RunMyCode enables scientists

to openly share the code and data that underlie their research publications

This service is based on the innovative concept of a companion
website associated with a scientific publication.

Companion websites

Volatility Forecast Comparison Using Imperfect Volatility Proxies

Journal of Econometrics (2011)

Patton Andrew J.

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Econometrica (2002)

Ait-Sahalia Yacine

The Risk Map: A New Tool for Validating Risk Models

Journal of Banking and Finance (2013)

Perignon Christophe, Hurlin Christophe, and Colletaz Gilbert

Copula-Based Models for Financial Time Series

Handbook of Financial Time Series (2009)

Patton Andrew J.

Testing for Granger Non-causality in Heterogeneous Panels

Economic Modelling (2012)

Dumitrescu Elena-Ivona and Hurlin Christophe

Pitfalls in Backtesting Historical Simulation VaR models

Journal of Banking and Finance (2012)

Escanciano Juan Carlos and Pei Pei

Monotonicity in Asset Returns: New Tests with Applications to the Term Structure, the CAPM, and Portfolio Sorts

Journal of Financial Economics (2010)

Patton Andrew J. and Timmermann Allan

How to Forecast Long-Run Volatility: Regime Switching and the Estimation of Multifractal Processes

Journal of Financial Econometrics (2004)

Calvet Laurent E. and Fisher Adlai J.

Extracting Factors from Heteroskedastic Asset Returns

Journal of Financial Economics (2001)

Jones Christopher