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SSRN eLibrary Search Results
JEL Code: C13
451,206 Total downloads
Showing Papers 1,451 - 1,500 of 2,505
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Incl. Electronic Paper Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Pratik Ramprasad
Department of Statistics, Rutgers University
Date Posted: June 30, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper A Tale of Two Averagings: Estimating the Integrated Volatility Using 'Pooled' High-Frequency Data
Zhi Liu , Xinbing Kong and Bingyi Jing
University of Macau , Soochow University and Hong Kong University of Science & Technology (HKUST)
Date Posted: June 29, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Performance of Alternative Price Forecast for Pakistan
Forman Journal of Economic Studies Vol. 8, 2012 (January–December) pp. 31-61,
Yasser Javed and Eatzaz Ahmad
Federal Urdu University of Arts, Science and Technology Islamabad, Students and Quaid-e-Azam University
Date Posted: June 29, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper An Admissible Macro-Finance Model of the US Treasury Market.
Multinational Finance Journal, Vol. 13, No. 1/2, p. 1-38, 2009
Peter Spencer
University of York
Date Posted: June 26, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application
Multinational Finance Journal, Vol. 13, No. 3/4, p. 293-321, 2009
James McDonald , Richard A. Michelfelder and Panayiotis Theodossiou
Brigham Young University - Department of Economics , Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Date Posted: June 26, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Minimum Distance Testing and Top Income Shares in Korea
Cowles Foundation Discussion Paper No. 2007
Jin Seo Cho , Myung-Ho Park and Peter C. B. Phillips
Yonsei University - Department of Economics , Korea Institute of Public Finance and Yale University - Cowles Foundation
Date Posted: June 26, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX
Xin Zang , Jun Ni , Jingzhi Huang and lan wu
Peking University , Pennsylvania State University - Department of Mathematics , Pennsylvania State University - Department of Finance and Peking University
Date Posted: June 24, 2015
Last Revised: July 07, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles
ECB Working Paper No. 1814
Halbert L. White, Jr. , Tae-Hwan Kim and Simone Manganelli
University of California, San Diego (UCSD) - Department of Economics , University of Nottingham - School of Economics and European Central Bank (ECB)
Date Posted: June 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Shrinkage Estimation of Categorical Semiparametric Varying – Coefficient Models
Bin Peng , Zhao Ren and Xiaohui Zhang
University of Technology, Sydney , University of Pittsburgh - Department of Statistics and Murdoch University
Date Posted: June 21, 2015
Last Revised: July 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Pretest Estimation in the Random Parameters Logit Model
Advances in Econometrics, Volume 26, 107-136, 2010
Tong Zeng and R. Carter Hill
Georgia Southern University - Department of Finance and Economics and Louisiana State University, Baton Rouge - Department of Economics
Date Posted: June 19, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper The Wage Premium of Naturalized Citizenship
Esfandiar Maasoumi and Yifeng Zhu
Emory University and Department of Economics, Emory University
Date Posted: June 12, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Filtering and Likelihood Estimation of Latent Factor Jump-Diffusions with an Application to Stochastic Volatility Models
Francesco Paolo Esposito and Mark Cummins
Dublin City University Business School and Dublin City University Business School
Date Posted: June 11, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Jump and Volatility Dynamics for the S&P500: Evidence for Infinite-Activity Jumps with Non-Affine Volatility Dynamics from Stock and Option Markets
Hanxue Yang and Juho Kanniainen
Tampere University of Technology and Tampere University of Technology
Date Posted: June 09, 2015
Last Revised: June 12, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Identifying Multiple Marginal Effects with a Single Binary Instrument or by Regression Discontinuity
Carolina Caetano and Juan Carlos Escanciano
University of Rochester and Indiana University Bloomington - Department of Economics
Date Posted: June 09, 2015
Last Revised: July 02, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Canonical Correlation and Assortative Matching: A Remark
Luxembourg Institute of Socio-Economic Research (LISER) Working Paper Series 2014-10
Arnaud Dupuy and Alfred Galichon
LISER and Sciences Po - Department of Economics
Date Posted: June 08, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
Imma Valentina Curato
University of Ulm
Date Posted: June 07, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Spurious Weather Effects
CESifo Working Paper Series No. 5365
Jo Lind
University of Oslo - Department of Economics
Date Posted: June 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Estimation of Consumers' Risk-Attitudes and Willingness to Pay for Bio-Fortified Orange Maize in Rural Zambia using Becker-deGroot-Marschak Mechanism
Neha Gupta
University of Delhi - Department of Economics
Date Posted: June 01, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation
Tinbergen Institute Discussion Paper 15-069/III
Laurent Callot and Johannes Tang Kristensen
VU University Amsterdam and CREATES
Date Posted: June 01, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Timing Law School (Presentation Slides)
Michael Simkovic and Frank McIntyre
Seton Hall Law School and Rutgers Business School Newark and New Brunswick
Date Posted: June 01, 2015
Last Revised: June 02, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds
Dirk Tasche
Bank of England - Prudential Regulation Authority
Date Posted: May 29, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Endogenous Markov Switching Regression Models for High-Frequency Data Under Microstructure Noise
Markus Leippold and Felix Matthys
University of Zurich - Department of Banking and Finance and Princeton University
Date Posted: May 29, 2015
Last Revised: May 31, 2015
Working Paper Series
38 downloads

