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SSRN eLibrary Search Results
JEL Code: C5
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Incl. Electronic Paper Dealing with Non-Normality When Estimating Abnormal Returns and Systematic Risk of Private Equity: A Closed-Form Solution
Axel Buchner
University of Passau
Date Posted: July 01, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Extreme Risk Spillover in Financial Markets: Evidence from the Recent Financial Crisis
Seoul Journal of Economics 28 (No. 2 2015): 171-198
Jungbin Hwang and Jae-Young Kim
University of California, San Diego and Seoul National University - Department of Economics
Date Posted: June 30, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Global Impunity Index IGI 2015
Juan Antonio Le Clercq and Gerardo Rodríguez Sánchez Lara
UDLAP and University of the Americas, Puebla
Date Posted: June 30, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Currency Board Arrangement Capital Structure Macrofinancial Diagnostics
Financial Management Association, Nashville, Tennessee, Annual Meeting, 2014
Eleftherios Ioannis Thalassinos , Pantelis Thalassinos , Bozhana Plamenova Venediktova and Vilimir Yordanov
University of Piraeus - Department of Maritime Studies , Credit Suisse AG , University of National and World Economy and Vienna Graduate School of Finance (VGSF)
Date Posted: June 30, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Pratik Ramprasad
Department of Statistics, Rutgers University
Date Posted: June 30, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper (Not) Dancing Together: Monetary Policy Stance and the Government Spending Multiplier
IMF Working Paper No. 15/114
Vincent Belinga and Constant Lonkeng Ngouana
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Date Posted: June 29, 2015
Working Paper Series

Incl. Electronic Paper Driven by News Tone? Understanding Information Processing When Covariates are Unknown: The Case of Natural Gas Price Movements
Simon Jonas Alfano , Max Rapp , Nicolas Pröllochs , Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , Albert-Ludwigs-Universität Freiburg , University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: June 29, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Effect of Legal Institutions on the Wealth of Mexico: Evidences from a Sub-National Empirical Investigation
Mitja Kovac and Rok Spruk
Faculty of Economics University of Ljubljana and Utrecht University - Utrecht University School of Economics
Date Posted: June 27, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Fighting Terrorism: Empirics on Policy Harmonization
African Governance and Development Institute WP/15/024
Simplice A. Asongu and Jacinta Nwachukwu
African Governance and Development Institute and University of Huddersfield - Business School
Date Posted: June 27, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Value-at-Risk for Greek Stocks
Multinational Finance Journal, Vol. 12, No. 1/2, p. 67-104, 2008
Timotheos Angelidis and Alexandros Benos
University of Peloponnese - Department of Economics and National Bank of Greece
Date Posted: June 26, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper A Structural Form Default Prediction Model for SMEs, Evidence from the Dutch Market
Multinational Finance Journal, Vol. 13, No. 3/4, p. 229-264, 2009
Frieda Rikkers and André E. Thibeault
Tilburg University and Vlerick Business School
Date Posted: June 26, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper Government Fiscal Efforts vs. Labour Union Strikes. Strategic Substitutes or Complements?
Quaderni - Working Paper DSE N° 1013,
Massimiliano Castellani , Luca Fanelli and Marco Savioli
University of Bologna - Department of Economics , Universita di Bologna and University of Bologna
Date Posted: June 24, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Granger Causality and Regime Inference in Bayesian Markov-Switching VARs
ECB Working Paper No. 1794
Matthieu Droumaguet , Anders Warne and Tomasz Wozniak
European University Institute , European Central Bank (ECB) and University of Melbourne - Department of Economics
Date Posted: June 23, 2015
Working Paper Series
6 downloads

The Risk Management Approach to Monetary Policy, Nonlinearity and Aggressiveness: The Case of the US Fed
ECB Working Paper No. 1792
Diego Moccero and Jean-Yves Gnabo
European Central Bank (ECB) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Date Posted: June 23, 2015
Working Paper Series

Incl. Electronic Paper Interest Rates, Money, and Banks in an Estimated Euro Area Model
ECB Working Paper No. 1791
Kai Philipp Christoffel and Andreas Schabert
European Central Bank (ECB) and University of Amsterdam - Faculty of Economics and Business
Date Posted: June 23, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets
Forecasting Financial Markets. Theory and Applications, ed. Władysław Milo and Piotr Wdowiński, Wydawnictwo Uniwersytetu Łódzkiego, Łódź 2005, p. 43-56,
Piotr Mielus
Warsaw School of Economics (SGH)
Date Posted: June 23, 2015
Accepted Paper Series
9 downloads

