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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 0 3 96
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 1 1 5 32
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 0 4 1,189
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 0 1 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 2 2 102
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 39 0 0 1 99
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 0 1 3 127
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 0 0 12 12 0 1 20 20
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 1 62 0 1 2 76
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 3 18 0 0 6 40
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 1 2 4 54
A Quantile-based Asset Pricing Model 0 0 0 65 0 1 4 98
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 1 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 0 4 263
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 0 0 2 77
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 0 0 0 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 0 2 27 0 0 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 1 1 3 94
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 0 2 3 39
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 0 0 12 50
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 0 0 3 111
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 1 2 5 62
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 0 0 3 105
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 2 2 138
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 10 1 2 6 79
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 0 1 1 180
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 0 2 224
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 0 0 1 21
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 2 2 2 191
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 1 1 1 156
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 0 0 1 62
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 1 1 2 118
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 1 2 52
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 0 1 2 117
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 0 0 7 7 0 1 17 17
Bubble Testing under Deterministic Trends 0 0 1 32 0 1 4 68
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 1 92 0 0 2 317
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 1 4 101
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 1 1 1 181
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 1 1 1 96
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 1 1 4 240
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 1 168 0 0 2 433
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 0 1 4 959
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 0 1 244
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 0 0 2 55
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 2 2 28 0 2 6 103
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 1 3 4 1 5 19 23
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 19 0 0 0 14
Do Topics Diffuse from Core to Periphery Journals? 0 0 1 4 1 1 5 40
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 0 3 54
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 0 0 1 137
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 0 0 57
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 0 0 19 0 0 9 131
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 1 3 106 0 1 6 88
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 4 8 0 0 5 25
Empirical Characteristic Function in Time Series Estimation 1 1 3 10 1 1 5 52
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 0 1 674
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 0 1 0 0 1 38
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 0 6 0 1 1 21
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 1 25
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 156 0 1 7 394
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 1 1 5 288 2 3 11 975
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 1 1 6 336
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 0 1 2 179
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 1 1 81
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 0 1 2 37
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 1 3 45
Forecast combinations in machine learning 0 1 3 144 1 2 13 255
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 1 1 4 126
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 0 0 2 107
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 0 0 2 96
Forecasting Singapore GDP using the SPF data 1 1 1 21 1 2 4 48
Forecasting Volatility in the New Zealand Stock Market 0 1 2 9 0 1 7 53
Forecasting Volatility:Evidence from the German Stock Market 0 0 3 13 2 2 13 92
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 0 0 1 1,016
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 0 0 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 2 68
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 0 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 2 0 0 0 45
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 0 0 2 167
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 0 0 2 158
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 0 0 0 79
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 0 1 2 91
Jackknifing Bond Option Prices 0 0 0 459 0 0 2 1,620
Jackknifing Bond Option Prices 0 0 0 52 0 0 1 282
Jacknifing Bond Option Prices 0 0 0 1 0 0 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 0 2 32
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 1 85 0 0 4 173
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 1 2 24 24 3 7 43 43
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 0 518 0 0 0 1,813
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 0 0 0 97
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 1 0 0 1 7
Model Selection for Explosive Models 0 0 0 22 0 0 2 27
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 1 3 24 24 2 5 10 10
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 18 18 1 4 16 16
Multivariate Stochastic Volatility 0 0 1 36 0 0 3 189
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 1 9 9 0 3 26 26
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 0 0 0 719
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 0 1 353
On Leverage in a Stochastic Volatility Model 0 0 0 1 0 1 3 454
On leverage in a stochastic volatility model 0 0 0 0 2 3 3 323
On the Optimal Forecast with the Fractional Brownian Motion 0 0 1 34 0 0 2 26
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 0 21 23 0 0 20 22
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 0 0 0 69
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 0 0 0 88
Persistent and Rough Volatility 0 1 3 84 0 1 5 188
