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Continuous-Time Methods, Quadratic Variation, Realized Volatility, Realized Correlation, High-Frequency Data, Exchange Rates, Vector Autoregression, Long Memory, Volatility Forecasting, Correlation Forecasting, Density Forecasting, Risk Management, Value at Risk
Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives
Risk Management, Hedging, Insurance, Seasonality, Average Temperature, Financial Derivatives, Density Forecasting
Credit risk, stress testing, ratings migration, credit portfolio management
Market risk, volatility, GARCH
Time series analysis, time domain, frequency domain
Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, high-frequency data, volatility forecasting, HAR-RV model
quadratic variation and covariation, realized volatility, asset pricing, CAPM, equity betas, long memory, nonlinear fractional cointegration, continuous-time methods
Asset Pricing, Macroeconomic News Announcements, Financial Market Linkages, Market Microstructure, High-Frequency Data, Survey Data, Asset Return Volatility, Forecasting
Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management
Realized Volatility, Integrated Volatility, Quadratic Variation, Long-Memory, High-Frequency Data, Risk Management, Forecasting
Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, statespace model
Yield curve, term structure, interest rates, macroeconomic fundamentals, factor model, state-space model
Exchange Rates, Macroeconomic News Announcements, Jumps, Market Microstructure, High-Frequency Data, Expectations Data, Anticipations Data, Order Flow, Asset Return Volatility, Forecasting
Realized volatility, realized beta, conditional CAPM, business cycle
Conditional Mean Dependence, Conditional Volatility
Massive data, computing, statistics, econometrics
Term structure; Yield curve; Factor model; Risk Management
Financial Asset Returns, Market Timing, and Volatility Dynamics
term structure, yield curve, Nelson-Siegel model, affine equilibrium model
arbitrage, Nelson-Siegel, term structure, factor models, forecast accuracy
interest rates, econometric models
Econometric Theory, Finance
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: sjoe.
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Asset Market, Asset Return, Stock Market, Emerging Market, Market Linkage, Financial Crisis, Herd Behavior, Contagion
File name: ecoj.
massive data, computing, statistics, econometrics
Business cycle, expected equity returns, prediction, Livingston survey, risk aversion, equity premium, risk premium
Term Structure, Interest Rate, Dynamic Factor Model, Global Yield, World Yield, Bond Market
Financial market, equity market, asset return, risk, variance, asset pricing
Continuous-time methods, jumps, quadratic variation, realized volatility, bi-power variation, highfrequency data, volatility forecasting, macroeconomic news, HAR-RV model, HAR-RV-CJ model
Term structure, interest rates, macroeconomic fundamentals, factor model, state-space model
network centrality, network visualization, pairwise connectedness, total directional connect- edness, total connectedness, vector autoregression, variance decomposition, LASSO
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
Risk measurement, risk management, portfolio allocation, market risk, credit risk, systemic risk, asset markets, degree distribution
Range-based Estimation, Volatility, Covariance, Correlation, Absence of Arbitrage, Exchange Rates, Stock Returns, Bond returns, Bid-ask Bounce, Asynchronous Trading
Systemic risk, connectedness, systemically important financial institutions, vector autoregres- sion, variance decomposition, lasso, elastic net, adaptive lasso, adaptive elastic net
Financial Market Volatility, High-Frequency Data, Realized Volatility, Quadratic Variation, Exchange Rates, Long-Memory
Realized volatility, Market microstructure theory, High-frequency data, Financial econometrics
Asset Market, Asset Return, Stock Market, Market Linkage, Financial Crisis, Contagion, Vector Autoregression, Variance Decomposition
Range-based estimation, volatility, covariance, correlation, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading
High-frequency trading data, point process, long memory, time deformation, scaling law, self-similarity, regime-switching model, market microstructure, liquidity
Import prices, Export prices, Trade balance, Marshall-Lerner condition, DGE model
Business cycle, Expansion, Recession, Macroeconomic forecasting, State space model, Dynamic factor model, Contraction, Turning point
Nowcasting, Prices, Wages, Business cycle, Expansion, Contraction, Recession, Turning point, State-space model, Dynamic factor model
Yield Curve, Interest Rate, Bond Market, Svensson Model
Business cycles, Cross country analysis, Globalization, Group of seven
This is a Multinational Finance Journal paper. Multinational Finance Journal charges $10.99 .
File name: SSRN-id2627652.
high-frequency data; integrated volatility; realized volatility; risk management
National Income and Product Accounts, Output, Expenditure, Economic Activity, Business Cycle, Recession
Forecasting, model comparison, model selection, out-of-sample tests
Synchronization, coupling, de-coupling, network, G-7, real activity, industrial production, globalization
Business cycle, Expansion, Recession, State space model, Macroeconomic forecasting, Dynamic factor model, Contraction, Turning point
Dynamic stochastic general equilibrium model, prediction, stochastic volatility
Income, output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination
Income, Output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination
Forecast accuracy, forecast evaluation, absolute-error loss, quadratic loss, squared-error loss
forecast accuracy, forecast evaluation, absolute-error loss, quadratic loss, squared-error loss
File name: j-0297.
File name: ectj.
Forecast Combination, Forecast Surveys, Shrinkage, Model Selection, LASSO, Regularization
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