| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
0 |
93 |
0 |
0 |
0 |
360 |
| A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales |
0 |
0 |
1 |
271 |
0 |
2 |
3 |
789 |
| A Feasible Central Limit Theory for Realised Volatility Under Leverage |
0 |
0 |
0 |
124 |
0 |
1 |
1 |
613 |
| A Local Scale Model: An Unobserved Component Alternative to Integrated GARCH Processes (Now published in Journal of Econometrics, vol.60, (1994), pp.181-202.) |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
| A feasible central limit theory for realised volatility under leverage |
0 |
0 |
0 |
91 |
1 |
1 |
1 |
362 |
| Aggregation and Model Construction for Volatility Models |
0 |
0 |
0 |
1 |
0 |
2 |
14 |
1,016 |
| Analytic convergence rates and parameterisation issues for the Gibbs sampler applied to state space models |
0 |
0 |
0 |
199 |
0 |
0 |
1 |
699 |
| Autoregressive conditional root model |
0 |
0 |
2 |
190 |
0 |
0 |
3 |
850 |
| BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time |
2 |
3 |
9 |
343 |
3 |
8 |
21 |
758 |
| Basics of Levy processes |
0 |
1 |
1 |
106 |
0 |
1 |
1 |
249 |
| Basics of Levy processes |
0 |
2 |
4 |
58 |
0 |
7 |
17 |
183 |
| Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models |
0 |
0 |
2 |
146 |
1 |
1 |
4 |
338 |
| Comment on Garland B. Durham and A. Ronald Gallant's "Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes" |
0 |
0 |
1 |
139 |
0 |
0 |
1 |
645 |
| Comparing sample survey measures of English earnings of graduates with administrative data during the Great Recession |
0 |
0 |
0 |
10 |
1 |
1 |
2 |
64 |
| Computationally-intensive Econometrics using a Distributed Matrix-programming Language |
0 |
0 |
0 |
181 |
0 |
0 |
0 |
904 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
23 |
0 |
0 |
0 |
6 |
| Continuous time analysis of fleeting discrete price moves |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
15 |
| Deferred fees for universities |
0 |
0 |
0 |
37 |
1 |
1 |
1 |
165 |
| Deletion Diagnostics and Transformations for Time Series |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
9 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
0 |
132 |
0 |
0 |
4 |
524 |
| Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise |
0 |
0 |
0 |
85 |
1 |
1 |
3 |
318 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
106 |
0 |
0 |
1 |
255 |
| Discrete-valued Levy processes and low latency financial econometrics |
0 |
0 |
0 |
40 |
0 |
0 |
1 |
85 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
2 |
319 |
0 |
0 |
7 |
817 |
| Dynamics of trade-by-trade price movements: decomposition and models |
0 |
0 |
2 |
135 |
1 |
1 |
5 |
307 |
| Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics |
0 |
0 |
0 |
366 |
0 |
0 |
3 |
1,272 |
| Econometric Analysis of Realised Volatility and Its Use in Estimating Stochastic Volatility Models |
0 |
0 |
0 |
29 |
0 |
0 |
4 |
133 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
20 |
0 |
0 |
0 |
150 |
| Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
145 |
| Econometric analysis of potential outcomes time series: instruments, shocks, linearity and the causal response function |
0 |
0 |
5 |
63 |
1 |
4 |
15 |
172 |
| Econometric analysis of realised covariation: high frequency covariance, regression and correlation in financial economics |
0 |
0 |
0 |
411 |
1 |
1 |
3 |
753 |
| Econometric analysis of realised volatility and its use in estimating stochastic volatility models |
0 |
0 |
0 |
527 |
0 |
1 |
3 |
1,285 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
2 |
470 |
0 |
1 |
6 |
1,138 |
| Econometrics of testing for jumps in financial economics using bipower variation |
0 |
0 |
0 |
252 |
1 |
2 |
3 |
597 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
20 |
1 |
1 |
1 |
102 |
| Efficient and feasible inference for the components of financial variation using blocked multipower variation |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
