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JEL Code: C22
534,477 Total downloads
Showing Papers 1,601 - 1,650 of 3,423
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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
Real-Time Measurement of Business Conditions FRB of Philadelphia Working Paper No. 08-19
S. Boragan Aruoba and
Francis X. Diebold
Date Posted: September 24, 200832 downloads
Valid Inference for a Class of Models Where Standard Inference Performs Poorly; Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components
Jun Ma
and
Charles R. Nelson
Date Posted: September 23, 200849 downloads
A Note About Classical Test Statistics in Incomplete-Data Models
Yong Li
Date Posted: September 22, 2008
Derivative Listing Strategy: The Case of the Athens Exchange
George Karathanassis
,
Kanellos Toudas
and
Vasilios I. Sogiakas
Date Posted: September 22, 2008
An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
Date Posted: September 21, 2008Last Revised: December 06, 20091137 downloads
Heteroscedasticity and Autocorrelation Efficient (HAE) Estimation and Pivots for Jointly Evolving Series Fordham University Department of Economics Discussion Paper No. 2008-15
Hrishikesh D. Vinod
Date Posted: September 19, 200873 downloads
Modeling Financial Return Dynamics via Decomposition Journal of Business and Economic Statistics, Forthcoming
Stanislav Anatolyev and
Nikolay Gospodinov
Date Posted: September 19, 2008Last Revised: August 12, 200972 downloads
International House Prices and Macroeconomic Fluctuations Journal of Banking and Finance, Vol. 34, 2009
Andrea Beltratti and
Claudio Morana
Date Posted: September 18, 2008Last Revised: May 11, 2010
Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data
Dacheng Xiu
Date Posted: September 18, 2008Last Revised: June 28, 2010826 downloads
Sequential Testing with Uniformly Distributed Size
Stanislav Anatolyev and
Grigory Kosenok
Date Posted: September 18, 200818 downloads
Equity Risk Premium and Volatility: A Correlation Structure
Yonggan Zhao
Date Posted: September 17, 2008Last Revised: March 18, 2009315 downloads
Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When? Economic Research Initiatives at Duke (ERID) Working Paper No. 12
Barbara Rossi and
Tatevik Sekhposyan
Date Posted: September 11, 200884 downloads
Likelihood-Based Confidence Sets for the Timing of Structural Breaks
Yunjong Eo
and
James Morley
Date Posted: September 11, 2008Last Revised: May 17, 201392 downloads
Optimal Inference in Dynamic Models with Conditional Moment Restrictions CREATES Research Paper No. 2008-51
Bent Jesper Christensen and
Michael Sorensen
Date Posted: September 11, 200835 downloads
Transmission of World Commodity Prices to Domestic Commodity Prices in India and China Brooks World Poverty Institute Working Paper No. 45
Katsushi S. Imai
,
Raghav Gaiha
and
Ganesh Bahadur Thapa
affiliation not provided to SSRN
Date Posted: September 10, 2008145 downloads
A Synthesis of Technical Analysis and Fractal Geometry - Evidence from the Dow Jones Industrial Average Components
Camillo Lento
Date Posted: September 06, 2008Last Revised: November 23, 2009925 downloads
Market Efficiency: An Empirical Survey in Peru and Other Selected Countries Apuntes, Vol. 51, pp. 49-85, Second Semester, 2006
Samuel A. Mongrut
affiliation not provided to SSRN
Date Posted: September 06, 200893 downloads
Glossary to ARCH (GARCH) CREATES Research Paper 2008-49
Tim Bollerslev
Date Posted: September 04, 20081516 downloads
Optimal Long Term Investment in a Jump Diffusion Setting: A Large Deviation Approach
Ba M. Chu
Date Posted: September 04, 200874 downloads
When Do the Discount Sums of Moving Averages Converge to the Normality?
Ba M. Chu
and
Soosung Hwang
Date Posted: September 04, 200843 downloads
A Note on How to Impose Stationarity and Invertibility Conditions in ARMA Model Estimation: A Review
Date Posted: September 03, 2008Last Revised: April 27, 2009188 downloads
Non-Linear Error Correction Models between the Stock Markets in Latin America and the United States Revista de Analisis Economico, Vol. 21, No. 1, 2006
Arturo Lorenzo Valdés
affiliation not provided to SSRN
Date Posted: September 02, 200875 downloads
Semiparametric Inference in a GARCH-in-Mean Model CREATES Research Paper No. 2008-46
Bent Jesper Christensen ,
Christian M. Dahl and
Emma M. Iglesias
Date Posted: September 02, 200873 downloads
The Cyclical Component Factor Model CREATES Research Paper No. 2008-44
Christian M. Dahl ,
Henrik Hansen
and
John Smidt
affiliation not provided to SSRN
Date Posted: September 02, 200838 downloads
Measuring and Explaining the Volatility of Capital Flows towards Emerging Countries Banco de Espana Working Paper No. 0817
Carmen Broto
,
Javier Díaz-Cassou
and
Aitor Erce
Date Posted: September 01, 2008113 downloads
Forecasts and Structures of Multiperiod Exchange Rate Volatility of the Colombian Peso Cuadernos de Economía, Vol. 27, No. 48, 2008,
Karoll Gómez
,
Santiago Gallón
and
Elkin Castaño
Date Posted: August 31, 200851 downloads
Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts
Guillermo Benavides and
Carlos Capistrán
Date Posted: August 29, 2008Last Revised: January 20, 2009129 downloads
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
David Rapach
