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JEL Code: C32
456,120 Total downloads
Showing Papers 1,051 - 1,100 of 3,095
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Stochastic Volatility Jump-Diffusions for Equity Index Dynamics University of Reading Henley Business School ICMA Centre Discussion Paper in Finance No. DP2010-06
Andreas Kaeck
and
Carol Alexander
Date Posted: June 04, 201085 downloads
Common Business and Housing Market Cycles in the Euro Area from a Multivariate Decomposition Banque de France Working Paper No. 275
Laurent Ferrara
and
Siem Jan Koopman
Date Posted: June 03, 201038 downloads
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model CREATES Research Paper No. 2010-24
Soren Johansen
,
Morten Ørregaard Nielsen and
Margit Sommer
Date Posted: June 02, 201028 downloads
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
Matteo Barigozzi
,
Christian T. Brownlees
,
Giampiero M. Gallo and
David Veredas
Date Posted: May 31, 2010Last Revised: May 12, 2013598 downloads
Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging Tinbergen Institute Discussion Paper 10-050/4
Rodney W. Strachan
and
H. K. van Dijk
Date Posted: May 31, 201016 downloads
Crude Oil Price Shocks to Emerging Markets: Evaluating the BRICs Case
Salman Khan
Date Posted: May 30, 2010Last Revised: October 23, 2010200 downloads
Measuring Volatility Spillover in Russian Equity Market: A Multivariate GARCH Approach
Salman Khan
Date Posted: May 30, 2010
Correlation, Hierarchies, and Networks in Financial Markets Journal of Economic Behavior and Organization, Forthcoming
Michele Tumminello
,
Fabrizio Lillo
and
Rosario N. Mantegna
Date Posted: May 29, 2010230 downloads
Seeking Variety: A Dynamic Model of Employee Blog Reading Behavior
Param Vir Singh ,
Nachiketa Sahoo and
Tridas Mukhopadhyay
Date Posted: May 28, 2010203 downloads
Monetary Policy and Credit Cards: Evidence from a Small-Open Economy Economic Modeling, Forthcoming
Hakan Yilmazkuday
Date Posted: May 27, 2010Last Revised: December 19, 201145 downloads
Copula Based Impulse Response Analysis of Linkages Between Stock Markets
Ryszard Doman
and
Malgorzata Doman
Date Posted: May 26, 201097 downloads
Likelihood Inference for a Fractionally Cointegrated Vector Autoregressive Model Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-15
Morten Ørregaard Nielsen and
Soren Johansen
Date Posted: May 21, 201014 downloads
How Well Does the Weighted Price Contribution Measure Price Discovery?
Jian-Xin Wang and
Minxian Yang
Date Posted: May 20, 201085 downloads
Empirical Simultaneous Confidence Regions for Path-Forecasts CEPR Discussion Paper No. DP7797
Oscar Jorda ,
Malte Knüppel
and
Massimiliano Giuseppe Marcellino
Date Posted: May 19, 20102 downloads
Farm Acreage Shocks and Food Prices: An SVAR Approach to Understanding the Impacts of Biofuels
Catherine Hausman (Almirall)
,
Maximilian Auffhammer
and
Peter Berck
Date Posted: May 18, 2010Last Revised: May 26, 2013137 downloads
Infinite-Variance, Alpha-Stable Shocks in Monetary SVAR Levy Economics Institute Working Paper No. 596
Greg Hannsgen
Date Posted: May 16, 2010Last Revised: May 24, 201036 downloads
Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries
Hyeongwoo Kim
and
Bong-Han Kim
Date Posted: May 13, 2010208 downloads
Comovements in Volatility in the Euro Money Market Journal of International Money and Finance, Vol. 29, 2010
Nuno Cassola
and
Claudio Morana
Date Posted: May 12, 2010
Modelling Short-Term Interest Rate Spreads in the Euro Money Market International Journal of Central Banking, 4, 2008
Nuno Cassola
and
Claudio Morana
Date Posted: May 12, 2010
Euro Money Market Spreads During the 2007-? Financial Crisis Journal of Empirical Finance, 2012, 19, 548-557.
