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Abstracts: 619,107
Full Text Papers: 515,520
Authors: 286,040
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Last 12 months: 11,606,748
Last 30 days: 787,747

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SSRN eLibrary Search Results
JEL Code: C13
454,898 Total downloads
Showing Papers 1 - 50 of 2,525
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Incl. Electronic Paper Least Squares Estimation of Large Dimensional Threshold Factor Models
Daniele Massacci
Einaudi Institute for Economics and Finance (EIEF)
Date Posted: July 29, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Nonparametric Estimation of Conditional Quantile Regression with Mixed Discrete and Continuous Data
Degui Li , Qi Li and Zheng Li
University of York , Texas A&M University (TAMU) - Department of Economics and Texas A&M University
Date Posted: July 28, 2015
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Structural Break Inference Using Information Criteria in Models Estimated by Two‐Stage Least Squares
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 741-762, 2015
Alastair R. Hall , Denise R. Osborn and Nikolaos Sakkas
North Carolina State University - Department of Economics , University of Manchester - School of Social Sciences and University of Bath
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Electronic Paper A Computational Spectral Approach to Interest Rate Models
Luca di Persio , Gregorio Pellegrini and Michele Bonollo
University of Verona - Department of Computer Science , University of Verona - Department of Computer Science and Iason Ltd
Date Posted: July 27, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Modifying Hybrid Optimization Algorithms to Construct Spot Term Structure of Interest Rates and Standardizing Two Criterions of Assessment
Aryo Sasongko , Cynthia Afriani , buddi wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department , Universitas Indonesia, Graduate School of Management , University of Indonesia (UI) - Management and Universitas Indonesia, Graduate School of Management
Date Posted: July 27, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Estimating Parametric Models of Probability Distributions
Dilip B. Madan
University of Maryland - Robert H. Smith School of Business
Date Posted: July 25, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Sparse Linear Models and L1-Regularized 2SLS with High-Dimensional Endogenous Regressors and Instruments
Ying Zhu
University of California, Berkeley
Date Posted: July 23, 2015
Last Revised: July 24, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Forecasting Electricity Prices Using Exogenous Predictors
Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: July 20, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper VaR and CVaR Based on Put Option Formula and Tail Volatilities & Correlations: 'The Need for New Valuation, Risk and Policy Making Models'
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: July 19, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Liquidity Risk Premium Model with Fixed-Expectation Liquidity Measures to Construct Liquidity-Risk-Premium-Free Term Structure
Aryo Sasongko , Cynthia Afriani , Buddi Wibowo and Zaäfri A. Husodo
Bank Indonesia, Monetary Management Department , Universitas Indonesia, Graduate School of Management , Graduate School of Management University of Indonesia and Universitas Indonesia, Graduate School of Management
Date Posted: July 18, 2015
Last Revised: July 24, 2015
Working Paper Series
21 downloads

A Simple Procedure for Merging Expert Opinions to Achieve Superior Portfolio Performance
Journal of Portfolio Management, Forthcoming
Mark Davis and Sebastien Lleo
Imperial College London and NEOMA Business School
Date Posted: July 18, 2015
Last Revised: July 19, 2015
Accepted Paper Series

Incl. Electronic Paper A Stability Approach to Mean-Variance Optimization
Financial Review 50, 3, 301-330.
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Date Posted: July 18, 2015
Accepted Paper Series
40 downloads

Incl. Fee Electronic Paper A Stability Approach to Mean‐Variance Optimization
Financial Review, Vol. 50, Issue 3, pp. 301-330, 2015
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Date Posted: July 17, 2015
Accepted Paper Series

Incl. Electronic Paper Assessment of Accuracy of Finite Difference Methods in Evaluation of Options within Heston Model
Chencheng Cai
Rutgers, The State University of New Jersey - Financial Statistics & Risk Management
Date Posted: July 15, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Factor Attribution and the Impact of Investment Constraints
Sanne De Boer and Vishv Jeet
QS Investors and Axioma Inc
Date Posted: July 14, 2015
Working Paper Series
67 downloads

