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JEL Code: C22
534,538 Total downloads
Showing Papers 1,251 - 1,300 of 3,423
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Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations
Chia-Lin Chang
,
Thanchanok Khamkaew
,
Michael McAleer and
Roengchai Tansuchat
Date Posted: November 02, 2009324 downloads
A General Asymptotic Theory for Time Series Models
Shiqing Ling
and
Michael McAleer
Date Posted: November 01, 2009316 downloads
Do Credit Default Swaps Predict Currency Values? Applied Financial Economics, Forthcoming
Gaiyan Zhang
,
Jot Yau
and
Hung-Gay Fung
Date Posted: November 01, 2009269 downloads
Forecasting Realized Volatility with Linear and Nonlinear Models
Michael McAleer and
Marcelo C. Medeiros
Date Posted: November 01, 2009439 downloads
Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns
Thanchanok Khamkaew
,
Roengchai Tansuchat
,
Chia-Lin Chang
and
Michael McAleer
Date Posted: November 01, 2009284 downloads
On the Relationship between Asian Sovereign Credit Default Swap Markets and Equity Markets Journal of Asian Business Studies, Forthcoming
Kam C. Chan ,
Hung-Gay Fung and
Gaiyan Zhang
Date Posted: November 01, 2009227 downloads
Are International Equity Market Returns Predictable?
Sungju Chun
Date Posted: October 30, 200968 downloads
Realized Volatility and Multipower Variation CREATES Research Paper 2009-49
Torben G. Andersen and
Viktor Todorov
Date Posted: October 29, 200969 downloads
What Do We Know About Real Exchange Rate Non-Linearities? CREATES Research Paper 2009-50
Robinson Kruse ,
Michael Froemmel
,
Lukas Menkhoff and
Philipp Sibbertsen
affiliation not provided to SSRN
,
Leibniz Universitaet Hannover - Department of Economics
and
University of Hannover
Date Posted: October 29, 200919 downloads
Evidence of GARCH Effect in Stock Returns: Vietnam Stock Market 2000-2003 Vietnam Journal of Mathematical Applications, Vol. 2, No. 1, pp. 15-30, 2004
Quan Hoang Vuong
Date Posted: October 28, 2009149 downloads
Market Integration and Impact of Futures Derivative Trading - Case of Indian Wheat Market
Ashutosh Roy
Date Posted: October 28, 2009126 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
Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models FRB of Philadelphia Working Paper No. 09-29
Valentina Corradi
and
Norman R. Swanson
Date Posted: October 26, 200914 downloads
The Multi-Scale Interaction Between Interest Rate, Exchange Rate and Stock Price
Mohamed Essaied Hamrita
,
Nidhal Ben Abdallah
and
Samir Ben Ammou
Date Posted: October 25, 2009160 downloads
Lead-Lag Relationship between the Spot Index and Futures Price for the Turkish Derivatives Exchange
Ulkem Basdas
Date Posted: October 24, 2009286 downloads
Model Selection Testing for Diffusion Processes with Applications to Interest Rate and Exchange Rate Models
Hwan-sik Choi
,
Minsoo Jeong
and
Joon Y. Park
Date Posted: October 24, 200944 downloads
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Roengchai Tansuchat
,
Chia-Lin Chang
and
Michael McAleer
Date Posted: October 24, 2009417 downloads
The Importance of Global Shocks for National Policy Makers - Rising Challenges for Central Banks Ruhr Economic Paper No. 135, DIW Berlin Discussion Paper No. 922
Ansgar Hubertus Belke and
Andreas Rees
affiliation not provided to SSRN
Date Posted: October 24, 2009Last Revised: October 30, 200938 downloads
Inflation and Inflation Uncertainty in the Euro Area DIW Berlin Discussion Paper No. 909
Guglielmo Maria Caporale ,
Luca Onorante
and
Paolo Paesani
Date Posted: October 23, 200935 downloads
Expected Returns and Volatility of Fama-French Factors Charles A. Dice Center Working Paper No. 2009-17, Fisher College of Business Working Paper No. 2009-03-017
Fousseni Chabi-Yo
Date Posted: October 22, 2009172 downloads
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets CESifo Working Paper Series No. 2820
Sasa Zikovic
and
Randall K. Filer
Date Posted: October 21, 2009241 downloads
A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation Journal of Applied Econometrics, Forthcoming
Nikolaus Hautsch ,
Lada M. Kyj
and
Roel C. A. Oomen
Date Posted: October 18, 2009Last Revised: August 22, 2010197 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
GMM Estimation with Noncausal Instruments HECER Discussion Paper No. 274
Pentti Saikkonen and
Markku Lanne
Date Posted: October 16, 200928 downloads
Islamic Mutual Funds’ Financial Performance and International Investment Style:
Evidence from 20 Countries European Journal of Finance, Forthcoming
Andreas G. F. Hoepner
,
Hussain Gulzar Rammal
and
Michael Rezec
Date Posted: October 12, 2009Last Revised: December 18, 20101935 downloads
Semiparametric Efficiency Bound for Models of Sequential Moment Restrictions Containing Unknown Functions Cowles Foundation Discussion Paper No. 1731
Chunrong Ai and
Xiaohong Chen
Date Posted: October 10, 200915 downloads
Inflation Dynamics in Latin America Contemporary Economic Policy, Vol. 27, Issue 3, pp. 349-362, July 2009
Carlos Capistran and
Manuel Ramos-Francia
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: October 08, 20092 downloads
Pre-Averaging Estimators of the Ex-Post Covariance Matrix in Noisy Diffusion Models with Non-Synchronous Data Journal of Econometrics, Forthcoming
Kim Christensen
,
Silja Kinnebrock
and
Mark Podolskij
Date Posted: October 07, 2009Last Revised: May 26, 201071 downloads
Volatility Dynamics in Three Euro Exchange Rates: Correlations, Spillovers and Commonality International Journal of Financial Markets and Derivatives, Vol. 1, No. 1, 2009
David G. McMillan
and
Isabel Ruiz
Date Posted: October 04, 2009
An Approach to the Theory on the Double Foreign Exchange Rates: Statistical Evaluation of USD/VND Exchange Rates (Vietnamese) Economic Studies Review, Vol. 43, No. 9, September 2002, Vietnam Institute of Economics, pp. 18-27, 2002.
