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Econometrics: Applied Econometrics & Modeling eJournal, Archives of Vols. 1-4, 2008-11
886,287 Total downloads
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Showing Papers 1 - 50 of 7,968
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Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
Tinbergen Institute Discussion Paper 13-063/IV/DSF56
Andre Lucas and
Bernd Schwaab
VU University Amsterdam - Faculty of Economics and Business
and
European Central Bank (ECB) - Directorate General Research
Date Posted: May 18, 2013
Working Paper Series
2 downloads
Solution-Driven Specification of DSGE Models
Tinbergen Institute Discussion Paper No. TI 2013-062/III
Francisco Blasques
VU University Amsterdam
Date Posted: April 23, 2013
Working Paper Series
2 downloads
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
EXcess Idle Time
Federico M. Bandi ,
Davide Pirino
and
Roberto Renò
University of Chicago - Booth School of Business
,
Scuola Superiore Sant'Anna di Pisa
and
University of Siena - Department of Economics
Date Posted: January 12, 2013
Last Revised: April 22, 2013
Working Paper Series
41 downloads
Business Cycle Fluctuations and Private Savings in OECD Countries: A Panel Data Analysis
Tinbergen Institute Discussion Paper 12-144/VI
Yvonne Adema
and
Lorenzo Pozzi
Erasmus University - Erasmus School of Economics
and
Erasmus University Rotterdam (EUR)Tinbergen Institute
Date Posted: December 19, 2012
Working Paper Series
27 downloads
The Geography of Grocery Demand in the UK: An Evaluation of the 2003 Morrisons-Safeway Merger
Benjamin S. Skrainka
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Date Posted: May 22, 2012
Working Paper Series
66 downloads
Shrinkage Based Tests of the Martingale Difference Hypothesis
Pablo M. Pincheira
Central Bank of Chile - Research Department
Date Posted: April 29, 2012
Working Paper Series
16 downloads
Local and Global Sentiment Effects, and the Role of Legal, Information and Trading Environments
Candie Chang
,
Robert W. Faff and
Chuan-Yang Hwang
Massey University
,
University of Queensland
and
Nanyang Technological University (NTU)
Date Posted: March 15, 2012
Working Paper Series
49 downloads
The Firm-Level Credit Multiplier
Journal of Financial Intermediation, Forthcoming, EFA 2008 Athens Meetings Paper
Murillo Campello and
Dirk Hackbarth
Cornell University
and
University of Illinois at Urbana-Champaign - College of Business
Date Posted: February 29, 2012
Accepted Paper Series
572 downloads
Formative Versus Reflective Measurement for Multidimensional Constructs
Pavlos A. Vlachos and
Aristeidis Theotokis
ALBA Graduate Business School at The American College of Greece
and
Leeds University Business School
Date Posted: February 15, 2012
Last Revised: December 05, 2012
Working Paper Series
131 downloads
The Term Structure of Implied Costs of Equity Capital
Rotman School of Management Working Paper No. 1975947
Jeffrey L. Callen and
Matthew R. Lyle
University of Toronto - Rotman School of Management
and
University of Toronto - Rotman School of Management
Date Posted: January 23, 2012
Working Paper Series
131 downloads
Housing, Consumption and Monetary Policy: How Different are the US and the Euro Area?
ECB Working Paper No. 1161
Alberto Musso
,
Stefano Neri
and
Livio Stracca
European Central Bank (ECB)
,
Bank of Italy
and
European Central Bank (ECB)
Date Posted: January 17, 2012
Working Paper Series
65 downloads
Systemic Risk and Bank Consolidation: International Evidence
Campus for Finance, 2012 WHU Koblenz , Southwestern Finance Association Annual Meeting 2012, Eastern Finance Association Annual Meeting 2012, 24th Australasian Finance and Banking Conference 2011, Midwest Finance Association, Midwest Finance Association 2012 Annual Meeting, 5th Financial Risks International Forum on "Systemic Risk", Institut Louis Bachelier
Gregor N. F. Weiss
,
Sascha Neumann
and
Denefa Bostandzic
TU Dortmund University
,
Ruhr Universität Bochum
and
Ruhr Universität Bochum
Date Posted: January 05, 2012
Last Revised: January 06, 2013
Working Paper Series
414 downloads
Do Responsible Real Estate Companies Outperform Their Peers?
