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A Bayesian Chi-Squared Test for Hypothesis Testing |
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0 |
1 |
20 |
0 |
0 |
2 |
93 |

A Class of Nonlinear Stochastic Volatility Models |
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0 |
1 |
3 |
0 |
0 |
4 |
27 |

A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options |
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0 |
0 |
484 |
1 |
1 |
2 |
1,186 |

A Conversation with Eric Ghysels Co-President of the Society for Financial Econometrics |
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16 |
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0 |
4 |
99 |

A New Bayesian Unit Root Test in Stochastic Volatility Models |
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37 |
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0 |
0 |
100 |

A New Bayesian Unit Root Test in Stochastic Volatility Models |
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0 |
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50 |
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1 |
247 |

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market |
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0 |
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39 |
1 |
1 |
3 |
99 |

A New Hedonic Regression for Real Estate Prices Applied to the Singapore Residential Market |
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0 |
0 |
30 |
0 |
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1 |
124 |

A New Wald Test for Hypothesis Testing Based on MCMC outputs |
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0 |
0 |
41 |
0 |
0 |
1 |
30 |

A Panel Clustering Approach to Analyzing Bubble Behavior |
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1 |
61 |
0 |
21 |
29 |
74 |

A Panel Clustering Approach to Analyzing Bubble Behavior |
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2 |
15 |
0 |
1 |
11 |
34 |

A Posterior-Based Wald-Type Statistic for Hypothesis Testing |
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35 |
1 |
1 |
1 |
51 |

A Quantile-based Asset Pricing Model |
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65 |
3 |
9 |
10 |
97 |

A Semiparametric Stochastic Volatility Model |
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1 |
7 |
0 |
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1 |
48 |

A Specification Test based on the MCMC Output |
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19 |
0 |
0 |
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88 |

A Test Statistic and Its Application in Modelling Daily Stock Returns |
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17 |

A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete |
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9 |
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2 |
78 |

A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations |
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243 |
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2 |
608 |

Asymmetric Response of Volatility: Evidence from Stochastic Volatility Models and Realized Volatility |
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87 |
1 |
1 |
2 |
260 |

Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes |
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23 |
0 |
0 |
3 |
75 |

Asymptotic Distributions of the Least Squares Estimator for Diffusion Processes |
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0 |
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18 |
0 |
0 |
3 |
77 |

Asymptotic Properties of Least Squares Estimator in Local to Unity Processes with Fractional Gaussian Noises |
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21 |
0 |
0 |
1 |
25 |

Asymptotic Theory for Estimating Drift Parameters in the Fractional Vasicek Model |
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25 |
2 |
2 |
5 |
42 |

Asymptotic Theory for Estimating the Persistent Parameter in the Fractional Vasicek Model |
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47 |
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19 |

Asymptotic Theory for Rough Fractional Vasicek Models |
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44 |
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1 |
91 |

Automated Likelihood Based Inference for Stochastic Volatility Models |
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38 |

Automated Likelihood Based Inference for Stochastic Volatility Models |
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27 |
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1 |
108 |

Automated Likelihood Based Inference for Stochastic Volatility Models |
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36 |

BUGS for a Bayesian Analysis of Stochastic Volatility Models |
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12 |
0 |
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2 |
57 |

Bayesian Analysis of Bubbles in Asset Prices |
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64 |
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0 |
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102 |

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises |
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1 |
1 |
10 |
2 |
2 |
4 |
75 |

Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises |
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17 |
0 |
0 |
0 |
136 |

Bayesian Hypothesis Testing in Latent Variable Models |
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45 |
0 |
0 |
2 |
179 |

Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility |
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3 |
5 |
0 |
1 |
4 |
20 |

Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility |
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46 |
1 |
1 |
4 |
223 |

Bias in Estimating Multivariate and Univariate Diffusions |
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43 |
0 |
0 |
1 |
189 |

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models |
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0 |
0 |
26 |
0 |
0 |
1 |
155 |

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models |
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0 |
0 |
3 |
0 |
0 |
2 |
61 |

Bias in the Estimation of the Mean Reversion Parameter in Continuous Time Models |
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0 |
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11 |
0 |
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0 |
116 |

Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Levy Processes |
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45 |
0 |
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1 |
50 |

Bias in the Mean Reversion Estimator in Continuous-Time Gaussian and Lévy Processes |
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0 |
44 |
0 |
0 |
2 |
115 |

Bubble Testing under Deterministic Trends |
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31 |
0 |
0 |
0 |
64 |

Comment on Ã¢â‚¬Å“Realized Variance and Market Microstructure NoiseÃ¢â‚¬Â by Peter R. Hansen and Asger Lunde |
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0 |
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1 |
103 |

