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JEL Code: C51
360,450 Total downloads
Showing Papers 121 - 170 of 1,827
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What's Beneath the Surface? Option Pricing with Multifrequency Latent States
HEC Paris Research Paper No. 969/2013
Laurent E. Calvet ,
Marcus Fearnley ,
Adlai J. Fisher and
Markus Leippold
HEC Paris (Groupe HEC) - Finance Department
,
HEC Paris - Department of Finance
,
University of British Columbia (UBC) - Sauder School of Business
and
University of Zurich - Department of Banking and Finance
Date Posted: November 07, 2012
Last Revised: April 04, 2013
Working Paper Series
172 downloads
When the U.S. Sneezes the World Catches Cold: Are Worldwide Stock Markets Stable?
Applied Financial Economics, Vol. 22, No. 23, 2012
Sandy Suardi
La Trobe University
Date Posted: November 02, 2012
Accepted Paper Series
Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries
IMF Working Paper No. 12/191
Serhan Cevik
and
Katerina Teksoz
International Monetary Fund (IMF)
and
Columbia University
Date Posted: November 01, 2012
Working Paper Series
15 downloads
Identification and Counterfactuals in Dynamic Models of Market Entry and Exit
Victor Aguirregabiria and
Junichi Suzuki
University of Toronto - Department of Economics
and
University of Toronto - Department of Economics
Date Posted: October 30, 2012
Working Paper Series
56 downloads
Estimation of Nonlinear Models in a Quasi-Maximum Likelihood Framework with Spatial Data
Cuicui Lu
affiliation not provided to SSRN
Date Posted: October 29, 2012
Working Paper Series
Who Leaves and When? – Selective Outmigration of Immigrants from Germany
SOEPpaper No. 490
Torben Kuhlenkasper
and
Max Friedrich Steinhardt
affiliation not provided to SSRN
and
Hamburg Institute of International Economics (HWWI)
Date Posted: October 26, 2012
Working Paper Series
11 downloads
Tractable and Consistent Random Graph Models
Arun Chandrasekhar and
Matthew O. Jackson
Microsoft Research, New England
and
Stanford University - Department of Economics
Date Posted: October 25, 2012
Last Revised: April 27, 2013
Working Paper Series
314 downloads
A Gold Bubble?
Dirk G. Baur
and
Kristoffer J. Glover
University of Technology, Sydney (UTS) - School of Finance and Economics
and
University of Technology, Sydney (UTS) - School of Finance and Economics
Date Posted: October 25, 2012
Working Paper Series
242 downloads
Structural Estimation of a Pairwise Stable Network Formation with Nonnegative Externality
Yuhei Miyauchi
Massachusetts Institute of Technology (MIT)
Date Posted: October 23, 2012
Working Paper Series
85 downloads
Estimating Behavioural Heterogeneity Under Regime Switching
University of Technology Sydney Quantitative Finance Research Centre Research Paper No. 290
Carl Chiarella
,
Xuezhong He ,
Weihong Huang
and
Huanhuan Zheng
University of Technology, Sydney - UTS Business School, Finance Discipline Group
,
University of Technology, Sydney (UTS) - School of Finance and Economics
,
Nanyang Technological University (NTU) - School of Humanities & Social Sciences
and
Nanyang Technological University (NTU) - Division of Economics
Date Posted: October 23, 2012
Working Paper Series
13 downloads
Econometric Regime Shifts and the US Subprime Bubble
Andre Kallak Anundsen
University of Oslo
Date Posted: October 19, 2012
Working Paper Series
44 downloads
A Note on Moving‐Average Models with Feedback
Journal of Time Series Analysis, Vol. 33, Issue 6, pp. 873-879, 2012
Dong Li
University of Iowa
Date Posted: October 17, 2012
Accepted Paper Series
Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Centre for Economic and Financial Studies, University of Glasgow, August 2012
Rifqi Ardliansyah
Adam Smith Business School
Date Posted: October 15, 2012
Working Paper Series
50 downloads
Lasso-Type and Heuristic Strategies in Model Selection and Forecasting
