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393,643
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226,678
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JEL Code: C1
1,881,603 Total downloads
Showing Papers 1,041 - 1,090 of 8,580
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Marginal Likelihood Estimation with the Cross-Entropy Method
CAMA Working Paper No. 18/2012
Joshua C. C. Chan
and
Eric Eisenstat
Australian National University (ANU)
and
affiliation not provided to SSRN
Date Posted: May 10, 2012
Working Paper Series
15 downloads
A Cross-Sectional Performance Measure for Portfolio Management
CES Working Paper No. 2010-70
Monica Billio ,
Ludovic Cales and
Dominique Guegan
Ca Foscari University of Venice - Department of Economics
,
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne
and
Universite Paris 1 Pantheon-Sorbonne
Date Posted: May 09, 2012
Working Paper Series
59 downloads
An Empirical Study to Find Out the Best Performing Equity Mutual Fund Portfolio During the Current Global Recession, Constructed from Selected Companies Listed on The National Stock Exchange of India Limited
Sakshi Goel
Western International University
Date Posted: May 09, 2012
Working Paper Series
68 downloads
Assessing the Functional Relationship between CO2 Emissions and Economic Development Using an Additive Mixed Model Approach
Economic Modelling, Vol. 29, No. 4, pp. 1328-1337, 2012
Luca Zanin
and
Giampiero Marra
Prometeia
and
University College London
Date Posted: May 09, 2012
Last Revised: May 30, 2012
Accepted Paper Series
New Structural Approach and Default Risk
Arsalan Azami
Wuhan University of Technology
Date Posted: May 09, 2012
Working Paper Series
48 downloads
Sunk Costs, Extensive R&D Subsidies and Permanent Inducement Effects
CIRANO - Scientific Publications 2012s-09
Pere Arqué
and
Pierre Mohnen
University of Barcelona
and
Maastricht University - UNU-MERIT
Date Posted: May 09, 2012
Working Paper Series
7 downloads
Using Histograms for Goodness-of-Fit Testing, Model Indexing and Parameter Estimation in Stock Markets
Robert Dochow
,
Mike Kersch
and
Günter Schmidt
Saarland University - Faculty of Law and Economics
,
Saarland University - Faculty of Law and Economics
and
Saarland University - Faculty of Law and Economics
Date Posted: May 09, 2012
Last Revised: July 10, 2012
Working Paper Series
29 downloads
How 'Unconventional' are Large-Scale Asset Purchases? The Impact of Monetary Policy on Asset Prices
FRB of New York Staff Report No. 560
Carlo Rosa
Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: May 08, 2012
Working Paper Series
56 downloads
Intellectual Property Rights as Development Determinants
Theo S. Eicher and
Monique Newiak
University of Washington - Department of Economics
and
Ludwig-Maximilians-Universität Munich
Date Posted: May 08, 2012
Working Paper Series
17 downloads
Refining the Least Squares Monte Carlo Method by Imposing Structure
Pascal Letourneau
and
Lars Stentoft
HEC Montreal - Department of Finance
and
HEC Montréal - Department of Finance
Date Posted: May 08, 2012
Last Revised: February 28, 2013
Working Paper Series
80 downloads
A Stochastic Volatility and Leverage: Application to a Panel of S&P Stocks
Serda Selin Ozturk
and
Jean-Francois Richard
Istanbul Bilgi University
and
University of Pittsburgh - Department of Economics
Date Posted: May 06, 2012
Working Paper Series
37 downloads
Inference on Treatment Effects after Selection Amongst High-Dimensional Controls
MIT Department of Economics Working Paper No. 12-13
Alexandre Belloni
,
Victor Chernozhukov and
Christian Hansen
Massachusetts Institute of Technology (MIT) - Operations Research Center
