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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 2 96
A Class of Nonlinear Stochastic Volatility Models 0 0 0 3 0 1 5 32
A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options 0 0 0 484 0 1 4 1,190
A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics 0 0 0 16 0 0 0 100
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 37 0 0 2 102
A New Bayesian Unit Root Test in Stochastic Volatility Models 0 0 0 50 2 2 2 249
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 30 1 1 4 128
A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market 0 0 0 39 0 0 0 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 2 14 14 2 7 27 27
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 0 62 0 0 1 76
A Panel Clustering Approach to Analyzing Bubble Behavior 0 0 2 18 1 1 6 41
A Posterior-Based Wald-Type Statistic for Hypothesis Testing 0 0 0 35 2 4 6 57
A Quantile-based Asset Pricing Model 1 1 1 66 2 2 3 100
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 2 3 3 91
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 4 4 4 82
A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations 0 0 0 243 1 2 3 611
Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility 0 0 0 87 1 1 4 264
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 1 1 4 46
Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model 0 0 0 47 2 2 2 21
Asymptotic Theory for Rough Fractional Vasicek Models 0 0 0 44 4 5 7 98
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 0 1 1 4 40
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 27 1 1 4 112
Automated Likelihood Based Inference for Stochastic Volatility Models 0 0 0 2 0 0 12 50
BUGS for a Bayesian Analysis of Stochastic Volatility Models 0 0 0 12 0 1 5 62
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 64 2 2 5 107
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 17 2 4 4 140
Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises 0 0 0 10 0 1 4 79
Bayesian Hypothesis Testing in Latent Variable Models 0 0 0 45 0 1 2 181
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 5 1 1 2 22
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility 0 0 0 46 1 1 2 225
Bias in Estimating Multivariate and Univariate Diffusions 0 0 0 43 1 3 3 192
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 11 0 1 2 118
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 26 1 3 3 158
Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models 0 0 0 3 1 1 2 63
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes 0 0 0 45 0 0 2 52
Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes 0 0 0 44 1 1 3 118
Boosting Store Sales Through Ensemble Learning-Informed Promotional Decisions 1 1 8 8 4 5 22 22
Bubble Testing under Deterministic Trends 0 0 1 32 1 1 5 69
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 0 0 0 317
Comments on “A selective overview of nonparametric methods in financial econometrics†0 0 0 2 0 1 4 101
Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan 0 0 0 42 0 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 45 1 2 4 241
Dating the Timeline of Financial Bubbles During the Subprime Crisis 0 0 0 18 0 1 1 96
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 2 2 6 961
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 0 2 28 2 2 8 105
Deviance Information Criterion for Comparing VAR Models 0 0 0 109 1 1 1 81
Deviance Information Criterion for Model Selection:Theoretical Justification and Applications 0 1 2 5 0 2 17 24
Different Strokes for Different Folks: Long Memory and Roughness 0 0 0 19 2 2 2 16
Do Topics Diffuse from Core to Periphery Journals? 0 0 1 4 0 1 3 40
Double Asymptotics for Explosive Continuous Time Models 0 0 0 41 1 2 4 98
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 4 0 0 0 57
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 19 1 3 7 134
Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods 0 0 2 106 0 2 6 90
Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 4 8 1 1 6 26
Empirical Characteristic Function in Time Series Estimation 0 1 2 10 1 2 5 53
Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time 0 0 0 34 1 1 1 80
Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data 0 0 0 25 0 0 1 37
Estimation of Hyperbolic Diffusion Using MCMC Method 0 0 0 198 0 1 2 675
