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JEL Code: C52
286,413 Total downloads
Showing Papers 1,451 - 1,500 of 1,697
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Sophisticated Learning and Learning Sophistication
Dale O. Stahl
Date Posted: June 27, 200390 downloads
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US FEEM Working Paper No. 43.2003
Giorgio Busetti
and
Matteo Manera
Date Posted: June 26, 2003292 downloads
Modelling Structural Change: The Case of New Zealand Reserve Bank of New Zealand Discussion Paper No. DP2003/03
Olivier Basdevant
and
David Hargreaves
Date Posted: June 26, 200367 downloads
Regime-Shifts, Risk Premiums in the Term Structure, and the Business Cycle Duke University, Economics Working Paper
Ravi Bansal ,
George Tauchen and
Hao Zhou
Date Posted: June 26, 2003399 downloads
Other-regarding Preferences: Egalitarian Warm Glow, Empathy, and Group Size
Dale O. Stahl and
Ernan Haruvy
Date Posted: June 25, 2003103 downloads
Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market EFMA 2003 Helsinki Meetings
Evelyn Hayden
Date Posted: June 25, 2003845 downloads
Action-Reinforcement Learning Versus Rule Learning
Dale O. Stahl
Date Posted: June 24, 2003102 downloads
A Family of Reduced-Form Models for Electricity Prices EFMA 2003 Helsinki Meetings
Hélyette Geman and
Andrea Roncoroni
Date Posted: June 14, 2003
Non-Nested Models and the Likelihood Ratio Statistic: A Comparison of Simulation and Bootstrap Based Tests U of London Queen Mary Economics Working Paper No. 490
George Kapetanios and
Melvyn Weeks
Date Posted: June 09, 2003411 downloads
Employer Learning and Schooling-Related Statistical Discrimination in Britain IZA Discussion Paper No. 778
Fernando Galindo-Rueda
Date Posted: June 06, 200358 downloads
The Information Content of Real-time Output Gap Estimates: An Application to the Euro Area ECB Working Paper No. 182
Gerhard Rünstler
Date Posted: May 28, 200399 downloads
Seasonal Mackey-Glass-Garch Process and Short-Term Dynamics
Catherine Kyrtsou
and
Michel Terraza
Date Posted: May 26, 2003Last Revised: November 30, 2008105 downloads
Asymptotic Tests of Composite Hypotheses Brown University Economics Working Paper No. 03-09
Peter Reinhard Hansen
Date Posted: May 22, 2003315 downloads
Choosing the Best Volatility Models: The Model Confidence Set Approach Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Peter Reinhard Hansen ,
Asger Lunde and
James M. Nason
Date Posted: May 22, 2003572 downloads
Aggregation and Euro Area Phillips Curves ECB Working Paper No. 213
Silvia Fabiani and
Julian Benedict Morgan
Date Posted: May 19, 200391 downloads
Do Realistic Distribution Assumptions Improve Risk Estimates? A Long-Term Out-of-Sample Perspective on Risk Management EFMA 2003 Helsinki Meetings
Robert Neumann and
Aron Akesson
Date Posted: May 19, 2003191 downloads
Stochastic Chaos or ARCH Effects in Stock Series? A Comparative Study International Review of Financial Analysis, Vol. 11, pp. 407-431, 2002
Catherine Kyrtsou
and
Michel Terraza
Date Posted: May 06, 2003
Consistent Ranking of Volatility Models Brown University, Economics Working Paper No. 2003-01
Peter Reinhard Hansen and
Asger Lunde
Date Posted: May 04, 2003564 downloads
Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach EFMA 2003, Helsinki, Finland
Lorenzo Cappiello ,
Olli Castren
and
Jarkko P. Jääskelä
Date Posted: May 02, 2003875 downloads
Incorporating Labour Market Frictions into an Optimising-Based Monetary Policy Model
Jean-Guillaume Sahuc and
Stephane Moyen
Date Posted: April 29, 2003115 downloads
Hedging with Energy: Simple Error Bounds for Mis-Specified Diffusions Studi Statistici Istituto Metodi Quantitativi Universita' Bocconi-Milano No. 68
Francesco Corielli
Date Posted: April 29, 2003213 downloads
On the Selection of Forecasting Models CEPR Discussion Paper No. 3809
Atsushi Inoue and
Lutz Kilian
Date Posted: April 29, 200317 downloads
Long-Term Dependence Characteristics of European Stock Indices Kent State University Department of Finance Working Paper
Cornelis A. Los and
Joanna M. Lipka
Date Posted: April 24, 2003305 downloads
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models CEMFI Working Paper No. 0306
Gabriele Fiorentini ,
Enrique Sentana and
Giorgio Calzolari
Date Posted: April 19, 2003286 downloads
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions EFA 2003 Annual Conference Paper No. 859; Aarhus School of Business Finance Working Paper No. 02-24