Nuno Cassola
and
Claudio Morana
Date Posted: May 12, 2010Last Revised: June 09, 2013
Dynamic Macroeconomic Effects of Public Capital: Evidence from Regional Italian Data Bank of Italy Temi di Discussione (Working Paper) No. 733
Valter Di Giacinto
,
Giacinto Micucci
and
Pasqualino Montanaro
Date Posted: May 12, 201065 downloads
Small-Samples and EVT Estimators for Computing Risk Measures: Simulation and Empirical Evidences THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 339-361, 2010
Alexander Kudrov
Date Posted: May 11, 2010
Forecast Densities for Economic Aggregates from Disaggregate Ensembles Norges Bank Working Paper 2010/02
Francesco Ravazzolo and
Shaun P. Vahey
Date Posted: May 10, 201022 downloads
Time-Varying Performance of International Mutual Funds
Harry J. Turtle and
Chengping Zhang
Date Posted: May 10, 2010Last Revised: May 05, 2012134 downloads
The Economic Value of Nonlinear Predictions in Asset Allocation
Friedrich Kruse and
Markus Rudolf
Date Posted: May 09, 2010Last Revised: January 30, 2012113 downloads
Beyond Macroeconomic Risk: The Role of Contagion in the Italian Corporate Default Correlation CAREFIN Research Paper No. 12/09
Antonella Foglia
,
Roberta Fiori
and
simonetta iannotti
Date Posted: May 08, 2010169 downloads
Forecasting with DSGE Models ECB Working Paper No. 1185
Kai Philipp Christoffel
,
Günter Coenen
and
Anders Warne
Date Posted: May 06, 2010110 downloads
Modeling Anti-Inflationary Monetary Targeting: With an Application to Romania ECB Working Paper No. 1186
Marcelo Sanchez
Date Posted: May 06, 201025 downloads
Household Decisions, Credit Markets and the Macroeconomy: Implications for the Design of Central Bank Models BIS Working Paper No. 306
John Muellbauer
Date Posted: May 05, 2010105 downloads
On the Stability of Euro Area Money Demand and its Implications for Monetary Policy
Matteo Barigozzi
and
Antonio Conti
Date Posted: May 04, 2010Last Revised: July 17, 2012122 downloads
Price Formation on the EuroMTS Platform DIW Berlin Discussion Paper No. 977
Guglielmo Maria Caporale and
Alessandro Girardi
Date Posted: May 03, 201020 downloads
Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights CESifo Working Paper Series No. 3031
Helmut Luetkepohl
Date Posted: May 02, 201042 downloads
Equity Premium Puzzle: A Finnish Review International Journal of Economics and Finance, Vol. 4, No. 2, pp. 44-55
Nader Shahzad Virk
Date Posted: May 01, 2010Last Revised: January 15, 2012
Cross Market Effects of Stocks Short-Selling Restrictions: Evidence from the September
2008 Natural Experiment Center for Applied Economics and Policy Research Working Paper No. 005-2010
Cristina Danciulescu
Date Posted: April 29, 2010149 downloads
In Dubio Pro CES: Supply Estimation with Misspecified Technical-Change ECB Working Paper No. 1175
Miguel A. Leon-Ledesma ,
Peter McAdam and
Alpo Willman
affiliation not provided to SSRN
Date Posted: April 22, 201029 downloads
Time-Varying Spot and Futures Oil Price Dynamics CESifo Working Paper Series No. 3015
Guglielmo Maria Caporale ,
Davide Ciferri
and
Alessandro Girardi
Date Posted: April 21, 2010296 downloads
Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques Ruhr Economic Paper No. 171, DIW Berlin Discussion Paper No. 982
Ansgar Hubertus Belke and
Robert Czudaj
Date Posted: April 20, 2010Last Revised: July 13, 201054 downloads
Consumption Tilting, Habit Persistence and Precautionary Savings: Are They a New Hope for Current Account Approach?
Emerson Fernandes Marçal
and
Wagner Oliveira Monteiro
Date Posted: April 19, 2010Last Revised: May 25, 201132 downloads
Food Price Pass-Through in the Euro Area - The Role of Asymmetries and Non-Linearities ECB Working Paper No. 1168
Gianluigi Ferrucci
,
Rebeca Jiménez-Rodríguez
and
Luca Onorante
Date Posted: April 19, 201054 downloads
Macroeconomic Forecasting and Structural Change ECB Working Paper No. 1167
Antonello D'Agostino
,
Luca Gambetti
and
Domenico Giannone
Date Posted: April 19, 201063 downloads
Monetary Policy, Global Liquidity and Commodity Price Dynamics Ruhr Economic Paper No. 167, DIW Berlin Discussion Paper No. 971
Ansgar Hubertus Belke ,
Ingo G. Bordon
and
Torben W. Hendricks
Date Posted: April 19, 2010Last Revised: May 01, 201093 downloads
Backtesting Value-at-Risk Models: A Multivariate Approach Center for Applied Economics & Policy Research Working Paper No. 004-2010
Cristina Danciulescu
Date Posted: April 16, 2010226 downloads
A Note on Estimating Wishart Autoregressive Model ECARES working paper 2010‐043,
Roxana Halbleib-Chiriac
Date Posted: April 15, 2010Last Revised: January 16, 201183 downloads
Assessing the Impact of US Subprime Crisis on Semdex: In Quest for a Change in Stock Market Interdependence International Research Journal of Finance and Economics, No. 30, 2009
Indranarain Ramlall
Date Posted: April 15, 2010276 downloads
Can Stocks Hedge Against Inflation in the Long Run: Evidence from Ghana Stock Market
Anokye M. Adam
and
Siaw Frimpong
Date Posted: April 10, 201077 downloads
Exchange Pass-Through in Ghana
Siaw Frimpong
and
Anokye M. Adam
Date Posted: April 10, 201032 downloads
Do Jumps Help in Forecasting the Density of Returns?
Julien Chevallier
,
Florian Ielpo and
Benoît Sévi
Date Posted: April 08, 2010Last Revised: July 22, 2011202 downloads
Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications Melbourne Business School Working Paper
Michael S. Smith
,
Qan Gan
and
Robert Kohn
Date Posted: April 08, 2010Last Revised: August 17, 201051 downloads
Ergodicity of Financial Indices
Thorsten Ruehl
and
Alexei Kolesnikov
affiliation not provided to SSRN
and
Deka Investment GmbH
Date Posted: April 07, 201054 downloads
Term Structure Forecasting Using Macro Factors and Forecast Combination FRB International Finance Discussion Paper No. 993, Norges Bank Working Paper 2010/01
Michiel De Pooter ,
Francesco Ravazzolo and
Dick J. C. van Dijk
Date Posted: April 07, 2010127 downloads
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