Incl. Electronic Paper Fiscal Rule Infringement Risks: A Stochastic Characterization of EMU Budgets and Their Discipline
Wouter van der Wielen
KU Leuven - Center for Economic Studies
Date Posted: June 23, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper The Impact of World Sugar Economy Toward Sugar Largest Exporters and Importers
Dyana Sari , Wahib Muhaimin and Wahyunin Dyawati
University of Tribhuwana Tungga Dewi , University of Brawijaya and Balai Pengkajian Teknologi Pertanian (BPTP)
Date Posted: June 22, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper A Primer on Spurious Statistical Significance in Time Series Regressions
Economics Committee Newsletter, American Bar Association Section of Antitrust Law, Volume 14, Number 1, Spring 2015
Ai Deng
Bates White, LLC
Date Posted: June 22, 2015
Accepted Paper Series
6 downloads

Incl. Electronic Paper A Bayesian Time-Varying Approach to Risk Neutral Density Estimation
Roberto Casarin , German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics , Idalion Capital US LP and IESA
Date Posted: June 21, 2015
Working Paper Series
27 downloads

Price Leadership in Commodity Market: Evidence from India
Sarveshwar Kumar Inani
Indian Institute of Management (IIM), Lucknow
Date Posted: June 21, 2015
Working Paper Series

Incl. Electronic Paper A Case for Standard Theory?
Center for Mathematical Economics Working Paper No. 542
Christoph Kuzmics and Daniel Rodenburger
Bielefeld University and University of Jena
Date Posted: June 21, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Seasonal Stochastic Volatility and Correlation Together with the Samuelson Effect in Commodity Futures Markets
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: June 20, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Quantile-Based Inference for Tempered Stable Distributions
Hassan A. Fallahgoul , David Veredas and Frank J. Fabozzi
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Vlerick Business School and EDHEC Business School
Date Posted: June 20, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Unlocking Value in Value Portfolios
Nathan Tidd
Tidd Laboratories, Inc.
Date Posted: June 17, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Outperforming in US Large-Caps
Nathan Tidd
Tidd Laboratories, Inc.
Date Posted: June 17, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Pricing Equities with Profit Sources
Nathan Tidd
Tidd Laboratories, Inc.
Date Posted: June 17, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper The Role of Targeted Predictors for Nowcasting GDP with Bridge Models: Application to the Euro Area
Ruhr Economic Paper No. 559
Tobias Kitlinski and Philipp an de Meulen
Rhine-Westphalia Institute for Economic Research (RWI-Essen) and RWI
Date Posted: June 16, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper With or Without You - Do Financial Data Help to Forecast Industrial Production?
Ruhr Economic Paper No. 558
Tobias Kitlinski
Rhine-Westphalia Institute for Economic Research (RWI-Essen)
Date Posted: June 16, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Forecasting CNX-500 Index: Using Non-Linear Dynamics Threshold Model
Nishant Vats and Rudra Prakash Pradhan
Indian Institute of Technology (IIT), Kharagpur and Indian Institute of Technology (IIT)
Date Posted: June 16, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper A Large-Dimensional Factor Analysis of the Federal Reserve's Large-Scale Asset Purchases
Lasse Bork
Aalborg University - Department of Business and Management
Date Posted: June 16, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Risk and Risk Management in the Credit Card Industry
Florentin Butaru , Qingqing Chen , Brian J. Clark , Sanmay Das , Andrew W. Lo and Akhtar R. Siddique
Government of the United States of America - Office of the Comptroller of the Currency (OCC) , Government of the United States of America - Office of the Comptroller of the Currency (OCC) , Rensselaer Polytechnic Institute (RPI) , Washington University, St. Louis , Massachusetts Institute of Technology (MIT) - Sloan School of Management and Office of the Comptroller of the Currency - Enterprise Risk Analysis Division
Date Posted: June 16, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Portfolio Selection with Active Risk Monitoring
Swiss Finance Institute Research Paper No. 15-17
Marc S. Paolella and Pawel Polak
University of Zurich and University of Zurich
Date Posted: June 12, 2015
Working Paper Series
54 downloads

