|
2025
|
Modelling Volatility Cycles: The MF2‐GARCH Model
|
Journal of Applied Econometrics
|
B
|
2
|
|
2025
|
Multiplicative factor model for volatility
|
Journal of Econometrics
|
A
|
4
|
|
2025
|
CRISK: Measuring the climate risk exposure of the financial system
|
Journal of Financial Economics
|
A
|
3
|
|
2024
|
Why Did Bank Stocks Crash during COVID-19?
|
The Review of Financial Studies
|
A
|
4
|
|
2023
|
What are the events that shake our world? Measuring and hedging global COVOL
|
Journal of Financial Economics
|
A
|
2
|
|
2022
|
Large dynamic covariance matrices: Enhancements based on intraday data
|
Journal of Banking & Finance
|
B
|
4
|
|
2021
|
Fitting Vast Dimensional Time-Varying Covariance Models
|
Journal of Business & Economic Statistics
|
A
|
4
|
|
2020
|
Liquidity and volatility in the U.S. Treasury market
|
Journal of Econometrics
|
A
|
4
|
|
2020
|
Hedging Climate Change News
|
The Review of Financial Studies
|
A
|
5
|
|
2019
|
Large Dynamic Covariance Matrices
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2018
|
Structural GARCH: The Volatility-Leverage Connection
|
The Review of Financial Studies
|
A
|
2
|
|
2017
|
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
|
The Review of Financial Studies
|
A
|
2
|
|
2017
|
Scenario generation for long run interest rate risk assessment
|
Journal of Econometrics
|
A
|
3
|
|
2015
|
Systemic Risk in Europe
|
Review of Finance
|
B
|
3
|
|
2015
|
Modeling the Dynamics of Correlations among Implied Volatilities
|
Review of Finance
|
B
|
2
|
|
2014
|
Testing macroprudential stress tests: The risk of regulatory risk weights
|
Journal of Monetary Economics
|
A
|
3
|
|
2014
|
Priced risk and asymmetric volatility in the cross section of skewness
|
Journal of Econometrics
|
A
|
2
|
|
2013
|
SEMIPARAMETRIC VECTOR MEM
|
Journal of Applied Econometrics
|
B
|
3
|
|
2013
|
Stock Market Volatility and Macroeconomic Fundamentals
|
Review of Economics and Statistics
|
A
|
3
|
|
2012
|
Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
|
American Economic Review
|
S
|
3
|
|
2012
|
The Factor–Spline–GARCH Model for High and Low Frequency Correlations
|
Journal of Business & Economic Statistics
|
A
|
2
|
|
2012
|
Volatility Spillovers in East Asian Financial Markets: A Mem-Based Approach
|
Review of Economics and Statistics
|
A
|
3
|
|
2011
|
A component model for dynamic correlations
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
The Factor--Spline--GARCH Model for High and Low Frequency Correlations
|
Journal of Business & Economic Statistics
|
A
|
2
|
|
2011
|
Dynamic Equicorrelation
|
Journal of Business & Economic Statistics
|
A
|
2
|
|
2010
|
The intertemporal capital asset pricing model with dynamic conditional correlations
|
Journal of Monetary Economics
|
A
|
2
|
|
2008
|
The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes
|
The Review of Financial Studies
|
A
|
2
|
|
2008
|
A GARCH Option Pricing Model with Filtered Historical Simulation
|
The Review of Financial Studies
|
A
|
3
|
|
2006
|
The econometrics of macroeconomics, finance, and the interface
|
Journal of Econometrics
|
A
|
5
|
|
2006
|
A multiple indicators model for volatility using intra-daily data
|
Journal of Econometrics
|
A
|
2
|
|
2006
|
A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones
|
Journal of Econometrics
|
A
|
2
|
|
2004
|
Risk and Volatility: Econometric Models and Financial Practice
|
American Economic Review
|
S
|
1
|
|
2002
|
Empirical pricing kernels
|
Journal of Financial Economics
|
A
|
2
|
|
2001
|
Financial econometrics - A new discipline with new methods
|
Journal of Econometrics
|
A
|
1
|
|
2000
|
Time and the Price Impact of a Trade
|
Journal of Finance
|
A
|
2
|
|
1999
|
Stochastic Permanent Breaks
|
Review of Economics and Statistics
|
A
|
2
|
|
1997
|
Codependent cycles
|
Journal of Econometrics
|
A
|
2
|
|
1997
|
Shorte-run forecasts of electricity loads and peaks
|
International Journal of Forecasting
|
B
|
5
|
|
1996
|
Common Seasonal Features: Global Unemployment.
