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

A Tour in the Asymptotic Theory of GARCH Estimation |
0 |
0 |
3 |
182 |
0 |
0 |
3 |
270 |

A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices |
0 |
0 |
4 |
64 |
1 |
6 |
14 |
146 |

Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models |
0 |
0 |
1 |
20 |
2 |
2 |
10 |
76 |

Barlett’s Formula for Non Linear Processes |
0 |
0 |
0 |
11 |
2 |
2 |
2 |
78 |

Bartlett's formula for a general class of non linear processes |
0 |
0 |
0 |
152 |
3 |
4 |
11 |
529 |

Can One Really Estimate Nonstationary GARCH Models ? |
0 |
0 |
0 |
69 |
0 |
0 |
4 |
183 |

Combining Nonparametric and Optimal Linear Time Series Predictions |
0 |
0 |
1 |
10 |
1 |
1 |
4 |
83 |

Combining parametric and nonparametric approaches for more efficient time series prediction |
0 |
0 |
2 |
171 |
0 |
3 |
6 |
268 |

Conditional Heteroskedasticity Driven by Hidden Markov Chains |
0 |
0 |
2 |
46 |
2 |
5 |
9 |
94 |

Conditional heteroskedasticity driven by hidden Markov chains |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
159 |

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
0 |
0 |
7 |
20 |
0 |
2 |
27 |
44 |

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
0 |
0 |
3 |
11 |
0 |
2 |
13 |
29 |

Contemporaneous Asymmetry in GARCH Processes |
0 |
0 |
0 |
29 |
2 |
3 |
4 |
106 |

Contemporaneous Asymmetry in Weak GARCH Processes |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
414 |

Covariance Matrix Estimation for Estimators of Mixing Wold's Arma |
0 |
0 |
1 |
15 |
0 |
1 |
3 |
54 |

Efficient Use of High Order Autocorrelations for Estimating Autoregressive Processes |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
26 |

Efficient use of higher-lag autocorrelations for estimating autoregressive processes |
0 |
0 |
1 |
5 |
0 |
0 |
1 |
16 |

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero |
0 |
1 |
1 |
43 |
0 |
2 |
2 |
130 |

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations |
0 |
0 |
1 |
37 |
2 |
2 |
4 |
59 |

Estimating Weak Garch Representations |
0 |
0 |
0 |
50 |
0 |
2 |
6 |
105 |

Estimating multivariate GARCH and stochastic correlation models equation by equation |
0 |
1 |
2 |
94 |
1 |
3 |
9 |
127 |

Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions |
0 |
0 |
1 |
99 |
2 |
3 |
10 |
185 |

Estimation Adjusted VaR |
0 |
0 |
0 |
106 |
0 |
2 |
6 |
307 |

Explosive Bubble Modelling by Noncausal Process |
0 |
2 |
6 |
293 |
0 |
7 |
23 |
560 |

Functional GARCH models: the quasi-likelihood approach and its applications |
0 |
2 |
19 |
60 |
1 |
8 |
43 |
72 |

Garch models without positivity constraints: exponential or log garch? |
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0 |
5 |
120 |
1 |
3 |
12 |
238 |

Inconsistency of the MLE and inference based on weighted LS for LARCH models |
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0 |
1 |
1 |
3 |
5 |
7 |
29 |

Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models |
1 |
1 |
1 |
73 |
1 |
1 |
5 |
154 |

Inference in GARCH when some coefficients are equal to zero |
0 |
0 |
0 |
101 |
1 |
4 |
6 |
283 |

Inference in Non Stationary Asymmetric Garch Models |
0 |
0 |
0 |
16 |
1 |
3 |
7 |
34 |

Inference in non stationary asymmetric garch models |
0 |
0 |
2 |
66 |
2 |
3 |
8 |
107 |

Intrinsic Liquidity in Conditional Volatility Models |
0 |
0 |
0 |
0 |
1 |
1 |
4 |
14 |