Quan Hoang Vuong
Date Posted: October 02, 200990 downloads
Splitting the Value Gap How to Break Down Heineken’s Premium in M/B Multiple into Various Value Drivers
Hans le Grand
Date Posted: October 02, 2009
Google Econometrics and Unemployment Forecasting German Council for Social and Economic Data (RatSWD) Research Notes No. 41
Nikos Askitas and
Klaus F. Zimmermann
Date Posted: September 30, 200954 downloads
Fourier Volatility Forecasting with High Frequency Data and Microstructure Noise
Emilio Barucci
,
Davide Magno
and
Maria Elvira Mancino
affiliation not provided to SSRN
and
University of Florence - Department of Mathematics for Decisions
Date Posted: September 29, 2009
Seasonal Adjustment of Bank Deposits and Loans Bank of Italy Occasional Paper No. 42
Andrea Silvestrini
Date Posted: September 28, 200951 downloads
A Conditional CAPM Model with Local Covariates for Detecting and Evaluating Active Management
Massimiliano Caporin and
Francesco Lisi
Date Posted: September 27, 2009101 downloads
Fund-of-Funds Construction by Statistical Multiple Testing Methods Institute for Empirical Research in Economics University of Zurich Working Paper No. 445
Michael Wolf
and
Dan Wunderli
Date Posted: September 25, 2009123 downloads
How Much Stock Return Predictability Can We Expect From an Asset Pricing Model?
Guofu Zhou
Date Posted: September 25, 2009Last Revised: April 28, 2010302 downloads
Competition Among Asean Members in the East Asia Market: An Extension to Shift-Share Analysis
He Shuquan
Date Posted: September 24, 2009
Competition Among China and Asean-5 in the US Market
He Shuquan
Date Posted: September 24, 2009
The Transmission of World Food Commodity Prices to China Markets: 2006-2008
He Shuquan
Date Posted: September 24, 2009
Oil Prices and Exchange Rates: The Case of Opec
Abbas Aflatooni
affiliation not provided to SSRN
Date Posted: September 23, 2009150 downloads
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models CREATES Research Paper No. 2009-41
Dennis Kristensen
Date Posted: September 23, 200931 downloads
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations The R Journal, Vol. 2, No. 2, pp. 41–47, 2010,
David Ardia and
Lennart F. Hoogerheide
Date Posted: September 21, 2009Last Revised: April 16, 2011178 downloads
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS, G. Fandel, Walter Trockel, eds., Springer-Verlag, 2008
David Ardia
Date Posted: September 21, 2009
How Do Public Announcements Affect the Frequency of Trading in U.S. Airline Stocks? Centre for Applied Macroeconomic Analysis Working Paper Series 38/2008
Sylwia Barbara Nowak
Date Posted: September 21, 2009Last Revised: September 24, 200938 downloads
Modelling and Forecasting Noisy Realized Volatility
Manabu Asai ,
Michael McAleer and
Marcelo C. Medeiros
Date Posted: September 21, 2009337 downloads
Wealth Effects: The French Case
Valerie Chauvin
and
Olivier Damette
Date Posted: September 21, 200926 downloads
The Vietnam's Transition Economy and its Fledgling Financial Markets: 1986-2003 Quan Hoang Vuong, FINANCIAL MARKETS IN VIETNAM'S TRANSITION ECONOMY: FACTS, INSIGHTS, IMPLICATIONS, Chapter 3, VDM-Verlag, February 2010
Quan Hoang Vuong
Date Posted: September 19, 2009Last Revised: February 23, 2010281 downloads
Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models
Cathy W. S. Chen
,
Richard H. Gerlach
,
Boris Choy and
Celine S. Y. Lin
Date Posted: September 18, 200944 downloads
Detection of Additive Outliers in Seasonal Time Series CREATES Research Paper No. 2009-40
Niels Haldrup ,
Andreu Sansó and
Antonio Montañés
affiliation not provided to SSRN
Date Posted: September 16, 200947 downloads
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