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JEL Code: C1
1,902,788 Total downloads
Showing Papers 1,241 - 1,290 of 8,646
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A Note on the Indeterminacy and Arbitrariness of Pena’s Method of Construction of Synthetic Indicators
Sudhanshu K. Mishra
Date Posted: March 22, 201216 downloads
Expansion of Lévy Process Functionals and its Application in Statistical Estimation
Jiti Gao and
Chaohua Dong
Date Posted: March 22, 201210 downloads
Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models
Jiti Gao
Date Posted: March 22, 2012Last Revised: September 12, 201220 downloads
Independence Test for High Dimensional Random Vectors
Jiti Gao ,
G. Pan
and
M. Guo
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: March 22, 201219 downloads
Solving Replication Problems in Complete Market by Orthogonal Series Expansion
Jiti Gao and
Chaohua Dong
Date Posted: March 22, 2012Last Revised: April 15, 201215 downloads
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging Tinbergen Institute Discussion Paper No. 12-025/4
Rodney W. Strachan
and
H. K. van Dijk
Date Posted: March 21, 20129 downloads
On Detection of Volatility Spillovers in Simultaneously Open Stock Markets
Anssi Kohonen
Date Posted: March 21, 201242 downloads
A Forward-Looking Model of the Term Structure of Interest Rates
Albert Lee Chun
Date Posted: March 20, 2012Last Revised: June 02, 201326 downloads
Is the Effect Really so Large? Firm‐Level Evidence on the Role of FDI in a Transition Economy Economics of Transition, Vol. 20, Issue 2, pp. 195-233, 2012
Jan Hagemejer
and
Joanna Tyrowicz
Date Posted: March 20, 2012
Reconstructing High Dimensional Dynamic Distributions from Distributions of Lower Dimension
Stanislav Anatolyev ,
Renat Khabibullin
and
Artem Prokhorov
Date Posted: March 20, 201218 downloads
Jumps in Equilibrium Prices and Market Microstructure Noise Journal of Econometrics, Forthcoming
Suzanne S. Lee
and
Per A. Mykland
Date Posted: March 19, 201234 downloads
Tactical Asset Allocation Using Relative Strength
John Lewis
Date Posted: March 19, 2012Last Revised: March 22, 2012880 downloads
Downside Risk and Long-Horizon Stock Return Reversals
Nikolaos T. Artavanis
and
Gregory B. Kadlec
Date Posted: March 18, 2012Last Revised: January 28, 201399 downloads
Analysts' Forecast Error: A Robust Short Term Prediction Model and Its Trading Profitability
Kris Boudt
,
Peter de Goeij
,
James Thewissen
and
Geert Van Campenhout
Date Posted: March 18, 2012Last Revised: April 01, 2013207 downloads
Bayesian Methods
Luc Bauwens and
Dimitris Korobilis
Date Posted: March 18, 201259 downloads
Common Drifting Volatility in Large Bayesian VARs FRB of Cleveland Working Paper No. 12-06
Andrea Carriero
,
Todd E. Clark and
Massimiliano Giuseppe Marcellino
Date Posted: March 18, 20127 downloads
Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction Forthcoming in Journal of Futures Markets
Qian Han ,
Biao Guo
and
DooJin Ryu
Date Posted: March 18, 2012Last Revised: April 16, 201247 downloads
Large Time-Varying Parameter VARs
Dimitris Korobilis and
Gary Koop
Date Posted: March 18, 201228 downloads
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model
Nima Nooshi
,
Young Shin Kim
,
Svetlozar Rachev
and
Frank J. Fabozzi
Date Posted: March 18, 2012138 downloads
Economic Catastrophe Bonds: Inefficient Market or Inadequate Model? AFA 2013 San Diego Meetings Paper
Haitao Li and
Feng Zhao
Date Posted: March 17, 201234 downloads
Public and Private Sector Jobs, Unreported Income and Consumption Gap in India: Evidence from Micro-Data IZA Discussion Paper No. 6404
Saibal Kar
,
Poulomi Roy
and
Sarani Saha
affiliation not provided to SSRN
Date Posted: March 17, 201212 downloads
Common Errors: How to (and Not to) Control for Unobserved Heterogeneity AFA 2013 San Diego Meetings Paper
Todd A. Gormley
and
David A. Matsa
Date Posted: March 17, 2012Last Revised: May 29, 2013735 downloads
Controlling the Danger of False Discoveries in Estimating Multiple Treatment Effects
Dan Wunderli
Date Posted: March 17, 201215 downloads
Empirical Policy Functions as Benchmarks for Evaluation of Dynamic Capital Structure Models
Santiago Bazdresch
Date Posted: March 17, 201227 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 17, 2012Last Revised: August 08, 2012250 downloads
Crash Risk in Currency Returns
Mikhail Chernov ,
Jeremy J. Graveline
and
Irina Zviadadze
Date Posted: March 16, 2012160 downloads