Incl. Electronic Paper Confidence Bands for ROC Curves with Serially Dependent Data
Forthcoming in Journal of Business & Economic Statistics
Kajal Lahiri and Liu Yang
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics and Nanjing University - School of Business
Date Posted: July 10, 2015
Accepted Paper Series
19 downloads

Incl. Fee Electronic Paper From Discrete to Continuous‐Time Transition Matrices in Intra‐Distribution Dynamics Analysis: An Application to Per Capita Wealth in Europe
Bulletin of Economic Research, Vol. 67, Issue 3, pp. 227-235, 2015
María Hierro and Adolfo Maza
University of Cantabria - Department of Economics and University of Cantabria - Department of Economics
Date Posted: July 09, 2015
Accepted Paper Series

Incl. Electronic Paper Optimal Linear Combinations of Portfolios Subject to Estimation Risk
Robin Lars Jonsson
Malardalen University - Malardalen University, Students
Date Posted: July 08, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market
Multinational Finance Journal, Vol. 5, No. 1, p. 35-58, 2001
Tim Brailsford , Jack H.W. Penm and R. Deane Terrell
Bond University , Australian National University - School of Finance and Applied Statistics, Faculty of Economics and Commerce and Australian National University (ANU) - National Graduate School of Management
Date Posted: July 08, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Endogenous Derivation and Forecast of Lifetime PDs
Volodymyr Perederiy
Postbank / Deutsche Bank Group
Date Posted: June 30, 2015
Last Revised: July 14, 2015
Working Paper Series
19 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
18 downloads

Incl. Electronic Paper A Tale of Two Averagings: Estimating the Integrated Volatility Using 'Pooled' High-Frequency Data
Zhi Liu , Xinbing Kong and Bingyi Jing
University of Macau , Soochow University and Hong Kong University of Science & Technology (HKUST)
Date Posted: June 29, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Performance of Alternative Price Forecast for Pakistan
Forman Journal of Economic Studies Vol. 8, 2012 (January–December) pp. 31-61,
Yasser Javed and Eatzaz Ahmad
Federal Urdu University of Arts, Science and Technology Islamabad, Students and Quaid-e-Azam University
Date Posted: June 29, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper An Admissible Macro-Finance Model of the US Treasury Market.
Multinational Finance Journal, Vol. 13, No. 1/2, p. 1-38, 2009
Peter Spencer
University of York
Date Posted: June 26, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application
Multinational Finance Journal, Vol. 13, No. 3/4, p. 293-321, 2009
James McDonald , Richard A. Michelfelder and Panayiotis Theodossiou
Brigham Young University - Department of Economics , Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Date Posted: June 26, 2015
Accepted Paper Series
16 downloads

