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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 2 12 108
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 2 3 9 41
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 2 2 19 1,209
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 1 1 17 5 7 17 117
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 1 1 4 106
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 5 5 12 261
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 2 41 2 2 21 120
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 3 33 4 5 24 152
A New Wald Test for Hypothesis Testing Based on MCMC outputs 0 0 0 41 1 3 10 40
A Note on AIC and TIC for Model Selection 0 0 2 16 5 9 46 73
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 2 2 16 92
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 18 0 0 24 65
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 0 0 13 70
A Quantile-based Asset Pricing Model 0 1 1 67 3 4 17 117
A Semiparametric Stochastic Volatility Model 0 0 0 7 0 1 9 57
A Specification Test based on the MCMC Output 1 1 1 20 3 3 8 99
A Test Statistic and Its Application in Modelling Daily Stock Returns 0 0 0 0 2 4 10 28
A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete 0 0 0 9 6 6 15 97
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 3 6 13 624
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 1 1 12 276
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 23 2 2 6 83
Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes 0 0 0 18 2 4 16 93
Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises 0 0 0 21 2 4 9 35
Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model 1 1 2 29 1 1 16 62
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 1 1 8 29
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 1 1 12 110
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 3 1 2 8 58
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 1 1 2 2 23 63
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 2 2 7 119
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 2 5 16 78
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 1 3 28 135
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 1 11 0 0 5 84
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 3 3 14 154
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 3 4 18 199
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 0 0 6 231
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 1 1 11 33
Beyond the HAR: A New Benchmark for Volatility Forecasting 7 7 7 7 5 6 6 6
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 4 5 14 206
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 3 4 10 128
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 1 1 1 4 1 4 13 76
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 1 27 3 4 23 181
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 1 11 63
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 1 2 10 128
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 0 1 4 12 5 7 23 45
Bubble Testing under Deterministic Trends 0 0 0 32 4 4 10 79
Comment on “Realized Variance and Market Microstructure Noise†by Peter R. Hansen and Asger Lunde 0 0 0 0 1 1 3 107
Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde 0 0 0 92 5 5 17 334
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 1 2 10 111
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 1 2 8 189
Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" 0 0 0 28 1 1 11 80
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 3 9 20 116
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 45 7 7 24 265
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 168 6 8 14 447
Dating the Timeline of Financial Bubbles during the Subprime Crisis 0 0 0 297 6 8 54 1,015
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 70 4 5 16 260
Detecting Bubbles in Hong Kong Residential Property Market 0 0 0 13 2 3 11 58
Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models 0 0 0 8 4 5 16 71
Deviance Information Criterion for Bayesian Model Selection: Justification and Variation 0 0 0 28 5 8 28 133
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 3 3 10 91
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 1 1 6 11 3 10 44 68
Different Strokes for Different Folks: Long Memory and Roughness 0 0 1 20 2 4 13 29
Do Topics Diffuse from Core to Periphery Journals? 0 0 0 4 1 2 7 47
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 0 0 7 105
Double Asymptotics for an Explosive Continuous Time Model 0 0 0 11 4 5 11 65
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 83 1 2 10 147
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results 0 0 0 4 0 1 10 67
Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips’ Work and Some New Results 0 1 1 20 2 3 15 149
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 1 107 1 2 13 103
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 1 1 9 2 5 14 40
Empirical Characteristic Function in Time Series Estimation 0 0 0 10 4 8 26 79
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 2 2 8 88
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 1 26 2 2 9 46
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 0 12 687
Estimation of Hyperbolic Diffusion using MCMC Method 0 0 1 2 3 4 17 55
Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method 0 0 1 7 3 4 19 40
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 4 16 41
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 2 80 3 6 31 370
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 2 3 291 3 7 24 1,000
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 2 158 1 4 21 418
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 2 6 14 95
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 3 6 15 194
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 1 6 14 52
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 1 1 8 53
Forecast combinations in machine learning 1 1 2 146 3 4 14 269
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 1 71 3 3 15 141
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 1 1 12 109
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 3 5 14 123
Forecasting Singapore GDP using the SPF data 0 0 1 22 3 3 13 61
Forecasting Volatility in the New Zealand Stock Market 1 1 1 10 1 3 15 71
Forecasting Volatility:Evidence from the German Stock Market 0 0 0 13 3 3 14 107
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 3 4 19 1,036
