| 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 |
2 |
377 |
1 |
1 |
37 |
1,107 |
| A framework for assessing the systemic risk of major financial institutions |
0 |
0 |
0 |
99 |
0 |
0 |
6 |
320 |
| A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model |
0 |
0 |
0 |
384 |
0 |
2 |
10 |
1,077 |
| Ambiguity Aversion and Variance Premium |
0 |
0 |
0 |
10 |
0 |
0 |
14 |
69 |
| Ambiguity Aversion and Variance Premium |
0 |
0 |
1 |
76 |
0 |
0 |
15 |
239 |
| Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis |
0 |
0 |
0 |
215 |
0 |
0 |
13 |
566 |
| Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis |
0 |
0 |
0 |
140 |
0 |
0 |
7 |
382 |
| Bond risk premia and realized jump volatility |
0 |
0 |
0 |
103 |
0 |
0 |
8 |
312 |
| Credit default swap spreads and variance risk premia |
0 |
0 |
0 |
100 |
0 |
14 |
26 |
239 |
| Does Fiscal Policy Matter for Stock-Bond Return Correlation? |
0 |
0 |
0 |
22 |
0 |
4 |
27 |
85 |
| Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities |
0 |
0 |
0 |
218 |
0 |
0 |
13 |
527 |
| Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities |
0 |
0 |
0 |
439 |
0 |
2 |
14 |
1,061 |
| Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data |
0 |
0 |
1 |
67 |
1 |
2 |
14 |
357 |
| Effects of liquidity on the nondefault component of corporate yield spreads: evidence from intraday transactions data |
0 |
1 |
1 |
128 |
1 |
2 |
14 |
358 |
| Estimating stochastic volatility diffusion using conditional moments of integrated volatility |
0 |
0 |
0 |
508 |
0 |
1 |
17 |
1,180 |
| Expected Stock Returns and Variance Risk Premia |
0 |
0 |
0 |
110 |
0 |
4 |
44 |
478 |
| Expected stock returns and variance risk premia |
1 |
1 |
5 |
409 |
4 |
7 |
67 |
1,183 |
| Explaining credit default swap spreads with equity volatility and jump risks of individual firms |
0 |
0 |
0 |
175 |
0 |
0 |
19 |
897 |
| Explaining credit default swap spreads with the equity volatility and jump risks of individual firms |
0 |
0 |
0 |
441 |
1 |
1 |
25 |
1,965 |
| Hot money and quantitative easing: the spillover effect of U.S. monetary policy on Chinese housing, equity and loan markets |
0 |
0 |
1 |
130 |
0 |
3 |
26 |
353 |
| Itô conditional moment generator and the estimation of short rate processes |
0 |
0 |
0 |
131 |
2 |
2 |
12 |
395 |
| Jump-diffusion term structure and Ito conditional moment generator |
0 |
0 |
0 |
367 |
0 |
0 |
14 |
999 |
| Leverage-Induced Fire Sales and Stock Market Crashes |
0 |
2 |
4 |
37 |
2 |
23 |
67 |
203 |
| Realized jumps on financial markets and predicting credit spreads |
0 |
0 |
0 |
140 |
1 |
2 |
11 |
461 |
| Regime-shifts, risk premiums in the term structure, and the business cycle |
0 |
0 |
0 |
176 |
0 |
0 |
15 |
524 |
| Risk, Uncertainty, and Expected Returns |
0 |
0 |
0 |
191 |
3 |
3 |
22 |
664 |
| Risk, uncertainty, and expected returns |
0 |
0 |
0 |
25 |
0 |
0 |
17 |
122 |
| Rural-Urban Disparity and Sectoral Labor Allocation in China |
0 |
0 |
0 |
20 |
3 |
3 |
23 |
1,709 |
| Short Run Bond Risk Premia |
0 |
0 |
0 |
61 |
1 |
1 |
19 |
152 |
| Specification analysis of structural credit risk models |
0 |
1 |
2 |
159 |
1 |
2 |
24 |
509 |
| Stock Return and Cash Flow Predictability: The Role of Volatility Risk |
0 |
0 |
0 |
103 |
1 |
2 |
23 |
233 |
| Stock return predictability and variance risk premia: statistical inference and international evidence |
0 |
0 |
0 |
129 |
1 |
3 |
27 |
330 |
| Stock-Bond Return Correlation, Bond Risk Premium Fundamentals, and Fiscal-Monetary Policy Regime |
0 |
0 |
0 |
12 |
1 |
4 |
18 |
57 |
| Systemic risk contributions |
0 |
0 |
0 |
178 |
0 |
1 |
22 |
411 |
| Term Structure of Interest Rates with Short-run and Long-run Risks |
0 |
0 |
0 |
21 |
2 |
2 |
10 |
103 |
| Term structure of interest rates with regime shifts |
0 |
0 |
1 |
451 |
0 |
2 |
12 |
834 |
| The systemic risk of European banks during the financial and sovereign debt crises |
0 |
0 |
1 |
147 |
2 |
3 |
23 |
328 |
| Variance risk premia, asset predictability puzzles, and macroeconomic uncertainty |
0 |
1 |
2 |
98 |
0 |
1 |
16 |
294 |
| Variance risk premiums and the forward premium puzzle |
0 |
0 |
0 |
27 |
1 |
1 |
38 |
182 |
| Volatility puzzles: a unified framework for gauging return-volatility regressions |
0 |
0 |
0 |
431 |
0 |
1 |
12 |
1,662 |
| Total Working Papers |
1 |
6 |
21 |
7,055 |
29 |
99 |
841 |
22,927 |
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