Comment on “Realized Variance and Market Microstructure Noise” by Peter R. Hansen and Asger Lunde |
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1 |
1 |
91 |
1 |
3 |
6 |
316 |

Comments on Ã¢â‚¬Å“A selective overview of nonparametric methods in financial econometricsÃ¢â‚¬Â |
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2 |
0 |
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1 |
97 |

Comments on “A Selective Overview of Nonparametric Methods in Financial Econometrics” by Jianqing Fan |
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0 |
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42 |
0 |
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2 |
180 |

Corrigendum to “A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" |
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28 |
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1 |
69 |

Dating the Timeline of Financial Bubbles During the Subprime Crisis |
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167 |
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1 |
431 |

Dating the Timeline of Financial Bubbles During the Subprime Crisis |
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45 |
1 |
1 |
5 |
237 |

Dating the Timeline of Financial Bubbles During the Subprime Crisis |
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18 |
0 |
3 |
7 |
95 |

Dating the Timeline of Financial Bubbles during the Subprime Crisis |
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1 |
1 |
297 |
0 |
1 |
2 |
955 |

Detecting Bubbles in Hong Kong Residential Property Market |
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0 |
0 |
70 |
0 |
0 |
7 |
243 |

Detecting Bubbles in Hong Kong Residential Property Market |
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0 |
1 |
13 |
0 |
0 |
1 |
47 |

Deviance Information Criterion as a Model Comparison Criterion for Stochastic Volatility Models |
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0 |
0 |
8 |
0 |
0 |
0 |
53 |

Deviance Information Criterion for Bayesian Model Selection: Justification and Variation |
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1 |
26 |
0 |
2 |
17 |
97 |

Deviance Information Criterion for Comparing VAR Models |
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0 |
1 |
109 |
0 |
0 |
1 |
80 |

Deviance Information Criterion for Model Selection:Theoretical Justification and Applications |
1 |
2 |
2 |
2 |
1 |
5 |
5 |
5 |

Different Strokes for Different Folks: Long Memory and Roughness |
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1 |
1 |
19 |
0 |
1 |
2 |
14 |

Do Topics Diffuse from Core to Periphery Journals? |
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0 |
0 |
3 |
1 |
1 |
4 |
36 |

Double Asymptotics for Explosive Continuous Time Models |
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0 |
0 |
41 |
0 |
0 |
0 |
94 |

Double Asymptotics for an Explosive Continuous Time Model |
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0 |
1 |
11 |
0 |
0 |
3 |
51 |

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results |
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0 |
0 |
4 |
0 |
1 |
4 |
57 |

Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results |
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1 |
1 |
83 |
0 |
1 |
4 |
136 |

Econometric Analysis of Continuous Time Models: A Survey of Peter PhillipsÃ¢â‚¬â„¢ Work and Some New Results |
0 |
0 |
0 |
19 |
2 |
5 |
10 |
124 |

Econometric Methods and Data Science Techniques: A Review of Two Strands of Literature and an Introduction to Hybrid Methods |
0 |
1 |
4 |
103 |
1 |
3 |
10 |
83 |

Efficient Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
20 |

Empirical Characteristic Function in Time Series Estimation |
0 |
0 |
1 |
7 |
0 |
0 |
5 |
47 |

Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
79 |

Estimation and Inference of Fractional Continuous-Time Model with Discrete-Sampled Data |
0 |
0 |
0 |
25 |
1 |
1 |
1 |
36 |

Estimation of Hyperbolic Diffusion Using MCMC Method |
0 |
0 |
0 |
198 |
0 |
0 |
0 |
673 |

Estimation of Hyperbolic Diffusion using MCMC Method |
0 |
0 |
0 |
1 |
0 |
1 |
3 |
37 |

Estimation of a Self-Exciting Poisson Jump Diffusion Model by the Empirical Characteristic Function Method |
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0 |
0 |
6 |
0 |
0 |
1 |
20 |

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 |
24 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
0 |
32 |
0 |
0 |
2 |
177 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
1 |
11 |
0 |
0 |
4 |
80 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
2 |
156 |
0 |
0 |
5 |
387 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
2 |
283 |
0 |
2 |
14 |
964 |

Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? |
0 |
0 |
0 |
78 |
0 |
1 |
5 |
330 |

FORECASTING REALIZED VOLATILITY USING A NONNEGATIVE SEMIPARAMETRIC MODEL |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
35 |

Finite Sample Comparison of Alternative Estimators for Fractional Gaussian Noise |
0 |
0 |
2 |
13 |
0 |
19 |
24 |
42 |