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 4 6 14 97
Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling 0 0 0 35 2 3 14 55
In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory 0 0 0 36 3 4 7 76
Indirect Inference for Dynamic Panel Models 0 0 0 324 3 9 78 911
Indirect Inference for Dynamic Panel Models 0 0 0 17 1 1 7 126
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 97 1 2 11 603
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 3 3 6 173
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 2 3 3 11 56
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 4 5 13 173
Integrated Deviance Information Criterion for Latent Variable Models 0 0 0 42 1 1 10 89
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach 0 0 0 18 1 1 17 108
Jackknifing Bond Option Prices 0 0 0 459 2 5 15 1,636
Jackknifing Bond Option Prices 0 0 0 52 3 4 11 293
Latent Local-to-Unity Models 0 0 0 21 2 2 26 63
Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data 0 0 0 21 0 2 5 93
Limit Theory for an Explosive Autoregressive Process 0 0 0 46 2 3 11 103
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 3 4 8 25
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 2 3 10 44
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 1 86 3 3 18 192
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 0 1 8 36 5 14 65 114
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 2 0 3 11 58
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 3 5 12 1,826
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 15 2 3 13 110
Measurement and High Finance 0 0 0 22 2 2 7 74
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 1 3 6 40
Model Selection for Explosive Models 0 0 0 1 1 2 7 14
Model Selection for Explosive Models 0 0 0 22 1 2 12 39
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 2 22 9 9 52 75
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 0 0 24 2 4 17 27
Multivariate Stochastic Volatility 0 0 0 36 1 1 15 211
Multivariate Stochastic Volatility Model with Block Correlations 1 1 16 16 6 10 20 20
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 0 0 0 10 3 4 15 44
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 7 7 18 743
On Bias in the Estimation of Structural Break Points 0 0 0 32 0 1 10 52
On Leverage in a Stochastic Volatility Model 0 0 0 1 4 4 10 468
On Leverage in a Stochastic Volatility Model 0 0 0 126 0 0 16 370
On leverage in a stochastic volatility model 0 0 0 0 3 5 18 341
On the Optimal Forecast with the Fractional Brownian Motion 0 0 0 35 2 5 15 42
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 0 1 2 26 2 4 26 51
Optimal Estimation for General Gaussian Processed 0 0 0 3 1 3 29 38
Optimal Estimation for General Gaussian Processes 0 1 1 5 1 3 12 18
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 1 2 11 81
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 1 1 6 95
Persistent and Rough Volatility 0 0 1 86 1 1 17 206
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 23 3 3 13 84
Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour 0 0 0 7 0 1 16 71
Realized Volatility Forecasting: Continuous versus Discrete Time Models 0 0 24 26 14 20 127 130
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 0 0 5 9 3 4 29 38
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 3 1 4 10 40
Robust Deviance Information Criterion for Latent Variable Models 0 0 0 56 1 3 16 226
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 42 2 2 25 45
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 2 6 4 5 12 29
Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data 0 0 0 23 0 0 8 49
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 35 1 2 8 96
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 1 2 8 90
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 1 3 0 0 9 42
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 1 1 6 59
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 1 1 5 179
Simulation-based Estimation of Contingent Claims Prices 0 0 0 4 0 1 9 68
Simulation-based Estimation of Contingent-claims Prices 0 0 0 5 1 1 10 97
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 2 3 7 625
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 1 2 5 46
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 2 2 7 111
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 1 1 7 294
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 0 1 13 313
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 1 2 5 160
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 1 23 1 1 9 129
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 1 5 1 1 5 31
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 0 0 6 94
Teaching Financial Econometrics to Students Converting to Finance 2 2 6 40 3 4 23 89
Temporal Aggregation and Risk-Return Relation 0 0 0 15 0 0 5 77
Testing Predictability in the Presence of Persistent Errors 0 0 1 13 2 6 24 57
Testing for Multiple Bubbles 0 0 3 18 0 3 17 79
Testing for Multiple Bubbles 0 0 2 247 3 4 29 822
Testing for Multiple Bubbles 0 0 2 108 3 3 21 382
Testing for Multiple Bubbles 0 0 2 197 3 5 59 594
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 300 4 7 28 508
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 1 118 1 3 21 275
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 0 15 93
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 4 334 7 9 100 902
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 0 0 121 2 3 25 461
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 2 10 1 3 27 57
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 0 16 7 8 26 59
The "Rough" HAR Model 3 3 3 3 8 10 10 10
The "Rough" HAR model 2 2 2 2 6 10 10 10
The Grid Bootstrap for Continuous Time Models 0 0 0 35 0 0 4 69
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 0 0 1 4 1 4 51 72
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 15 17 27 47
Weak Identification of Long Memory with Implications for Inference 0 0 0 122 9 15 47 183
Total Working Papers 21 32 150 10,141 433 664 3,046 33,527
5 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 2 2 12 149
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 2 2 16 450
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 1 6 2 4 22 44
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 2 3 12 191
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 3 4 10 46
A new approach to Bayesian hypothesis testing 0 0 0 30 3 3 17 154
A note on the asymptotic unbiasedness of Akaike information criterion 0 0 0 0 4 4 4 4