,
Massachusetts Institute of Technology (MIT) - Department of Economics
and
University of Chicago Graduate School of Business
Date Posted: May 05, 2012
Working Paper Series
39 downloads
The Impact of Bank Capital Regulation in Nigeria 'A Macro Econometric Simulations'
Abdullateef Usman and
Ibrahim Waheed
University of Ilorin - Department of Economics
and
affiliation not provided to SSRN
Date Posted: May 05, 2012
Working Paper Series
31 downloads
A Three Line Proof that OLS is BLUE
Halbert L. White, Jr. and
Jin Seo Cho
University of California, San Diego (UCSD) - Department of Economics
and
Yonsei University - Department of Economics
Date Posted: May 04, 2012
Working Paper Series
85 downloads
Evaluating DSGE Model Forecasts of Comovements
FEDS Working Paper No. 2012-11
Frank Schorfheide and
Edward Herbst
University of Pennsylvania - Department of Economics
and
University of Pennsylvania
Date Posted: May 04, 2012
Working Paper Series
17 downloads
Gaussian Process Based Trading Strategy Identification
Steve Y. Yang
,
Qifeng Qiao
,
Peter Beling
,
Willam T. Scherer
and
Andrei A. Kirilenko
University of Virginia
,
University of Virginia (UVA) - Systems Engineering
,
University of Virginia, Dept. of System & Information Engineering
,
University of Virginia
and
MIT Sloan School of Management
Date Posted: May 04, 2012
Last Revised: December 04, 2012
Working Paper Series
198 downloads
On Covariation Estimation for Multivariate Continuous Itô Semimartingales with Noise in Non-Synchronous Observation Schemes
Kim Christensen
,
Mark Podolskij
and
Mathias Vetter
University of Aarhus - CREATES
,
University of Heidelberg - Institute of Applied Mathematics
and
Ruhr Universität Bochum
Date Posted: May 04, 2012
Working Paper Series
6 downloads
Scaling, Self-Similarity and Multifractality in FX Markets
Physica A, 323, pp. 578 – 590, 2003,
Zhaoxia Xu
and
Ramazan Gencay
Polytechnic Institute of New York University
and
Simon Fraser University
Date Posted: May 04, 2012
Accepted Paper Series
41 downloads
Simulation Estimation of the Convergence of the Black–White Earnings Gap and Income Dynamics
Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 3, pp. 363-379, 2012
Sheng‐Kai Chang
affiliation not provided to SSRN
Date Posted: May 03, 2012
Accepted Paper Series
Testing Weak Cross-Sectional Dependence in Large Panels
CESifo Working Paper Series No. 3800
M. Hashem Pesaran
University of Southern California
Date Posted: May 03, 2012
Working Paper Series
19 downloads
Constructing Confidence Bands for the Hodrick-Prescott Filter
Victoria University of Wellington Legal Research Paper No. EWP1202
David E. A. Giles
University of Victoria - Economics
Date Posted: May 02, 2012
Working Paper Series
19 downloads
Testing Long Memory in Stock Returns of Emerging Markets: Some Further Evidence
Economics, Management, and Financial Markets, Vol. 6, No. 3, pp. 136–147, 2011,
Gourishankar S. Hiremath
and
Bandi Kamaiah V
Department of Economics, University of Hyderabad
and
University of Hyderabad
Date Posted: May 02, 2012
Accepted Paper Series
30 downloads
The Statistical Properties of the Maximum Drawdown in Financial Time Series
Alessandro Casati
and
Serge Tabachnik
Antares Technologies
and
Antares Technologies
Date Posted: May 02, 2012
Last Revised: May 15, 2013
Working Paper Series
283 downloads
ROM Simulation: Applications to Stress Testing and VaR
Carol Alexander and
Dan Ledermann
University of Reading - ICMA Centre
and
University of Reading - ICMA Centre
Date Posted: May 01, 2012
Last Revised: May 28, 2012
Working Paper Series
245 downloads
Bayesian Estimation of Probabilities of Default for Low Default Portfolios
