Library
REEP 1
Gent, BE-9000
Belgium
Vlerick Business School
SSRN RANKINGS
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Tail correlation, tail risk, quantile, ellipticity, crises
Tail correlation, quantile, ellipticity, risk
Vector Multiplicative Error Model, Seminonparametric Estimation, Volatility
Systemic risk, ranking, financial institutions
Limit orders, market orders, limit order book, order aggressiveness, order-driven markets
Limit order book, volatility, electronic order-driven markets, state-space models, price formation, market microstructure
G1, limit order book, market microstructure, order-driven markets, price formation, state-space models, volatility
Intraday returns, Quantile Regression, intraday VaR
Quantiles, simulated methods, alpha-stable distribution, fat tails
Realized volatilities, vast dimensions, factor models, long memory, forecasting
Transport Economics Policy & Planning, Governance Indicators, Banks & Banking Reform, Urban Slums Upgrading, Urban Services to the Poor
Efficient return, macroeconomic announcements, microstructure noise, informational volatility
Efficient return, Macroeconomic announcements, Microstructure noise, Informational volatility
Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution
Commonality, liquidity, equities, factor models, block structure
Duration, Hazard function, Market microstructure, Latent variable model
Hill estimator, elliptical distributions, Minimum Covariance Determinant, tail index
US bonds, PDL model, business cycle, macroeconomic announcements
banking, insurance, systemic risk
Temporal aggregation, ARIMA, Seasonality, GARCH, Vector ARMA, Spurious causality, Multivariate GARCH
Auxiliary model, efficient method of moments, indirect inference, information criteria
Duration processes, transactions data, intra-day financial markets, density forecast evaluation
Great Moderation, temporal disaggregation, volatility, dynamic factor models, Kalman filter
Quantiles, elliptical family, simulations, heavy tails
Conditional skewness, asymmetry
French State deficit, temporal aggregation, intra-annual, forecasting
heavy tailed distribution, tempered stable distribution, method of simulated quantiles
Realized measures, noise, jumps, synchronization
Weak exogeneity, pseudo-maximum likelihood, semiparametric models, point processes, high-frequency data. stealth trading, mixture of distribution hypothesis
Stable, elliptical, high dimension, multivariate, Indirect Inference
panel data, temporal aggregation, temporal aggregation, model specification, efficiency
Stable Distributions, Local Asymptotic Normality, R-Estimation, Asymptotic Relative Efficiencies
Stable distributions, local asymptotic normality, rank tests, asymptotic relative efficiencies
Quantiles, S-mixing
short selling, comovement, informed trading
short selling, tail correlation
short selling, correlation, informed trading