90 |
| Estimating quadratic variation using realised volatility |
0 |
0 |
0 |
327 |
0 |
0 |
1 |
984 |
| Estimation and Testing of Stochastic Variance Models |
0 |
0 |
0 |
0 |
0 |
5 |
17 |
209 |
| Exact Score for Time Series Models in State Space Form (Now published in Biometrika (1992), 79, 4, pp.283-6.) |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
46 |
| Filtering via simulation: auxiliary particle filters |
0 |
0 |
4 |
771 |
0 |
1 |
8 |
1,995 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
0 |
354 |
2 |
3 |
7 |
823 |
| Fitting vast dimensional time-varying covariance models |
0 |
0 |
2 |
124 |
0 |
2 |
7 |
283 |
| Generalized linear autoregressions |
1 |
2 |
3 |
518 |
1 |
2 |
7 |
1,168 |
| Higher order variation and stochastic volatility models |
0 |
0 |
0 |
95 |
0 |
0 |
0 |
284 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
0 |
3 |
59 |
1 |
2 |
11 |
152 |
| How English domiciled graduate earnings vary with gender, institution attended, subject and socio-economic background |
0 |
1 |
8 |
80 |
3 |
6 |
27 |
261 |
| How accurate is the asymptotic approximation to the distribution of realised volatility? |
1 |
1 |
2 |
397 |
1 |
1 |
4 |
1,115 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
0 |
0 |
0 |
308 |
0 |
0 |
1 |
683 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
38 |
1 |
1 |
1 |
115 |
| Income contingent tuition fees for universities |
0 |
1 |
1 |
32 |
1 |
3 |
5 |
129 |
| Income contingent tuition fees for universities |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
101 |
| Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality |
0 |
0 |
0 |
25 |
0 |
1 |
1 |
79 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
275 |
0 |
0 |
1 |
700 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space form |
0 |
0 |
1 |
182 |
0 |
0 |
1 |
619 |
| Integer-valued Lévy processes and low latency financial econometrics |
0 |
0 |
1 |
78 |
0 |
0 |
3 |
165 |
| Integrated OU Processes |
0 |
0 |
0 |
314 |
0 |
0 |
0 |
762 |
| LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES |
0 |
0 |
0 |
34 |
0 |
1 |
1 |
142 |
| Learning and filtering via simulation: smoothly jittered particle filters |
0 |
0 |
2 |
138 |
1 |
1 |
5 |
338 |
| Likelihood Analysis of Non-Gaussian Parameter-Driven Models |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
931 |
| Likelihood INference for Discretely Observed Non-linear Diffusions |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
1,314 |
| Likelihood Inference for Exponential-Trawl Processes |
0 |
0 |
0 |
14 |
0 |
0 |
0 |
6 |
| Likelihood analysis of non-Gaussian parameter driven models |
0 |
0 |
0 |
184 |
0 |
0 |
2 |
597 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
183 |
0 |
0 |
2 |
458 |
| Likelihood based inference for diffusion driven models |
0 |
0 |
0 |
114 |
0 |
0 |
0 |
297 |
| Likelihood inference for discretely observed non-linear diffusions |
0 |
0 |
0 |
141 |
1 |
1 |
2 |
424 |
| Likelihood-Based Estimation of Latent Generalised ARCH Structures |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
22 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
39 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
159 |
0 |
0 |
0 |
482 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
246 |
| Likelihood-based estimation of latent generalised ARCH structures |
0 |
0 |
0 |
109 |
0 |
0 |
1 |
308 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
1 |
186 |
0 |
1 |
3 |
541 |
| Limit theorems for bipower variation in financial econometrics |
0 |
0 |
0 |
95 |
0 |
0 |
0 |
311 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
41 |
1 |
1 |
1 |
201 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
0 |
148 |
0 |
1 |
1 |
387 |
| Martingale unobserved component models |
0 |
0 |
1 |
76 |
0 |
0 |
2 |
178 |
| Martingale unobserved component models |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
