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JEL Code: C22
540,974 Total downloads
Showing Papers 1,301 - 1,350 of 3,447
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Fractionally Integrated Models for Volatility: A Review NONLINEAR FINANCIAL ECONOMETRICS: MARKOV SWITCHING MODELS, PERSISTENCE AND NONLINEAR COINTEGRATION, pp. 104-123, Palgrave Macmillan, 2011
Date Posted: January 31, 2011
Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH
Date Posted: February 01, 2011321 downloads
Frequency Dependence in a Real-Time Monetary Policy Rule
Richard A. Ashley
,
Kwok Ping Tsang
and
Randal J. Verbrugge
Date Posted: January 29, 2010Last Revised: January 29, 201142 downloads
Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes Applied Economics Letters, Vol. 11, pp. 837-42, 2004
Claudio Morana
Date Posted: November 02, 2005
Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes ECB Working Paper No. 321
Claudio Morana
Date Posted: May 13, 200491 downloads
Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility Physica A: Statistical Mechanics and its Applications, pp. 165-175, 2005
Claudio Morana
Date Posted: November 02, 2005
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets BIS Working Paper No. 249
Alain Chaboud ,
Ben Chiquoine
,
Erik Hjalmarsson and
Mico Loretan
Date Posted: April 16, 200841 downloads
Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets FRB International Finance Discussion Paper No. 905
Alain Chaboud ,
Ben Chiquoine
,
Erik Hjalmarsson and
Mico Loretan
Date Posted: November 06, 200782 downloads
Frequent Turbulence? A Dynamic Copula Approach NHH Dept. of Finance & Management Science Discussion Paper No. 2006/10
Lorán Chollete and
Andréas Heinen
Date Posted: March 07, 2007131 downloads
Friedman's Influence on Monetary Policy Design Down Under (Australia) International Journal of Applied Economics & Econometrics, Bangalore, India, Vol. XVI, No. 3, July-September 2008, pp. 133-159
Neil Dias Karunaratne
Date Posted: June 30, 20128 downloads
Fully Modified Estimation with Nearly Integrated Regressors FRB International Finance Discussion Paper No. 854
Erik Hjalmarsson
Date Posted: April 04, 200656 downloads
Fully Nonparametric Estimation of Scalar Diffusion Models Cowles Foundation Discussion Paper No. 1332
Federico M. Bandi and
Peter C. B. Phillips
Date Posted: October 14, 2001205 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, 2009124 downloads
Fundamental Growth Factors of the Hungarian Economy
György Simon Jr.
Date Posted: July 14, 2011Last Revised: May 15, 201335 downloads
Fundamentals or Fads? Pipes, Not Punting, Explain Commodity Prices and Volatility J.P. Morgan Global Commodities Research Commodity Markets Outlook and Strategy, August 2011
Colin P. Fenton
and
Jonah Waxman
affiliation not provided to SSRN
Date Posted: September 05, 201191 downloads
Further Evidence on the Causal Relationship between Government Spending and Economic Growth: The Case of Greece, 1958-2004 Acta Oeconomica, Vol. 59 (1), p. 57-78, 2009
Constantinos Katrakilidis
and
Persefoni Tsaliki
Date Posted: January 06, 2013
Further Investigation of the Uncertain Unit Root in GNP UCSC Dept. of Economics Working Paper 343
Menzie David Chinn
Date Posted: June 03, 1998
Future Inequality in Carbon Dioxide Emissions and the Projected Impact of Abatement Proposals
World Bank Policy Research Working Paper No. 2084
Mark T. Heil and
Quentin T. Wodon
Date Posted: January 05, 200569 downloads
Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis Economic Modelling, Vol. 29, No. 6, 2012
Lazaros Symeonidis ,
Marcel Prokopczuk
,
Chris Brooks
and
Emese Lazar
Date Posted: October 25, 2011Last Revised: January 02, 2013271 downloads
Futures Trading and the Excess Comovement of Commodity Prices
Yannick Le Pen
and
Benoît Sévi
Date Posted: December 21, 2012Last Revised: January 24, 201390 downloads
GARCH and Irregularly Spaced Data CentER Working Paper No. 2003-27
Nour Meddahi
,
Eric Renault
and
Bas J. M. Werker
Date Posted: May 26, 2004
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
David Ardia and
Lennart F. Hoogerheide
Date Posted: February 27, 2013Last Revised: March 03, 201334 downloads
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts Tinbergen Institute Discussion Paper 2013-047/III
David Ardia and
Lennart F. Hoogerheide
Date Posted: March 21, 201325 downloads
GARCH Processes and Value at Risk: An Empirical Analysis for Mexican Interest Rate Futures Panorama Socioeconómico, Vol. 25, No. 35, pp. 92-105,
Guillermo Benavides
Date Posted: October 05, 2008309 downloads
GARCH Processes: Theory, Simulations and Testing with Examples
Nitin Kumar
Date Posted: December 05, 20031241 downloads
Gathering Insights on the Forest from the Trees: A New Metric for Financial Conditions FRB of Chicago Working Paper No. 2010-07
Scott A. Brave
and
R. Andrew Butters
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: August 31, 201049 downloads
Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate Yale Cowles Foundation Disc. Paper No. 1309; AFA 2002 Atlanta Mtgs.
