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JEL Code: C52
286,377 Total downloads
Showing Papers 161 - 210 of 1,697
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Macroeconomic Reform and Technical Efficiency in Australian Manufacturing - A Stochastic Production Frontier Analysis
Economia Internazionale/International Economics 2012, Forthcoming
Neil Dias Karunaratne
University of Queensland - School of Economics
Date Posted: June 30, 2012
Accepted Paper Series
15 downloads
How to Misinterpret Density Forecasts - Featuring the Log Score
Peter Schanbacher
University of Konstanz - Faculty of Economics and Statistics
Date Posted: June 28, 2012
Working Paper Series
Generating Alpha Through Hedge Fund Investing: Effective Investment Template for Hedge Fund Investment
Bijon Pani
affiliation not provided to SSRN
Date Posted: June 22, 2012
Working Paper Series
151 downloads
Consistent Estimation of Pseudo Panels in the Presence of Selection Bias
Economics Discussion Paper No. 2012-26
Jhon James Mora and
Juan Muro
Universidad Icesi - Economics & Management
and
Universidad de Alcalá
Date Posted: June 20, 2012
Working Paper Series
9 downloads
Cross-Country Growth Empirics and Model Uncertainty: An Overview
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 6, 2012-16
Buelent Ulasan
affiliation not provided to SSRN
Date Posted: June 20, 2012
Accepted Paper Series
21 downloads
Model Selection Using Database Characteristics: Classification Methods and an Application to the 'HMM and Its Children'
Eric M. Schwartz
,
Eric Bradlow
and
Peter Fader
University of Pennsylvania - Marketing Department
,
University of Pennsylvania - Marketing Department
and
University of Pennsylvania - Marketing Department
Date Posted: June 18, 2012
Working Paper Series
712 downloads
Testing for Partial Exogeneity with Weak Identification
Firmin Doko Tchatoka
University of Tasmania - School of Economics and Finance
Date Posted: June 17, 2012
Working Paper Series
1 downloads
A Predictive Theory for the Calibration of Physical Functioning Patient Survey Items
William P. Fisher Jr.
University of California, Berkeley
Date Posted: June 16, 2012
Working Paper Series
7 downloads
An Endogenously Clustered Factor Approach to International Business Cycles
Michael Owyang ,
Neville Francis and
Ozge Savascin
Federal Reserve Bank of St. Louis - Research Division
,
University of North Carolina (UNC) at Chapel Hill - Department of Economics
and
affiliation not provided to SSRN
Date Posted: June 16, 2012
Working Paper Series
10 downloads
Advances in Forecast Evaluation
Federal Reserve Bank of St. Louis Working Paper No. 2011-025B
Michael W. McCracken and
Todd E. Clark
Federal Reserve Banks - Federal Reserve Bank of Saint Louis
and
Federal Reserve Bank of Cleveland
Date Posted: June 13, 2012
Last Revised: October 24, 2012
Working Paper Series
20 downloads
Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Ludovic Dubrana
Ecole Nationale des Ponts et Chaussées (ENPC)
Date Posted: June 13, 2012
Last Revised: June 16, 2012
Working Paper Series
160 downloads
Forecasting National Recessions Using State Level Data
Federal Reserve Bank of St. Louis Working Paper No. 2012-013A
Michael Owyang ,
Jeremy Piger and
Howard J. Wall
Federal Reserve Bank of St. Louis - Research Division
,
University of Oregon - Department of Economics
and
Lindenwood University - Institute for Study of Economics and the Environment
Date Posted: June 13, 2012
Working Paper Series
14 downloads
The Fine-Structure of Volatility Feedback
Rémy Chicheportiche
and
Jean-Philippe Bouchaud
Capital Fund Management
and
Capital Fund Management
Date Posted: June 11, 2012
Working Paper Series
32 downloads
Detection of Arbitrage in a Market with Multi-Asset Derivatives and Known Risk-Neutral Marginals
Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Bertrand Tavin
Université Paris 1 - Panthéon Sorbonne
Date Posted: June 09, 2012
Last Revised: November 07, 2012
Working Paper Series
22 downloads
Jensen's Inequality and the Success of Linear Prediction Pools
Fabian Krueger
University of Konstanz
Date Posted: June 09, 2012
Last Revised: May 14, 2013
Working Paper Series
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
Quaderni DSE Working Paper No. 831
Alexandros Gabrielsen
,
Paolo Zagaglia ,
Axel Kirchner
and
Zhuoshi Liu
Sumitomo Mitsui Banking Corporation Europe
,
University of Bologna
,
University of Edinburgh
and
Bank of England - Monetary Analysis
Date Posted: June 08, 2012
Working Paper Series
142 downloads
Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction
Centre for Applied Macroeconomic Analysis Working Paper No. 26/2012
Yin Liao
Australian National University (ANU)
Date Posted: June 05, 2012
Working Paper Series
60 downloads
Policy Regimes, Policy Shifts, and U.S. Business Cycles
Saroj Bhattarai
,
Jae Won Lee
and
Woong Yong Park
Pennsylvania State University
,
Rutgers University, New Brunswick/Piscataway - Faculty of Arts and Sciences - New Brunswick/Piscataway - Department of Economics
and
University of Hong Kong - School of Economics and Finance