Franz Fuerst
,
Marcelo Cajias ,
Patrick M. McAllister
and
Anupam Nanda
University of Cambridge - Department of Land Economy
,
University of Regensburg - International Real Estate Business School (IREBS)
,
University of Reading - Department of Real Estate and Planning
and
University of Reading - School of Real Estate & Planning, Henley Business School
Date Posted: December 10, 2011
Last Revised: June 11, 2012
Working Paper Series
126 downloads
Information Externalities in Corporate Governance
AFA 2012 Chicago Meetings Paper
Konrad Raff
VU University Amsterdam
Date Posted: October 19, 2011
Last Revised: December 31, 2011
Working Paper Series
181 downloads
Market Efficiency and Returns from Convertible Bond Hedging and Arbitrage Strategies
Journal of Alternative Investments, Vol. 11, No. 3, 2009
Frank J. Fabozzi ,
Jinlin Liu
and
Lorne N. Switzer
EDHEC Business School
,
Concordia University, Quebec - John Molson School of Business
and
Concordia University, Quebec - Department of Finance
Date Posted: October 03, 2011
Accepted Paper Series
127 downloads
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
PIER Working Paper No. 11-031
Francis X. Diebold and
Kamil Yilmaz
University of Pennsylvania - Department of Economics
and
Koc University
Date Posted: October 03, 2011
Working Paper Series
83 downloads
The Determinants of the Establishment of a Risk Management Committee: A Case of Banks Listed in Indonesian Stock Exchange
Adam Zakaria
and
Suherman
Faculty of Economics Accounting Department
and
State University of Jakarta
Date Posted: October 03, 2011
Working Paper Series
78 downloads
Volume-Volatility Interactions between Exchange Traded Derivatives and OTC Derivatives
Review of Futures Markets, Vol. 16, pp. 171-196, 2007
Lorne N. Switzer and
Haibo Fan
Concordia University, Quebec - Department of Finance
and
Concordia University, Quebec
Date Posted: October 03, 2011
Accepted Paper Series
79 downloads
Forecasting the Intraday Market Price of Money
Norges Bank Working Paper No. 2011/06
Andrea Monticini
and
Francesco Ravazzolo
Catholic University of the Sacred Heart of Milan - Institute of Economy and Finance
and
Norges Bank
Date Posted: September 30, 2011
Working Paper Series
23 downloads
Micro Approaches to Foreign Exchange Determination
Norges Bank Working Paper No. 2011/05
Martin D.D. Evans and
Dagfinn Rime
Georgetown University - Department of Economics
and
Central Bank of Norway
Date Posted: September 30, 2011
Working Paper Series
67 downloads
Nowcasting GDP in Real-Time: A Density Combination Approach
Norges Bank Working Paper No. 2011/11
Knut Are Aastveit
,
Karsten R. Gerdrup
,
Anne Sofie Jore
and
Leif Anders Thorsrud
University of Oslo - Department of Economics
,
Central Bank of Norway
,
affiliation not provided to SSRN
and
BI Norwegian Business School
Date Posted: September 30, 2011
Working Paper Series
25 downloads
How Risky are Structured Exposures Compared to Corporate Bonds? Evidence from Bond and ABS Returns
STRUCTURED CREDIT PRODUCTS: PRICING, RATING, RISK MANAGEMENT AND BASEL II., W. Perraudin, ed., Risk Books, 2004
William Robert Maurice Perraudin
and
Astrid Van Landschoot
Risk Control Limited
and
European Commission - Chief Economist Team (DG Competition)
Date Posted: September 29, 2011
Last Revised: November 17, 2011
Accepted Paper Series
45 downloads
Judgmental Versus Quantitative Credit Risk Measures for Sovereigns
William Robert Maurice Perraudin
,
Yen-Ting Hu
,
Rudiger Kiesel
and
Gerhard Stahl
Risk Control Limited
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
European Union - Committee of the Regions
Date Posted: September 29, 2011
Working Paper Series
60 downloads
The Pricing of Forward Contracts for Foreign Exchange
Journal of Political Economy, Vol. 93, No. 2, 1985
Robert A. Korajczyk
Northwestern University - Kellogg School of Management
Date Posted: September 29, 2011
Accepted Paper Series
99 downloads
Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model
IMF Working Paper No. 11/219
Maxym Kryshko
