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

A Tour in the Asymptotic Theory of GARCH Estimation |
0 |
1 |
4 |
181 |
0 |
1 |
5 |
269 |

A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices |
2 |
3 |
4 |
64 |
2 |
4 |
9 |
140 |

Asymptotic Inference in Multiple-Threshold Nonlinear Time Series Models |
0 |
1 |
1 |
20 |
0 |
5 |
8 |
73 |

Barlett’s Formula for Non Linear Processes |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
76 |

Bartlett's formula for a general class of non linear processes |
0 |
0 |
0 |
152 |
1 |
1 |
13 |
525 |

Can One Really Estimate Nonstationary GARCH Models ? |
0 |
0 |
0 |
69 |
0 |
1 |
3 |
182 |

Combining Nonparametric and Optimal Linear Time Series Predictions |
0 |
0 |
1 |
10 |
0 |
0 |
4 |
82 |

Combining parametric and nonparametric approaches for more efficient time series prediction |
1 |
1 |
3 |
171 |
1 |
1 |
5 |
265 |

Conditional Heteroskedasticity Driven by Hidden Markov Chains |
0 |
1 |
3 |
46 |
0 |
1 |
5 |
89 |

Conditional heteroskedasticity driven by hidden Markov chains |
0 |
0 |
0 |
0 |
1 |
2 |
6 |
158 |

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
1 |
3 |
20 |
20 |
1 |
8 |
42 |
42 |

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
0 |
2 |
11 |
11 |
0 |
3 |
27 |
27 |

Contemporaneous Asymmetry in GARCH Processes |
0 |
0 |
0 |
29 |
0 |
0 |
3 |
103 |

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 |
1 |
1 |
15 |
0 |
1 |
2 |
53 |

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 |
1 |
3 |
5 |
0 |
1 |
3 |
16 |

Estimating ARCH Models when the Coefficients are Allowed to be Equal to Zero |
0 |
0 |
1 |
42 |
0 |
0 |
1 |
128 |

Estimating Stochastic Volatility Models: A New Approach Based on ARMA Representations |
0 |
0 |
2 |
37 |
1 |
1 |
3 |
57 |

Estimating Weak Garch Representations |
0 |
0 |
0 |
50 |
1 |
1 |
4 |
102 |

Estimating multivariate GARCH and stochastic correlation models equation by equation |
0 |
0 |
1 |
93 |
2 |
3 |
8 |
124 |

Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions |
0 |
0 |
1 |
99 |
1 |
3 |
12 |
182 |

Estimation Adjusted VaR |
0 |
0 |
0 |
106 |
0 |
2 |
8 |
305 |

Explosive Bubble Modelling by Noncausal Process |
1 |
2 |
7 |
290 |
3 |
8 |
27 |
551 |

Functional GARCH models: the quasi-likelihood approach and its applications |
1 |
5 |
17 |
56 |
1 |
8 |
33 |
60 |

Garch models without positivity constraints: exponential or log garch? |
0 |
0 |
5 |
120 |
0 |
0 |
8 |
234 |

Inconsistency of the MLE and inference based on weighted LS for LARCH models |
0 |
0 |
1 |
1 |
0 |
0 |
4 |
24 |

Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models |
0 |
0 |
0 |
72 |
0 |
2 |
4 |
153 |

Inference in GARCH when some coefficients are equal to zero |
0 |
0 |
0 |
101 |
0 |
0 |
2 |
279 |

Inference in Non Stationary Asymmetric Garch Models |
0 |
0 |
0 |
16 |
0 |
1 |
6 |
31 |

Inference in non stationary asymmetric garch models |
0 |
0 |
2 |
66 |
0 |
0 |
8 |
104 |

Intrinsic Liquidity in Conditional Volatility Models |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
13 |

Joint inference on market and estimation risks in dynamic portfolios |
0 |
1 |
1 |
36 |
0 |
1 |
4 |
45 |

Linear-Representations Based Estimation of Switching-Regime GARCH Models |
0 |
0 |
0 |
17 |
0 |
0 |
1 |
50 |

Local Explosion Modelling by Noncausal Process |
0 |
1 |
4 |
88 |
0 |
2 |
16 |
76 |

Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels |
0 |
0 |
0 |
31 |
0 |
0 |
1 |
40 |

Merits and Drawbacks of Variance Targeting in GARCH Models |
0 |
0 |
1 |
11 |
2 |
7 |
20 |
113 |

Merits and drawbacks of variance targeting in GARCH models |
1 |
2 |
3 |
395 |
5 |
8 |
25 |
1,212 |

Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles |
4 |
8 |
19 |
84 |
4 |
11 |
37 |
84 |

Multi-level Conditional VaR Estimation in Dynamic Models |
0 |
0 |
0 |
16 |
0 |
0 |
3 |
52 |

Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
0 |
17 |
0 |
0 |
6 |
266 |

Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes |
0 |
0 |
1 |
1 |
0 |
0 |
4 |
12 |

On uniqueness of moving average representations of heavy-tailed stationary processes |
0 |
0 |
1 |
61 |
0 |
2 |
10 |
76 |

Optimal Predictions of Powers of Conditionally Heteroskedastic Processes |
0 |
0 |
1 |
19 |
1 |
1 |
4 |
48 |

Optimal predictions of powers of conditionally heteroskedastic processes |
0 |
0 |
2 |
141 |
0 |
0 |
5 |
290 |

Properties of the QMLE and the Weighted LSE for LARCH(q) Models |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
40 |

Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations |
0 |
0 |
2 |
61 |
0 |
1 |
6 |
29 |

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 |
0 |
0 |
7 |
0 |
0 |
2 |
36 |

Quasi-indirect inference for diffusion processes |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
8 |

Risk-parameter estimation in volatility models |
0 |
0 |
6 |
148 |
0 |
1 |
15 |
284 |

Stationarity and geometric ergodicity of a class of nonlinear ARCH models |
0 |
0 |
0 |
17 |
0 |
0 |
3 |
79 |

Stationarity of Multivariate Markov-Switching ARMA Models |
0 |
0 |
3 |
78 |
1 |
1 |
6 |
479 |

Stochastic unit-root bilinear processes |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
186 |

Strict stationarity testing and estimation of explosive ARCH models |
1 |
1 |
1 |
162 |
1 |
1 |
10 |
317 |

Sup-Tests for Linearity in a General Nonlinear AR(1) Model |
0 |
0 |
1 |
7 |
0 |
0 |
1 |
65 |

Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space |
1 |
1 |
3 |
135 |
1 |
1 |
5 |
282 |

Testing for Continuous-Time Models of the Short-Term Interest Rate |
0 |
0 |
2 |
9 |
0 |
0 |
8 |
305 |

Testing for continuous-time models of the short-term interest rate |
0 |
0 |
0 |
2 |
0 |
0 |
2 |
13 |

Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons |
0 |
0 |
1 |
39 |
0 |
2 |
7 |
100 |

Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons |
0 |
0 |
3 |
170 |
3 |
5 |
14 |
340 |

Variance targeting estimation of multivariate GARCH models |
0 |
0 |
1 |
79 |
0 |
1 |
3 |
94 |

Total Working Papers |
13 |
35 |
145 |
4,011 |
33 |
103 |
494 |
10,361 |