Date Posted: June 03, 2012
Last Revised: August 05, 2012
Working Paper Series
25 downloads
Examining What Best Explains Corporate Credit Risk: Accounting-Based versus Market-Based Models
Journal of Business Economics and Management, DOI:10.3846/16111699.2012.720598, Forthcoming
Antonio Trujillo‐Ponce ,
Reyes Samaniego-Medina
and
Clara Cardone-Riportella
Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain)
,
Universidad Pablo de Olavide
and
Department of Financial Economics & Accounting, Pablo de Olavide University (Seville, Spain)
Date Posted: June 02, 2012
Last Revised: January 29, 2013
Accepted Paper Series
Uncertainty and Heterogeneity in Factor Models Forecasting
Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Matteo Luciani
and
Libero Monteforte
Universite Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)
and
Bank of Italy
Date Posted: June 01, 2012
Last Revised: July 31, 2012
Accepted Paper Series
13 downloads
WALS Prediction
CentER Discussion Paper Series No. 2012-043
J.R. Magnus ,
Wendun Wang
and
Xinyu Zhang
Tilburg University, CentER
,
Tilburg University, CentER
and
Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences
Date Posted: June 01, 2012
Working Paper Series
15 downloads
The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction
Ana-Maria Fuertes and
Jose Olmo
Cass Business School, City University London
and
Centro Universitario de la Defensa de Zaragoza
Date Posted: May 29, 2012
Working Paper Series
94 downloads
The Role of Correlation Dynamics in Sector Allocation
Elena Kalotychou
,
Sotiris K. Staikouras and
Zhao Gang
City University London - Cass Business School
,
City University - Cass Business School
and
City University London - Sir John Cass Business School
Date Posted: May 25, 2012
Last Revised: November 06, 2012
Working Paper Series
301 downloads
Overnight News and Daily Equity Trading Risk Limits
Katja Ahoniemi
,
Ana-Maria Fuertes and
Jose Olmo
Imperial College Business School
,
Cass Business School, City University London
and
Centro Universitario de la Defensa de Zaragoza
Date Posted: May 23, 2012
Last Revised: July 19, 2012
Working Paper Series
75 downloads
Worldwide Equity Risk Prediction: False Discovery Rate Analysis of GARCH Models’ Value-at-risk Forecasts for a Wide Spectrum of Stocks from Multiple Continents and Industries
David Ardia and
Lennart F. Hoogerheide
Laval University - Département de Finance et Assurance
and
Vrije Universiteit Amsterdam - Dept. of Econometrics
Date Posted: May 23, 2012
Last Revised: August 15, 2012
Working Paper Series
56 downloads
Indian Corporate Bonds Market – An Analytical Prospective
Golaka C. Nath
Clearing Corporation of India
Date Posted: May 20, 2012
Last Revised: June 25, 2012
Working Paper Series
138 downloads
Indian Money Market Dynamics
Golaka C. Nath
Clearing Corporation of India
Date Posted: May 20, 2012
Last Revised: May 24, 2012
Working Paper Series
132 downloads
Efficiency and Competition in Korean Banking
Nottingham University Business School Research Paper No. 2012-07
Richard Simper
and
Max J.B. Hall
Nottingham University Business School
and
Loughborough University - Department of Economics
Date Posted: May 16, 2012
Working Paper Series
53 downloads
Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
CESifo Working Paper Series No. 3816
Gebhard Flaig
CESifo (Center for Economic Studies and Ifo Institute for Economic Research)
Date Posted: May 15, 2012
Working Paper Series
45 downloads
Parametric Modeling of Implied Smile Functions: A Generalized SVI Model
Review of Derivatives Research, Forthcoming
Bo Zhao
and
Stewart D. Hodges
City University London - Sir John Cass Business School
and
University of Warwick - Financial Options Research Centre (FORC)
Date Posted: May 12, 2012
Accepted Paper Series
137 downloads
Marginal Likelihood Estimation with the Cross-Entropy Method
CAMA Working Paper No. 18/2012
Joshua C. C. Chan
and
Eric Eisenstat
Australian National University (ANU)
and
affiliation not provided to SSRN
Date Posted: May 10, 2012
Working Paper Series
15 downloads
The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers
FEDS Working Paper No. 2012-20
Dario Caldara and
Christophe Kamps
Institute for International Economic Studies
and
European Central Bank (ECB)
Date Posted: May 08, 2012
Working Paper Series
44 downloads
The Extensive Margin, Sectoral Shares, and International Business Cycles - La Marge Extensive, Les Parts Des Secteurs Et Les Cycles D’Affaires Internationaux
Canadian Journal of Economics/Revue canadienne d'économique, Vol. 45, Issue 2, pp. 509-534, 2012,
Michael B. Devereux and
Viktoria V. Hnatkovska
National Bureau of Economic Research (NBER)
and
University of British Columbia (UBC) - Department of Economics
Date Posted: May 04, 2012
Accepted Paper Series
Bounds for Rating Override Rates
Dirk Tasche
Bank of England - Prudential Regulation Authority
Date Posted: April 30, 2012
Last Revised: September 01, 2012
Working Paper Series
16 downloads
Digital Divide and Public Plans: Governance Modes and Their Impact on Broadband Universal Service Provision
Jose M. Castellano Sr.