Mikkel Svenstrup
Date Posted: April 16, 2003340 downloads
Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ECB Working Paper No. 196
Silvia Goncalves and
Lutz Kilian
Date Posted: April 09, 2003119 downloads
On the Robustness of Short-Term Interest Rate Models Accounting and Finance, Vol. 43, pp. 87-121, 2003
Sirimon Treepongkaruna and
Stephen Gray
Date Posted: March 19, 200326 downloads
On the Selection of Forecasting Models ECB Working Paper No. 214
Atsushi Inoue and
Lutz Kilian
Date Posted: March 15, 2003206 downloads
A Measure of Monetary Conditions Reserve Bank of New Zealand Discussion Paper No. G97/1
Richard Dennis
Date Posted: March 09, 200394 downloads
Understanding UK Inflation: The Role of Openness Bank of England Working Paper No. 164
Ravi Balakrishnan and
J. David Lopez-Salido
Date Posted: March 09, 2003167 downloads
End-of-Sample Cointegration Breakdown Tests Cowles Foundation Discussion Paper No. 1404
Donald W. K. Andrews and
Jae-Young Kim
Date Posted: March 08, 2003165 downloads
Generalized Hyperbolic Distributions and Brazilian Data Banco Central do Brasil Working Paper No. 52
José Fajardo and
Aquiles Farias
Date Posted: March 02, 2003163 downloads
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? ECB Working Paper No. 195
Atsushi Inoue and
Lutz Kilian
Date Posted: February 27, 2003633 downloads
A Flexible Dynamic Correlation Model
Dirk G. Baur
Date Posted: February 25, 2003391 downloads
Cross-Country Evidence on the Ability of the Nominal Interest Rate to Predict Inflation Japanese Economic Review, Vol. 53, pp. 478-495, 2002
Imad A. Moosa and
Jolanta Kwiecien
Date Posted: February 10, 200323 downloads
Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities ECB Working Paper No. 58
Gabriel Perez-Quiros and
Allan G. Timmermann
Date Posted: February 10, 2003228 downloads
The Monetary Transmission Mechanism in the Euro Area Level: Issues and Results Using Structural Macroeconomic Models (MTN conference paper) ECB Working Paper No. 93
Peter McAdam and
Julian Benedict Morgan
Date Posted: February 07, 2003121 downloads
VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models CEPR Discussion Paper No. 3701
Domenico Giannone ,
Lucrezia Reichlin and
Luca Sala
Date Posted: February 05, 200319 downloads
Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models Nuffield Economics Working Paper
Clive G. Bowsher
Date Posted: January 28, 2003198 downloads
Modelling Daily Value-At-Risk Using Realized Volatility and Arch Type Models Universiteit Maastricht Meteor Working Paper No. RM/01/026
Pierre Giot and
Sébastien Laurent
Date Posted: January 28, 2003403 downloads
Ex-ante Portfolio Design with Ex-post Public Information: An Empirical Examination of the Information Content of Equity Open Interests UCC Department of Management Working Paper No. 2002-07
Rafiqul Bhuyan
Date Posted: January 22, 2003129 downloads
Inflation Dynamics in the Euro Area and the Role of Expectations Bank of Finland Working Paper No. 20/2002
Maritta Paloviita
Date Posted: January 15, 200391 downloads
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? CEPR Discussion Paper No. 3671
Atsushi Inoue and
Lutz Kilian
Date Posted: January 15, 200317 downloads
Is Arch Useful in High Frequency Foreign Exchange Applications?
Brad Jones
Date Posted: January 10, 2003353 downloads
Testing for a New Economy in the 1990s Yale ICF Working Paper No. 02-48, Cowles Foundation Discussion Paper No. 1388
Ray C. Fair
Date Posted: December 21, 2002416 downloads
Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics Journal of Empirical Finance, Forthcoming
Roman Liesenfeld and
Jean-Francois Richard
Date Posted: December 12, 2002
The Real-Time Predictability of the Size and Value Premium in Japan
Rob Bauer ,
Jeroen Derwall
and
R. Molenaar
Date Posted: December 09, 2002502 downloads
Forecast-Based Model Selection in the Presence of Structural Breaks FRB of Kansas City Working Paper No. 02-05
Todd E. Clark and
Michael W. McCracken
Date Posted: November 23, 2002104 downloads
Learning-by-Doing as a Propagation Mechanism CEPR Discussion Paper No. 3599
Yongsung Chang ,
Joao F. Gomes and
Frank Schorfheide
Date Posted: November 22, 200224 downloads
Non-Stationary and No Moments Asymptotics of the ARCH Model U of Copenhagen, Statistics and Operations Research Working Paper No. 12
Anders Rahbek
and
Soren Tolver Jensen
Date Posted: November 15, 2002
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