Jena Economic Research Papers 2012-055
Ivan Savin
and
Peter Winker
DFG Research Training Program "The Economics of Innovative Change", Friedrich Schiller University and the Max Planck Institute of Economics
and
University of Giessen - Department of Economics
Date Posted: October 15, 2012
Accepted Paper Series
14 downloads
Adaptive GMM Shrinkage Estimation with Consistent Moment Selection
Zhipeng Liao
University of California, Los Angeles (UCLA)
Date Posted: October 15, 2012
Last Revised: December 05, 2012
Working Paper Series
34 downloads
Heterogeneity of Ambiguity Preferences
Dale O. Stahl
University of Texas at Austin - Department of Economics
Date Posted: October 13, 2012
Working Paper Series
17 downloads
Model Averaging Based on Kullback-Leibler Distance
Xinyu Zhang
and
Guohua Zou
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
and
Chinese Academy of Sciences - Academy of Mathematics and Systems Science
Date Posted: October 12, 2012
Working Paper Series
Implications of the Cressie-Read Family of Additive Divergences for Information Recovery
George Judge and
Ron Mittelhammer
University of California, Berkeley - Department of Agricultural & Resource Economics
and
Washington State University - Department of Agricultural and Resource Economics
Date Posted: October 08, 2012
Working Paper Series
13 downloads
Nonlinearities and the Sustainability of the Government's Intertemporal Budget Constraint
Economic Inquiry, Vol. 50, Issue 4, pp. 988-999, 2012
Gabriella Deborah Legrenzi
and
Costas Milas
Keele University - Department of Economics
and
Keele University
Date Posted: October 06, 2012
Accepted Paper Series
Modeling Gasoline Demand with Structural Breaks: New Evidence from Nigeria
International Journal of Energy Economics and Policy Vol. 2, No. 1, 2012, pp. 1-9
Olusegun A. Omisakin ,
Abimbola Oyinlola and
Oluwatosin Ademola Adeniyi
Redeemer's University, Nigeria
,
affiliation not provided to SSRN
and
Centre for the Study of the Economies of Africa
Date Posted: October 06, 2012
Accepted Paper Series
11 downloads
Default Risk Modeling with Position-Dependent Killing
Yuri A. Katz
S&P Capital IQ
Date Posted: October 04, 2012
Working Paper Series
40 downloads
Structural Breaks, Parameter Stability and Energy Demand Modeling in Nigeria
International Journal of Economic Sciences and Applied Research, Volume 5 Issue 2, pp. 129-144
Olusegun A. Omisakin ,
Oluwatosin Ademola Adeniyi
and
Abimbola Oyinlola
Redeemer's University, Nigeria
,
Centre for the Study of the Economies of Africa
and
affiliation not provided to SSRN
Date Posted: October 04, 2012
Accepted Paper Series
9 downloads
Euro Area and Global Oil Shocks: An Empirical Model-Based Analysis
Bank of Italy Temi di Discussione (Working Paper) No. 873
Lorenzo Forni ,
Andrea Gerali ,
Alessandro Notarpietro
and
Massimiliano Pisani
International Monetary Fund (IMF)
,
Bank of Italy
,
Bank of Italy
and
Bank of Italy
Date Posted: October 02, 2012
Working Paper Series
20 downloads
Dynamic Price Linkage and Volatility Structure between Carbon Markets
Takashi Kanamura
J-POWER
Date Posted: September 29, 2012
Working Paper Series
21 downloads
International Standards and International Trade: Empirical Evidence from ISO 9000 Diffusion
CEPR Discussion Paper No. DP9047
Joseph A. Clougherty and
Michal Grajek
University of Illinois at Urbana-Champaign
and
ESMT European School of Management and Technology
Date Posted: September 28, 2012
Working Paper Series
2 downloads
What's News in Business Cycles
CEPR Discussion Paper No. DP8984
Stephanie Schmitt-Grohé and
Martin Uribe
Columbia University - Graduate School of Arts and Sciences - Department of Economics
and
Columbia University - Graduate School of Arts and Sciences - Department of Economics
Date Posted: September 28, 2012
Working Paper Series
3 downloads
Did the Taylor Rule Stabilize Inflation in Brazil?