Jun Yu and
Peter C. B. Phillips
Date Posted: August 20, 2001273 downloads
Gaussian Inference in AR(1) Time Series with or without a Unit Root Cowles Foundation Discussion Paper No. 1546
Peter C. B. Phillips and
Chirok Han
Date Posted: January 04, 200662 downloads
Gaussian Inference in General AR(1) Models Based on Long Difference
Jhih-Gang Chen
and
Biing-Shen Kuo
affiliation not provided to SSRN
and
Dept. International Business, National Chengchi University
Date Posted: March 06, 201019 downloads
GDP Growth Predictions Through the Yield Spread. Time-Variation and Structural Breaks
Pierangelo De Pace
Date Posted: May 09, 2009Last Revised: March 29, 201140 downloads
Gender Unemployment Catching-Up: Empirical Evidence from Italian Regions CESifo Working Paper Series No. 3300
Marianna Belloc and
Riccardo Tilli
Date Posted: January 19, 201132 downloads
General Linear Formulations of Stochastic Dominance Criteria: With an Analysis of Stock Market Portfolio Efficiency
Thierry Post and
Milos Kopa
Date Posted: February 04, 2012Last Revised: December 16, 2012205 downloads
General-to-Specific Procedures for Fitting a Data-Admissible, Theory-Inspired, Congruent, Parsimonious, Encompassing, Weakly-Exogenous, Identified, Structural Model to the DGP: A Translation and Critique FEDS Discussion Papers No. 576
Jon Faust and
Charles H. Whiteman
Date Posted: April 01, 1997
Generalized Affine Models
Bruno Feunou
and
Nour Meddahi
Date Posted: March 23, 2009Last Revised: December 16, 2009203 downloads
Generalized Canonical Regression FRB of New York Staff Report No. 288
Arturo Estrella
Date Posted: July 26, 2007112 downloads
Generalized Spectral Estimation FEDS Working Paper No. 96-37
Jeremy Berkowitz
Date Posted: October 01, 1996
Generic Results for Establishing the Asymptotic Size of Confidence Sets and Tests Cowles Foundation Discussion Paper No. 1813
Donald W. K. Andrews ,
Xu Cheng
and
Patrik Guggenberger
Date Posted: August 01, 2011117 downloads
Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting Olsen & Associates Working Paper No. GOZ.2000-07-28
Gilles O. Zumbach ,
Olivier V. Pictet and
Oliver Masutti
affiliation not provided to SSRN
,
Pictet Asset Management
and
Olsen Group (Olsen & Associates Ltd.)
Date Posted: May 27, 2001456 downloads
Geometric Ergodicity of a Class of Markov Chains with Applications to Time Series Models
Dennis Kristensen
Date Posted: November 03, 2005177 downloads
Germany and the European Economy
György Simon Jr.
Date Posted: December 20, 2010Last Revised: February 17, 201124 downloads
Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility Tinbergen Institute Discussion Paper 2010-115/4
Cem Cakmakli
and
Dick J. C. van Dijk
Date Posted: November 25, 2010653 downloads
GFC-Robust Risk Management Strategies under the Basel Accord
Michael McAleer ,
Juan-Angel Jiménez-Martin
and
Teodosio Perez Amaral
Date Posted: October 09, 2010725 downloads
Gibson's Paradox, Monetary Policy, and the Emergence of Cycles Levy Economics Institute Working Paper No. 410
Greg Hannsgen
Date Posted: July 27, 2004100 downloads
Global Asset Return in Pension Funds: A Dynamical Risk Analysis Mathematical Methods in Economics and Finance, Vol. 3, No. 2, pp. 1-16
Sergio Bianchi
and
Alessandro Trudda
Date Posted: July 18, 201156 downloads
Global Equity-Commodity Market Correlations: Financial Crises and Broken Trends
Xiaoming Li and
Bing Zhang
Date Posted: January 16, 2013103 downloads
Global Financial Crisis and Stock Return Volatility in India
P. K. Mishra
Date Posted: June 08, 2009
Global Financial Crisis and VaR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 27, No. 1, 2009, pp. 149-170,
Sasa Zikovic
and
Bora Aktan
Date Posted: May 22, 20136 downloads
Global Stochastic Properties of Dynamic Models and Their Linear Approximations Tinbergen Institute Discussion Paper No. 10-081/2
Ana Babus
and
Casper G. de Vries
Date Posted: August 27, 201015 downloads
Globalization and WTO: Impact on India’s Economic Growth and Export
Alok Kumar Pandey
Date Posted: January 22, 2011
Glossary to ARCH (GARCH) CREATES Research Paper 2008-49
Tim Bollerslev
Date Posted: September 04, 20081549 downloads
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