Incl. Electronic Paper Efficient Estimation of Nonparametric Regression in the Presence of Dynamic Heteroskedasticity
Oliver B. Linton and Zhijie Xiao
University of Cambridge and Boston College - Department of Finance and Department of Economics
Date Posted: May 26, 2015
Working Paper Series
12 downloads

Patent Portfolio Valuation as Reflected by Market Transactions: Market Dynamics and the Impact of AIA and Alice
Licensing Economics Review, February 2015
Jiaqing "Jack" Lu
Intellectual Property Market Advisory Partners(IPMAP), LLC
Date Posted: May 23, 2015
Accepted Paper Series

Incl. Electronic Paper A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach
Alexander F. Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading
Date Posted: May 23, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Estimation of Cost Efficiency Without Cost Data
Levent Kutlu and Ran Wang
Georgia Institute of Technology - School of Economics and Georgia Institute of Technology
Date Posted: May 22, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper On the Ambiguous Consequences of Omitting Variables
Tinbergen Institute Discussion Paper 15-061/III
Giuseppe De Luca , J.R. Magnus and Franco Peracchi
University of Palermo , VU University Amsterdam - Faculty of Economics and Business Administration and University of Rome II - Centre for International Studies on Economic Growth (CEIS)
Date Posted: May 22, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Sufficient Forecasting Using Factor Models
Jianqing Fan , Lingzhou Xue and Jiawei Yao
Princeton University - Bendheim Center for Finance , Pennsylvania State University - Department of Statistics and Princeton University
Date Posted: May 20, 2015
Working Paper Series
74 downloads

Incl. Electronic Paper Combined Estimation-Optimization (CEO) Approach for High Dimensional Portfolio Selection
Chi Seng Pun and Hoi Ying Wong
The Chinese University of Hong Kong (CUHK) - Department of Statistics and The Chinese University of Hong Kong (CUHK) - Department of Statistics
Date Posted: May 18, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Handling Endogeneity in Stochastic Frontier Analysis: A Solution to Endogenous Education Cost Frontier Models
Mustafa Ugur Karakaplan and Levent Kutlu
Utah State University and Georgia Institute of Technology - School of Economics
Date Posted: May 18, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Modelling Annuity Portfolios and Longevity Risk with Extended CreditRiskPlus
Jonas Hirz , Uwe Schmock and Pavel V. Shevchenko
TU Wien , TU Wien and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: May 15, 2015
Last Revised: May 29, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data
Lyudmila Grigoryeva , Juan-Pablo Ortega and Anatoly Peresetsky
Université de Franche-Comté , Centre National de la Recherche Scientifique (CNRS) and National Research University Higher School of Economics
Date Posted: May 14, 2015
Last Revised: May 26, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Large Scale Covariance Estimates for Portfolio Selection
Francesco Lautizi
University of Rome II - Department of Economics and Finance
Date Posted: May 13, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Keynes’ Cargo-Cult Theory of Consumption
Hak Choi
Chienkuo Technology University - Department of International Business
Date Posted: May 11, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper An Empirical Study of the Dynamics of Implied Volatility Indices: International Evidence
Bujar Huskaj and Karl Larsson
Lund University and Lund University - Department of Economics
Date Posted: May 09, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper A Robust and Efficient Estimator of Sharpe Ratios Based on Price Records
Damien Challet
CentraleSupélec
Date Posted: May 08, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Information Processing of Foreign Exchange News: Extending the Overshooting Model to Include Qualitative Information from News Sentiment
Stefan Feuerriegel , Georg Wolff and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: May 08, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Gold, Oil, and Stocks: Dynamic Correlations
CESifo Working Paper Series No. 5333
Jozef Barunik , Evzen Kocenda and Lukas Vacha
Charles University in Prague - Institute of Economic Studies , Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Date Posted: May 07, 2015
Working Paper Series
64 downloads

