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JEL Code: C52
286,713 Total downloads
Showing Papers 1,321 - 1,370 of 1,700
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Estimation of Continuous-time Models with an Application to Equity Volatility Dynamics
Nengjiu Ju ,
Gurdip Bakshi and
Hui Ou-Yang
Date Posted: March 19, 2005414 downloads
A Top-Down Approach to Multi-Name Credit Operations Research, Forthcoming
Kay Giesecke ,
Lisa R. Goldberg and
Xiaowei Ding
Date Posted: March 15, 2005Last Revised: March 04, 2010580 downloads
Option Pricing under Stochastic Volatility and Trading Volume EFA 2005 Moscow Meetings Paper
Sadayuki Ono
Date Posted: March 10, 2005380 downloads
Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
Sutthisit Jamdee
and
Cornelis A. Los
Date Posted: March 07, 2005266 downloads
Choosing Factors in a Multifactor Asset Pricing Model when Returns are Nonnormal
Johan Parmler
and
Sune Karlsson
Date Posted: February 28, 2005130 downloads
Mean and Variance Causality Between the Cyprus Stock Exchange and Major Equity Markets University of Crete Economics Working Paper No. 05-02
Eleni Constantinou
,
Robert Georgiades
,
Avo Kazandjian and
Georgios P. Kouretas
Date Posted: February 27, 200581 downloads
Testing the Martingale Restriction for Option Implied Densities
Thomas Busch
Date Posted: February 26, 200547 downloads
A Comparison of Mixed GARCH-Jump Models with Skewed t-Distribution for Asset Returns
Jung-Suk Yu
and
Elton Daal
Date Posted: February 22, 2005784 downloads
Were Cobb and Douglas Prejudiced? A Critical Re-analysis of their 1928 Production Model Identification
Cornelis A. Los
Date Posted: February 22, 2005108 downloads
History of Macroeconometric Modelling: Lessons from Past Experience Journal of Policy Modeling, Vol. 26, No. 2, pp. 265-81, 2005
Abbas Valadkhani
Date Posted: February 21, 2005
Growth and Inequality: Model Evaluation Based on an Estimation-Calibration Strategy USC Institute of Economic Policy Research Paper No. 05.10
Hyeok Jeong
and
Robert M. Townsend
Date Posted: February 15, 200574 downloads
Cooperative Models in Action: Simulation of a Nash-Bargaining Model of Household Labor Supply with Taxation IZA Discussion Paper No. 1480
Olivier Bargain
and
Nicolas Moreau
Date Posted: February 09, 2005121 downloads
Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model
Eric Jondeau and
Jean-Guillaume Sahuc
Date Posted: February 04, 200568 downloads
Smooth Test for Density Forecast Evaluation
Aurobindo Ghosh and
Anil K. Bera
Date Posted: February 02, 2005108 downloads
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Tim Bollerslev ,
Michael S. Gibson and
Hao Zhou
Date Posted: January 25, 2005Last Revised: March 13, 20092103 downloads
Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management CESifo Working Paper Series No. 1358; IEPR Working Paper No. 04.3
M. Hashem Pesaran and
P. Zaffaroni
Date Posted: January 19, 2005435 downloads
Diffusion of ISO 9000 Standards and International Trade WZB, Markets and Political Economy Working Paper No. SP II 2004-16
Michal Grajek
Date Posted: January 19, 2005291 downloads
Equity Style Timing Using Support Vector Regressions
Georgi Nalbantov ,
Rob Bauer and
Ida Sprinkhuizen-Kuyper
Date Posted: January 13, 2005562 downloads
On Modeling Household Labor Supply with Taxation IZA Discussion Paper No. 1455
Olivier Bargain
Date Posted: January 13, 200579 downloads
Financial Ratio Selection for Default-Rating Modeling: A Model-Free Approach and its Empirical Performance Journal of Applied Finance, Vol. 14, No. 1, Spring/Summer 2004
Zheng Wang
Date Posted: January 06, 200516 downloads
In-Work Policies in Europe: Killing Two Birds with One Stone? IZA Discussion Paper No. 1445
Olivier Bargain
and
Kristian Orsini
Date Posted: January 06, 200540 downloads
Identifying Term Structure Volatility from the LIBOR-swap Curve
Samuel Brodsky Thompson
Date Posted: January 04, 2005382 downloads
Order Flow and Exchange Rate Dynamics in Brazil
Date Posted: January 04, 2005154 downloads
Econometric Tests of Asset Price Bubbles: Taking Stock FEDS Working Paper No. 2005-04
Refet S. Gurkaynak
Date Posted: January 02, 2005370 downloads
Understanding the Fine Structure of Electricity Prices Journal of Business, Vol. 79, No. 3, 2006
Hélyette Geman and
Andrea Roncoroni
Date Posted: December 31, 20042005 downloads
An Evaluation of the Base Correlation Framework for Synthetic CDOs
Date Posted: December 31, 20041065 downloads