134 |
| Measuring and forecasting financial variability using realised variance with and without a model |
1 |
1 |
1 |
198 |
1 |
1 |
1 |
961 |
| Measuring downside risk - realised semivariance |
1 |
1 |
3 |
112 |
2 |
4 |
21 |
336 |
| Measuring downside risk — realised semivariance |
0 |
0 |
3 |
167 |
3 |
5 |
11 |
371 |
| Measuring downside risk-realised semivariance |
0 |
1 |
2 |
347 |
2 |
3 |
11 |
1,237 |
| Modelling and measuring volatility |
0 |
0 |
4 |
257 |
0 |
0 |
5 |
365 |
| Moment conditions and Bayesian nonparametrics |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
40 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
116 |
0 |
0 |
1 |
297 |
| Multipower Variation and Stochastic Volatility |
0 |
0 |
0 |
72 |
0 |
0 |
1 |
271 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
1 |
146 |
0 |
0 |
4 |
298 |
| Multivariate High-Frequency-Based Volatility (HEAVY) Models |
0 |
0 |
0 |
73 |
0 |
1 |
3 |
337 |
| Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading |
0 |
0 |
1 |
71 |
0 |
1 |
2 |
255 |
| Multivariate Rotated ARCH Models |
0 |
0 |
0 |
32 |
0 |
0 |
4 |
240 |
| Multivariate Rotated ARCH models |
0 |
0 |
1 |
42 |
0 |
0 |
4 |
96 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
9 |
0 |
1 |
5 |
94 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
150 |
0 |
0 |
2 |
423 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
195 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
1 |
90 |
1 |
1 |
3 |
382 |
| Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
0 |
49 |
1 |
1 |
1 |
207 |
| Non-Gaussian OU Based Models and Some of their Uses in Financial Economics and Modelling by Levy Processes for Financial Econometrics |
0 |
0 |
0 |
2 |
0 |
0 |
4 |
331 |
| Non-Gaussian OU based models and some of their uses in financial economics |
0 |
0 |
0 |
219 |
1 |
1 |
3 |
487 |
| Normal Modified Stable Processes |
0 |
2 |
10 |
42 |
1 |
4 |
22 |
113 |
| Normal modified stable processes |
0 |
1 |
3 |
186 |
0 |
1 |
6 |
557 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
65 |
0 |
0 |
0 |
197 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
21 |
1 |
2 |
6 |
119 |
| Nuisance parameters, composite likelihoods and a panel of GARCH models |
0 |
0 |
0 |
98 |
1 |
3 |
28 |
329 |
| Parallel Computation in Econometrics: A Simplified Approach |
0 |
0 |
1 |
201 |
0 |
0 |
2 |
498 |
| Power Variation and Time Change |
1 |
1 |
1 |
168 |
1 |
1 |
1 |
473 |
| Power and bipower variation with stochastic volatility and jumps |
0 |
0 |
4 |
845 |
1 |
1 |
15 |
2,006 |
| Power variation & stochastic volatility: a review and some new results |
1 |
1 |
2 |
264 |
1 |
1 |
4 |
677 |
| Realised power variation and stochastic volatility models |
0 |
0 |
0 |
345 |
0 |
0 |
2 |
775 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
120 |
0 |
0 |
3 |
364 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
0 |
104 |
0 |
0 |
3 |
320 |
| Realising the future: forecasting with high frequency based volatility (HEAVY) models |
0 |
0 |
1 |
76 |
1 |
1 |
2 |
213 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
0 |
96 |
0 |
0 |
0 |
362 |
| Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise |
0 |
0 |
1 |
116 |
2 |
3 |
9 |
437 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
113 |
| Robust inference on parameters via particle filters and sandwich covariance matrices |
0 |
0 |
0 |
20 |
0 |
0 |
3 |
126 |
| STOCHASTIC VOLATILITY: LIKELIHOOD INFERENCE AND COMPARISON WITH ARCH MODELS |
1 |
3 |
5 |
1,717 |
1 |
3 |
12 |
4,393 |
| Some recent developments in stochastic volatility modelling |
0 |
0 |
2 |
396 |
0 |
1 |
6 |
808 |
| Statistical Algorithms for Models in State Space Using SsfPack 2.2 |
0 |
0 |
0 |
22 |
0 |
0 |
4 |
110 |
| Stochastic Volatility |
1 |
2 |
9 |
570 |
1 |
5 |
22 |
974 |
| Stochastic Volatility with Leverage: Fast Likelihood Inference |
0 |
0 |
0 |
