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JEL Code: C22
534,392 Total downloads
Showing Papers 121 - 170 of 3,421
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Volatility Components and Long Memory-Effects Revisited Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007
Markus Haas
Date Posted: July 09, 2007
Volatility Clustering, Leverage Effects, and Jumps Dynamics in Emerging Asian Equity Markets
Elton Daal
,
Atsuyuki Naka
and
Jung-Suk Yu
Date Posted: March 08, 2005240 downloads
Volatility and Trading Activity in Short Sterling Futures Applied Economics, Vol. 38, pp. 997-1005, 2006
Elena Kalotychou
and
Sotiris K. Staikouras
Date Posted: September 27, 2005
Volatility and Return (Empirical Evidence from Tehran and International Stock Exchanges) Journal of Economic Modeling Research (April 5, 2011)
Kamran Pakizeh
Date Posted: November 19, 201234 downloads
Volatility Analysis of Nepalese Stock Market Journal of Nepalese Business Studies, Vol. 5, No. 1, December 2008
Surya Bahadur G. C.
Date Posted: March 12, 2010Last Revised: March 11, 2013
Volatility - A Simulation Study of Different Extreme Value Variance Estimators in the World of Options
Goran Andersson
Date Posted: July 09, 1998
VIX Futures Volume and Volatility
Bujar Huskaj
Date Posted: October 26, 201267 downloads
Vision and Influence in Econometrics: John Denis Sargan Cowles Foundation Discussion Paper No. 1393
Peter C. B. Phillips
Date Posted: January 24, 2003129 downloads
Virtual Reality: Barter and Restructuring in Russian Industry William Davidson Institute Working Paper Number 465
Susan J. Linz and
Gary Krueger
Date Posted: June 11, 200291 downloads
Vector Autoregressions and Reduced Form Representations of DSGE Models Banco de Espana Research Paper No. WP-0619
Federico Ravenna
Date Posted: September 06, 2006125 downloads
VARs with Mixed Roots Near Unity Cowles Foundation Discussion Paper No. 1845
Peter C. B. Phillips and
Ji Hyung Lee
Date Posted: January 09, 201237 downloads
Variance, Return, and High-Low Price Spreads Journal of Financial Research, Vol. 17, No. 3, Fall 1994
Ji-Chai Lin and
Michael S. Rozeff
Date Posted: May 23, 2006136 downloads
Variance Estimation in a Random Coefficients Model IZA Discussion Paper No. 2031
Ekkehart Schlicht and
Johannes Ludsteck
Date Posted: March 24, 2006112 downloads
Variance Estimates and Model Selection International Econometric Review. Vol. 2, No. 2, September 2010
Asad Zaman ,
Sidika Basci and
Arzdar Kiraci
Date Posted: October 10, 201034 downloads
Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems De Nederlandsche Bank Working Paper No. 250
M. Hashem Pesaran ,
Andreas Pick
and
Allan G. Timmermann
Date Posted: October 24, 201127 downloads
Value-at-Risk Prediction by Higher Moment Dynamics
Matteo Grigoletto
and
Francesco Lisi
affiliation not provided to SSRN
and
University of Padua - Department of Statistical Sciences
Date Posted: July 07, 200995 downloads
Value-at-Risk for Country Risk Ratings
Michael McAleer and
Suhejla Hoti
Date Posted: September 06, 2009780 downloads
Value Indices of Commercial Real Estate: A Markov Switching Process? IX 115
James Maitland Smith
Date Posted: June 25, 1998
Value at Risk Models in Finance ECB Working Paper No. 75
Simone Manganelli and
Robert F. Engle
Date Posted: February 25, 20034172 downloads
Value at Risk and Hedge Fund Return - Does High Risk Bring High Return?
