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SSRN eLibrary Search Results
JEL Code: C52
286,936 Total downloads
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Incl. Electronic Paper Quantifying Extreme Risks in Stock Markets: A Case of Former Yugoslavian States
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 26, No. 1, 2008, pp. 41-68,
Sasa Zikovic
University of Rijeka - Faculty of Economics
Date Posted: May 22, 2013
Accepted Paper Series
1 downloads

Incl. Electronic Paper Global Financial Crisis and VaR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 27, No. 1, 2009, pp. 149-170,
 Sasa Zikovic and Bora Aktan
University of Rijeka - Faculty of Economics and Yasar University
Date Posted: May 22, 2013
Accepted Paper Series
3 downloads

Incl. Electronic Paper Forecasting Exchange Rates: An Investor Perspective
CESifo Working Paper Series No. 4238
 Michael Melvin , John Prins and Duncan D. Shand
BlackRock , BlackRock and BlackRock
Date Posted: May 22, 2013
Working Paper Series
9 downloads

Incl. Electronic Paper The Role of Energy in Economic Growth: The Case of Croatia
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 28, No. 1, 2010, pp. 35-60 ,
 Nela Vlahinić-Dizdarević and Sasa Zikovic
University of Rijeka - Faculty of Economics and University of Rijeka - Faculty of Economics
Date Posted: May 21, 2013
Accepted Paper Series
2 downloads

Incl. Electronic Paper Inflation in the Great Recession and New Keynesian Models
FRB of New York Staff Report No. 618
 Marco Del Negro , Marc P. Giannoni and Frank Schorfheide
Federal Reserve Bank of New York , Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Date Posted: May 18, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper The Most Relevant Value Creation Indicator Under Competitive Dynamics of the Firm
 Chawki Mouelhi and Jacques Saint-Pierre
University of Quebec at Rimouski - Department of Management Sciences and Laval University
Date Posted: May 17, 2013
Working Paper Series
7 downloads

Under the Competitive Dynamics of the Firm: Which Value Creation Indicator is the Most Relevant?
Journal of Academy of Business and Economics, Volume 13, Number 1, 2013, pp. 35-50
 Chawki Mouelhi and Jacques Saint-Pierre
University of Quebec at Rimouski - Department of Management Sciences and Laval University
Date Posted: May 17, 2013
Accepted Paper Series

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
8 downloads

Incl. Electronic Paper A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models
 Fabrizio Anfuso , Dimitris Karyampas and Andreas Nawroth
Credit Suisse AG , UBS AG and Credit Suisse AG
Date Posted: May 14, 2013
Working Paper Series
24 downloads

Incl. Electronic Paper Orthogonal Transformation of Coordinates in Copula M-GARCH Models - Bayesian Analysis for WIG20 Spot and Futures Returns
 Mateusz Pipien
Cracow University of Economics
Date Posted: May 14, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper Stylized Facts and Dynamic Modeling of High-Frequency Data on Precious Metals
 Massimiliano Caporin , Angelo Ranaldo and Gabriel G. Velo
University of Padova - Department of Economics and Management "Marco Fanno" , University of St. Gallen and University of Padua - Department of Economics
Date Posted: May 13, 2013
Working Paper Series
45 downloads

Incl. Electronic Paper New Warrant Issues Valuation with Leverage and Noisy Equity Values
 Jean-Guy Simonato
HEC Montréal
Date Posted: May 12, 2013
Working Paper Series
6 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
3 downloads

Incl. Electronic Paper Somatic Portfolio Theory: When Emotions Lead to Economic Efficiency
 Pierpaolo Uberti , Caterina Lucarelli and Gianni Brighetti
University of Genoa - Department of Economics and Quantitative Methods (DIEM) , Università Politecnica delle Marche and University of Bologna
Date Posted: May 11, 2013
Working Paper Series
13 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 Problems of Sample-Selection Bias in the Historical Heights Literature: A Theoretical and Econometric Analysis
Yale Economics Department Working Paper No. 114, Yale University Economic Growth Center Discussion Paper No. 1023
 Howard Bodenhorn , Timothy W. Guinnane and Thomas A. Mroz
Clemson University - College of Business and Behavioral Science , Yale University - Department of Economics and Clemson University
Date Posted: May 09, 2013
Working Paper Series
23 downloads