Rodrigo De-Losso
University of Sao Paulo (USP) - Department of Economics
Date Posted: September 28, 2012
Working Paper Series
11 downloads
Successive Sample Selection and its Relevance for Management Decisions
Forthcoming in Marketing Science
Stephan Wachtel
and
Thomas Otter
Goethe University Frankfurt
and
Goethe University Frankfurt, Department of Marketing
Date Posted: September 26, 2012
Accepted Paper Series
32 downloads
Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents
Herbert Kimura
,
Fabiano Guasti Lima
,
Luiz C. J. Perera and
Roberto Borges Kerr
Mackenzie Presbiterian University
,
University of Sao Paulo (USP)
,
Mackenzie Presbyterian University
and
Mackenzie Presbyterian University
Date Posted: September 16, 2012
Working Paper Series
18 downloads
Automated Model Selection in Finance: General‐To‐Specific Modelling of the Mean and Volatility Specifications
Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 5, pp. 716-735, 2012
Genaro Sucarrat
and
Alvaro Escribano
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 12, 2012
Accepted Paper Series
A Computationally Efficient Fixed Point Approach to Structural Estimation of Aggregate Demand
Rotman School of Management Working Paper No. 2140617
Yutec Sun and
Masakazu Ishihara
University of Toronto - Rotman School of Management
and
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: September 04, 2012
Last Revised: February 12, 2013
Working Paper Series
79 downloads
Determining Countries' Tax Effort
Hacienda Pública Española/Revista de Economía Pública, 195-(4/2010): 65-87,
Carola Pessino
and
Ricardo Fenochietto
Universidad del CEMA
and
International Monetary Fund (IMF) - Fiscal Affairs Department
Date Posted: September 04, 2012
Accepted Paper Series
40 downloads
On Italy's Economic Mechanism
György Simon Jr.
Corvinus University of Budapest
Date Posted: September 03, 2012
Last Revised: April 29, 2013
Working Paper Series
29 downloads
An Industry-Based Prediction Model for Regional Unemployment Rates Based on Officially Available Data
Lecture Notes in Information Technology, Vol. 21, 2012
Adrian Otoiu ,
Emilia Titan
and
Remus Dumitrescu
Academy of Economic Studies
,
Academy of Economic Studies
and
University of Bucharest
Date Posted: September 02, 2012
Accepted Paper Series
A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors
Chu-An Liu
National University of Singapore (NUS)
Date Posted: August 30, 2012
Working Paper Series
20 downloads
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Ait-Sahalia ,
Mustafa Karaman
and
Loriano Mancini
Princeton University - Department of Economics
,
University of Zurich - Swiss Banking Institute (ISB)
and
Ecole Polytechnique Fédérale de Lausanne
Date Posted: August 27, 2012
Working Paper Series
344 downloads
Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Jozef Barunik and
Michaela Barunikova
Charles University in Prague - Institute of Economic Studies
and
Academy of Sciences of the Czech Republic
Date Posted: August 24, 2012
Last Revised: February 18, 2013
Working Paper Series
24 downloads
Durable Matters? An Alternative Measure of Consumption Risk
25th Australasian Finance and Banking Conference 2012
Rui Cui
University of Chicago - Booth School of Business (Finance Authors)
Date Posted: August 21, 2012
Working Paper Series
76 downloads
A Note on the Vasicek’s Model with the Logistic Distribution
Jiri Witzany
University of Economics
Date Posted: August 20, 2012
Working Paper Series
49 downloads
Modeling Influence of Product Quality and Grower Reputation on Prices in Dutch Flower Auctions