Incl. Electronic Paper Minimum Distance Testing and Top Income Shares in Korea
Cowles Foundation Discussion Paper No. 2007
Jin Seo Cho , Myung-Ho Park and Peter C. B. Phillips
Yonsei University - Department of Economics , Korea Institute of Public Finance and Yale University - Cowles Foundation
Date Posted: June 26, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX
Xin Zang , Jun Ni , Jingzhi Huang and Lan Wu
Peking University , Pennsylvania State University - Department of Mathematics , Pennsylvania State University - Department of Finance and Peking University
Date Posted: June 24, 2015
Last Revised: July 07, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
ECB Working Paper No. 1814
Halbert L. White, Jr. , Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics , University of Nottingham - School of Economics and European Central Bank (ECB)
Date Posted: June 23, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Shrinkage Estimation of Categorical Semiparametric Varying – Coefficient Models
Bin Peng , Zhao Ren and Xiaohui Zhang
University of Technology, Sydney , University of Pittsburgh - Department of Statistics and Murdoch University
Date Posted: June 21, 2015
Last Revised: July 04, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Pretest Estimation in the Random Parameters Logit Model
Advances in Econometrics, Volume 26, 107-136, 2010
Tong Zeng and R. Carter Hill
Georgia Southern University - Department of Finance and Economics and Louisiana State University, Baton Rouge - Department of Economics
Date Posted: June 19, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper The Wage Premium of Naturalized Citizenship
Esfandiar Maasoumi and Yifeng Zhu
Emory University and Department of Economics, Emory University
Date Posted: June 12, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Filtering and Likelihood Estimation of Latent Factor Jump-Diffusions with an Application to Stochastic Volatility Models
Francesco Paolo Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Date Posted: June 11, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
Hanxue Yang and Juho Kanniainen
Tampere University of Technology and Tampere University of Technology
Date Posted: June 09, 2015
Last Revised: July 25, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity
Carolina Caetano and Juan Carlos Escanciano
University of Rochester and Indiana University Bloomington - Department of Economics
Date Posted: June 09, 2015
Last Revised: July 02, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Canonical Correlation and Assortative Matching: A Remark
Luxembourg Institute of Socio-Economic Research (LISER) Working Paper Series 2014-10
Arnaud Dupuy and Alfred Galichon
LISER and Sciences Po - Department of Economics
Date Posted: June 08, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
Imma Valentina Curato
University of Ulm
Date Posted: June 07, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Spurious Weather Effects
CESifo Working Paper Series No. 5365
Jo Lind
University of Oslo - Department of Economics
Date Posted: June 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Estimation of Consumers' Risk-Attitudes and Willingness to Pay for Bio-Fortified Orange Maize in Rural Zambia using Becker-deGroot-Marschak Mechanism
Neha Gupta
University of Delhi - Department of Economics
Date Posted: June 01, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
Tinbergen Institute Discussion Paper 15-069/III
Laurent Callot and Johannes Tang Kristensen
VU University Amsterdam and CREATES
Date Posted: June 01, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Timing Law School (Presentation Slides)
Michael Simkovic and Frank McIntyre
Seton Hall Law School and Rutgers Business School Newark and New Brunswick
Date Posted: June 01, 2015
Last Revised: August 03, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds
Dirk Tasche
Bank of England - Prudential Regulation Authority
Date Posted: May 29, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and Princeton University
Date Posted: May 29, 2015
Last Revised: May 31, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Date Posted: May 26, 2015
Working Paper Series
18 downloads

Patent Portfolio Valuation as Reflected by Market Transactions: Market Dynamics and the Impact of AIA and Alice
Licensing Economics Review, February 2015
Jiaqing "Jack" Lu
Intellectual Property Market Advisory Partners(IPMAP), LLC
Date Posted: May 23, 2015
Accepted Paper Series

Incl. Electronic Paper A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach
Alexander F. Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading
Date Posted: May 23, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Estimation of Cost Efficiency Without Cost Data
Levent Kutlu and Ran Wang
Georgia Institute of Technology - School of Economics and Georgia Institute of Technology
Date Posted: May 22, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper On the Ambiguous Consequences of Omitting Variables
Tinbergen Institute Discussion Paper 15-061/III
Giuseppe De Luca , J.R. Magnus and Franco Peracchi
University of Palermo , VU University Amsterdam - Faculty of Economics and Business Administration and University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Date Posted: May 22, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Sufficient Forecasting Using Factor Models
Jianqing Fan , Lingzhou Xue and Jiawei Yao
Princeton University - Bendheim Center for Finance , Pennsylvania State University - Department of Statistics and Princeton University
Date Posted: May 20, 2015
Working Paper Series
89 downloads

Incl. Electronic Paper High-Dimensional Static and Dynamic Portfolio Selection Problems via ℓ1 Minimization
Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Date Posted: May 18, 2015
Last Revised: July 28, 2015
Working Paper Series
57 downloads

Incl. Electronic Paper Handling Endogeneity in Stochastic Frontier Analysis: A Solution to Endogenous Education Cost Frontier Models
Mustafa Ugur Karakaplan and Levent Kutlu
Utah State University and Georgia Institute of Technology - School of Economics
Date Posted: May 18, 2015
Working Paper Series
15 downloads


 

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