| Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk |
52 |
| Downside Variance Risk Premium |
14 |
| Dynamic Functional Regression with Application to the Cross-section of Returns |
6 |
| Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall |
6 |
| Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model |
5 |
| Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series |
4 |
| The Risk and Return Conundrum Explained: International Evidence |
4 |
| Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors |
2 |
| The VIX, the Variance Premium, and Expected Returns |
2 |
| Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies |
2 |
| Identification of Global and Local Shocks in International Financial Markets via General Dynamic Factor Models |
2 |
| An Anatomy of Industry Merger Waves |
1 |
| Realized Peaks over Threshold: ATime-Varying Extreme Value Approach with High-Frequency-Based Measures |
1 |
| Subsampling Inference for the Autocorrelations of GARCH Processes |
1 |
| Divergence and the Price of Uncertainty |
1 |
| Testing for Co-jumps in Financial Markets |
1 |
| Bayesian Dynamic Modeling of High-Frequency Integer Price Changes |
1 |
| Can Volatility Models Explain Extreme Events? |
1 |
| Extreme Conditional Tail Moment Estimation under Serial Dependence |
1 |
| Limit of Random Measures Associated with the Increments of a Brownian Semimartingale |
1 |
| Efficient Multipowers |
1 |
| Fractional Integration and Fat Tails for Realized Covariance Kernels |
1 |
| Factor High-Frequency-Based Volatility (HEAVY) Models |
1 |
| Parallel Bayesian Inference for High-Dimensional Dynamic Factor Copulas |
1 |
| Fractionally Integrated COGARCH Processes |
0 |
| Option-Implied Equity Premium Predictions via Entropic Tilting |
0 |
| A Quantile Regression Approach to Estimate the Variance of Financial Returns |
0 |
| Structural Volatility Impulse Response Function and Asymptotic Inference |
0 |
| Testing High-Dimensional Linear Asset Pricing Models |
0 |
| Is Imperfection Better? Evidence from Predicting Stock and Bond Returns |
0 |
| Testing Slope Homogeneity in Quantile Regression Panel Data with an Application to the Cross-Section of Stock Returns |
0 |
| FARVaR: Functional Autoregressive Value-at-Risk |
0 |
| Likelihood Inference for a COGARCH Process Using Sequential Monte Carlo |
0 |
| Comparing Predictive Accuracy under Long Memory, With an Application to Volatility Forecasting |
0 |
| Inflation Risk Premia, Yield Volatility, and Macro Factors |
0 |
| Estimating Systematic Risk under Extremely Adverse Market Conditions |
0 |
| An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation* |
0 |
| Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?* |
0 |
| Forecasting Bond Yields with Segmented Term Structure Models* |
0 |
| A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases |
0 |
