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Date Posted: November 23, 2009
Last Revised: November 23, 2009
Working Paper Series
2 downloads

Regime-Switching Models for Electricity Spot Prices: Introducing Heteroskedastic Base Regime Dynamics and Shifted Spike Distributions
IEEE Conference Proceedings, 6th International Conference on the European Energy Market, May 2009
Joanna Janczura and Rafal Weron
Hugo Steinhaus Center and Wroclaw University of Technology - Institute of Organization and Management
Date Posted: November 21, 2009
Last Revised: November 21, 2009
Accepted Paper Series
2 downloads

Predicting Recoveries and the Importance of Using Enough Information
CEPR Discussion Paper No. DP7508
Xiaoming Cai and Wouter J. den Haan
affiliation not provided to SSRN and University of Amsterdam
Date Posted: November 17, 2009
Last Revised: November 17, 2009
Working Paper Series

A Hybrid Bankruptcy Prediction Model with Dynamic Loadings on Accounting-Ratio-Based and Market-Based Information: A Binary Quantile Regression Approach
Ming-Yuan Li and Peter Miu
National Cheng Kung University - Graduate Institute of Finance and McMaster University - DeGroote School of Business
Date Posted: November 16, 2009
Last Revised: November 20, 2009
Working Paper Series
10 downloads

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options
Jan van Heys and Reik H. Boerger
affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: November 15, 2009
Last Revised: November 15, 2009
Working Paper Series

When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports
DIW Berlin Discussion Paper No. 943
Ansgar Hubertus Belke , Matthias Göcke and Martin Günther
University of Duisburg-Essen - Department of Economics , University of Muenster - Faculty of Economics and affiliation not provided to SSRN
Date Posted: November 6, 2009
Last Revised: November 6, 2009
Working Paper Series
5 downloads

A Value-at-Risk Analysis of VIX Futures Long Memory, Heavy Tails, and Asymmetry
Bujar Huskaj
Lund University
Date Posted: November 4, 2009
Last Revised: November 4, 2009
Working Paper Series
16 downloads

How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Systematic Risk
Carmine Trecroci
University of Brescia - Department of Economics
Date Posted: November 3, 2009
Last Revised: November 20, 2009
Working Paper Series
43 downloads

Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors
RAND Working Paper Series WR-710
David Powell
affiliation not provided to SSRN
Date Posted: November 3, 2009
Last Revised: November 12, 2009
Working Paper Series
42 downloads

Use of Mathematical Models of the Interest Rate Processes for the Analysis of Yield Time Series
Natalia Ilieva
affiliation not provided to SSRN
Date Posted: November 3, 2009
Last Revised: November 3, 2009
Working Paper Series
14 downloads

Some Statistical Tests and Experiments for Correlation of Financial Series
Nikolai Dokuchaev
Trent University - Department of Mathematics
Date Posted: November 2, 2009
Last Revised: November 4, 2009
Working Paper Series
20 downloads

Empirical Asset Pricing with Nonlinear Risk Premia
Aleksandar Mijatovic and Paul Schneider
Imperial College London - Department of Mathematics and University of Warwick - Finance Group
Date Posted: November 1, 2009
Last Revised: November 1, 2009
Working Paper Series
13 downloads

Realized Volatility and Multipower Variation
CREATES Research Paper 2009-49
Torben G. Andersen and Viktor Todorov
Northwestern University - Kellogg School of Management and Northwestern University
Date Posted: October 29, 2009
Last Revised: October 29, 2009
Working Paper Series
10 downloads

Dynamic Hedging and Extreme Asset Co-Movements
Denitsa Stefanova
VU University Amsterdam
Date Posted: October 28, 2009
Last Revised: October 28, 2009
Working Paper Series
22 downloads

The Determinants of U.S. State Economic Growth: A Less Extreme Bounds Analysis
Economic Inquiry, Vol. 47, Issue 4, pp. 685-700, October 2009
W. Robert Reed
University of Canterbury
Date Posted: October 26, 2009
Last Revised: November 2, 2009
Accepted Paper Series

Dynamic Correlation Hedging in Copula Models for Portfolio Selection
Paris December 2009 Finance International Meeting
Denitsa Stefanova and Redouane Elkamhi
VU University Amsterdam and University of Iowa - Henry B. Tippie College of Business
Date Posted: October 26, 2009
Last Revised: October 26, 2009
Working Paper Series
71 downloads

Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
FRB of Philadelphia Working Paper No. 09-29
Valentina Corradi and Norman R. Swanson
University of Warwick - Department of Economics and Rutgers University - Department of Economics
Date Posted: October 26, 2009
Last Revised: October 26, 2009
Working Paper Series
4 downloads

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Roengchai Tansuchat , Chia-Lin Chang and Michael McAleer
Maejo University - Faculty of Economics , National Chung Hsing University - Department of Applied Economics and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Date Posted: October 24, 2009
Last Revised: October 24, 2009
Working Paper Series
154 downloads

Expected Returns and Volatility of Fama-French Factors
Charles A. Dice Center Working Paper No. 2009-17, Fisher College of Business Working Paper No. 2009-03-017
Fousseni Chabi-Yo
The Ohio State University
Date Posted: October 22, 2009
Last Revised: October 22, 2009
Working Paper Series
60 downloads

Analyzing the Relationship between Organic and Sponsored Search Advertising: Positive, Negative or Zero Interdependence?
Sha Yang and Anindya Ghose
New York University - Leonard N. Stern School of Business and New York University - Leonard N. Stern School of Business
Date Posted: October 20, 2009
Last Revised: November 17, 2009
Working Paper Series
179 downloads

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