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Stochastic volatility, Heston, square root process, CEV process, Euler-Maruyama, discretisation, strong convergence, weak convergence, boundary behaviour
forecast evaluation, regime switching, stock market, economic comparison
technical trading, high-frequency trading, latency costs, trading speed, market activity
emerging markets, foreign exchange rates, structural exchange rate models, technical trading, heterogeneous agents
Going Private Transactions, Corporate Governance, Private Equity
Public-to-Private Transactions, Private Equity, Corporate Governance
corporate governance, private equity, public-to-private transactions
Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition
return predictability, model uncertainty, dynamic factor models, variable selection
value, momentum, earnings revisions, risk, behavioral models, overreaction, underreaction
Term structure of interest rates, Nelson-Siegel model, Affine term structure model, forecast combination, Bayesian analysis
corporate governance, excess cash, take-over defences
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corporate governance, excess cash, take‐over defences
realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error
realized volatility, monetary policy announcements, high-frequency data, interest rate surprises
private equity funds, recommitment strategy, strategic asset allocation, overcommitment
macroeconomic news, high frequency trading, latency costs, market activity, event-based trading
corporate governance, disclosure, cost of debt, shareholder rights, agency costs, information risk, interaction effect
Multivariate GARCH, Convex Optimization, Out-Of-Sample Evaluation
Dependence, Stock markets, Copulas, International correlations
analysts' earnings forecasts, emerging markets, macroeconomic forecasts, forecast accuracy
Stock return predictability, model uncertainty, Bayesian model averaging, structural breaks, portfolio selection
Information, order flow, macroeconomic announcements, treasury futures
Non-stationarity, survey forecasts, term structure of interest rates, forecasting, yield curve
Multivariate GARCH, dynamic conditional correlation, kernel regression, minimum variance portfolio, tracking error minimization
FOMC, announcements, federal funds rate, anticipatory signals
File name: ECOJ.
contagion, stock market crises, interdependence
High-frequency data, Market microstructure, Price Discovery, Kalman ﬁlter
Dynamic Factor Models, Implied Volatility Surface, Kalman filter, Maximum likelihood
Dynamic correlations, Volatility modeling, Financial Conditions Indexes, Bank holding companies
Term structure of interest rates, Nelson-Siegel model, affine term structure model, macro factors, forecast combination, model confidence set
High dimensionality, nonlinear forecasting, ridge regression, kernel methods
factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading
Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula
Density forecast evaluation, Volatility modeling, Censored likelihood, Value-at-Risk
Electricity market, Forwards and futures, Factor models, Affine processes
Electricity market, Forecasting, Hourly prices, Dimension reduction, Shrinkage, Forecast combinations
Structural breaks, Bayesian analysis, forecasting, MCMC methods, nonlinear time series
yield curve prediction, Nelson-Siegel model, factor extraction, variable selection
Exchange rates, multivariate GARCH, dynamic conditional correlation, structural breaks
Financial crisis, firm-level data
Commodity futures prices, comovement, term structure, dynamic Nelson Siegel model
Economic growth, parameter heterogeneities, latent class models, panel time series
Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation, structural breaks
imperfect synchronization, phase shifts, regime-switching models, Bayesian analysis
Inflation, output gap, structural change, asymmetry, smooth transition model
State-space models, Markov-switching models, Threshold models, Bayesian inference, Business cycle asymmetry
forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance
Copula-based density forecast, Kullback-Leibler Information Criterion, out-of-sample forecast evaluation
Variable selection; Multiple testing; False discovery rate; Data-rich environment.
Business cycle, phase shifts, regime-switching models, Bayesian analysis
Afterhours Trading, Market microstructure, Kalman filter
File name: OBES259.
File name: ectj.
efficiency, real-time data set, unbiasedness, non-linearity, structural change
forecast evaluation, aggregation, Value-at-Risk, model comparison
File name: OBES.
Alternative Investments, Private Equity, Portfolio Management, Alternative Investment Portfolio Management Strategies, Private Equity, Private Equity Capital Portfolios, Management of Institutional Investor Portfolios
federal funds target rate, real-time forecasting, dynamic ordered probit, variable selection, Bayesian analysis, importance sampling
bias-correction, high-frequency data, market microstructure noise, realized co-range, realized covariance
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