,
Jack Strauss and
Guofu Zhou
Date Posted: August 27, 2008Last Revised: April 10, 2009869 downloads
The Information Content of Implied Volatility: Evidence from Australia 21st Australasian Finance and Banking Conference 2008 Paper
Bart Frijns
,
Christian Tallau
and
Alireza Tourani Rad
Date Posted: August 27, 2008220 downloads
The Information Content of KOF Indicators on Swiss Current Account Data Revisions CESifo Working Paper Series No. 2370
Jan P. A. M. Jacobs and
Jan-Egbert Sturm
Date Posted: August 27, 200810 downloads
Measuring Event Risk Journal of Financial Econometrics, Forthcoming
Peter M. Nyberg and
Anders Wilhelmsson
Date Posted: August 26, 2008Last Revised: February 20, 2009
Oil Price and Industry Stock Returns: Evidence from Indonesia 21st Australasian Finance and Banking Conference 2008 Paper
Agusman Agusman
and
Elis Deriantino
Date Posted: August 25, 2008Last Revised: August 27, 2008444 downloads
Decomposing Violence: Crime Cycles in the Twentieth Century in the United States Applied Econometrics and International Development, Vol. 7, No. 1, 2007
Gustavo A. Gomez-Sorzano
affiliation not provided to SSRN
Date Posted: August 24, 200824 downloads
Domestic Debt, Inflation and Economic Crises: A Panel Cointegration Application to Emerging and Developed Economies Applied Econometrics and International Development, Vol. 7, No. 1, 2007
Melike Bildirici
and
Ozgur Omer Ersin
Date Posted: August 24, 2008111 downloads
Explaining and Forecasting Investment Expenditure in Canada: Combined Structural and Time Series Approaches, 1961-2000 Applied Econometrics and International Development, Vol. 7, No. 1, 2007
Asadul Islam
Date Posted: August 24, 200819 downloads
Inflation and Economic Growth in Kuwait: 1985-2005 - Evidence from Co-Integration and Error Correction Model Applied Econometrics and International Development, Vol. 7, No. 1, 2007
Afaf A. Saaed
affiliation not provided to SSRN
Date Posted: August 24, 2008130 downloads
Socio-Economic Determinants of Development in World Economy: 1820-2005 Applied Econometrics and International Development, Vol. 7, No. 2, 2007
Melike Bildirici
and
Seçkin Sunal
Date Posted: August 24, 200845 downloads
The Response of Employment to GDP Growth in Turkey: An Econometric Estimation Applied Econometrics and International Development, Vol. 7, No. 1, 2007
K. Ali Akkemik
affiliation not provided to SSRN
Date Posted: August 24, 200874 downloads
Australia and New Zealand CER Agreement and Breakpoints in Bilateral Trade: An Application of the Wald-Type Test Applied Econometrics and International Development, Vol. 6, No. 2, 2006
Kankesu Jayanthakumaran
and
Mosayeb Pahlavani
Date Posted: August 23, 200814 downloads
Assessing Persistence in the Italian Rate of Unemployment in Presence of Structural Breaks and Regional Asymmetries, 1977 to 2004 Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Michele Battisti
Date Posted: August 22, 20089 downloads
Economic Determinants of Development in World Economy: 1920-2005 - An Analysis of 165 Countries Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Melike Bildirici
and
Seçkin Sunal
Date Posted: August 22, 200864 downloads
The Inflation-Capacity Utilization Conundrum: Evidence from the Canadian Economy Applied Econometrics and International Development, Vol. 6, No. 2, 2006
Lefteris Tsoulfidis and
Theologos Dergiades
Date Posted: August 22, 200815 downloads
Time Series Evidence on Education and Growth: The Case of Guatemala, 1951-2002 Revista de Analisis Economico, Vol. 19, No. 2, 2004
Josef Ludger Loening
Date Posted: August 22, 200866 downloads
Us Coffee C Futures: Some Results from Test of Cointegration and GARCH Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Milind Sathye
Date Posted: August 22, 200837 downloads
Using Macro-Financial Variables to Forecast Recessions: An Analysis of Canada, 1957-2002 Applied Econometrics and International Development, Vol. 6, No. 3, 2006
Khurshid M. Kiani
and
Terry L. Kastens
affiliation not provided to SSRN
and
Kansas State University - Department of Agricultural Economics
Date Posted: August 22, 200830 downloads
A Test Against Spurious Long Memory
Zhongjun Qu
Date Posted: August 21, 2008Last Revised: June 22, 200959 downloads
Are Credit Default Swap Spreads Market Driven? 21st Australasian Finance and Banking Conference 2008 Paper, Forthcoming as follows:
“MODEL RISK: CARING ABOUT STYLIZED FEATURES OF ASSET RETURNS! How does equity market influence credit default swap market?”, 2009, In Gregoriou Greg N., Hoppe Christian, Wehn Carsten (Eds), Model Risk Book, McGraw Hill. ,
Hayette Gatfaoui
Date Posted: August 21, 2008Last Revised: July 22, 2009132 downloads
Does Fisher Effect Apply in Developing Countries: Evidence from a Nonlinear Cotrending Test Applied to Argentina, Brazil, Malysia, Mexico, South Korea and Turkey Applied Econometrics and International Development, Vol. 6, No. 2, 2006
Aktham Issa Maghyereh
and
Haitham A. Al-Zoubi
Date Posted: August 21, 200890 downloads
Foodgrain Price Policies in India: The Effects on Foodgrain Production and Rural Poverty 1951-2001 Applied Econometrics and International Development, Vol. 5, No. 3, 2005
Edgar J. Wilson
Date Posted: August 21, 200821 downloads
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