A semiparametric stochastic volatility model 0 0 0 41 0 1 102 234
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 1 1 8 140
ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL 0 0 0 3 0 0 3 27
An Improved Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 6 1 3 9 56
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 3 3 13 57
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 1 1 10 68
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 1 1 6 1,268
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 1 1 8 63
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 1 2 13 135
Bayesian hypothesis testing in latent variable models 0 0 0 28 2 2 7 190
Bias in estimating multivariate and univariate diffusions 0 0 1 23 2 2 15 126
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 1 1 4 1 3 19 54
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 0 66 4 10 32 402
Bubble testing under polynomial trends 1 1 1 1 2 2 13 13
Comment 0 0 0 11 5 5 11 116
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 3 3 10 39
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 99 2 3 23 338
Detecting bubbles in Hong Kong residential property market 0 0 1 45 3 8 31 244
Deviance Information Criterion for Bayesian model selection: Theoretical justification and applications 0 0 0 0 6 8 9 9
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 3 3 16 581
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 2 5 21 124
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 3 4 8 206
Double asymptotics for explosive continuous time models 0 0 0 12 6 6 23 92
ECONOMETRIC ANALYSIS OF CONTINUOUS TIME MODELS: A SURVEY OF PETER PHILLIPS’S WORK AND SOME NEW RESULTS 0 0 0 11 2 2 8 76
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 35 1 1 11 166
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 6 11 49 749
Empirical Characteristic Function Estimation and Its Applications 0 0 1 294 3 3 16 719
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 0 4 2 3 11 40
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks* 0 0 0 2 0 0 9 18
Forecasting Realized Volatility Using a Nonnegative Semiparametric Model 0 0 0 2 1 1 16 39
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 1 9 722
Fractional Gaussian Noise: Spectral Density and Estimation Methods 0 0 9 9 0 1 29 29
Fractional stochastic volatility model 0 1 2 2 0 3 17 20
Housing equity and household consumption in retirement: evidence from the Singapore Life Panel© 0 0 1 1 2 2 9 20
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 3 6 30 58
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 1 20 27
Indirect inference for dynamic panel models 0 0 0 213 2 3 12 549
Inference in continuous systems with mildly explosive regressors 0 0 0 8 1 2 6 71
Information loss in volatility measurement with flat price trading 0 1 1 2 1 5 30 46
Jackknifing Bond Option Prices 1 1 1 82 6 6 18 315
Latent local-to-unity models 0 1 1 2 2 3 13 19
Limit theory for an explosive autoregressive process 0 0 1 9 1 2 10 77
Local powers of least‐squares‐based test for panel fractional Ornstein–Uhlenbeck process 0 0 0 0 1 1 19 19
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 4 1 1 14 42
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 1 3 16 113
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 2 2 11 26
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 3 8 26 2 10 51 97
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 1 1 3 66 4 8 19 247
Multivariate Stochastic Volatility: A Review 1 1 2 133 4 4 19 368
Multivariate stochastic volatility models based on generalized Fisher transformation 0 0 2 4 0 2 20 28
New distribution theory for the estimation of structural break point in mean 0 0 0 12 1 1 12 58
New methodology for constructing real estate price indices applied to the Singapore residential market 0 0 3 29 2 6 20 150
On leverage in a stochastic volatility model 0 0 1 261 1 3 23 592
On stiffness in affine asset pricing models 0 0 0 0 1 2 6 8
On the optimal forecast with the fractional Brownian motion 0 0 1 7 2 2 8 25
On the spectral density of fractional Ornstein–Uhlenbeck processes 1 2 3 3 5 7 29 37
Optimal jackknife for unit root models 0 0 0 2 2 2 9 34
Posterior-based Wald-type statistics for hypothesis testing 0 0 0 4 2 2 22 40
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 1 1 16 73
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 0 1 28 1 2 20 312
Robust testing for explosive behavior with strongly dependent errors 0 0 1 3 2 2 21 36
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 4 64
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 1 24 3 4 15 123
Simulation-Based Estimation of Contingent-Claims Prices 0 0 0 29 2 2 14 120
Single-cell and spatially resolved omics reveal transcriptional and metabolic signatures of ovarian endometriomas 0 0 0 0 4 4 11 11
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 1 35 2 2 15 151
Specification tests based on MCMC output 0 0 0 1 0 1 12 54
Structure of ATTRv-F64S fibrils isolated from skin tissue of a living patient 0 0 10 10 0 0 18 18
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 4 6 24 65 10 21 133 305
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 2 4 8 18 6 11 56 104
Temporal aggregation and risk-return relation 0 0 0 14 1 3 11 82
Testing the expectations theory of the term structure for New Zealand 0 0 0 11 3 3 19 60
The Grid Bootstrap for Continuous Time Models 0 0 0 2 0 0 8 25
The time-varying zone-like and asymmetric preference of central banks: Evidence from China 0 0 0 0 3 4 58 58
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 2 3 9 245
Volatility Puzzle: Long Memory or Antipersistency 1 1 2 11 3 5 21 52
Weak Identification of Long Memory with Implications for Volatility Modeling 2 2 2 2 4 4 4 4
Total Journal Articles 14 26 98 2,447 182 283 1,589 13,161

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 2 3 3 12 15
Deviance Information Criterion for Comparing VAR Models 0 0 0 2 1 2 14 50
Information loss in volatility measurement with flat price trading 0 0 0 0 0 1 16 19
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 0 2 4 9 9
Model Selection for Explosive Models 0 0 0 1 3 7 13 39
Nonparametric and Probabilistic Classification Using NN-balls with Environmental and Remote Sensing Applications 0 0 0 0 1 4 10 10
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 2 2 8 13
Total Chapters 0 0 1 6 12 23 82 155
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