Anchoring Credit Default Swap Spreads to Firm Fundamentals
Jennie Bai and
Liuren Wu
Date Posted: March 15, 201255 downloads
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Turan G. Bali ,
Nusret Cakici and
Robert Whitelaw
Date Posted: March 15, 201252 downloads
Liquidity Shocks and Stock Market Reactions
Turan G. Bali ,
Lin Peng ,
Yannan Shen
and
Yi Tang
Date Posted: March 15, 2012Last Revised: July 03, 201280 downloads
Optimal Bank’s Liquidity Supply by the Central Bank: A Microeconomic Approach
Jules Tinang Nzesseu
Date Posted: March 15, 2012Last Revised: October 22, 201234 downloads
Quantifying Search and Switching Costs in the U.S. Auto Insurance Industry
Elisabeth Honka
Date Posted: March 15, 2012Last Revised: February 05, 2013199 downloads
Structural Investigation of Acquiring Managers' Incentives in Takeovers AFA 2013 San Diego Meetings Paper
Di Li
Date Posted: March 15, 2012Last Revised: May 16, 2012151 downloads
Between Constraints and Coercion: Marriage and Social Reproduction in Northern and Central Italy, 18th-19th Centuries University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 02/WP/2012
Renzo Derosas
,
Marco Breschi
,
Alessio Fornasin
,
Matteo Manfredini
and
Cristina Munno
Date Posted: March 14, 201236 downloads
Empirical Evidence Against CAPM: Relating Alphas and Returns to Betas
Mayur Agrawal
,
Debabrata Mohapatra
and
Ilya Pollak
Date Posted: March 14, 2012Last Revised: March 24, 2012171 downloads
Non-Parametric Prediction of the Mid-Price Dynamics in a Limit Order Book
Deepan Palguna
and
Ilya Pollak
Date Posted: March 14, 2012Last Revised: January 17, 2013231 downloads
Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets
Turan G. Bali ,
Nusret Cakici and
Frank J. Fabozzi
Date Posted: March 13, 2012Last Revised: March 19, 2012143 downloads
How Far Can Screens Go in Distinguishing Explicit from Tacit Collusion? New Evidence from the Libor Setting CPI Antitrust Chronicle, Vol. 1, March 2012
Rosa M. Abrantes-Metz
and
Albert D. Metz
Date Posted: March 13, 2012316 downloads
Liquidity Shocks and Stock Market Reactions Fordham University Schools of Business Research Paper No. 2020476
Turan G. Bali ,
Lin Peng ,
Yannan Shen
and
Yi Tang
Date Posted: March 13, 2012Last Revised: July 09, 2012429 downloads
Testing CAPM with a Large Number of Assets AFA 2013 San Diego Meetings Paper
M. Hashem Pesaran and
Takashi Yamagata
Date Posted: March 13, 2012163 downloads
Behavioral Investment Strategy Matters: A Statistical Arbitrage Approach
David S. Sun
,
Shih-Chuan Tsai
and
Wei Wang
Date Posted: March 12, 2012171 downloads
Breeding One’s Own Sub-Prime Crisis: The Labour Market Effects on Financial System Stability Economic Systems, Vol. 35, No. 2, 2011
Tomasz Daras
and
Joanna Tyrowicz
Date Posted: March 12, 2012
Does Trading Remove or Bring Frictions? Emerging Markets Finance and Trade, Forthcoming
William T. LIn
,
David S. Sun
and
Shih-Chuan Tsai
Date Posted: March 12, 2012Last Revised: June 01, 201248 downloads
Keep it Simple: Dynamic Bond Portfolios Under Parameter Uncertainty
Peter Feldhütter
,
Linda Sandris Larsen ,
Claus Munk and
Anders B. Trolle
Date Posted: March 12, 2012Last Revised: November 16, 201290 downloads
Legal Institutions and High-Growth Aspiration Entrepreneurship Economic Systems, Vol. 35, No. 2, 2011
Michael Troilo
Date Posted: March 12, 2012
Nonlinear Forecasting Using a Large Number of Predictors Rivista Italiana degli Economisti, Vol. 1, April 2012
Alessandro Giovannelli
Date Posted: March 12, 2012
Search Costs and Investor Trading Activity: Evidences from Limit Order Book Emerging Markets Finance and Trade, Forthcoming
William T. LIn
,
Shih-Chuan Tsai
and
David S. Sun
Date Posted: March 12, 2012Last Revised: April 26, 201317 downloads
Some Notions of Multivariate Positive Dependence Insurance: Mathematics and Economics, Vol. 37, No. 1, 2005
Antonio Colangelo
,
Marco Scarsini and
Moshe Shaked
affiliation not provided to SSRN
Date Posted: March 12, 2012
Macroeconomic News Effects on the Stock Markets
Barbara Bedowska-Sojka
Date Posted: March 11, 2012Last Revised: June 05, 2013
Alternative Measures of Homeownership Gaps Across Segregated Neighborhoods
Anthony M. Yezer
and
Paul E. Carrillo
Date Posted: March 11, 20127 downloads
The Jumps in the Stock Returns: The Evidence from the Polish Stock Market
Barbara Bedowska-Sojka
Date Posted: March 11, 201252 downloads
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