Dirk Tasche
Bank of England - Prudential Regulation Authority
Date Posted: April 30, 2012
Working Paper Series
30 downloads
Predicting Securities Fraud Settlements and Amounts: A Hierarchical Bayesian Model of Federal Securities Class Action Lawsuits
Journal of Empirical Legal Studies, Vol. 9, Pg. 482, Sept. 2012, U of Penn, Inst for Law & Econ Research Paper No. 12-20
Blakeley B. McShane
,
Oliver P. Watson
,
Tom Baker and
Sean J. Griffith
Northwestern University - Kellogg School of Management
,
affiliation not provided to SSRN
,
University of Pennsylvania Law School
and
Fordham University School of Law
Date Posted: April 30, 2012
Last Revised: July 26, 2012
Accepted Paper Series
502 downloads
Systemic Risk and Sovereign Debt in the Euro Area
Gutenberg School of Management and Economics Discussion Paper No. 1207
Deyan Radev
University of Mainz
Date Posted: April 30, 2012
Last Revised: November 28, 2012
Working Paper Series
183 downloads
The Relationship between Gini's Mean Difference and the Absolute Deviation from a Quantile
Shlomo Yitzhaki and
Peter J. Lambert
Hebrew University of Jerusalem
and
University of Oregon - Department of Economics
Date Posted: April 30, 2012
Working Paper Series
47 downloads
A Non-Linear Dynamic Model of the Variance Risk Premium
Jiakou Wang
and
Bjorn Eraker
University of Wisconsin - Madison - Department of Finance, Investment and Banking
and
University of Wisconsin - Madison - Department of Finance, Investment and Banking
Date Posted: April 29, 2012
Working Paper Series
108 downloads
Assessing Managerial Power Theory: A Meta-Analytic Approach to Understanding the Determinants of CEO Compensation
Journal of Management, Forthcoming
Marc van Essen
,
Jordan Otten and
Edward J Carberry
Darla Moore School of Business, University of South Carolina
,
RSM Erasmus University
and
Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Date Posted: April 29, 2012
Accepted Paper Series
68 downloads
Consistent Single- and Multi-Step Sampling of Multivariate Arrival Times: A Characterization of Self-Chaining Copulas
Damiano Brigo and
Kyriakos Chourdakis
Department of Mathematics, Imperial College, London
and
University of Essex - Centre for Computational Finance and Economic Agents
Date Posted: April 29, 2012
Working Paper Series
19 downloads
Infinite Dimensional VARs and Factor Models
IEPR Working Paper No. 07.21
Alexander Chudik
and
M. Hashem Pesaran
University of Cambridge
and
University of Southern California
Date Posted: April 29, 2012
Working Paper Series
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Kazuhiko Hayakawa
and
M. Hashem Pesaran
Hiroshima University
and
University of Southern California
Date Posted: April 29, 2012
Working Paper Series
44 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
Change in the Distribution of House Prices Across Spanish Cities
IZA Discussion Paper No. 6503
Catia Nicodemo
and
Josep Raya
Autonomous University of Barcelona
and
affiliation not provided to SSRN
Date Posted: April 28, 2012
Working Paper Series
6 downloads
Comparison of Specification Tests for GARCH Models
Kilani Ghoudi
and
Bruno Remillard
United Arab Emirates University
and
HEC Montreal
Date Posted: April 28, 2012
Working Paper Series
16 downloads
Modelling the Liquidity Ratio as Macroprudential Instrument
De Nederlandsche Bank Working Paper No. 342
Jan Willem van den End
and
Mark Kruidhof
De Nederlandsche Bank
and
De Nederlandsche Bank
Date Posted: April 28, 2012
Working Paper Series
56 downloads
The Influence of Organizational and Environmental Factors on Cost Systems Design in Egypt