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 0 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 2 3 8 397
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 78 3 4 8 339
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 1 5 288 0 3 12 976
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 11 0 0 1 81
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? 0 0 0 32 0 0 2 179
FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL 0 0 0 3 1 1 3 38
Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise 0 0 0 13 0 0 3 45
Forecast combinations in machine learning 0 0 1 144 0 1 7 255
Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks 0 0 0 70 0 1 4 126
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 12 2 2 4 109
Forecasting Realized Volatility Using A Nonnegative Semiparametric Model 0 0 0 50 1 1 3 97
Forecasting Singapore GDP using the SPF data 0 1 1 21 0 1 4 48
Forecasting Volatility in the New Zealand Stock Market 0 0 1 9 0 3 9 56
Forecasting Volatility:Evidence from the German Stock Market 0 0 3 13 0 3 13 93
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate 0 0 0 331 1 1 2 1,017
Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel 0 0 0 29 1 1 3 83
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 1 1 1 69
Indirect Inference for Dynamic Panel Models 0 0 0 324 1 1 1 833
Indirect Inference for Dynamic Panel Models 0 0 0 17 0 0 3 119
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 2 0 0 0 45
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 34 1 2 4 160
Information Loss in Volatility Measurement with Flat Price Trading 0 0 0 41 0 0 2 167
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 0 1 91
Jackknifing Bond Option Prices 0 0 0 459 1 1 3 1,621
Jackknifing Bond Option Prices 0 0 0 52 0 0 1 282
Jacknifing Bond Option Prices 0 0 0 1 0 0 2 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 1 1 2 88
Limit Theory for an Explosive Autoregressive Process 0 0 1 46 3 3 4 92
Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process 0 0 0 29 1 1 2 17
MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) 0 0 0 10 2 2 4 34
Maximum Likelihood Estimation for the Fractional Vasicek Model 0 0 0 85 0 1 4 174
Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data 3 5 28 28 5 9 49 49
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 15 0 0 0 97
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance 0 0 0 518 1 1 1 1,814
Measurement and High Finance 0 0 0 22 1 1 1 67
Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors 0 0 0 25 0 1 2 34
Model Selection for Explosive Models 0 0 0 22 0 0 2 27
Model Selection for Explosive Models 0 0 0 1 0 0 1 7
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 1 2 20 20 6 8 23 23
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion 0 1 24 24 0 2 10 10
Multivariate Stochastic Volatility 0 0 1 36 6 7 10 196
Multivariate Stochastic Volatility Models based on Generalized Fisher Transformation 1 1 4 10 3 3 19 29
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 0 0 330 3 6 6 725
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 1 1 2 354
On Leverage in a Stochastic Volatility Model 0 0 0 1 4 4 7 458
On leverage in a stochastic volatility model 0 0 0 0 0 2 3 323
On the Optimal Forecast with the Fractional Brownian Motion 1 1 2 35 1 1 2 27
On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes 1 1 1 24 1 3 10 25
Optimal Estimation for General Gaussian Processed 3 3 3 3 9 9 9 9
Optimal Estimation for General Gaussian Processes 4 4 4 4 5 6 6 6
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 15 1 1 1 70
Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models 0 0 0 43 1 1 1 89
Persistent and Rough Volatility 0 1 4 85 0 1 6 189
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 1 1 1 71
Realized Volatility Forecasting: Continuous versus Discrete Time Models 2 2 2 2 3 3 3 3
Risk of Predictive Distributions and Bayesian Model Comparison of Misspecified Models 4 4 4 4 9 9 9 9
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 3 0 1 2 30
Robust Deviance Information Criterion for Latent Variable Models 0 0 1 56 0 0 2 210
Robust Testing for Explosive Behavior with Strongly Dependent Errors 0 0 0 4 0 1 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 1 3 4 41