|
Oxford Bulletin of Economics and Statistics
|
B
|
2
|
|
1995
|
Multivariate Simultaneous Generalized ARCH
|
Econometric Theory
|
B
|
2
|
|
1995
|
Estimating common sectoral cycles
|
Journal of Monetary Economics
|
A
|
2
|
|
1994
|
Hourly volatility spillovers between international equity markets
|
Journal of International Money and Finance
|
B
|
2
|
|
1994
|
Do Bulls and Bears Move across Borders? International Transmission of Stock Returns and Volatility.
|
The Review of Financial Studies
|
A
|
3
|
|
1993
|
Measuring and Testing the Impact of News on Volatility.
|
Journal of Finance
|
A
|
2
|
|
1993
|
The Japanese consumption function
|
Journal of Econometrics
|
A
|
4
|
|
1993
|
Testing superexogeneity and invariance in regression models
|
Journal of Econometrics
|
A
|
2
|
|
1993
|
COMMON TRENDS AND COMMON CYCLES
|
Journal of Applied Econometrics
|
B
|
2
|
|
1992
|
On the determination of regional base and regional base multipliers
|
Regional Science and Urban Economics
|
B
|
3
|
|
1992
|
On the theory of growth controls
|
Journal of Urban Economics
|
A
|
3
|
|
1992
|
A multi-dynamic-factor model for stock returns
|
Journal of Econometrics
|
A
|
3
|
|
1992
|
Implied ARCH models from options prices
|
Journal of Econometrics
|
A
|
2
|
|
1992
|
Where does the meteor shower come from? : The role of stochastic policy coordination
|
Journal of International Economics
|
A
|
3
|
|
1990
|
Seasonal integration and cointegration
|
Journal of Econometrics
|
A
|
4
|
|
1990
|
Asset pricing with a factor-arch covariance structure : Empirical estimates for treasury bills
|
Journal of Econometrics
|
A
|
3
|
|
1990
|
Stock Volatility and the Crash of '87: Discussion.
|
The Review of Financial Studies
|
A
|
1
|
|
1989
|
Merging short-and long-run forecasts : An application of seasonal cointegration to monthly electricity sales forecasting
|
Journal of Econometrics
|
A
|
3
|
|
1988
|
A Capital Asset Pricing Model with Time-Varying Covariances.
|
Journal of Political Economy
|
S
|
3
|
|
1987
|
Transportation costs and the rent gradient
|
Journal of Urban Economics
|
A
|
2
|
|
1987
|
Forecasting and testing in co-integrated systems
|
Journal of Econometrics
|
A
|
2
|
|
1985
|
A dymimic model of housing price determination
|
Journal of Econometrics
|
A
|
3
|
|
1985
|
Testing for Regression Coefficient Stability with a Stationary AR(1) Alternative.
|
Review of Economics and Statistics
|
A
|
2
|
|
1984
|
Combining competing forecasts of inflation using a bivariate arch model
|
Journal of Economic Dynamics and Control
|
B
|
3
|
|
1983
|
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
|
Journal of Econometrics
|
A
|
2
|
|
1982
|
A general approach to lagrange multiplier model diagnostics
|
Journal of Econometrics
|
A
|
1
|
|
1979
|
Residential load curves and time-of-day pricing : An econometric analysis
|
Journal of Econometrics
|
A
|
4
|
|
1979
|
Estimation of the price elasticity of demand facing metropolitan producers
|
Journal of Urban Economics
|
A
|
1
|
|
1974
|
Issues in the specification of an econometric model of metropolitan growth,
|
Journal of Urban Economics
|
A
|
1
|
|
1972
|
An Econometric Simulation Model of Intra-Metropolitan Housing Location: Housing, Business, Transportation and Local Government.
|
American Economic Review
|
S
|
1
|