Tao Jing
and
Hongxiang Zhao
Date Posted: September 27, 2010Last Revised: September 28, 2010232 downloads
Value at Risk and Expected Shortfall for Large Portfolios Finance Research Letters, Vol. 8, 2011
Carl Lönnbark ,
Ulf E. Holmberg
and
Kurt Brannas
Date Posted: October 18, 2009Last Revised: March 19, 2012
Value at Risk (VaR) in Real Options Analysis
Giuseppe Alesii II
Date Posted: May 20, 20032605 downloads
Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
Jun Ma
and
Charles R. Nelson
Date Posted: September 23, 200849 downloads
Using VIX Data to Enhance Technical Trading Signals
James Kozyra
and
Camillo Lento
Date Posted: September 19, 2011859 downloads
Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)
Jack H.W. Penm ,
Jammie H. Penm and
R. Deane Terrell
Date Posted: January 08, 200366 downloads
Using Statistical Process Control to Monitor Active Managers
Thomas K. Philips
,
Emmanuel Yashchin
and
David M. Stein
Date Posted: March 19, 20031071 downloads
Using Spectral Density Function in Analysis of Stationary Time Series
Daniel Sorin Manole
affiliation not provided to SSRN
Date Posted: March 29, 2007203 downloads
Using Sentiment Surveys to Predict GDP Growth and Stock Returns THE MAKING OF NATIONAL ECONOMIC FORECASTS, Lawrence R. Klein, ed., Edward Elgar Publishing, 2009
Giselle Guzman
Date Posted: February 14, 2012Last Revised: June 08, 201259 downloads
Using Self-Organizing Maps to Adjust Intra-Day Seasonality
Walid Ben Omrane
and
Eric de Bodt
Date Posted: May 09, 2005Last Revised: May 03, 2013141 downloads
Using Monthly Indicators to Predict Quarterly GDP Bank of Canada Working Paper No. 2006-26
Isabel Yi Zheng
and
James Rossiter
Date Posted: August 02, 2006168 downloads
Using Mean Reversion as a Measure of Persistence ECB Working Paper No. 450
Daniel Dias
and
Carlos Robalo Marques
Date Posted: May 06, 2005226 downloads
Using Markets to Measure Pre-War Threat Assessments: The Nordic Countries Facing World War II
Daniel Waldenström and
Bruno S. Frey
Date Posted: November 14, 200631 downloads
Using Macro-Financial Variables to Forecast Recessions: An Analysis of Canada, 1957-2002 Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Khurshid M. Kiani
and
Terry L. Kastens
affiliation not provided to SSRN
and
Kansas State University - Department of Agricultural Economics
Date Posted: August 22, 200830 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
Using Forecast Evaluation to Improve the Accuracy of the Greenbook Forecast
Natsuki Arai
Date Posted: November 06, 2011Last Revised: May 01, 201222 downloads
Using Extraneous Information and GMM to Estimate Threshold Parameters in TAR Models U of London Queen Mary Economics Working Paper No. 494
George Kapetanios
Date Posted: August 31, 200381 downloads
Using Conditional Copula to Estimate Value at Risk Cass Business School Research Paper
Luiz Koodi Hotta
Date Posted: October 13, 20051190 downloads
Using a Leading Credit Index to Predict Turning Points in the U.S. Business Cycle The Conference Board Economics Program Working Paper No. 11-05
Gad Levanon
,
Ataman Ozyildirim ,
Jean Claude Manini
,
Brian Schaitkin
and
Jennelyn Tanchua
affiliation not provided to SSRN
,
The Conference Board
,
The Conference Board
,
affiliation not provided to SSRN
and
The Conference Board
Date Posted: January 05, 2012333 downloads
Use of Modelling Techniques to Estimate the Number of Additional Events Avoided Through Early Versus Delayed Intervention: The Case of Rotavirus Vaccination iHEA 2007 6th World Congress: Explorations in Health Economics Paper
Baudouin Standaert
Date Posted: June 13, 2007
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
US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis CESifo Working Paper Series No. 3208
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: October 20, 201044 downloads
US Disposable Personal Income and Housing Price Index: A Fractional Integration Analysis DIW Berlin Discussion Paper No. 1070
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: October 13, 201021 downloads
Us Coffee C Futures: Some Results from Test of Cointegration and GARCH Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Milind Sathye
Date Posted: August 22, 200837 downloads
Unstable Volatility Functions: The Break Preserving Local Linear Estimator CREATES Research Paper 2009-48
Isabel Casas
and
Irene Gijbels
affiliation not provided to SSRN
and
Catholic University of Louvain (UCL) - School of Statistics
Date Posted: October 28, 200921 downloads
Unobserved Components of Inflation in Colombia Revista de Economia del Rosario, Vol. 2, No. 1, 1999
Luis Eduardo Arango-Thomas
Date Posted: January 28, 200743 downloads
Unobserved Components Models for Quarterly German GDP CESifo Working Paper Series No. 681
Gebhard Flaig
Date Posted: April 22, 2002185 downloads
Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component
Zhiwei Xu
Date Posted: April 27, 2013
Univariate Tests for Nonlinear Structure Journal of Macroeconomics, Vol. 28, No. 1, 2006
Catherine Kyrtsou
and
A. Serletis
Date Posted: June 24, 2007
Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics Journal of Empirical Finance, Forthcoming
Roman Liesenfeld and
Jean-Francois Richard
Date Posted: December 12, 2002
Unit Roots, Level Shifts and Trend Breaks in Per Capita Output: A Robust Evaluation Banque de France Working Paper No. 334
Mohitosh Kejriwal
and
Claude Lopez
Date Posted: July 30, 201118 downloads
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