Incl. Electronic Paper Geography, Productivity and Trade: Does Selection Explain Why Some Locations Are More Productive than Others?
Bank of Italy Temi di Discussione (Working Paper) No. 910
 Antonio Accetturo , Valter Di Giacinto , Giacinto Micucci and Marcello Pagnini
Bank of Italy , Bank of Italy , Bank of Italy and Bank of Italy
Date Posted: May 03, 2013
Working Paper Series
24 downloads

Incl. Fee Electronic Paper Skewness and Kurtosis Properties of Income Distribution Models
Review of Income and Wealth, Vol. 59, Issue 2, pp. 360-374, 2013
 James McDonald , Jeff Sorensen and Patrick Turley
Brigham Young University - Department of Economics , University of California, Berkeley and Harvard University
Date Posted: May 03, 2013
Accepted Paper Series

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 Are Classical Option Pricing Models Consistent with Observed Option Second-Order Moments? Evidence from High-Frequency Data
 Francesco Audrino and Matthias R. Fengler
University of St. Gallen and University of St. Gallen - School of Economics and Political Science
Date Posted: April 27, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Relative Importance and Value
 Barry E. Feldman
Russell Investments
Date Posted: April 24, 2013
Working Paper Series
10 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
10 downloads

Incl. Electronic Paper The VIX, the Variance Premium and Stock Market Volatility
 Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Date Posted: April 17, 2013
Working Paper Series
239 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
23 downloads

Incl. Electronic Paper NETS: Network Estimation for Time Series
 Matteo Barigozzi and Christian T. Brownlees
London School of Economics and Political Science and Universitat Pompeu Fabra
Date Posted: April 14, 2013
Last Revised: April 15, 2013
Working Paper Series
111 downloads

Incl. Electronic Paper Financial Stress Index: A Lens for Supervising the Financial System
FRB of Cleveland Policy Discussion Paper No. 12-37
 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 06, 2013
Accepted Paper Series
73 downloads

Incl. Fee Electronic Paper A Monte Carlo Procedure for Checking Identification in DSGE Models
CEPR Discussion Paper No. DP9411
 Vo Phuong Mai Le , Patrick Minford and Michael R. Wickens
Cardiff University - Cardiff Business School , Cardiff University Business School and University of Cardiff; Centre for Economic Policy Research (CEPR)
Date Posted: April 03, 2013
Working Paper Series

Incl. Electronic Paper How Optimal is US Monetary Policy?
 Xiaoshan Chen , Tatiana Kirsanova and Campbell Leith
University of Stirling , University of Glasgow and University of Glasgow - Department of Economics
Date Posted: April 03, 2013
Working Paper Series
12 downloads

Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence
Canadian Journal of Economics, Vol. 28, No. 4b, pp. 1135-115, November 1995
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Testing the Permanent Income Hypothesis: The Evidence from Canadian Data
Canadian Journal of Economics, Vol. 24, No. 3, pp. 563-577, August 1991
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints
Applied Financial Economics, 1997, 7, 107-114
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Exploring Consumption-Based Asset Pricing Model with Stochastic-Trend Forcing Processes
Applied Economics, 36:14, 1591-1597, 2004
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

An Empirical Investigation into The Permanent Income Hypothesis: Further Evidence from the Canadian Data
Applied Economics, 1996, 28, 1451-1461
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Incl. Electronic Paper Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance Comparing Alternative Exchange Rate Regimes in Eastern Europe
 Muhammad Khan , Mazen Kebewar and Nikolay Nenovsky
University of Orleans - Laboratoire d'économie d'Orléans , Université d’Orléans - Laboratoire d’Économie d’Orléans (LEO) and Bulgarian National Bank
Date Posted: March 31, 2013
Working Paper Series
134 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
25 downloads

Incl. Electronic Paper Barrier Options Under Lévy Processes: A Simple Short-Cut
 José Fajardo
Getulio Vargas Foundation
Date Posted: March 28, 2013
Last Revised: April 19, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper Bankruptcy Prediction Based on Stochastic Processes: A New Model Class to Predict Corporate Bankruptcies?
 Jan Klobucnik and Soenke Sievers
University of Cologne and University of Cologne
Date Posted: March 23, 2013
Working Paper Series
48 downloads