British Journal of Economics, Finance and Management Sciences, March 2012, Vol. 4 (2), pp. 31-51
Tariq Hassaneen Ismail and
Nancy Mohamed Mahmoud
Cairo University - Faculty of Commerce
and
Cairo University - Faculty of Commerce
Date Posted: April 27, 2012
Last Revised: May 13, 2012
Accepted Paper Series
182 downloads
Do Those Who Stay Work Less? On the Impact of Emigration on the Measured TFP in Poland
National Bank of Poland Working Paper No. 113
Katarzyna Barbara Budnik
National Bank of Poland
Date Posted: April 26, 2012
Working Paper Series
10 downloads
Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading
Chicago Booth Research Paper No. 12-14
Neil Shephard and
Dacheng Xiu
University of Oxford - Oxford-Man Institute
and
University of Chicago - Booth School of Business
Date Posted: April 26, 2012
Last Revised: November 11, 2012
Working Paper Series
140 downloads
Consistent Estimation of the 'True' Fixed-Effects Stochastic Frontier Model
CEIS Working Paper No. 231
Federico Belotti
and
Giuseppe Ilardi
University of Rome II - Faculty of Economics
and
Bank of Italy
Date Posted: April 25, 2012
Working Paper Series
30 downloads
Endogeneity in Ultrahigh Dimension
Jianqing Fan
and
Yuan Liao
Princeton University - Bendheim Center for Finance
and
University of Maryland
Date Posted: April 25, 2012
Working Paper Series
141 downloads
Identification and Estimation of Games with Incomplete Information Using Excluded Regressors, Second Version
PIER Working Paper No. 12-018
Xun Tang
and
Arthur Lewbel
Department of Economics, University of Pennsylvania
and
Boston College - Department of Economics
Date Posted: April 25, 2012
Working Paper Series
15 downloads
Kernel Regularized Least Squares: Moving Beyond Linearity and Additivity Without Sacrificing Interpretability
MIT Political Science Department Research Paper No. 2012-8
Jens Hainmueller and
Chad Hazlett
Massachusetts Institute of Technology (MIT) - Department of Political Science
and
Massachusetts Institute of Technology (MIT)
Date Posted: April 25, 2012
Last Revised: March 27, 2013
Working Paper Series
257 downloads
Long-Term Volatility Forecasting
Nicholas Reitter
PriceWaterhouseCoopers LLP
Date Posted: April 25, 2012
Working Paper Series
95 downloads
Semiparametric Inference in Dynamic Binary Choice Models
PIER Working Paper No. 12-017, Economic Theory Center Working Paper No. 40-2012
Andriy Norets
and
Xun Tang
Princeton University - Department of Economics
and
Department of Economics, University of Pennsylvania
Date Posted: April 25, 2012
Working Paper Series
33 downloads
Inference of Bidders’ Risk Attitudes in Ascending Auctions with Endogenous Entry, Second Version
PIER Working Paper No. 12-016
Hanming Fang and
Xun Tang
University of Pennsylvania - Department of Economics
and
Department of Economics, University of Pennsylvania
Date Posted: April 23, 2012
Working Paper Series
10 downloads
Non-Parametric Change Point Problems Using Multipliers
Bruno Remillard
HEC Montreal
Date Posted: April 22, 2012
Working Paper Series
39 downloads
Non‐Parametric Testing for Seasonally and Periodically Integrated Processes
Journal of Time Series Analysis, Vol. 33, Issue 3, pp. 424-437, 2012
Tomás Del Barrio Castro and
Denise R. Osborn
affiliation not provided to SSRN
and
University of Manchester - School of Social Sciences
Date Posted: April 21, 2012
Accepted Paper Series
What Drives the Dating Game of Executive Options Exercise? Evidence from Taiwan
Accounting & Finance, Vol. 52, Issue 2, pp. 605-625, 2012
Ming‐Cheng Wu ,
Hung‐Gay Fung and
Yi‐Ting Huang
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 21, 2012
Accepted Paper Series
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