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 19 0 0 0 82
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 2 0 1 2 33
Simulated Maximum Likelihood Estimation for Latent Diffusion Models 0 0 0 34 1 1 3 88
Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 7 1 2 2 53
Simulation-based Estimation Methods for Financial Time Series Models 0 0 0 99 0 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 5 1 2 2 87
Simulation-based Estimation of Contingent-claims Prices 0 0 0 171 4 5 5 618
Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 2 0 0 3 41
Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 35 2 2 2 104
Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 117 1 3 4 287
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 78 1 2 3 300
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 22 1 2 3 120
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior 0 0 0 47 2 2 3 155
SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles 0 0 0 4 1 2 2 26
Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models 0 0 0 19 2 2 2 88
Teaching Financial Econometrics to Students Converting to Finance 0 3 22 34 1 9 51 66
Temporal Aggregation and Risk-Return Relation 0 0 0 15 1 1 1 72
Testing Predictability in the Presence of Persistent Errors 0 1 3 12 1 6 17 33
Testing for Multiple Bubbles 0 0 2 245 1 3 9 793
Testing for Multiple Bubbles 0 0 3 195 6 9 29 535
Testing for Multiple Bubbles 0 0 3 15 2 2 8 62
Testing for Multiple Bubbles 0 0 0 106 3 6 10 361
Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 298 2 3 8 480
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 117 5 5 11 254
Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors 0 0 0 37 0 0 5 78
Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 0 0 2 330 2 2 11 802
Testing for Multiple Bubbles: Limit Theory of Real Time Detectors 0 1 1 121 1 3 5 436
Testing for an Explosive Bubble using High-Frequency Volatility 0 1 2 16 0 2 4 33
Testing for an Explosive Bubble using High-Frequency Volatility 0 0 1 8 2 4 9 30
The Grid Bootstrap for Continuous Time Models 0 0 0 35 1 1 2 65
The Time-varying Zone-like and Asymmetric Preference of Central Banks: Evidence from China 1 1 3 3 2 4 21 21
Weak Identification of Long Memory with Implications for Inference 0 0 0 7 3 4 6 20
Weak Identification of Long Memory with Implications for Inference 0 0 1 122 3 6 26 136
Total Working Papers 24 40 198 9,992 192 312 863 30,525
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 5 6 10 137
A Gaussian approach for continuous time models of the short-term interest rate 0 0 0 14 0 1 2 434
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR 0 0 2 5 0 0 11 22
A class of nonlinear stochastic volatility models and its implications for pricing currency options 0 0 0 37 1 2 4 179
A flexible and automated likelihood based framework for inference in stochastic volatility models 0 0 0 4 0 1 2 36
A new approach to Bayesian hypothesis testing 0 0 0 30 1 2 2 137
A semiparametric stochastic volatility model 0 0 0 41 0 1 4 132
A two-stage realized volatility approach to estimation of diffusion processes with discrete data 0 0 0 32 0 0 2 132
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 1 1 1 47
Asymptotic theory for linear diffusions under alternative sampling schemes 0 0 0 3 2 2 3 44
Asymptotic theory for rough fractional Vasicek models 0 0 0 1 2 3 4 58
BUGS for a Bayesian analysis of stochastic volatility models 0 0 0 32 0 2 5 1,262
Bayesian Analysis of Bubbles in Asset Prices 0 0 0 7 0 0 3 55
Bayesian analysis of structural credit risk models with microstructure noises 0 0 0 26 1 1 5 122
Bayesian hypothesis testing in latent variable models 0 0 0 28 1 2 3 183
Bias in estimating multivariate and univariate diffusions 0 0 0 22 2 2 2 111
Bias in the estimation of mean reversion in continuous-time Lévy processes 0 0 0 3 3 4 6 35
Bias in the estimation of the mean reversion parameter in continuous time models 0 0 1 66 2 3 5 370
Bubble testing under polynomial trends 0 0 0 0 0 0 0 0
Comment 0 0 1 11 0 0 2 105
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 2 2 2 29
Dating the timeline of financial bubbles during the subprime crisis 0 0 2 97 2 3 10 315
Detecting bubbles in Hong Kong residential property market 0 1 1 44 1 2 9 213