Incl. Electronic Paper Evaluation of Probabilistic Forecasts: Proper Scoring Rules and Moments
 Alexander Tsyplakov
Novosibirsk State University - Department of Economics
Date Posted: March 21, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Determining the Number of Regimes in Markov Switching VAR and VMA Models
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 03/WP/2013
 Maddalena Cavicchioli
Advanced School of Economics in Venice
Date Posted: March 15, 2013
Working Paper Series
7 downloads

Incl. Electronic Paper Is There Really Granger Causality between Energy Use and Output?
Crawford School Research Paper No. 13-07
 Stephan B. Bruns , Christian Gross and David I. Stern
University of Jena , RWTH Aachen University - Institute for Future Energy Consumer Needs and Behavior (FCN) and Australian National University (ANU) - Crawford School of Public Policy
Date Posted: March 15, 2013
Last Revised: April 21, 2013
Working Paper Series
81 downloads

Incl. Electronic Paper Monetary Policy Regimes: Implications for the Yield Curve and Bond Pricing
 Kameliya Filipova , Francesco Audrino and Enrico G. De Giorgi
UBS Wealth Management , University of St. Gallen and University of Saint Gallen - SEPS: Economics and Political Sciences
Date Posted: March 14, 2013
Working Paper Series
59 downloads

Incl. Electronic Paper Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany
CESifo Working Paper Series No. 4148
 Teresa Buchen and Klaus Wohlrabe
CESifo (Center for Economic Studies and Ifo Institute for Economic Research) - Ifo Institute for Economic Research and CESifo (Center for Economic Studies and Ifo Institute for Economic Research) - Ifo Institute for Economic Research
Date Posted: March 14, 2013
Working Paper Series
14 downloads

Incl. Electronic Paper Inflection Point Significance for the Investment Size
 Ralph Vince and Qiji Jim Zhu
LSP Partners, LLC and Western Michigan University
Date Posted: March 11, 2013
Working Paper Series
68 downloads

Incl. Electronic Paper A Dynamic Implementations of the Leverage Space Portfolio
 Qiji Jim Zhu , Ralph Vince and Steven Malinsky
Western Michigan University , LSP Partners, LLC and Connors Global Indexes, LLC
Date Posted: March 11, 2013
Working Paper Series
111 downloads

Incl. Electronic Paper Selection Bias in Innovation Studies: A Simple Test
Melbourne Institute Working Paper No. 08/13
 Gaétan de Rassenfosse , Anja Schoen and Annelies Wastyn
University of Melbourne , Technische Universität München (TUM) and KU Leuven - Department of Managerial Economics, Strategy and Innovation
Date Posted: March 08, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Testing the Monotonicity and Curvature of a Translog Production Function with Spatial Autoregressive Dependence
 Anthony Glass and Karligash Kenjegalieva
Loughborough University - School of Business and Economics and Loughborough University - School of Business and Economics
Date Posted: March 04, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Cross-Sectional Distribution of GARCH Coefficients across S&P 500 Constituents: Time-Variation over the Period 2000-2012
 David Ardia and Lennart F. Hoogerheide
Laval University - Département de Finance et Assurance and Vrije Universiteit Amsterdam - Dept. of Econometrics
Date Posted: March 02, 2013
Working Paper Series
44 downloads

Incl. Electronic Paper Evaluating the Accuracy of Forecasts from Vector Autoregressions
FRB of St. Louis Working Paper No. 2013-010A
 Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Saint Louis
Date Posted: March 01, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Model Choice and Size Distribution: A Bayequentist Approach
 John-Oliver Engler and Stefan Baumgärtner
Leuphana University of Lüneburg - Dept. of Sustainability Sciences and Dept. of Economics and Leuphana University of Lüneburg - Dept. of Sustainability Sciences and Dept. of Economics
Date Posted: February 28, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League
 Jan Vecer
Frankfurt School of Finance & Management Gemeinnützige GmbH
Date Posted: February 28, 2013
Working Paper Series
321 downloads


 

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