University of Pennsylvania - Department of Economics
Date Posted: September 28, 2011
Working Paper Series
30 downloads
Growth Spillover Dynamics from Crisis to Recovery
IMF Working Paper No. 11/218
Helene Poirson Ward
and
Sebastian Weber
International Monetary Fund (IMF) - Research Department
and
International Monetary Fund (IMF)
Date Posted: September 28, 2011
Working Paper Series
42 downloads
Advances in Forecasting Under Instability
Economic Research Initiatives at Duke (ERID) Working Paper No. 111
Barbara Rossi
Universitat Pompeu Fabra - ICREA
Date Posted: September 28, 2011
Accepted Paper Series
181 downloads
Energy Consumption and Economic Growth Revisited in African Countries
CESifo Working Paper Series No. 3590
Jude Comlanvi Eggoh III
,
Chrysost Bangaké
and
Christophe Rault
affiliation not provided to SSRN
,
University of Orleans
and
University of Orleans
Date Posted: September 28, 2011
Working Paper Series
85 downloads
Estimates of Statewide and Nationwide Carbon Dioxide Emission Reductions and Their Costs From Cash for Clunkers
GMU School of Public Policy Research Paper No. 2011-22
Edmund J. Zolnik
affiliation not provided to SSRN
Date Posted: September 28, 2011
Last Revised: November 08, 2011
Working Paper Series
24 downloads
The Collapse Speed of China's Exports in the 2008-2009 Financial Crisis
CESifo Working Paper Series No. 3584
Ran Jing
University of International Business and Economics - School of International Trade and Economics
Date Posted: September 28, 2011
Working Paper Series
68 downloads
The Presidency, Regionalism, and Distributive Politics in South Korea
Comparative Political Studies, Vol. 41, No. 6, pp. 861-882, June 2008
Yusaku Horiuchi and
Lee Seungjoo
Dartmouth College - Department of Government
and
Department of Political Science and International Relations, Chung-Ang University
Date Posted: September 28, 2011
Accepted Paper Series
Time-Consistent and Market-Consistent Evaluations
Netspar Discussion Paper No. 05/2011-078
Mitja Stadje
and
Antoon Pelsser
Tilburg University - Department of Econometrics & Operations Research
and
Maastricht University
Date Posted: September 28, 2011
Working Paper Series
13 downloads
Investigating the Impact of OECD and EU Membership on CO2 Emissions
Magan Kereokiye Apresai
,
Abimbola Shode
,
Nneka Iyabode Eze
,
Kingsley Chigozie Onuoha
and
Yetunde Esan
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
University of Dundee - Centre for Energy, Petroleum and Mineral Law & Policy (CEPMLP)
,
University of Dundee - Centre for Energy, Petroleum and Mineral Law & Policy (CEPMLP)
and
affiliation not provided to SSRN
Date Posted: September 26, 2011
Working Paper Series
10 downloads
Value at Risk & Transaction Exposure:
An Inter-Temporal Lexicographic Permutation of a Six-Currency Portfolio
Kashi Khazeh
,
Fatollah Salimian
and
Robert C. Winder
Salisbury University
,
Salisbury University - Franklin P. Perdue School of Business
and
Christopher Newport University - Department of Accounting, Economics, and Finance
Date Posted: September 26, 2011
Working Paper Series
37 downloads
The Bivariate Stochastic Functional Form
Sanne De Boer and
Aart F. de Vos
QS Investors
and
VU University Amsterdam - Faculty of Economics and Business Administration
Date Posted: September 25, 2011
Working Paper Series
7 downloads
Recombining Trinomial Tree for Real Option Valuation with Changing Volatility
Tero J. Haahtela
Aalto University
Date Posted: September 24, 2011
Last Revised: January 02, 2012
Working Paper Series
112 downloads
An Agent Based Model of the E-Mini S&P 500 and the Flash Crash
Mark E. Paddrik ,
Roy Hayes Jr. ,
Andrew Todd
,
Steve Y. Yang
,
William Scherer and
Peter Beling
University of Virginia
,
University of Virginia
,
University of Virginia
,
University of Virginia
,
IEEE Intelligent Transportation Systems Society
and
University of Virginia, Dept. of System & Information Engineering
Date Posted: September 23, 2011
Last Revised: July 18, 2012
Working Paper Series
259 downloads