Incl. Electronic Paper The Application of Affine Processes in Multi-Cohort Mortality Model
UNSW Business School Research Paper No. 2015ACTL13
Yajing Xu , Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies , University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: May 07, 2015
Working Paper Series
7 downloads

Incl. Fee Electronic Paper The Missing Transfers: Estimating Mis-Reporting in Dyadic Data
CEPR Discussion Paper No. DP10575
Margherita Comola and Marcel Fafchamps
Paris School of Economics (PSE) and Stanford University - Freeman Spogli Institute for International Studies
Date Posted: May 05, 2015
Working Paper Series

Incl. Electronic Paper Time Series Analysis for Big Data: Evaluating Bayesian Structural Time Series Using Electricity Prices
Nicole Ludwig , Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: May 05, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Robust Data-Driven Efficiency Guarantees in Auctions
Darrell Hoy , Denis Nekipelov and Vasilis Syrgkanis
Independent , University of Virginia and Microsoft Corporation - Microsoft Research, New York City
Date Posted: May 05, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Bayesian Nonparametric Calibration and Combination of Predictive Distributions
Norges Bank Working Paper 3 | 2015
Federico Bassetti , Roberto Casarin and Francesco Ravazzolo
University of Pavia , University Ca' Foscari of Venice - Department of Economics and Norges Bank
Date Posted: May 04, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Combined Density Nowcasting in an Uncertain Economic Environment
Norges Bank Working Paper 17 | 2014
Knut Are Aastveit , Francesco Ravazzolo and H. K. van Dijk
Norges Bank , Norges Bank and Tinbergen Institute
Date Posted: May 04, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Más Allá Del Acceso: Segregación Social E Inequidad En El Sistema Educativo Argentino (Beyond Access: Social Segregation and Inequality in the Argentine Education System)
Cuadernos de Economía, Vol. 33, No. 63, pp. 513-542, 2014 ,
Natalia Kruger
National University of the South - Department of Economics
Date Posted: April 29, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Heterogeneous Effects of Fiscal Equalization Grants on Local Expenditures: Evidence from Two Formula-Based Variations
Michihito Ando
National Institute of Population and Social Security Research
Date Posted: April 27, 2015
Working Paper Series
5 downloads

Managing Risk with a Realized Copula Parameter
Computational Statistics & Data Analysis, 2014 (Forthcoming)
Matthias R. Fengler and Ostap Okhrin
University of St. Gallen - School of Economics and Political Science and Humboldt University of Berlin - School of Business and Economics
Date Posted: April 27, 2015
Accepted Paper Series

Incl. Electronic Paper Multivariate Lévy Models by Linear Combination: Estimation
Angela Loregian , Laura Ballotta and Gianluca Fusai
SYMMYS , City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Date Posted: April 21, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: April 17, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper Facts About Factors
MIT Sloan Research Paper No. 5128-15
Paula Cocoma , Megan Czasonis , Mark Kritzman and David Turkington
State Street Corporation , State Street Corporation , Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: April 17, 2015
Working Paper Series
909 downloads


 

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