Forecast combinations in machine learning |
2 |
2 |
9 |
143 |
3 |
4 |
19 |
245 |

Forecasting Equity Index Volatility by Measuring the Linkage among Component Stocks |
0 |
0 |
0 |
70 |
0 |
0 |
1 |
122 |

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
105 |

Forecasting Realized Volatility Using A Nonnegative Semiparametric Model |
0 |
0 |
0 |
50 |
0 |
1 |
1 |
94 |

Forecasting Singapore GDP using the SPF data |
0 |
0 |
0 |
20 |
0 |
0 |
8 |
44 |

Forecasting Volatility in the New Zealand Stock Market |
0 |
0 |
1 |
7 |
0 |
0 |
3 |
46 |

Forecasting Volatility:Evidence from the German Stock Market |
0 |
0 |
0 |
10 |
0 |
1 |
8 |
79 |

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate |
0 |
0 |
0 |
331 |
0 |
0 |
5 |
1,015 |

Housing Equity and Household Consumption in Retirement: Evidence from the Singapore Life Panel |
0 |
0 |
0 |
29 |
1 |
1 |
1 |
80 |

Improved Marginal Likelihood Estimation via Power Posteriors and Importance Sampling |
0 |
0 |
0 |
35 |
0 |
0 |
1 |
40 |

In-fill Asymptotic Theory for Structural Break Point in Autoregression: A Unified Theory |
0 |
0 |
0 |
36 |
1 |
1 |
7 |
67 |

Indirect Inference for Dynamic Panel Models |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
116 |

Indirect Inference for Dynamic Panel Models |
0 |
0 |
0 |
324 |
0 |
0 |
1 |
832 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
34 |
0 |
1 |
2 |
156 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
41 |
0 |
0 |
1 |
165 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
45 |

Information Loss in Volatility Measurement with Flat Price Trading |
0 |
0 |
0 |
97 |
0 |
0 |
1 |
592 |

Integrated Deviance Information Criterion for Latent Variable Models |
0 |
0 |
0 |
42 |
0 |
0 |
2 |
79 |

Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach |
0 |
0 |
0 |
18 |
1 |
1 |
2 |
90 |

Jackknifing Bond Option Prices |
0 |
0 |
0 |
52 |
0 |
1 |
2 |
281 |

Jackknifing Bond Option Prices |
0 |
0 |
0 |
459 |
0 |
0 |
2 |
1,618 |

Jacknifing Bond Option Prices |
0 |
0 |
0 |
1 |
1 |
1 |
4 |
42 |

Latent Local-to-Unity Models |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
36 |

Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods in Time Series Data |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
86 |

Limit Theory for an Explosive Autoregressive Process |
0 |
0 |
0 |
45 |
0 |
0 |
1 |
88 |

Local Powers of Least-Squares-Based Test for Panel Fractional Ornstein-Uhlenbeck Process |
0 |
0 |
0 |
29 |
0 |
0 |
1 |
15 |

MCMC Methods for Estimating Stochastic Volatility Models with Liverage Effects: Comments on Jacquier, Polson and Rossi (2002) |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
30 |

Maximum Likelihood Estimation for the Fractional Vasicek Model |
0 |
2 |
8 |
84 |
0 |
4 |
15 |
169 |

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance |
0 |
0 |
0 |
15 |
0 |
0 |
2 |
97 |

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
47 |

Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance |
0 |
0 |
0 |
518 |
0 |
0 |
2 |
1,813 |

Measurement and High Finance |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
66 |

Mild-explosive and Local-to-mild-explosive Autoregressions with Serially Correlated Errors |
0 |
0 |
0 |
25 |
0 |
0 |
0 |
32 |

Model Selection for Explosive Models |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
6 |

Model Selection for Explosive Models |
0 |
0 |
0 |
22 |
0 |
0 |
3 |
25 |

Multivariate Stochastic Volatility |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
186 |

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison |
0 |
0 |
0 |
330 |
0 |
1 |
3 |
719 |

On Bias in the Estimation of Structural Break Points |
0 |
0 |
0 |
32 |
0 |
0 |
2 |
42 |

On Leverage in a Stochastic Volatility Model |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
451 |

On Leverage in a Stochastic Volatility Model |
0 |
0 |
0 |
126 |
0 |
0 |
0 |
352 |

On leverage in a stochastic volatility model |
0 |
0 |
0 |
0 |
0 |
0 |
4 |
320 |

On the Optimal Forecast with the Fractional Brownian Motion |
0 |
0 |
7 |
33 |
1 |
2 |
14 |
25 |

On the Spectral Density of Fractional Ornstein-Uhlenbeck Processes |
6 |
8 |
8 |
8 |
9 |
11 |
11 |
11 |

Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models |
0 |
0 |
0 |
43 |
0 |
0 |
0 |
88 |

Optimal Jackknife for Discrete Time and Continuous Time Unit Root Models |
0 |
0 |
0 |
15 |
0 |
1 |
1 |
69 |

Persistent and Rough Volatility |
0 |
0 |
1 |
81 |
0 |
1 |
5 |
183 |

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
55 |

Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
70 |

Robust Deviance Information Criterion for Latent Variable Models |
0 |
0 |
1 |
55 |
0 |
0 |
1 |
208 |

Robust Deviance Information Criterion for Latent Variable Models |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
28 |

Robust Testing for Explosive Behavior with Strongly Dependent Errors |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
14 |

Robust Testing for Explosive Behavior with Strongly Dependent Errors |
0 |
1 |
1 |
42 |
0 |
1 |
6 |
19 |

Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data |
0 |
0 |
0 |
23 |
0 |
0 |
1 |
37 |

Simulated Maximum Likelihood Estimation for Latent Diffusion Models |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
31 |

Simulated Maximum Likelihood Estimation for Latent Diffusion Models |
0 |
0 |
1 |
19 |
0 |
0 |
1 |
82 |

Simulated Maximum Likelihood Estimation for Latent Diffusion Models |
0 |
0 |
0 |
34 |
0 |
0 |
1 |
85 |

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 |
0 |
0 |
0 |
171 |

Simulation-based Estimation of Contingent Claims Prices |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
57 |

Simulation-based Estimation of Contingent-claims Prices |
0 |
0 |
0 |
5 |
1 |
1 |
4 |
85 |

Simulation-based Estimation of Contingent-claims Prices |
0 |
0 |
0 |
171 |
1 |
1 |
2 |
613 |

Speci cation Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
38 |

Speci fication Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
102 |

Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles |
0 |
0 |
0 |
117 |
1 |
1 |
2 |
283 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
0 |
22 |
0 |
0 |
1 |
117 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
0 |
78 |
0 |
0 |
1 |
297 |

Specification Sensitivity in Right-Tailed Unit Root Testing for Explosive Behavior |
0 |
0 |
0 |
47 |
0 |
0 |
1 |
152 |

SpeciÖcation Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
24 |

Stimulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models |
0 |
0 |
1 |
19 |
0 |
1 |
2 |
86 |

Teaching Financial Econometrics to Students Converting to Finance |
4 |
11 |
11 |
11 |
6 |
11 |
11 |
11 |

Temporal Aggregation and Risk-Return Relation |
0 |
0 |
0 |
15 |
0 |
1 |
1 |
71 |

Testing Predictability in the Presence of Persistent Errors |
1 |
8 |
8 |
8 |
1 |
10 |
14 |
14 |

Testing for Multiple Bubbles |
0 |
1 |
1 |
106 |
0 |
1 |
6 |
351 |

Testing for Multiple Bubbles |
0 |
1 |
1 |
243 |
0 |
1 |
3 |
784 |

Testing for Multiple Bubbles |
0 |
1 |
2 |
12 |
0 |
1 |
4 |
54 |

Testing for Multiple Bubbles |
0 |
1 |
3 |
191 |
0 |
5 |
16 |
504 |

Testing for Multiple Bubbles 1: Historical Episodes of Exuberance and Collapse in the S&P 500 |
0 |
0 |
3 |
296 |
0 |
0 |
12 |
471 |

Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors |
0 |
0 |
0 |
37 |
0 |
0 |
2 |
73 |

Testing for Multiple Bubbles 2: Limit Theory of Real Time Detectors |
0 |
0 |
0 |
117 |
0 |
3 |
7 |
242 |

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500 |
0 |
0 |
7 |
328 |
0 |
2 |
29 |
790 |

Testing for Multiple Bubbles: Limit Theory of Real Time Detectors |
0 |
1 |
3 |
120 |
0 |
2 |
10 |
431 |

Testing for an Explosive Bubble using High-Frequency Volatility |
1 |
5 |
14 |
14 |
2 |
13 |
29 |
29 |

Testing for an Explosive Bubble using High-Frequency Volatility |
0 |
3 |
6 |
6 |
0 |
8 |
18 |
18 |

The Grid Bootstrap for Continuous Time Models |
0 |
0 |
0 |
35 |
0 |
1 |
4 |
63 |

Weak Identification of Long Memory with Implications for Inference |
0 |
0 |
1 |
121 |
0 |
0 |
11 |
109 |

Weak Identification of Long Memory with Implications for Inference |
0 |
0 |
1 |
7 |
0 |
1 |
7 |
13 |

Total Working Papers |
16 |
54 |
139 |
9,761 |
50 |
190 |
648 |
29,609 |