Information Structure and Statistical Information in Discrete Response Models
Economic Research Initiatives at Duke (ERID) Working Paper No. 110
Shakeeb Khan
and
Denis Nekipelov
Duke University - Department of Economics
and
affiliation not provided to SSRN
Date Posted: September 23, 2011
Accepted Paper Series
51 downloads
Is Financial Fragility a Matter of Illiquidity? An Appraisal for Italian Households
Costanza Torricelli
,
Marianna Brunetti
and
Elena Giarda
University of Modena and Reggio Emilia - Department of Economics
,
University of Rome Tor Vergata
and
Prometeia
Date Posted: September 23, 2011
Last Revised: August 28, 2012
Working Paper Series
44 downloads
Rights Offerings in a Different Institutional Setting: Evidence from the Istanbul Stock Exchange
ISE Finance Award Series, Vol. 3, pp.29-67, April 2002
Cahit Adaoglu
Eastern Mediterranean University
Date Posted: September 23, 2011
Accepted Paper Series
The Evolving Importance of Banks and Securities Markets
World Bank Policy Research Working Paper No. 5805
Asli Demirgüç-Kunt ,
Erik Feyen and
Ross Levine
World Bank - Financial and Private Sector Development
,
World Bank - Financial and Private Sector Development Vice Presidency
and
UC Berkeley
Date Posted: September 23, 2011
Working Paper Series
144 downloads
Using the Helmert-Transformation to Reduce Dimensionality in a Mixed Model: Application to a Wage Equation with Worker and Firm Heterogeneity
NHH Dept. of Economics Discussion Paper No. 11/2011
Øivind Anti Nilsen ,
Arvid Raknerud and
Terje Skjerpen
Norwegian School of Economics (NHH) - Department of Economics
,
Statistics Norway - Research Department
and
Statistics Norway
Date Posted: September 23, 2011
Working Paper Series
25 downloads
Detecting Informed Trading Activities in the Options Markets: Appendix on Subprime Financial Crisis
Swiss Finance Institute Research Paper No. 11-38
Marc Chesney ,
Remo Crameri
and
Loriano Mancini
University of Zurich - Swiss Banking Institute (ISB)
,
University of Zurich - Swiss Banking Institute (ISB)
and
Ecole Polytechnique Fédérale de Lausanne
Date Posted: September 22, 2011
Last Revised: July 04, 2012
Working Paper Series
133 downloads
Director Characteristics, Gender Balance and Insolvency Risk: An Empirical Study
Nick Wilson and
Ali Altanlar
Credit Management Research Centre - University of Leeds
and
University of Leeds - Credit Management Research Centre
Date Posted: September 22, 2011
Working Paper Series
56 downloads
Does the Number of Houses a Broker Shows Depend on a Homeseeker's Race?
Journal of Urban Economics, Vol. 57, No. 1, 2005
Bo Zhao
Federal Reserve Bank of Boston
Date Posted: September 22, 2011
Accepted Paper Series
Mapping the State of Financial Stability
ECB Working Paper No. 1382
Peter Sarlin
and
Tuomas A. Peltonen
Åbo Akademi University
and
European Central Bank (ECB)
Date Posted: September 22, 2011
Working Paper Series
83 downloads
Rogue Aid? The Determinants of China's Aid Allocation
CESifo Working Paper Series No. 3581
Axel Dreher
and
Andreas Fuchs
University of Heidelberg
and
Princeton University - Woodrow Wilson School of Public and International Affairs
Date Posted: September 22, 2011
Working Paper Series
128 downloads
Systematic Risk and the Bullwhip Effect in Supply Chains
Johnson School Research Paper Series No. 41-2011, McCombs Research Paper Series No. IROM-04-11
Nikolay Osadchiy
,
Vishal Gaur
and
Sridhar Seshadri
Emory University Goizueta Business School
,
Cornell University - Samuel Curtis Johnson Graduate School of Management
and
University of Texas at Austin - Red McCombs School of Business
Date Posted: September 22, 2011
Last Revised: January 10, 2012
Working Paper Series
111 downloads
The Explanatory and Predictive Power of Non Two-Stage Probability Theories of Decision Making Under Ambiguity
John D. Hey and
Noemi Pace
University of York (UK)
and
Ca Foscari University of Venice - Department of Economics
Date Posted: September 22, 2011
Working Paper Series
35 downloads
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