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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 2 4 5 100
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 3 4 6 36
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 5 7 10 1,197
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 5 6 6 106
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 2 4 104
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 2 3 5 252
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 40 7 11 11 110
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 1 1 31 8 11 15 139
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 2 3 3 33
A Note on AIC and TIC for Model Selection 1 2 7 16 7 25 39 52
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 4 5 6 81
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 1 18 20 22 26 63
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 3 5 11 62
A Quantile-based Asset Pricing Model 0 0 1 66 3 7 10 107
A Semiparametric Stochastic Volatility Model 0 0 0 7 4 5 5 53
A Specification Test based on the MCMC Output 0 0 0 19 2 3 6 94
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 3 3 4 21
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 3 6 10 88
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 2 4 6 615
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 1 4 7 268
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 5 8 8 85
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 3 3 5 80
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 2 2 3 28
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 1 1 2 28 5 8 11 54
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 1 4 6 25
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 2 4 10 102
Automated Likelihood Based Inference for Stochastic Volatility Models 0 1 1 1 10 13 17 53
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 1 2 5 114
Automated Likelihood Based Inference for Stochastic Volatility Models 1 1 1 3 4 4 16 54
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 2 8 13 70
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 2 15 18 122
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 10 3 3 7 82
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 6 10 146
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 3 9 11 190
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 3 3 5 228
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 0 3 4 25
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 2 2 5 194
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 5 11 14 169
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 3 7 9 70
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 3 5 7 123
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 7 8 9 60
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 4 6 9 124
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 1 2 10 10 4 7 29 29
Bubble Testing under Deterministic Trends 0 0 1 32 1 3 7 72
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 0 0 1 104
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 3 5 5 322
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 1 5 102
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 2 3 4 184
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 4 6 6 75
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 3 6 7 102
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 6 10 13 251
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 1 3 4 436
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 33 37 41 998
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 6 6 7 250
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 3 5 5 52
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 1 8 10 63
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 2 28 2 9 17 114
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 3 4 5 85
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 0 2 5 3 9 21 33
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 19 2 3 5 19
Do Topics Diffuse from Core to Periphery Journals? 0 0 1 4 3 5 8 45
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 3 3 7 101
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 1 1 2 55
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 3 6 7 143
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 4 5 5 62
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 4 6 10 140
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 1 106 5 6 10 96
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 4 8 5 8 14 34
Empirical Characteristic Function in Time Series Estimation 0 0 1 10 4 9 12 62
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 1 3 4 83
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 2 4 5 41
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 6 8 10 683
Estimation of Hyperbolic Diffusion using MCMC Method 1 1 1 2 7 9 10 47
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 1 1 7 4 11 12 32
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 4 8 9 33
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 5 7 12 346
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 1 5 7 184
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 6 289 4 9 19 985
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 3 3 4 84
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 2 4 10 401
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 4 5 8 43
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 5 5 8 50
Forecast combinations in machine learning 0 0 1 144 4 5 9 260
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 1 1 71 1 7 11 133
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 5 6 9 115
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 2 6 9 103
Forecasting Singapore GDP using the SPF data 0 0 1 21 3 5 8 53
Forecasting Volatility in the New Zealand Stock Market 0 0 1 9 5 8 17 64
Forecasting Volatility:Evidence from the German Stock Market 0 0 2 13 4 8 16 101
