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Full Text Papers: 393,252
Authors: 226,504
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Last 12 months: 11,180,656
Last 30 days: 1,101,551

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SSRN eLibrary Search Results
JEL Code: C53
362,198 Total downloads
Showing Papers 1 - 50 of 2,079
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Incl. Electronic Paper Testing for Structural Breaks in Correlations: Does it Improve Value-at-Risk Forecasting?
Tobias Berens , Gregor N. F. Weiss and Dominik Wied
University TU Dortmund , TU Dortmund University and University TU Dortmund
Date Posted: May 17, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper Generalized Additive Modelling for Conditional Copulas
 Valérie Chavez-Demoulin and Thibault Vatter
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: May 16, 2013
Working Paper Series
3 downloads

Incl. Electronic Paper Quantifying Wikipedia Usage Patterns Before Stock Market Moves
Scientific Reports, Vol. 3, pp. 1801; DOI:10.1038/srep01801 (2013)
 Helen Susannah Moat , Chester Curme , Adam Avakian , Dror Y. Kenett , H. Eugene Stanley and Tobias Preis
University College London - Department of Civil, Environmental and Geomatic Engineering , Boston University , Boston University , Boston University - Center for Polymer Studies , Boston University - Center for Polymer Studies and Warwick Business School - Behavioural Science Group
Date Posted: May 13, 2013
Accepted Paper Series
68 downloads

Incl. Electronic Paper International Sales Modeling with Price and Trade Investment
 Jose M. Pinheiro
Universidade de Coimbra - Faculty of Economics
Date Posted: May 13, 2013
Working Paper Series
4 downloads

Incl. Electronic Paper Factor-Augmented VARMA Models with Macroeconomic Applications
 Jean-Marie Dufour and Dalibor Stevanovic
McGill University and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Date Posted: May 12, 2013
Working Paper Series
1 downloads

Incl. Electronic Paper The Future of Oil: Geology Versus Technology
IMF Working Paper No. 12/109
 Jaromír Beneš , Marcelle Chauvet , Ondra Kamenik , Michael Kumhof , Douglas Laxton , Susanna Mursula and Jack Selody
International Monetary Fund (IMF) , University of California , International Monetary Fund (IMF) , International Monetary Fund (IMF) , International Monetary Fund (IMF) - Research Department , International Monetary Fund (IMF) and affiliation not provided to SSRN
Date Posted: May 11, 2013
Working Paper Series
26 downloads

Incl. Electronic Paper Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro Area SPF
ECB Working Paper No. 1540
 Geoff Kenny , Thomas Kostka and Federico Masera
European Central Bank (ECB) , European Central Bank (ECB) and Universidad Carlos III de Madrid
Date Posted: May 11, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper Prediction Using Several Macroeconomic Models
ECB Working Paper No. 1537
 Gianni Amisano and John Geweke
European Central Bank (ECB) and University of Technology Sydney - Economics Discipline Group
Date Posted: May 11, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Predictive Likelihood Comparisons with DSGE and DSGE-VAR Models
ECB Working Paper No. 1536
 Anders Warne , Günter Coenen and Kai Philipp Christoffel
European Central Bank (ECB) , European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 11, 2013
Working Paper Series
3 downloads

Incl. Electronic Paper Predicting the Distribution of Stock Returns: Statistical Evaluation and Value at Risk Analysis
 Daniele Massacci
Einaudi Institute for Economics and Finance (EIEF)
Date Posted: May 08, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Combination Schemes for Turning Point Predictions
Norges Bank Working Paper 2012/04
 Monica Billio , Roberto Casarin , Francesco Ravazzolo and H. K. van Dijk
Ca Foscari University of Venice - Department of Economics , University of Brescia - Department of Economics , Norges Bank and Tinbergen Institute
Date Posted: May 07, 2013
Working Paper Series
4 downloads

Incl. Electronic Paper The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Norges Bank Working Paper 2012/09
 Todd E. Clark and Francesco Ravazzolo
Federal Reserve Bank of Cleveland and Norges Bank
Date Posted: May 07, 2013
Working Paper Series
6 downloads

Incl. Electronic Paper Hedging Against Unexpected Changes and Tail Risks in the Foreign Exchange Market Volatility
 Andreas G. Merikas , Nikos Paltalidis and George Sotirios Parikakis
University of Piraeus , Portsmouth Business School and Eurobank EFG
Date Posted: May 04, 2013
Working Paper Series
19 downloads

Incl. Electronic Paper Quantifying Trading Behavior in Financial Markets Using Google Trends
Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
 Tobias Preis , Helen Susannah Moat and H. Eugene Stanley
Warwick Business School - Behavioural Science Group , University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies
Date Posted: May 04, 2013
Accepted Paper Series
115 downloads

Incl. Electronic Paper A Model-Free Approach to Forecasting Realized Volatility of the S&P 100 Stock Index: Does it Pay?
 Julian Andrada-Felix , Fernando Fernandez-Rodriguez and Ana-Maria Fuertes
University of Las Palmas de Gran Canaria , University of Las Palmas de Gran Canaria and Cass Business School, City University London
Date Posted: May 02, 2013
Working Paper Series
16 downloads

