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Abstracts: 566,745
Full Text Papers: 468,827
Authors: 262,772
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Last 30 days: 802,644

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SSRN eLibrary Search Results
JEL Code: C53
426,607 Total downloads
Showing Papers 1 - 50 of 2,422
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Signal Diffusion Mapping: Optimal Forecasting with Time Varying Lags
Paul Vincent Gaskell , Frank McGroarty and Thanassis Tiropanis
University of Southampton , University of Southampton - School of Management and University of Southampton
Date Posted: September 23, 2014
Working Paper Series

Incl. Electronic Paper Causal Dependency in Extreme Returns
Krzysztof Echaust
Poznań University of Economics
Date Posted: September 23, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
ECB Working Paper No. 1733
Marta Banbura , Domenico Giannone and Michele Lenza
European Central Bank , LUISS Guido Carli University and European Central Bank (ECB)
Date Posted: September 20, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper The Forecast Combination Puzzle: A Simple Theoretical Explanation
Tinbergen Institute Discussion Paper 14-127/III
Gerda Claeskens , J.R. Magnus , Andrey L. Vasnev and Wendun Wang
Katholieke Universiteit Leuven (KUL) , VU University Amsterdam - Faculty of Economics and Business Administration , University of Sydney and Erasmus University Rotterdam (EUR)
Date Posted: September 20, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper The Retail Bank Interest Rate Pass-Through: The Case of the Euro Area During the Financial and Sovereign Debt Crisis
ECB Occasional Paper No. 155
Matthieu Darracq Paries , Diego Moccero , Elizaveta Krylova and Claudia Marchini
European Central Bank (ECB) , European Central Bank (ECB) , European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: September 20, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Exploiting the Monthly Data Flow in Structural Forecasting
Bank of England Working Paper No. 509
Domenico Giannone , Francesca Monti and Lucrezia Reichlin
LUISS Guido Carli University , Bank of England and London Business School
Date Posted: September 13, 2014
Accepted Paper Series
4 downloads

Incl. Electronic Paper What Predicts U.S. Recessions?
FRB of New York Staff Report No. 691
Weiling Liu and Emanuel Moench
Harvard Business School and Federal Reserve Bank of New York
Date Posted: September 13, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Have Standard VARs Remained Stable Since the Crisis?
FRB of Cleveland Working Paper No. 14-11
Knut Are Aastveit , Andrea Carriero , Todd E. Clark and Massimiliano Giuseppe Marcellino
Central Bank of Norway , Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research , Federal Reserve Bank of Cleveland and European University Institute
Date Posted: September 12, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper What is the Effect of Sample and Prior Distributions on a Bayesian Autoregressive Linear Model? An Application to Piped Water Consumption
Center for Research in Economics and Finance (CIEF), Working Papers, No. 14-10
Andres Ramirez Hassan , Jhonatan Cardona Jimemez and Luis Raul Pericchi
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) , Universidade Federal do Rio de Janeiro (UFRJ) and University of Puerto Rico
Date Posted: September 12, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper On Foreign Aid Distortions to Governance
African Governance and Development Institute WP/14/003
Simplice A. Asongu
African Governance and Development Institute
Date Posted: September 10, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Examining the Success of the Central Banks in Inflation Targeting Countries: The Dynamics of Inflation Gap and the Institutional Characteristics
Omid Ardakani and Narayan K. Kishor
University of Wisconsin-Milwaukee and University of Wisconsin - Milwaukee
Date Posted: September 08, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Spesa Energetica E Competitività Delle Imprese Italiane (Firms' Energy Costs and Competitiveness in Italy)
Bank of Italy Occasional Paper No. 214
Ivan Faiella and Alessandro Mistretta
Bank of Italy and University of Rome II
Date Posted: September 02, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Multi-Jumps
Massimiliano Caporin , Alexey Kolokolov and Roberto Renò
University of Padova - Department of Economics and Management "Marco Fanno" , University of Lund and University of Siena - Department of Economics and Statistics
Date Posted: August 30, 2014
Working Paper Series
9 downloads

Incl. Fee Electronic Paper Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day‐Of‐The‐Week Effect
International Review of Finance, Vol. 14, Issue 3, pp. 345-392, 2014
Ke Yang and Langnan Chen
South China Agricultural University - College of Economics & Management and Zhongshan University - Lingnan (University) College
Date Posted: August 28, 2014
Accepted Paper Series

Incl. Electronic Paper Information Content and Forecasting Ability of Sentiment Indicators: Case of Real Estate Market
Journal of Real Estate Research, Forthcoming
Gianluca Marcato and Anupam Nanda
Henley Business School - University of Reading and University of Reading - School of Real Estate & Planning, Henley Business School
Date Posted: August 27, 2014
Accepted Paper Series
13 downloads