Incl. Electronic Paper Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes
Roman Liesenfeld , Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics , University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Date Posted: June 11, 2015
Last Revised: June 16, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Modeling Energy Price Dynamics: GARCH Versus Stochastic Volatility
CAMA Working Paper No. 20/2015
Joshua C. C. Chan and Angelia Grant
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Date Posted: June 11, 2015
Last Revised: June 12, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Efficient Estimation of Bayesian VARMAs with Time-Varying Coefficients
CAMA Working Paper No. 19/2015
Joshua C. C. Chan and Eric Eisenstat
Australian National University (ANU) and University of Bucharest
Date Posted: June 11, 2015
Last Revised: June 12, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Identification and Real-Time Forecasting of Norwegian Business Cycles
Norges Bank Working Paper 09 | 2015
Knut Are Aastveit , Anne Sofie Jore and Francesco Ravazzolo
Norges Bank , Norges Bank and Norges Bank
Date Posted: June 10, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Norges Bank Working Paper 08 | 2015
André K. Anundsen and Ragnar Nymoen
University of Oslo and University of Oslo - Department of Economics
Date Posted: June 10, 2015
Working Paper Series

Incl. Electronic Paper Stock Price Kinetics
Rodion Remorov
Independent
Date Posted: June 09, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper The New Economics of Labour Migration (NELM): Econometric Analysis of Remittances from Italy to Rural Bangladesh Based on Kinship Relation
International Journal of Migration Research and Development (IJMRD), Volume 1, Issue 1, Summer 2015
Kazi Abdul Mannan and L. J. Fredericks
Southern Cross University, Australia and UCSI University - Faculty of Business & Information Science
Date Posted: June 09, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Incorporating Estimates of Error into Linear Factor Covariance Models
Anish R. Shah
Investment Grade Modeling
Date Posted: June 09, 2015
Last Revised: June 20, 2015
Working Paper Series
57 downloads

Incl. Electronic Paper Nowcasting and Short-Term Forecasting of Russian GDP with a Dynamic Factor Model
BOFIT Discussion Paper No. 19/2015
Alexey Porshakov , Elena Deryugina , Alexey A. Ponomarenko and Andrey Sinyakov
Bank of Russia , Bank of Russia , Central Bank of Russia and Bank of Russia
Date Posted: June 09, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Impact of Large-Scale Asset Purchases on the S&P 500 Index, Long-Term Interest Rates and Unemployment
Ramaprasad Bhar , A. (Tassos) G. Malliaris and Mary Malliaris
UNSW Australia Business School, School of Banking and Finance , Loyola University of Chicago - Department of Economics and Loyola University of Chicago
Date Posted: June 09, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Factor Risk Parity with Portfolio Weight Constraints
Marco Erling and Steffen Möllenhoff
BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics
Date Posted: June 08, 2015
Last Revised: June 16, 2015
Working Paper Series
96 downloads

Incl. Electronic Paper Factor-Based v. Industry-Based Asset Allocation: The Contest
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: June 08, 2015
Last Revised: June 23, 2015
Working Paper Series
116 downloads

Incl. Electronic Paper The Psychometric and Empirical Properties of Measures of Risk Preferences
Jonathan Beauchamp , David Cesarini and Magnus Johannesson
Harvard University - Department of Economics , New York University (NYU) and Stockholm School of Economics - Department of Economics
Date Posted: June 07, 2015
Working Paper Series
18 downloads

A Fast Algorithm to Combine Binomial Option Pricing Framework with Stochastic Volatility Forecasts from a T-GARCH Model for Valuation of Path Dependent Options: A Path Integral Approach
Pavan Gadiraju
Independent
Date Posted: June 07, 2015
Working Paper Series

Incl. Electronic Paper Generalised Partial Autocorrelations and the Mutual Information between Past and Future
CEIS Working Paper No. 344
Alessandra Luati and Tommaso Proietti
University of Bologna - Department of Statistics and University of Rome II - Department of Economics and Finance
Date Posted: June 06, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper A Lattice Method for Option Evaluation with Regime-Switching Asset Correlation Structure
Amalia Christoforidou and Christian-Oliver Ewald
University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: June 06, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper An Empirical Investigation of the Value of Finalisation Count Information to Loss Reserving
Greg Taylor and Jing Xu
UNSW Australia and National University of Singapore (NUS)
Date Posted: June 06, 2015
Working Paper Series
3 downloads


 

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