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JEL Code: C22
534,541 Total downloads
Showing Papers 101 - 150 of 3,423
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Realized Jumps on Financial Markets and Predicting Credit Spreads FEDS Working Paper No. 2006-35, Journal of Econometrics, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper No. 7, AFA 2008 New Orleans Meetings Paper
George Tauchen and
Hao Zhou
Date Posted: March 23, 2007Last Revised: September 25, 2008802 downloads
Pitfalls in Estimating Jump-Diffusion Models
Peter Honore
Date Posted: February 24, 1998801 downloads
Macroeconomic Factors and Stock Market Movement: Evidence from Ghana
Anokye M. Adam
and
George Tweneboah
Date Posted: October 26, 2008Last Revised: March 16, 2009795 downloads
Support Vector Machines Approach to Predict the S&P CNX NIFTY Index Returns 10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Manish Kumar
and
Thenmozhi M.
Date Posted: February 13, 2007795 downloads
Stock Index Volatility Forecasting with High Frequency Data Tinbergen Institute Discussion Paper No. 2002-068/4
Eugenie Hol Uspensky
and
Siem Jan Koopman
Date Posted: July 30, 2002788 downloads
The Pricing Puzzle: The Default Term Structure of Collateralised Loan Obligations CFS Working Paper No. 2002/14
Andreas A. Jobst
Date Posted: April 07, 2003785 downloads
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chia-Lin Chang
,
Juan-Angel Jiménez-Martin
,
Michael McAleer and
Teodosio Perez Amaral
Date Posted: February 21, 2011784 downloads
Value-at-Risk for Country Risk Ratings
Michael McAleer and
Suhejla Hoti
Date Posted: September 06, 2009780 downloads
Price Volatility Forecasts for Agricultural Commodities: An Application of Historical Volatility Models, Option Implieds and Composite Approaches for Futures Prices of Corn and Wheat
Guillermo Benavides
Date Posted: November 01, 2004Last Revised: July 09, 2008774 downloads
Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR
Turan G. Bali ,
Henry Mo
and
Yi Tang
Date Posted: September 06, 2006771 downloads
On the Accuracy of VaR Estimates Based on the Variance-Covariance Approach
Rakhal Dave and
Gerhard Stahl
Date Posted: October 03, 1997770 downloads
Time Series Analysis of the Impact of Real Interest Rates on Stock Market Activity and Liquidity in Egypt: Co-integration and Error Correction Model Approach International Journal of Business, Vol. 8, No. 3, 2003
Mohammed Omran
Date Posted: September 07, 2003759 downloads
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Lisa R. Goldberg ,
Guy Miller
and
Jared Weinstein
Date Posted: October 22, 2007758 downloads
Housing Speculation and Housing Price Bubble in Korea KDI School of Pub Policy & Management Paper No. 04-06
Hee Soo Chung
and
Jeong Ho Kim
Date Posted: April 27, 2004752 downloads
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity Tinbergen Institute Discussion Paper No. 04-067/4
Martin Martens ,
Michiel De Pooter and
Dick J. C. van Dijk
Date Posted: June 24, 2004750 downloads
Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan CDMA Working Paper No. 07/20
Andreas Humpe
and
Peter Macmillan
Date Posted: October 31, 2007747 downloads
Understanding Index Option Returns AFA 2008 New Orleans Meetings Paper
Mark Broadie ,
Michael S. Johannes and
Mikhail Chernov
Date Posted: February 28, 2007747 downloads
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling ISMA Centre Finance Discussion Paper No. 2004-06
Carol Alexander and
Emese Lazar
Date Posted: June 23, 2004744 downloads
Semiparametric Cointegrating Rank Selection Cowles Foundation Discussion Paper No. 1658
Xu Cheng
and
Peter C. B. Phillips
Date Posted: May 21, 2008743 downloads
Early Warning Systems: A Survey and a Regime-Switching Approach IMF Working Paper No. 03/32
Abdul G. Abiad
Date Posted: January 05, 2005742 downloads
Dark Omens in the Sky: Do Superstitious Beliefs Affect Investment Decisions?
Gabriele M. Lepori
Date Posted: July 03, 2009Last Revised: July 08, 2009741 downloads
The Forecast Quality of CBOE Implied Volatility Indexes Olin School of Business Working Paper No. 2003-08-004
Charles J. Corrado and
Thomas W. Miller Jr.
Date Posted: September 16, 2003741 downloads
Using Investment Portfolio Return to Combine Forecasts: A Multi-objective Approach
Mark T. Leung ,
Hazem Daouk and
An-Sing Chen
Date Posted: November 21, 2000741 downloads
There is a Risk-Return Tradeoff After All EFA 2004 Maastricht Meetings Paper No. 1345; Anderson Working Paper; CIRANO Working Paper
Eric Ghysels ,
Pedro Santa-Clara and
Rossen I. Valkanov
Date Posted: June 18, 2004739 downloads
GFC-Robust Risk Management Strategies under the Basel Accord
Michael McAleer ,
Juan-Angel Jiménez-Martin
and
Teodosio Perez Amaral
Date Posted: October 09, 2010724 downloads
A Total Risk Measurement Framework for Hedge Funds and Funds of Funds
Apostolos Katsaris
,
Ali Hegazi
and
Martin Goulet
Date Posted: February 03, 2010721 downloads
Stochastic Volatility, Trading Volume, and the Daily Flow of Information Rice University, Jones Graduate School Working Paper
Jeff Fleming ,
Chris Kirby and
Barbara Ostdiek
Date Posted: July 24, 2001720 downloads
Why Do Absolute Returns Predict Volatility So Well?