Toward the Optimal Design of an Early Warning System for Sovereign Debt Crises Emerging Markets Group Working Paper No. 03/04, Cass Business School Research Paper
Ana-Maria Fuertes and
Elena Kalotychou
Date Posted: December 29, 2004
The Real-Time Predictability of the Size and Value Premium in Japan Pacific-Basin Finance Journal, Vol. 12, No. 5, pp. 503-523, 2004
Rob Bauer ,
Jeroen Derwall
and
R. Molenaar
Date Posted: December 25, 2004
Inflation Dynamics in the Euro Area and the Role of Expectations: Further Results Bank of Finland Discussion Paper No. 21/2004
Maritta Paloviita
Date Posted: December 14, 200466 downloads
Local Sensitivity and Diagnostic Tests CentER Discussion Paper No. 2004-105
J.R. Magnus and
Andrey L. Vasnev
Date Posted: December 07, 200437 downloads
The Impact of Economic and Financial Factors on UK Property Performance Journal of Property Research, Vol. 16, No. 2, pp. 139-152, 1999
Chris Brooks
and
Sotiris Tsolacos
Date Posted: December 05, 2004
Forecasting Real Estate Returns using Financial Spreads Journal of Property Research, Vol. 18, No. 3, pp. 235-248, 2001
Chris Brooks
and
Sotiris Tsolacos
Date Posted: December 05, 2004
International Evidence on the Predictability of Returns to Securitised Real Estate Assets: Econometric Models versus Neural Networks Journal of Property Research, Vol. 20, No. 2, pp. 133-156, 2003
Chris Brooks
and
Sotiris Tsolacos
Date Posted: December 05, 2004
No One True Path: Uncovering the Interplay between Geography, Institutions, and Fractionalization in Economic Development Journal of Applied Econometrics, Vol. 25, No. 7, 2010.
Chih Ming Tan
Date Posted: December 03, 2004Last Revised: April 24, 2011277 downloads
Integration of the Euro Equity Markets: An Empirical Analysis
Manuela Croci
Date Posted: November 22, 2004167 downloads
What Makes Reforms Likely: Political Economy Determinants of Reforms in Latin America Journal of Applied Economics, Vol. 7, No. 1, pp. 99-135, May 2004
Eduardo A. Lora and
Mauricio Olivera
Date Posted: November 15, 2004
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts FRB of Kansas City Working Paper No. RWP 04-10, FRB of St. Louis Working Paper No. 2008-028A
Todd E. Clark and
Michael W. McCracken
Date Posted: November 08, 2004226 downloads
Calibration of Multifactor Models in Electricity Markets International Journal of Theoretical and Applied Finance, Vol. 7, No. 2, pp. 101-120, March 2004
Martin T. Barlow
,
Yuri Gusev
and
Manpo Lai
Date Posted: November 02, 2004848 downloads
Forecasting the Comovements of Spot Interest Rates Journal of International Money and Finance, Forthcoming
Miguel A. Ferreira
Date Posted: October 27, 2004
Evaluating Interest Rate Covariance Models within a Value-at-Risk Framework Journal of Financial Econometrics, Forthcoming
Miguel A. Ferreira and
Jose A. Lopez
Date Posted: October 27, 2004
On the Economic Impact of Modeling Non-Linearities: The Asset Pricing Example
Prasad V. Bidarkota
Date Posted: October 26, 200448 downloads
A full-factor Multivariate GARCH model Econometrics Journal, Vol. 6, pp. 312-334, 2003
Ioannis D. Vrontos
,
Petros Dellaportas
and
Dimitris N. Politis
Date Posted: October 21, 2004
System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets
Cornelis A. Los
Date Posted: October 19, 2004101 downloads
Proxying for Expected Returns with Price Earnings Ratios
Charlotte Strunk Hansen and
Bjorn Tuypens
Date Posted: October 19, 2004490 downloads
An Empirical Assessment of the Double Exponential Jump-Diffusion Process
Cyrus A. Ramezani
and
Yong Zeng
Date Posted: October 18, 2004370 downloads
Predictive Accuracy of Futures Options Implied Volatility: The Case of the Exchange Rate Futures Mexican Peso-U.S. Dollar
Guillermo Benavides
Date Posted: October 10, 2004Last Revised: July 17, 2008309 downloads
A Multivariate Nonparametric Test for Return and Volatility Timing
Wessel Marquering and
Marno Verbeek
Date Posted: October 04, 2004187 downloads
Vertical and Horizontal Economies in the Electric Utility Industry: An Integrated Approach
Massimiliano Piacenza
and
Davide Vannoni
Date Posted: September 28, 2004210 downloads
Calibration of Structural Credit Risk Models: Implied Sensitivities and Liquidity Discounts
Date Posted: September 27, 2004352 downloads
Modeling Stock Market Volatility in India: A Comparison of Univariate Deterministic Models ICFAI Journal of Applied Finance, pp. 19-33, October 2003
Saikat Sovan Deb
,
Srivyal Vuyyuri
and
Bijan Roy
Date Posted: September 23, 200465 downloads
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