171 |
0 |
0 |
0 |
379 |
| Stochastic Volatility with Leverage: Fast Likelihood Inference (Revised in April 2006, subsequently published in "Journal of Econometrics", 140, 425-449, 2007. ) |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
94 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
247 |
0 |
0 |
1 |
311 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
341 |
0 |
1 |
2 |
693 |
| Stochastic Volatility: Origins and Overview |
0 |
0 |
0 |
111 |
0 |
0 |
1 |
224 |
| Stochastic volatility with leverage: fast likelihood inference |
0 |
0 |
0 |
336 |
0 |
1 |
3 |
911 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
0 |
0 |
2 |
1,245 |
0 |
0 |
4 |
3,040 |
| Stochastic volatility: likelihood inference and comparison with ARCH models |
1 |
1 |
2 |
674 |
1 |
1 |
10 |
1,429 |
| Submission to the review on “Higher Education Funding and Student Finance” |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
51 |
| Subsampling realised kernels |
0 |
0 |
0 |
53 |
0 |
0 |
0 |
239 |
| Subsampling realised kernels |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
254 |
| Subsampling realised kernels |
0 |
0 |
0 |
75 |
0 |
1 |
2 |
335 |
| Testing the Assumptions Behind the Use of Importance Sampling |
0 |
0 |
0 |
105 |
1 |
2 |
2 |
493 |
| The ACR model: a multivariate dynamic mixture autoregression |
0 |
0 |
0 |
195 |
1 |
1 |
9 |
766 |
| The Autoregressive Conditional Root (ACR) Model |
0 |
0 |
1 |
39 |
1 |
1 |
2 |
117 |
| The relationship between the conditional sum of squares and the exact likelihood for autoregressive moving average model |
0 |
0 |
0 |
123 |
0 |
0 |
1 |
721 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
0 |
159 |
1 |
2 |
2 |
429 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
399 |
0 |
0 |
7 |
993 |
| Variation, jumps, market frictions and high frequency data in financial econometrics |
0 |
0 |
1 |
295 |
2 |
3 |
7 |
816 |
| Total Working Papers |
11 |
25 |
124 |
23,117 |
55 |
129 |
551 |
67,682 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A comparison of sample survey measures of earnings of English graduates with administrative data |
0 |
0 |
0 |
6 |
0 |
0 |
0 |
20 |
| Analysis of high dimensional multivariate stochastic volatility models |
0 |
0 |
1 |
277 |
1 |
3 |
60 |
653 |
| Analytic Convergence Rates and Parameterization Issues for the Gibbs Sampler Applied to State Space Models |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
| BAYESIAN INFERENCE BASED ONLY ON SIMULATED LIKELIHOOD: PARTICLE FILTER ANALYSIS OF DYNAMIC ECONOMIC MODELS |
0 |
0 |
1 |
115 |
1 |
1 |
3 |
279 |
| Bayesian Analysis of Stochastic Volatility Models: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
210 |
| Comment |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
63 |
| Continuous Time Analysis of Fleeting Discrete Price Moves |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
| DEFERRED FEES FOR UNIVERSITIES |
0 |
0 |
0 |
6 |
0 |
0 |
3 |
45 |
| Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise |
0 |
0 |
1 |
235 |
0 |
0 |
6 |
719 |
| Detecting shocks: Outliers and breaks in time series |
0 |
1 |
6 |
136 |
0 |
1 |
9 |
349 |
| Distribution of the ML Estimator of an MA(1) and a local level model |
0 |
0 |
0 |
12 |
0 |
0 |
1 |
50 |
| Dynamics of Trade-by-Trade Price Movements: Decomposition and Models |
0 |
0 |
0 |
0 |
0 |
3 |
17 |
330 |
| Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics |
0 |
0 |
0 |
278 |
1 |
1 |
4 |
806 |
| Econometric Analysis of Vast Covariance Matrices Using Composite Realized Kernels and Their Application to Portfolio Choice |
1 |
3 |
6 |
43 |
3 |
7 |
11 |
93 |
| Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
134 |
| Econometric analysis of realized volatility and its use in estimating stochastic volatility models |
1 |
4 |
17 |
399 |
12 |
24 |
73 |
1,268 |
| Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation |
