| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Framework for Assessing the Systemic Risk of Major Financial Institutions |
0 |
0 |
8 |
359 |
7 |
11 |
26 |
955 |
| A framework for assessing the systemic risk of major financial institutions |
0 |
0 |
1 |
92 |
2 |
5 |
18 |
273 |
| A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model |
0 |
1 |
2 |
374 |
1 |
4 |
11 |
1,034 |
| Ambiguity Aversion and Variance Premium |
0 |
0 |
2 |
71 |
0 |
7 |
16 |
195 |
| Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis |
0 |
0 |
0 |
138 |
3 |
4 |
14 |
337 |
| Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis |
0 |
0 |
1 |
209 |
3 |
3 |
8 |
519 |
| Bond risk premia and realized jump volatility |
0 |
0 |
0 |
98 |
0 |
0 |
7 |
284 |
| Credit default swap spreads and variance risk premia |
0 |
0 |
0 |
100 |
0 |
1 |
4 |
207 |
| Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities |
0 |
0 |
0 |
217 |
5 |
5 |
8 |
488 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
1 |
1 |
435 |
4 |
7 |
14 |
1,021 |
| Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data |
0 |
0 |
0 |
63 |
6 |
8 |
16 |
310 |
| Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data |
0 |
0 |
1 |
109 |
6 |
7 |
17 |
291 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
506 |
3 |
7 |
14 |
1,143 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
1 |
104 |
6 |
11 |
24 |
380 |
| Expected stock returns and variance risk premia |
0 |
1 |
2 |
388 |
6 |
11 |
26 |
1,027 |
| Explaining credit default swap spreads with equity volatility and jump risks of individual firms |
0 |
0 |
6 |
165 |
3 |
4 |
25 |
748 |
| Explaining credit default swap spreads with the equity volatility and jump risks of individual firms |
0 |
1 |
2 |
440 |
2 |
3 |
14 |
1,856 |
| Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets |
0 |
1 |
8 |
118 |
2 |
4 |
21 |
267 |
| Itô conditional moment generator and the estimation of short rate processes |
0 |
0 |
2 |
125 |
5 |
9 |
20 |
354 |
| Jump-diffusion term structure and Ito conditional moment generator |
0 |
0 |
1 |
363 |
2 |
3 |
12 |
950 |
| Leverage-Induced Fire Sales and Stock Market Crashes |
1 |
1 |
9 |
18 |
2 |
5 |
26 |
30 |
| Realized jumps on financial markets and predicting credit spreads |
0 |
0 |
0 |
140 |
1 |
3 |
11 |
430 |
| Regime-shifts, risk premiums in the term structure, and the business cycle |
0 |
0 |
0 |
174 |
0 |
4 |
9 |
490 |
| Risk, Uncertainty, and Expected Returns |
1 |
2 |
8 |
186 |
2 |
4 |
21 |
584 |
| Risk, uncertainty, and expected returns |
0 |
1 |
1 |
23 |
0 |
2 |
9 |
88 |
| Rural-Urban Disparity and Sectoral Labor Allocation in China |
0 |
0 |
0 |
20 |
3 |
4 |
11 |
1,663 |
| Short Run Bond Risk Premia |
1 |
2 |
3 |
56 |
3 |
10 |
15 |
106 |
| Specification analysis of structural credit risk models |
0 |
0 |
3 |
149 |
6 |
7 |
20 |
436 |
| Stock Return and Cash Flow Predictability: The Role of Volatility Risk |
0 |
0 |
0 |
99 |
1 |
6 |
13 |
188 |
| Stock return predictability and variance risk premia: statistical inference and international evidence |
0 |
0 |
4 |
121 |
1 |
4 |
23 |
261 |
| Systemic risk contributions |
1 |
1 |
4 |
166 |
5 |
6 |
17 |
340 |
| Term structure of interest rates with regime shifts |
0 |
0 |
1 |
443 |
1 |
2 |
13 |
802 |
| The systemic risk of European banks during the financial and sovereign debt crises |
0 |
0 |
4 |
138 |
4 |
8 |
25 |
172 |
| Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty |
0 |
1 |
5 |
78 |
0 |
3 |
17 |
230 |
| Variance risk premiums and the forward premium puzzle |
0 |
1 |
1 |
23 |
0 |
2 |
7 |
104 |
| Volatility puzzles: a unified framework for gauging return-volatility regressions |
0 |
0 |
0 |
430 |
2 |
3 |
10 |
1,627 |
| Total Working Papers |
4 |
14 |
81 |
6,738 |
97 |
187 |
562 |
20,190 |
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