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 7 10 11 1,027
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 3 4 7 87
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 2 3 4 44
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 1 1 2 70
Indirect Inference for Dynamic Panel Models 0 0 0 324 10 61 62 894
Indirect Inference for Dynamic Panel Models 0 0 0 17 2 5 7 124
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 2 3 3 595
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 5 5 9 165
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 5 8 8 53
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 1 1 3 168
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 3 3 82
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 1 4 5 95
Jackknifing Bond Option Prices 0 0 0 52 2 3 4 285
Jackknifing Bond Option Prices 0 0 0 459 3 5 8 1,626
Jacknifing Bond Option Prices 0 0 0 1 1 2 4 46
Latent Local-to-Unity Models 0 0 0 21 6 9 10 46
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 1 2 4 90
Limit Theory for an Explosive Autoregressive Process 0 0 1 46 5 7 11 99
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 2 4 19
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 3 3 7 37
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 85 2 5 8 179
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 1 2 30 30 10 18 67 67
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 2 4 4 51
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 3 5 5 102
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 0 3 4 1,817
Measurement and High Finance 0 0 0 22 2 3 4 70
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 3 3 5 37
Model Selection for Explosive Models 0 0 0 1 0 0 0 7
Model Selection for Explosive Models 0 0 0 22 4 7 8 34
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 24 24 1 2 12 12
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 20 20 10 22 45 45
Multivariate Stochastic Volatility 0 0 1 36 5 11 20 207
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 3 10 5 9 19 38
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 4 7 13 732
On Bias in the Estimation of Structural Break Points 0 0 0 32 5 5 5 47
On Leverage in a Stochastic Volatility Model 0 0 0 1 1 5 12 463
On Leverage in a Stochastic Volatility Model 0 0 0 126 4 7 9 361
On leverage in a stochastic volatility model 0 0 0 0 3 9 12 332
On the Optimal Forecast with the Fractional Brownian Motion 0 0 1 35 3 4 5 31
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 1 24 6 10 15 35
Optimal Estimation for General Gaussian Processed 0 0 3 3 4 23 32 32
Optimal Estimation for General Gaussian Processes 0 0 4 4 3 4 10 10
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 3 4 5 93
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 2 6 7 76
Persistent and Rough Volatility 0 0 3 85 6 9 14 198
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 10 11 11 66
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 1 4 5 75
Realized Volatility Forecasting: Continuous versus Discrete Time Models 1 21 23 23 27 65 68 68
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 2 6 6 2 9 18 18
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 3 1 2 4 32
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 56 9 11 13 221
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 4 4 7 21
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 17 17 18 37
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 1 2 5 43
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 1 1 35 1 3 6 91
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 2 3 3 85
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 1 1 3 4 7 9 40
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 1 2 4 55
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 1 3 5 177
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 3 4 5 63
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 1 1 6 619
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 3 4 6 91
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 0 2 41
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 5 5 7 109
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 0 3 7 290
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 4 8 10 308
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 1 3 6 158
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 1 1 23 1 4 6 124
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 0 1 3 27
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 1 1 3 89
Teaching Financial Econometrics to Students Converting to Finance 1 1 16 35 8 11 43 77
Temporal Aggregation and Risk-Return Relation 0 0 0 15 1 3 4 75
Testing Predictability in the Presence of Persistent Errors 0 1 4 13 6 9 23 42
Testing for Multiple Bubbles 0 1 1 107 8 11 19 372
Testing for Multiple Bubbles 0 0 2 245 5 10 18 803
Testing for Multiple Bubbles 1 1 3 16 3 7 12 69
Testing for Multiple Bubbles 1 1 4 196 8 34 56 569
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 298 1 6 13 486
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 5 8 16 262
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 4 6 10 84
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 0 330 17 68 75 870
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 1 121 6 9 14 445
Testing for an Explosive Bubble using High-Frequency Volatility 1 2 3 10 7 14 21 44
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 1 16 6 8 10 41
The Grid Bootstrap for Continuous Time Models 0 0 0 35 2 3 5 68
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 1 3 27 39 51 60
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 2 3 8 23
Weak Identification of Long Memory with Implications for Inference 0 0 1 122 4 5 22 141
Total Working Papers 11 48 216 10,040 712 1,331 2,034 31,856
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 10 138
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 3 5 7 439
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 5 3 6 11 28