Incl. Electronic Paper Non-Parametric Spectral Tests for Forecast Accuracy
 Patrick L. Leoni
Euromed Management
Date Posted: April 29, 2013
Last Revised: May 03, 2013
Working Paper Series
7 downloads

Incl. Electronic Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
 Roberto Casarin , Stefano Grassi , Francesco Ravazzolo and H. K. van Dijk
University of Brescia - Department of Economics , University of Aarhus - CREATES , Norges Bank and Tinbergen Institute
Date Posted: April 27, 2013
Working Paper Series
4 downloads

Incl. Electronic Paper Bond Return Predictability in Expansions and Recessions
 Tom Engsted , Stig Vinther Møller and Magnus Sander
University of Aarhus - CREATES , University of Aarhus - CREATES and University of Aarhus - CREATES
Date Posted: April 27, 2013
Working Paper Series
50 downloads

Incl. Electronic Paper Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns
 Francesco Ravazzolo , Massimo Guidolin and Andrea Donato Tortora
Norges Bank , Bocconi University - Department of Finance and Bocconi University
Date Posted: April 24, 2013
Working Paper Series
21 downloads

Incl. Electronic Paper Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Tinbergen Institute Discussion Paper 13-061/III
 Cees G. H. Diks , V. Panchenko , Oleg Sokolinskiy and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB) , University of Amsterdam - Center for Nonlinear Dynamics in Economics and Finance , Rutgers Business School - Newark and New Brunswick and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Date Posted: April 23, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper Easy Volatility Investing
 Tony Cooper
Double-Digit Numerics
Date Posted: April 23, 2013
Working Paper Series
435 downloads

Incl. Electronic Paper Structural-Break Models under Mis-specification: Implications for Forecasting
 Bonsoo Koo and Myung Hwan Seo
Monash University - Faculty of Business and Economics and London School of Economics & Political Science (LSE)
Date Posted: April 23, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Joint Evaluation of the Directional Accuracy of Corporate Executives' Forecasts
Applied Economics Letters, Forthcoming
 Yoichi Tsuchiya
Tokyo University of Science
Date Posted: April 22, 2013
Accepted Paper Series
1 downloads

Incl. Electronic Paper Trend-Based Conditional Asset Pricing: Explaining the Cross-Section of Technical Analysis Profitability
 Fuwei Jiang
Singapore Management University - Lee Kong Chian School of Business
Date Posted: April 22, 2013
Working Paper Series
57 downloads

Incl. Electronic Paper Optimal Liquidation of Electricity Futures Portfolios: An Anticipative Market Impact Model
 Markus Hess
Independent
Date Posted: April 21, 2013
Last Revised: May 03, 2013
Working Paper Series
43 downloads

Incl. Electronic Paper Evaluating Corporate Executives' Exchange Rate Forecasts Under a Flexible Loss Function
Applied Economics Letters, Forthcoming
 Yoichi Tsuchiya
Tokyo University of Science
Date Posted: April 21, 2013
Working Paper Series
1 downloads

Incl. Electronic Paper State Revenue Forecasts and Political Acceptance: The Value of Consensus Forecasting in the Budget Process
 John L. Mikesell and Justin M. Ross
Indiana University Bloomington - School of Public & Environmental Affairs (SPEA) and Indiana University - School of Public & Environmental Affairs
Date Posted: April 21, 2013
Working Paper Series
19 downloads

Incl. Electronic Paper Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
Contemporary Economics, Vol. 7, No. 1, pp. 19-32, 2013
Riané de Bruyn , Rangan Gupta and Lardo Stander
University of Pretoria , University of Pretoria and University of Pretoria
Date Posted: April 18, 2013
Accepted Paper Series
3 downloads

Incl. Electronic Paper Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
Tinbergen Institute Discussion Paper 13-060/III
 Lukasz T. Gatarek , Lennart F. Hoogerheide , Koen Hooning and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Vrije Universiteit Amsterdam - Dept. of Econometrics , Delft University of Technology and Tinbergen Institute
Date Posted: April 17, 2013
Working Paper Series
23 downloads

Incl. Electronic Paper Measuring Persistence in Volatility Spillovers
University of Heidelberg, Department of Economics, Discussion Paper No. 543
 Christian Conrad and Enzo Weber
University of Heidelberg - Faculty of Economics and Social Studies and University of Regensburg
Date Posted: April 16, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Forecasting Using a Large Number of Predictors: Bayesian Model Averaging Versus Principal Components Regression
UNSW Australian School of Business Research Paper No. 2013-04
 Rachida Ouysse
University of New South Wales (UNSW)
Date Posted: April 15, 2013
Working Paper Series
81 downloads

Incl. Electronic Paper Forecast Disagreement and the Anchoring of Inflation Expectations in the Asia-Pacific Region
BIS Paper No. 70e
 Pierre L. Siklos
Wilfrid Laurier University - School of Business & Economics
Date Posted: April 14, 2013
Accepted Paper Series
7 downloads