Deviance Information Criterion for Comparing Stochastic Volatility Models 0 0 0 0 1 1 1 565
Deviance information criterion for latent variable models and misspecified models 0 0 0 20 1 1 5 103
Do Stock Returns Follow a Finite Variance Distribution? 0 0 0 25 0 0 1 198
Double asymptotics for explosive continuous time models 0 0 0 12 0 0 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 68
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION 0 0 1 34 2 2 4 155
EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? 0 0 0 0 2 3 10 700
Editorial 0 0 0 2 0 1 4 55
Empirical Characteristic Function Estimation and Its Applications 0 0 1 293 2 3 6 703
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method 0 0 1 4 1 1 3 29
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 2 23
Forecasting volatility in the New Zealand stock market 0 0 0 246 0 0 0 713
Fractional Gaussian Noise: Spectral Density and Estimation Methods 0 0 0 0 0 0 0 0
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 1 2 4 11
Improved marginal likelihood estimation via power posteriors and importance sampling 0 0 0 6 1 2 6 28
In-fill asymptotic theory for structural break point in autoregressions 0 0 0 0 0 1 2 7
Indirect inference for dynamic panel models 0 0 1 213 2 2 8 537
Inference in continuous systems with mildly explosive regressors 0 0 0 8 1 1 2 65
Information loss in volatility measurement with flat price trading 0 0 1 1 1 1 10 16
Jackknifing Bond Option Prices 0 0 0 81 1 1 2 297
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 0 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 1 1 3 28
Maximum likelihood estimation of partially observed diffusion models 0 0 0 10 0 1 4 97
Mildly Explosive Autoregression with Anti‐persistent Errors 0 0 0 3 0 2 2 15
Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process 0 1 4 18 3 5 12 46
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison 0 1 1 63 1 5 7 228
Multivariate Stochastic Volatility: A Review 0 0 2 131 1 3 7 349
Multivariate stochastic volatility models based on generalized Fisher transformation 2 2 2 2 6 8 8 8
New distribution theory for the estimation of structural break point in mean 0 0 0 12 0 0 0 46
New methodology for constructing real estate price indices applied to the Singapore residential market 1 3 5 26 1 5 14 130
On leverage in a stochastic volatility model 0 0 0 260 2 3 11 569
On stiffness in affine asset pricing models 0 0 0 0 1 1 2 2
On the optimal forecast with the fractional Brownian motion 0 0 2 6 0 1 8 17
On the spectral density of fractional Ornstein–Uhlenbeck processes 0 0 0 0 1 1 8 8
Optimal jackknife for unit root models 0 0 1 2 0 0 2 25
Posterior-based Wald-type statistics for hypothesis testing 0 1 1 4 2 4 5 18
Random coefficient continuous systems: Testing for extreme sample path behavior 0 0 0 5 1 1 4 57
Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts 0 1 2 27 2 3 11 292
Robust testing for explosive behavior with strongly dependent errors 0 1 1 2 3 5 6 15
SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION 0 0 0 9 0 0 1 60
Self-Exciting Jumps, Learning, and Asset Pricing Implications 0 0 0 23 0 0 6 108
Simulation-Based Estimation of Contingent-Claims Prices 0 0 1 29 2 2 5 106
Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behaviour 0 0 0 34 2 2 5 136
Specification tests based on MCMC output 0 0 0 1 3 3 4 42
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 1 5 16 41 7 18 67 172
TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS 0 2 5 10 4 8 20 48
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 2 3 6 17
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method 0 0 0 101 1 1 4 236
Volatility Puzzle: Long Memory or Antipersistency 0 0 4 9 3 5 13 31
Total Journal Articles 4 18 59 2,351 91 154 429 11,627

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 1 1 1 0 1 2 3
Deviance Information Criterion for Comparing VAR Models 0 0 2 2 4 4 10 36
Information loss in volatility measurement with flat price trading 0 0 0 0 1 1 3 3
Model Selection for Explosive Models 0 0 0 1 1 1 4 26
Simulated maximum likelihood estimation of continuous time stochastic volatility models 0 0 0 1 0 0 3 5
Total Chapters 0 1 3 5 6 7 22 73
3 registered items for which data could not be found
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