Incl. Electronic Paper Quantile Regression for Peak Demand Forecasting
Charles Gibbons and Ahmad Faruqui
The Brattle Group and The Brattle Group
Date Posted: August 24, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Outlier Detection in Structural Time Series Models: The Indicator Saturation Approach
CEIS Working Paper No. 325
Martyna Marczak and Tommaso Proietti
University of Hohenheim and University of Rome II - Department of Economics and Finance
Date Posted: August 24, 2014
Working Paper Series
7 downloads

The Sequential Issue in Free Trade Areas: Policy Implication for Korea
International Journal of Finance and Economics, 2004, 9, 165~174
Jong-Eun Lee
Sejong University - Department of Economics
Date Posted: August 24, 2014
Accepted Paper Series

Incl. Electronic Paper Nowcasting and Forecasting Economic Growth in the Euro Area Using Principal Components
Tinbergen Institute Discussion Paper 14-113/III
Irma Hindrayanto , Siem Jan Koopman and Jasper de Winter
De Nederlandsche Bank , VU University Amsterdam and De Nederlandsche Bank
Date Posted: August 24, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Unspanned Macroeconomic Factors in the Yield Curve
FEDS Working Paper No. 2014-57
Laura Coroneo , Domenico Giannone and Michele Modugno
University of York - Department of Economics and Related Studies , LUISS Guido Carli University and Board of Governors of the Federal Reserve System (FRB)
Date Posted: August 23, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Analysing and Forecasting Price Dynamics Across Euro Area Countries and Sectors: A Panel VAR Approach
ECB Working Paper No. 1724
Stephane Dees and Jochen Guntner
European Central Bank (ECB) and Johannes Kepler University
Date Posted: August 22, 2014
Working Paper Series
3 downloads

Economic versus Psychological Forecasting. Evidence from Consumer Confidence Surveys
Journal of Economic Psychology, 30, 4, pp. 563–574 (2009),
Maurizio Bovi
ISTAT, Italian National Institute for Statistics
Date Posted: August 22, 2014
Accepted Paper Series

Are the Representative Agent's Beliefs Based on Efficient Econometric Models?
Journal of Economic Dynamics and Control, 37, pp. 633-648 (2013).
Maurizio Bovi
ISTAT, Italian National Institute for Statistics
Date Posted: August 22, 2014
Accepted Paper Series

Incl. Electronic Paper Anticipating Early Data Revisions to US GDP and the Effects of Releases on Equity Markets
Michael P. Clements and Ana Beatriz Galvão
University of Reading - Henley Business School and University of Warwick
Date Posted: August 20, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models
Tinbergen Institute Discussion Paper 14-107/III
Francisco Blasques , Siem Jan Koopman , Andre Lucas and Julia Schaumburg
VU University Amsterdam , VU University Amsterdam , VU University Amsterdam - Faculty of Economics and Business and VU University AmsterdamTinbergen Institute
Date Posted: August 15, 2014
Last Revised: August 18, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Growth Horizons for a Changing Asian Regional Economy
Asian Development Bank Economics Working Paper Series No. 392
David Roland-Holst and Guntur Sugiyarto
University of California, Berkeley and Asian Development Bank
Date Posted: August 14, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Quantifying the Semantics of Search Behavior Before Stock Market Moves
Proceedings of the National Academy of Sciences 111, 11600-11605; DOI:10.1073/pnas.1324054111 (2014)
Chester Curme , Tobias Preis , H. Eugene Stanley and Helen Susannah Moat
Boston University , Warwick Business School - Behavioural Science Group , Boston University - Center for Polymer Studies and University College London - Department of Civil, Environmental and Geomatic Engineering
Date Posted: August 14, 2014
Accepted Paper Series
61 downloads

Incl. Electronic Paper Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Tinbergen Institute Discussion Paper 14-105/III
Francisco Blasques , Siem Jan Koopman and Max Mallee
VU University Amsterdam , VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business Administration
Date Posted: August 12, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Exponential Smoothing, Long Memory and Volatility Prediction
CEIS Working Paper No. 319
Tommaso Proietti
University of Rome II - Department of Economics and Finance
Date Posted: August 05, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Simulation of the Energy Crisis Hit to the Japan Economics Structure
Mark Kushelman
Deloitte Consulting LLP
Date Posted: August 05, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Ensembles of Overfit and Overconfident Forecasts
Darden Business School Working Paper No. 2474438
Yael Grushka-Cockayne , Victor Richmond R. Jose and Kenneth C. Lichtendahl Jr.
University of Virginia (UVA) - Darden School of Business , Georgetown University - McDonough School of Business and University of Virginia - Darden School of Business
Date Posted: August 03, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Do Exchange Rates Really Help Forecasting Commodity Prices?
Lasse Bork and Pablo Rovira Kaltwasser
Aalborg University - Department of Business and Management and Catholic University of Leuven (KUL)
Date Posted: July 30, 2014
Last Revised: August 21, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
Swiss Finance Institute Research Paper No. 14-45
Juan Valentin Escobar and Didier Sornette
Physics Dept. Universidad Autonoma Metropolitana-Iztapalapa and Swiss Finance Institute
Date Posted: July 26, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
Tinbergen Institute Discussion Paper No. 14-092/IV/DSF77
Andre Lucas
VU University Amsterdam - Faculty of Economics and Business
Date Posted: July 26, 2014
Last Revised: August 20, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement
MIT Sloan Research Paper No. 5110-14
William B. Kinlaw , Mark Kritzman and David Turkington
State Street Global Exchange , Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: July 26, 2014
Working Paper Series
107 downloads

