosive Models |
0 |
0 |
0 |
21 |
1 |
1 |
3 |
9 |

Multivariate Stochastic Volatility |
0 |
0 |
1 |
33 |
1 |
5 |
25 |
164 |

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison |
0 |
0 |
2 |
329 |
1 |
1 |
8 |
703 |

On Bias in the Estimation of Structural Break Points |
0 |
0 |
0 |
32 |
1 |
1 |
4 |
31 |

On Leverage in a Stochastic Volatility Model |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
442 |

On Leverage in a Stochastic Volatility Model |
0 |
1 |
2 |
124 |
1 |
2 |
7 |
341 |

On leverage in a stochastic volatility model |
0 |
0 |
0 |
0 |
2 |
3 |
8 |
310 |

Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models |
0 |
0 |
0 |
43 |
0 |
0 |
2 |
85 |

Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models |
0 |
1 |
2 |
14 |
0 |
2 |
5 |
64 |

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour |
0 |
0 |
0 |
7 |
1 |
6 |
16 |
34 |

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour |
0 |
0 |
1 |
21 |
2 |
5 |
17 |
57 |

Robust Deviance Information Criterion for Latent Variable Models |
0 |
0 |
2 |
52 |
0 |
0 |
11 |
195 |

Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data |
0 |
1 |
1 |
23 |
2 |
3 |
9 |
29 |

Simulated Maximum Likelihood Estimation for Latent Diffusion Models |
0 |
0 |
0 |
34 |
0 |
0 |
4 |
78 |

Simulated Maximum Likelihood Estimation for Latent Diffusion Models |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
75 |

Simulation-based Estimation Methods for Financial Time Series Models |
0 |
0 |
3 |
97 |
0 |
1 |
7 |
161 |

Simulation-based Estimation of Contingent-claims Prices |
0 |
0 |
0 |
170 |
0 |
0 |
5 |
595 |

Simulation-based Estimation of Contingent-claims Prices |
0 |
0 |
0 |
4 |
3 |
4 |
8 |
73 |

Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
92 |

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles |
0 |
0 |
1 |
115 |
2 |
4 |
13 |
239 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
0 |
46 |
1 |
2 |
10 |
129 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
1 |
21 |
0 |
0 |
8 |
106 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
1 |
1 |
74 |
2 |
6 |
26 |
270 |

Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models |
0 |
0 |
1 |
18 |
0 |
0 |
5 |
82 |

Temporal Aggregation and Risk-Return Relation |
0 |
0 |
0 |
14 |
1 |
1 |
12 |
65 |

Testing for Multiple Bubbles |
1 |
3 |
3 |
96 |
4 |
9 |
25 |
296 |

Testing for Multiple Bubbles |
0 |
0 |
3 |
225 |
3 |
7 |
22 |
713 |

Testing for Multiple Bubbles |
0 |
2 |
3 |
169 |
1 |
4 |
17 |
387 |

Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 |
0 |
0 |
4 |
277 |
1 |
5 |
24 |
410 |

Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors |
0 |
1 |
2 |
114 |
0 |
1 |
11 |
213 |

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 |
1 |
2 |
6 |
281 |
6 |
10 |
46 |
582 |

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors |
0 |
1 |
4 |
109 |
1 |
5 |
21 |
305 |

The Grid Bootstrap for Continuous Time Models |
0 |
0 |
1 |
32 |
0 |
2 |
14 |
35 |

Total Working Papers |
23 |
202 |
403 |
8,590 |
150 |
371 |
1,550 |
24,693 |