Lars Forsberg
and
Eric Ghysels
Date Posted: September 13, 2006715 downloads
A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data
Peter Reinhard Hansen and
Asger Lunde
Date Posted: April 16, 2004714 downloads
It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management? Finance and Corporate Governance Conference 2010 Paper
Michael McAleer
Date Posted: January 12, 2010Last Revised: September 14, 2010713 downloads
Model Selection Using Database Characteristics: Classification Methods and an Application to the 'HMM and Its Children'
Eric M. Schwartz
,
Eric Bradlow
and
Peter Fader
Date Posted: June 18, 2012713 downloads
Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods
Jianqing Fan
,
Lei Qi
and
Dacheng Xiu
Date Posted: January 24, 2010Last Revised: August 06, 2012711 downloads
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Roengchai Tansuchat
,
Chia-Lin Chang
and
Michael McAleer
Date Posted: January 05, 2010707 downloads
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
Tim Bollerslev ,
James Marrone
,
Lai Xu
and
Hao Zhou
Date Posted: March 04, 2011Last Revised: August 08, 2012707 downloads
Estimating the Equity Premium Journal of Financial and Quantitative Analysis, August 2010, 45(4) , Rotman School of Management Working Paper No. 07-02
Glen Donaldson
,
Mark J. Kamstra and
Lisa A. Kramer
Date Posted: November 19, 2006Last Revised: July 30, 2010701 downloads
An Econometric Model of the Brazilian Stock Market
Date Posted: April 20, 2005697 downloads
Backtesting Parametric Value-at-Risk With Estimation Risk CAEPR Working Paper No. 2007-005
Juan Carlos Escanciano
and
Jose Olmo
Date Posted: March 22, 2007Last Revised: September 05, 2008691 downloads
Structure in Gold and Silver Spread Fluctuations HKUST Business School Research Paper No. 07-28
Jonathan A. Batten ,
Cetin Ciner
and
Brian M. Lucey
Date Posted: September 19, 2007688 downloads
Autoregressive Conditional Skewness Fuqua School of Business Working Paper No. 9604
Akhtar R. Siddique and
Campbell R. Harvey
Date Posted: May 08, 2000684 downloads
Commodity Futures Market in India: A Study of Trends in the Notional Multi-Commodity Indices Money & Finance, ICRA Bulletin, Vol. 3, No. 3, 2007
Suchismita Bose
Date Posted: October 31, 2008683 downloads
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables
Bradley S. Paye
Date Posted: August 23, 2005Last Revised: December 18, 2011681 downloads
The Nepalese Stock Market: Efficiency and Calendar Anomalies Economic Review, Vol. 17, No. 17
Fatta Bahadur K.C.
Date Posted: June 16, 2005681 downloads
Basic Properties of Stationary First-Order Autoregressive Processes and Random Walks Victoria Univ. of Technology Working Paper No. 1/00
Date Posted: November 06, 2001680 downloads
The Volatility of Firm's Assets and the Leverage Effect AFA 2010 Atlanta Meetings Paper
Jaewon Choi
and
Matthew P. Richardson
Date Posted: March 14, 2009Last Revised: May 01, 2013677 downloads
Effects of Primary, Secondary and Tertiary Education on Economic Growth World Bank Policy Research Working Paper No. 3610
Josef Ludger Loening
Date Posted: July 08, 2005676 downloads
US Stock Prices and Macroeconomic Fundamentals Aberdeen Papers in Accountancy, Finance & Management Working Paper No. 01-3
Angela J. Black ,
Patricia Fraser and
Nicolaas Groenewold
Date Posted: February 26, 2001676 downloads
Insider Trading, Volatility of Stock Price and Information Asymmetry Working Paper No. 2003-3
Yongdong Shi
and
Xianfeng Jiang
Date Posted: February 05, 2004672 downloads
The Contribution of Tourism to Economic Growth: An Empirical Analysis for the Case of Chile European Journal of Tourism Research, Vol. 2, No. 2, pp. 178-185, 2009
Wiston Adrián Risso
and
Juan Gabriel Brida
Date Posted: November 10, 2008Last Revised: June 16, 2011671 downloads
The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk FRB International Finance Discussion Paper No. 808
Sergey Chernenko
,
Krista Schwarz and
Jonathan H. Wright
Date Posted: July 02, 2004668 downloads
High Frequency Data, Frequency Domain Inference and Volatility Forecasting IFDS Working Paper No. 649
Tim Bollerslev and
Jonathan H. Wright
Date Posted: July 10, 2000663 downloads
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