Incl. Electronic Paper Financial Conditions and Economic Activity: A Statistical Approach
BIS Quarterly Review March 2013
 Magdalena Erdem and Kostas Tsatsaronis
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: April 12, 2013
Accepted Paper Series
7 downloads

Incl. Electronic Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Tinbergen Institute Discussion Paper 13-055/III
 Roberto Casarin , Stefano Grassi , Francesco Ravazzolo and H. K. van Dijk
University of Brescia - Department of Economics , University of Aarhus - CREATES , Norges Bank and Tinbergen Institute
Date Posted: April 09, 2013
Working Paper Series
40 downloads

Incl. Electronic Paper Accuracy of Combined Forecasts for the 2012 Presidential Elections: The Pollyvote
Political Science & Politics, Forthcoming
 Andreas Graefe , J. Scott Armstrong , Randall J. Jones and Alfred G. Cuzan
Ludwig Maximilians University of Munich - Department of Communication Science and Media Research , University of Pennsylvania - Marketing Department , University of Central Oklahoma and University of West Florida
Date Posted: April 08, 2013
Accepted Paper Series
8 downloads

Incl. Electronic Paper Candidates' Personality and the Outcome of U.S. Presidential Elections
 Andreas Graefe
Ludwig Maximilians University of Munich - Department of Communication Science and Media Research
Date Posted: April 06, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Food Versus Fuel: Causality and Predictability in Distribution
FEEM Working Paper No. 23.2013
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 04, 2013
Working Paper Series
15 downloads

Incl. Electronic Paper Biofuels and Food Prices: Searching for the Causal Link
FEEM Working Paper No. 22.2013
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 04, 2013
Working Paper Series
12 downloads

SAFE: An Early Warning System for Systemic Banking Risk
Journal of Banking & Finance, Available online 13 March 2013, ISSN 0378-4266
 Mikhail V. Oet , Timothy Bianco , Dieter Gramlich and Stephen J. Ong
Federal Reserve Banks - Federal Reserve Bank of Cleveland , Federal Reserve Banks - Federal Reserve Bank of Cleveland , Baden-Württemberg Cooperative State University and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: April 04, 2013
Last Revised: April 21, 2013
Accepted Paper Series

An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying Volatility
Journal of Derivatives (2010), 18, 1, 39-58
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 04, 2013
Working Paper Series

Systemic Risk Early Warning System: A Micro-Macro Prudential Synthesis
J.P. Fouque and J.A. Langsam (Eds.), Handbook on Systemic Risk, Cambridge University Press (2013)
 Mikhail V. Oet , Ryan Eiben , Timothy Bianco , Dieter Gramlich , Stephen J. Ong and Jing Wang
Federal Reserve Banks - Federal Reserve Bank of Cleveland , Indiana University Bloomington , Federal Reserve Banks - Federal Reserve Bank of Cleveland , Baden-Württemberg Cooperative State University , Federal Reserve Banks - Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: April 04, 2013
Accepted Paper Series

Risk Measures under a Stochastic Volatility Model with a Mixture-of-Normal Error Distribution
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution: Theoretical Properties and Monte-Carlo Results
 Dinghai Xu , John Knight and Tony S. Wirjanto
Independent , University of Western Ontario - Department of Economics and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics: A Selected Review
 Tony S. Wirjanto and Dinghai Xu
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science and Independent
Date Posted: April 02, 2013
Working Paper Series

Computation of Portfolio VaRs with GARCH-Type Volatility
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

Incl. Electronic Paper Biofuels and Food Prices: Searching for the Causal Link
USAEE Working Paper No. 13-120
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 01, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Forecasting the Risk of Speculative Assets by Means of Copula Distributions
DIW Berlin Discussion Paper No. 1282
 Benjamin Beckers , Helmut Herwartz and Moritz Seidel
German Institute for Economc Research (DIW) , University of Goettingen (Gottingen) and Deutsche Bundesbank
Date Posted: March 28, 2013
Working Paper Series
24 downloads

Incl. Electronic Paper Food Versus Fuel: Causality and Predictability in Distribution
IEFE ‐ The Center for Research on Energy and Environmental Economics and Policy at Bocconi University Working Paper No. 56,
Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: March 27, 2013
Working Paper Series
4 downloads

Incl. Electronic Paper A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
DIW Berlin Discussion Paper No. 1285
 Markku Lanne and Jani Luoto
University of Helsinki - Department of Political and Economic Studies and University of Helsinki
Date Posted: March 27, 2013
Working Paper Series
12 downloads

Inventory and Shipment Policies for the Online Movie DVD Rental Industry
 Kyung Sung Jung , Casey Chung , Shun Chen Niu and Chelliah Sriskandarajah
University of Texas at Dallas - Naveen Jindal School of Management , Independent , University of Texas at Dallas - Department of Information Systems & Operations Management and Texas A&M University
Date Posted: March 27, 2013
Working Paper Series


 

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