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 0 0 0 70
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 0 0 55
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 1 1 3 30
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 1 2 3 17
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 0 0 1 20
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 2 2 3 40
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 0 1 2 87
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 1 1 2 33
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 1 1 3 174
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 0 2 59
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 1 1 2 614
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 0 0 1 85
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 1 3 41
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 1 1 3 285
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 22 1 1 2 119
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 47 0 1 1 153
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 0 0 0 24
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 0 0 0 86
Teaching Financial Econometrics to Students Converting to Finance 2 4 26 33 4 10 56 61
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 0 71
Testing Predictability in the Presence of Persistent Errors 1 1 5 12 2 2 16 29
Testing for Multiple Bubbles 0 0 0 106 2 2 6 357
Testing for Multiple Bubbles 0 0 4 195 3 4 25 529
Testing for Multiple Bubbles 0 0 2 245 2 2 8 792
Testing for Multiple Bubbles 0 0 3 15 0 0 6 60
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 298 1 1 7 478
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 1 5 78
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 0 0 7 249
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 330 0 4 10 800
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 1 1 1 121 1 2 3 434
Testing for an Explosive Bubble using High-Frequency Volatility 1 1 3 16 2 2 6 33
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 2 8 0 0 8 26
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 1 1 64
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 2 2 2 3 19 19
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 0 1 3 16
Weak Identification of Long Memory with Implications for Inference 0 0 1 122 1 2 22 131
Total Working Papers 10 23 217 9,962 63 135 717 30,276
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 3 6 132
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 0 3 5 0 1 13 22
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 1 1 3 178
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 1 1 2 36
A new approach to Bayesian hypothesis testing 0 0 0 30 0 0 0 135
A semiparametric stochastic volatility model 0 0 0 41 1 1 5 132
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 2 3 132
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 0 1 1 1 2 56
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 1 2 4 1,261
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 1 4 55
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 0 1 5 121
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 1 2 182
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 3 105
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 3 97 1 2 13 313
Detecting bubbles in Hong Kong residential property market 1 1 2 44 1 4 9 212
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 1 4 102
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 1 2 198
Double asymptotics for explosive continuous time models 0 0 0 12 0 1 2 69
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 0 1 3 67
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 34 0 0 2 153
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 0 1 9 697
Editorial 0 0 0 2 1 1 4 55
Empirical Characteristic Function Estimation and Its Applications 0 0 1 293 0 0 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 1 2 23
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Fractional stochastic volatility model 0 0 0 0 0 0 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 1 2 7 27
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 0 1 6
Indirect inference for dynamic panel models 0 0 1 213 0 2 6 535
Inference in continuous systems with mildly explosive regressors 0 0 0 8 0 1 1 64
Information loss in volatility measurement with flat price trading 0 0 1 1 0 0 10 15
Jackknifing Bond Option Prices 0 0 0 81 0 0 1 296
Latent local-to-unity models 0 0 0 1 0 0 3 6
Limit theory for an explosive autoregressive process 0 0 0 8 0 1 4 67
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 0 0 0 0
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 0 1 4 27
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 1 3 4 97
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 1 1 1 14
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 1 1 5 18 2 3 11 43
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 62 3 3 6 226
Multivariate Stochastic Volatility: A Review 0 0 3 131 1 1 6 347
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 2 2 4 25 2 4 11 127
On leverage in a stochastic volatility model 0 0 0 260 0 6 8 566
On stiffness in affine asset pricing models 0 0 0 0 0 0 1 1
On the optimal forecast with the fractional Brownian motion 0 1 6 6 1 3 13 17
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 0 0 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 1 2 2 15
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 0 3 3 56
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 1 26 0 2 9 289
Robust testing for explosive behavior with strongly dependent errors 1 1 1 2 1 1 4 11
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 1 1 60
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 0 23 0 4 6 108
Simulation-Based Estimation of Contingent-Claims Prices 0 0 1 29 0 1 3 104
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 0 2 3 134
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 1 3 15 37 7 20 67 161
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 2 2 5 10 3 6 16 43
Temporal aggregation and risk-return relation 0 0 0 14 0 0 1 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 0 3 14
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 0 1 3 235
Volatility Puzzle: Long Memory or Antipersistency 0 0 5 9 2 2 14 28
Total Journal Articles 8 11 62 2,341 36 104 365 11,509

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 1 1 1 1 1 1 2 3
Deviance Information Criterion for Comparing VAR Models 0 0 2 2 0 0 6 32
Information loss in volatility measurement with flat price trading 0 0 0 0 0 0 2 2
Model Selection for Explosive Models 0 0 0 1 0 2 3 25
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 0 1 3 5
Total Chapters 1 1 3 5 1 4 16 67
3 registered items for which data could not be found
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