0 |
0 |
7 |
343 |
1 |
2 |
28 |
1,026 |
| Estimating quadratic variation using realized variance |
0 |
0 |
1 |
617 |
3 |
3 |
8 |
1,840 |
| Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
910 |
| Fitting Nonlinear Time-Series Models with Applications to Stochastic Variance Models |
0 |
0 |
0 |
191 |
0 |
0 |
0 |
575 |
| Foreword by the Editors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
90 |
| From Characteristic Function to Distribution Function: A Simple Framework for the Theory |
1 |
1 |
1 |
67 |
1 |
2 |
2 |
166 |
| Impact of jumps on returns and realised variances: econometric analysis of time-deformed Levy processes |
1 |
1 |
2 |
73 |
1 |
1 |
5 |
265 |
| Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form |
0 |
0 |
0 |
47 |
0 |
0 |
0 |
174 |
| Integer-valued L�vy processes and low latency financial econometrics |
0 |
0 |
1 |
28 |
0 |
1 |
3 |
81 |
| Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
20 |
| Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models |
0 |
0 |
0 |
62 |
0 |
0 |
0 |
147 |
| Is Improving Access to University Enough? Socio‐Economic Gaps in the Earnings of English Graduates |
0 |
0 |
0 |
4 |
0 |
1 |
2 |
17 |
| LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS |
0 |
0 |
3 |
54 |
0 |
0 |
5 |
304 |
| Likelihood Inference for Discretely Observed Nonlinear Diffusions |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
394 |
| Likelihood analysis of a first‐order autoregressive model with exponential innovations |
0 |
0 |
0 |
124 |
0 |
0 |
0 |
507 |
| Likelihood-Based Estimation of Latent Generalized ARCH Structures |
0 |
0 |
0 |
170 |
0 |
0 |
0 |
626 |
| Limit theorems for multipower variation in the presence of jumps |
0 |
0 |
1 |
6 |
0 |
2 |
3 |
51 |
| Local scale models: State space alternative to integrated GARCH processes |
0 |
0 |
1 |
201 |
0 |
1 |
2 |
416 |
| Markov chain Monte Carlo methods for stochastic volatility models |
1 |
3 |
8 |
652 |
1 |
5 |
21 |
1,348 |
| Moment conditions and Bayesian non‐parametrics |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
21 |
| Multivariate Stochastic Variance Models |
0 |
0 |
1 |
1,453 |
0 |
2 |
12 |
3,496 |
| Multivariate high‐frequency‐based volatility (HEAVY) models |
0 |
0 |
0 |
0 |
0 |
0 |
6 |
139 |
| Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading |
0 |
0 |
3 |
125 |
2 |
6 |
21 |
431 |
| Multivariate rotated ARCH models |
0 |
0 |
0 |
19 |
0 |
0 |
7 |
148 |
| Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics |
0 |
0 |
2 |
362 |
0 |
1 |
9 |
747 |
| Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
145 |
| ON THE PROBABILITY OF ESTIMATING A DETERMINISTIC COMPONENT IN THE LOCAL LEVEL MODEL |
0 |
1 |
2 |
11 |
0 |
3 |
5 |
28 |
| Realising the future: forecasting with high-frequency-based volatility (HEAVY) models |
0 |
2 |
6 |
258 |
0 |
4 |
22 |
791 |
| Realized Volatility |
0 |
0 |
1 |
44 |
0 |
0 |
1 |
123 |
| Realized kernels in practice: trades and quotes |
0 |
0 |
0 |
171 |
1 |
3 |
9 |
581 |
| Simulation-based likelihood inference for limited dependent processes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
251 |
| Some recent developments in stochastic volatility modelling |
1 |
1 |
1 |
15 |
1 |
3 |
6 |
57 |
| Statistical algorithms for models in state space using SsfPack 2.2 |
0 |
0 |
0 |
1 |
0 |
3 |
6 |
1,284 |
| Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models |
1 |
2 |
11 |
835 |
2 |
7 |
33 |
2,034 |
| Stochastic volatility with leverage: Fast and efficient likelihood inference |
1 |
6 |
13 |
209 |
3 |
11 |
27 |
561 |
| Subsampling realised kernels |
0 |
0 |
0 |
52 |
0 |
0 |
1 |
218 |
| Testing the assumptions behind importance sampling |
0 |
0 |
0 |
67 |
0 |
1 |
1 |
271 |
| The ACR Model: A Multivariate Dynamic Mixture Autoregression* |
0 |
1 |
1 |
91 |
2 |
8 |
34 |
351 |
| Total Journal Articles |
8 |
26 |
98 |
7,884 |
36 |
113 |
483 |
25,663 |