Alexander Slutsky and
Yehiel Steinmetz
University of Haifa - Golan Research Institute
and
Israeli Ministry of Agriculture
Date Posted: August 16, 2012
Working Paper Series
12 downloads
A Model Structure of the Nigerian Palm Kernel Market
DECISION: Journal of Indian Institute of Management, Calcutta, Vol. 20, No. 9, pp.163-173, July -September 1993
Uchechi Rex Ogbuagu
University of Calabar
Date Posted: August 14, 2012
Accepted Paper Series
Asset Correlation and Credit Quality: The Basel Assumption
Mohammad Zanganeh and
Robert A. Jones
BMO Financial Group
and
Simon Fraser University (SFU) - Department of Economics
Date Posted: August 13, 2012
Last Revised: January 02, 2013
Working Paper Series
114 downloads
Policy Analysis and Forecasting in the World Economy: A Panel Unobserved Components Approach
IMF Working Paper No. 12/149
Francis Vitek
International Monetary Fund (IMF)
Date Posted: August 10, 2012
Working Paper Series
20 downloads
Modeling Default Correlation in a US Retail Loan Portfolio
25th Australasian Finance and Banking Conference 2012
Dennis Bams ,
Magdalena Pisa
and
Christian C. P. Wolff
University of Maastricht - Limburg Institute of Financial Economics (LIFE)
,
Maastricht University - Limburg Institute of Financial Economics (LIFE)
and
University of Luxembourg - Luxembourg School of Finance
Date Posted: August 09, 2012
Last Revised: April 04, 2013
Working Paper Series
56 downloads
Estimating Structural Models of Equilibrium and Cognitive Hierarchy Thinking in the Field: The Case of Withheld Movie Critic Reviews
Management Science, Forthcoming
Alexander L. Brown ,
Colin Camerer and
Dan Lovallo
Texas A&M University - Department of Economics
,
California Institute of Technology - Division of the Humanities and Social Sciences
and
University of Western Australia
Date Posted: August 08, 2012
Accepted Paper Series
9 downloads
Concept and Mathematics of Islamic Financial Engineering
8th International Conference on Islamic Economics and Finance,
20 December 2011, Doha, Qatar
Nadi Serhan Aydin
and
Martin Rainer
Institute of Applied Mathematics, Middle East Technical University
and
ENAMEC Institute
Date Posted: August 06, 2012
Last Revised: August 08, 2012
Working Paper Series
162 downloads
A Comment on Econometric Information Recovery and Inference from Indirect Noisy Economic Data
George Judge
University of California, Berkeley - Department of Agricultural & Resource Economics
Date Posted: August 04, 2012
Working Paper Series
32 downloads
Bayesian Estimation of Inefficiency Heterogeneity in
Stochastic Frontier Models
Jorge E. Galán ,
Helena Veiga
and
Mike Wiper Sr.
Universidad Carlos III de Madrid - Department of Statistics and Econometrics
,
Universidad Carlos III de Madrid - Department of Statistics and Econometrics
and
Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Date Posted: July 27, 2012
Working Paper Series
14 downloads
Long-Term Real Interest Rates: The G7 Affair Revisited
Christos F. Stournaras
Independent
Date Posted: July 19, 2012
Working Paper Series
17 downloads
Analyzing Determinants of Foreclosure of Middle-Income Borrowers of Color in the Atlanta, GA Metropolitan Area
GMU School of Public Policy Research Paper No. 2013-01
Katrin B. Anacker
,
James H. Carr and
Archana Pradhan
George Mason University - School of Public Policy
,
Federal National Mortgage Association (Fannie Mae)
and
National Community Reinvestment Coalition (NCRC)
Date Posted: July 15, 2012
Working Paper Series
39 downloads
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