Joint inference on market and estimation risks in dynamic portfolios |
0 |
0 |
1 |
36 |
1 |
1 |
5 |
46 |

Linear-Representations Based Estimation of Switching-Regime GARCH Models |
0 |
0 |
0 |
17 |
1 |
1 |
2 |
51 |

Local Explosion Modelling by Noncausal Process |
0 |
0 |
3 |
88 |
0 |
0 |
8 |
76 |

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels |
0 |
0 |
0 |
31 |
0 |
1 |
2 |
41 |

Merits and Drawbacks of Variance Targeting in GARCH Models |
0 |
0 |
1 |
11 |
4 |
5 |
25 |
119 |

Merits and drawbacks of variance targeting in GARCH models |
0 |
0 |
3 |
395 |
2 |
7 |
23 |
1,219 |

Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles |
1 |
1 |
17 |
86 |
2 |
4 |
31 |
90 |

Multi-level Conditional VaR Estimation in Dynamic Models |
0 |
0 |
0 |
16 |
0 |
1 |
4 |
53 |

Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
0 |
17 |
1 |
1 |
6 |
267 |

Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
0 |
1 |
1 |
3 |
4 |
15 |

On uniqueness of moving average representations of heavy-tailed stationary processes |
0 |
0 |
0 |
61 |
0 |
0 |
4 |
76 |

Optimal Predictions of Powers of Conditionally Heteroskedastic Processes |
0 |
0 |
1 |
19 |
2 |
3 |
8 |
52 |

Optimal predictions of powers of conditionally heteroskedastic processes |
0 |
0 |
1 |
141 |
3 |
6 |
9 |
296 |

Properties of the QMLE and the Weighted LSE for LARCH(q) Models |
0 |
0 |
0 |
4 |
0 |
4 |
4 |
44 |

Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations |
0 |
0 |
2 |
61 |
1 |
1 |
6 |
30 |

QML estimation of a class of multivariate GARCH models without moment conditions on the observed process |
0 |
0 |
1 |
213 |
0 |
0 |
3 |
453 |

Quasi Indirect Inference for Diffusion Processes |
0 |
1 |
1 |
8 |
2 |
3 |
4 |
39 |

Quasi-indirect inference for diffusion processes |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
9 |

Risk-parameter estimation in volatility models |
1 |
2 |
3 |
150 |
2 |
3 |
11 |
287 |

Stationarity and geometric ergodicity of a class of nonlinear ARCH models |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
79 |

Stationarity of Multivariate Markov-Switching ARMA Models |
1 |
1 |
3 |
79 |
2 |
3 |
7 |
483 |

Stochastic unit-root bilinear processes |
0 |
0 |
0 |
0 |
3 |
4 |
6 |
190 |

Strict stationarity testing and estimation of explosive ARCH models |
0 |
0 |
1 |
162 |
1 |
3 |
10 |
320 |

Sup-Tests for Linearity in a General Nonlinear AR(1) Model |
0 |
0 |
0 |
7 |
2 |
2 |
2 |
67 |

Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space |
0 |
0 |
2 |
135 |
2 |
4 |
8 |
286 |

Testing for Continuous-Time Models of the Short-Term Interest Rate |
0 |
0 |
2 |
9 |
1 |
2 |
9 |
308 |

Testing for continuous-time models of the short-term interest rate |
0 |
0 |
0 |
2 |
2 |
4 |
6 |
17 |

Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons |
0 |
0 |
1 |
39 |
1 |
3 |
11 |
104 |

Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons |
0 |
0 |
3 |
171 |
0 |
3 |
15 |
345 |

Variance targeting estimation of multivariate GARCH models |
0 |
0 |
1 |
79 |
0 |
2 |
6 |
97 |

Total Working Papers |
4 |
12 |
111 |
4,029 |
66 |
156 |
510 |
10,538 |