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 1 2 5 181
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 2 4 38
A new approach to Bayesian hypothesis testing 0 0 0 30 2 4 6 141
A semiparametric stochastic volatility model 0 0 0 41 30 98 101 230
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 4 5 7 137
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 1 3 3 27
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 4 4 5 51
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 0 1 3 45
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 2 3 7 61
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 0 4 1,262
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 2 3 5 58
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 3 4 7 126
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 1 4 184
Bias in estimating multivariate and univariate diffusions 0 0 0 22 5 8 10 119
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 1 3 8 38
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 6 10 13 380
Bubble testing under polynomial trends 0 0 0 0 5 6 6 6
Comment 0 0 0 11 3 4 4 109
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 4 5 7 34
Dating the timeline of financial bubbles during the subprime crisis 0 0 1 97 4 9 17 324
Detecting bubbles in Hong Kong residential property market 0 0 1 44 10 14 21 227
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 1 5 6 570
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 6 9 12 112
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 1 2 199
Double asymptotics for explosive continuous time models 0 0 0 12 11 12 14 81
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 3 4 7 72
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 0 34 1 2 4 157
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 9 13 20 713
Editorial 0 0 0 2 1 19 20 74
Empirical Characteristic Function Estimation and Its Applications 0 0 1 293 2 7 12 710
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 4 5 5 7 34
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 3 4 4 13
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 5 10 11 33
Forecasting volatility in the New Zealand stock market 0 0 0 246 2 2 2 715
Fractional Gaussian Noise: Spectral Density and Estimation Methods 1 1 1 1 4 7 7 7
Fractional stochastic volatility model 0 0 0 0 2 4 7 7
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 0 0 2 3 6 14
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 3 6 10 34
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 10 15 17 22
Indirect inference for dynamic panel models 0 0 0 213 4 5 11 542
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 1 3 66
Information loss in volatility measurement with flat price trading 0 0 0 1 7 18 24 34
Jackknifing Bond Option Prices 0 0 0 81 5 6 8 303
Latent local-to-unity models 0 0 0 1 5 7 10 13
Limit theory for an explosive autoregressive process 0 0 0 8 2 6 8 73
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 7 14 14 14
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 8 9 11 37
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 6 8 12 105
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 2 6 8 21
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 2 4 20 3 13 22 59
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 1 63 5 6 12 234
Multivariate Stochastic Volatility: A Review 0 0 0 131 2 9 12 358
Multivariate stochastic volatility models based on generalized Fisher transformation 0 1 3 3 3 10 18 18
New distribution theory for the estimation of structural break point in mean 0 0 0 12 1 4 4 50
New methodology for constructing real estate price indices applied to the Singapore residential market 0 1 5 27 4 5 15 135
On leverage in a stochastic volatility model 0 1 1 261 6 11 20 580
On stiffness in affine asset pricing models 0 0 0 0 2 2 4 4
On the optimal forecast with the fractional Brownian motion 0 0 1 6 0 1 7 18
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 9 11 18 19
Optimal jackknife for unit root models 0 0 1 2 3 3 4 28
Posterior-based Wald-type statistics for hypothesis testing 0 0 1 4 7 10 15 28
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 6 7 11 64
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 1 1 2 28 4 10 20 302
Robust testing for explosive behavior with strongly dependent errors 0 1 2 3 4 8 14 23
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 3 4 5 64
Self-Exciting Jumps, Learning, and Asset Pricing Implications 1 1 1 24 6 6 10 114
Simulation-Based Estimation of Contingent-Claims Prices 0 0 1 29 9 10 15 116
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 1 1 1 1
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 5 6 10 142
Specification tests based on MCMC output 0 0 0 1 5 7 10 49
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 2 10 19 51 21 41 86 213
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 1 2 5 12 7 12 28 60
Temporal aggregation and risk-return relation 0 0 0 14 0 4 5 75
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 6 9 9 50
The Grid Bootstrap for Continuous Time Models 0 0 0 2 3 6 10 23
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 10 22 22 22
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 2 5 238
Volatility Puzzle: Long Memory or Antipersistency 0 0 2 9 3 4 15 35
Total Journal Articles 6 21 54 2,372 350 653 979 12,280

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 1 1 4 6 8 9
Deviance Information Criterion for Comparing VAR Models 0 0 1 2 3 6 15 42
Information loss in volatility measurement with flat price trading 0 0 0 0 6 9 11 12
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 3 4 4 4
Model Selection for Explosive Models 0 0 0 1 1 3 6 29
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 3 4 4 4
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 4 5 7 10
Total Chapters 0 0 2 5 24 37 55 110
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