Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

(Fractional) Beta Convergence |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |

(Fractional) Beta Convergence |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
686 |

(Fractional) Beta Convergence |
0 |
0 |
0 |
92 |
1 |
1 |
2 |
310 |

(Fractional) Beta Convergence |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
914 |

Aggregation of Simple Linear Dynamics: Exact Asymptotic Results |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
14 |

Aggregation of simple linear dynamics: exact asymptotic results |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
26 |

Beta Convergence |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
66 |

Contemporaneous Aggregation of GARCH Processes |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
12 |

Contemporaneous aggregation of GARCH processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
25 |

Contemporaneous aggregation of GARCH processes |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
127 |

Dynamic Factor Models with Infinite-Dimensional Factor Space. Asymptotic Analysis |
1 |
2 |
2 |
68 |
1 |
3 |
4 |
163 |

Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
87 |

Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis |
0 |
0 |
0 |
91 |
0 |
0 |
3 |
151 |

Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations |
0 |
0 |
1 |
158 |
0 |
0 |
4 |
256 |

Eigenvalue Ratio Estimators for the Number of Common Factors |
0 |
0 |
0 |
67 |
0 |
1 |
5 |
90 |

Eigenvalue Ratio Estimators for the Number of Dynamic Factors |
0 |
0 |
3 |
51 |
1 |
1 |
4 |
93 |

Fast micro and slow macro: can aggregation explain the persistence of inflation? |
0 |
0 |
0 |
86 |
0 |
0 |
8 |
388 |

Fast micro and slow macro: can aggregation explain the persistence of inflation? |
0 |
0 |
1 |
91 |
0 |
1 |
2 |
375 |

Gaussian Estimation of Long-Range Dependent Volatility in Asset Prices |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
6 |

Gaussian inference on certain long-range dependent volatility models |
0 |
0 |
0 |
39 |
1 |
1 |
1 |
162 |

Inferential Theory for Generalized Dynamic Factor Models |
0 |
0 |
7 |
76 |
0 |
1 |
19 |
174 |

Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management |
0 |
0 |
0 |
219 |
0 |
0 |
0 |
617 |

Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management |
0 |
0 |
0 |
165 |
0 |
0 |
0 |
509 |

Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management |
0 |
0 |
0 |
360 |
0 |
1 |
2 |
1,163 |

Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management |
0 |
0 |
0 |
237 |
0 |
0 |
1 |
603 |

Model Averaging in Risk Management with an Application to Futures Markets |
0 |
1 |
1 |
158 |
0 |
1 |
1 |
423 |

Model Averaging in Risk Management with an Application to Futures Markets |
0 |
0 |
0 |
186 |
0 |
0 |
0 |
515 |

Modelling Nonlinearity and Long Memory in Time Series - (Now published in 'Nonlinear Dynamics and Time Series', C D Cutler and D T Kaplan (eds), Fields Institute Communications, 11 (1997), pp.61-170.) |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
22 |

Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility |
0 |
0 |
0 |
378 |
0 |
0 |
0 |
959 |

Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.) |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
8 |

On moment conditions for quasi-maximum likelihood estimation of multivariate ARCH models |
0 |
0 |
1 |
134 |
0 |
0 |
3 |
378 |

One-Sided Representations of Generalized Dynamic Factor Models |
0 |
0 |
0 |
76 |
0 |
0 |
1 |
233 |

One-Sided Representations of Generalized Dynamic Factor Models |
0 |
0 |
0 |
49 |
0 |
0 |
0 |
153 |

One-Sided Representations of Generalized Dynamic Factor Models |
0 |
2 |
2 |
218 |
0 |
3 |
5 |
470 |

Optimal Asset Allocation with Factor Models for Large Portfolios |
0 |
0 |
0 |
151 |
0 |
0 |
1 |
508 |

Optimal Asset Allocation with Factor Models for Large Portfolios |
0 |
0 |
0 |
307 |
1 |
2 |
2 |
913 |

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios |
0 |
1 |
1 |
79 |
0 |
2 |
2 |
300 |

PSEUDO-MAXIMUM LIKELIHOOD ESTIMATION OF ARCH($ \infty $) MODELS |
0 |
0 |
0 |
2 |
0 |
1 |
3 |
318 |

Pseudo-Maximum Likelihood Estimation of ARCH(8) Models |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
30 |

Pseudo-maximum likelihood estimation of ARCH(∞) models |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
23 |

Robust Nearly-Efficient Estimation of Large Panels with Factor Structures |
0 |
0 |
0 |
24 |
0 |
0 |
0 |
27 |

Stationarity and Memory of ARCH Models |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
18 |

Stationarity and memory of ARCH models |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
22 |

Total Working Papers |
1 |
6 |
19 |
3,643 |
5 |
19 |
87 |
12,343 |