Incl. Electronic Paper A Bayesian Midas Approach to Modeling First and Second Moment Dynamics
Davide Pettenuzzo , Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics , University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Date Posted: July 26, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Interpreting Financial Market Crashes as Earthquakes: A New Early Warning System for Medium Term Crashes
Tinbergen Institute Discussion Paper 14-067/III
Francine Gresnigt , Erik Kole and Philip Hans Franses
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam (EUR) - Department of Econometrics
Date Posted: July 24, 2014
Working Paper Series
75 downloads

Incl. Electronic Paper How Good Can Heuristic-Based Forecasts Be? A Comparative Performance of Econometric and Heuristic Models for UK and US Asset Returns
Massimo Guidolin and Alexei G. Orlov
Bocconi University - Department of Finance and Radford University - Department of Economics
Date Posted: July 22, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Panic Indicator for Measurements of Pessimistic Sentiments from Business News
International Business Research; Vol. 7, No. 5; 2014
Rodion Remorov
Independent
Date Posted: July 22, 2014
Accepted Paper Series
9 downloads

Incl. Electronic Paper Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Tinbergen Institute Discussion Paper 14-090/III
Anne Opschoor , Dick J. C. van Dijk and Michel van der Wel
VU University Amsterdam , Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Erasmus University Rotterdam
Date Posted: July 22, 2014
Last Revised: July 23, 2014
Working Paper Series
44 downloads

Incl. Electronic Paper Data Mining of Time Series with a Unified Trend-Stationarity Constrained-Autoregressive Test
Shlomo Zilca
Tel Aviv University, Faculty of Management
Date Posted: July 22, 2014
Last Revised: September 12, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Estimation of the Hurst Exponent by Randomizing Portfolio Coefficients
Aram Gushchyan
Russian Academy of National Economy and Public Administration under the President of the Russian Federation
Date Posted: July 21, 2014
Last Revised: August 18, 2014
Working Paper Series
74 downloads

Incl. Electronic Paper Stochastic Seasonality, Contemporaneous Inference, and Forecasting in the Presence of Extreme Weather
Jerry Nickelsburg and Wei-Choun Yu
UCLA Anderson Forecast and Winona State University
Date Posted: July 21, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper ICT and Non-ICT Investments: Short and Long Run Macro Dynamics
Quaderni - Working Paper DSE N° 956,
Fabio Bacchini , Maria Elena Bontempi , Roberto Golinelli and Cecilia Jona Lasinio
Italian Statistical Institute , University of Bologna - Department of Economics , University of Bologna - Department of Economics and Italian Statistical Institute
Date Posted: July 18, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates
William D. Larson
Government of the United States of America - Bureau of Economic Analysis (BEA)
Date Posted: July 12, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Wide Volatility Spillover Networks
Yoel Furman
University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: July 11, 2014
Last Revised: August 06, 2014
Working Paper Series
22 downloads

Incl. Electronic Paper Forecasting Chinese GDP Growth with Mixed Frequency Data: Which Indicators to Look at?
KOF Working Paper No. 359
Heiner Mikosch and Ying Zhang
KOF Swiss Economic Institute and Partners Group
Date Posted: July 11, 2014
Working Paper Series
16 downloads

Incl. Electronic Paper Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
ECB Working Paper No. 1688
Lucia Alessi , Eric Ghysels , Luca Onorante , Richard W. Peach and Simon Potter
European Central Bank (ECB) , University of North Carolina Kenan-Flagler Business School , European Central Bank (ECB) , Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: July 11, 2014
Working Paper Series
16 downloads

Are There Rational Bubbles in Reits? New Evidence from a Complex Systems Approach
Journal of Real Estate Finance and Economics, Vol. 49, No. 2, 2014
Maximilian Brauers and Joachim Zietz
EBS Universität für Wirtschaft und Recht - EBS Business School - Real Estate Management Institute and Middle Tennessee State University - Jennings A. Jones College of Business
Date Posted: July 07, 2014
Accepted Paper Series

Incl. Electronic Paper Density Characteristics and Density Forecast Performance: A Panel Analysis
ECB Working Paper No. 1679
Geoff Kenny , Thomas Kostka and Federico Masera
European Central Bank (ECB) , European Central Bank (ECB) and Universidad Carlos III de Madrid
Date Posted: July 05, 2014
Working Paper Series
5 downloads


 

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