Universitat Pompeu Fabra
Date Posted: April 30, 2012
Working Paper Series
27 downloads
Shrinkage Based Tests of the Martingale Difference Hypothesis
Pablo M. Pincheira
Central Bank of Chile - Research Department
Date Posted: April 29, 2012
Working Paper Series
16 downloads
The Productivity Advantages of Large Cities: Distinguishing Agglomeration from Firm Selection
IZA Discussion Paper No. 6502
Pierre-Philippe Combes ,
Gilles Duranton ,
Laurent Gobillon
,
Diego Puga and
Sébastien Roux
National Center for Scientific Research (CNRS) - GREQAM
,
London School of Economics & Political Science (LSE) - Department of Geography and Environment
,
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
,
IMDEA Social Sciences
and
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Date Posted: April 28, 2012
Working Paper Series
112 downloads
Comparison of Specification Tests for GARCH Models
Kilani Ghoudi
and
Bruno Remillard
United Arab Emirates University
and
HEC Montreal
Date Posted: April 28, 2012
Working Paper Series
16 downloads
A Note on the Assumed Distributions in Stochastic Frontier Models
Aljar Meesters
University of Groningen - Faculty of Economics and Business
Date Posted: April 22, 2012
Last Revised: February 28, 2013
Working Paper Series
44 downloads
Non-Parametric Change Point Problems Using Multipliers
Bruno Remillard
HEC Montreal
Date Posted: April 22, 2012
Working Paper Series
39 downloads
The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options
CIRANO - Scientific Publications 2012s-05
J. V. K. Rombouts ,
Lars Stentoft and
Francesco Violante
HEC Montreal
,
HEC Montréal - Department of Finance
and
Maastricht University - Department of Economics
Date Posted: April 21, 2012
Working Paper Series
22 downloads
The Dynamics of Political Risk Rating and Stock Market Volatility
Muhammad Tahir Suleman
Victoria University of Wellington
Date Posted: April 18, 2012
Working Paper Series
The Role of Models in Measurement Outside the Laboratory
Marcel J. Boumans
University of Amsterdam
Date Posted: April 18, 2012
Working Paper Series
16 downloads
Are Forecast Combinations Efficient?
Pablo M. Pincheira
Central Bank of Chile - Research Department
Date Posted: April 14, 2012
Last Revised: April 17, 2012
Working Paper Series
43 downloads
Tests of Equal Forecast Accuracy for Overlapping Models
Todd E. Clark and
Michael W. McCracken
Federal Reserve Bank of Cleveland
and
Federal Reserve Banks - Federal Reserve Bank of Saint Louis
Date Posted: April 12, 2012
Working Paper Series
9 downloads
Inter‐Industry Technology Spillover Effects in China: Evidence from 35 Industrial Sectors
China & World Economy, Vol. 20, Issue 2, pp. 23-40, 2012
Wenqing Pan ,
Delin Yang and
Min Lin
affiliation not provided to SSRN
,
Tsinghua University
and
School of Economics and Management, University of Science and Technology Beijing
Date Posted: April 09, 2012
Accepted Paper Series
Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble
25th Australasian Finance and Banking Conference 2012
Vitor Leone
Nottingham Business School
Date Posted: April 05, 2012
Last Revised: May 22, 2012
Working Paper Series
45 downloads
Empirical Examination of Wealth Effects of Mergers and Acquisitions: The U.S. Economy in Perspective
Journal of Financial Management and Analysis Vol. 24 No.2 (Jul-Dec 2011)
Demetres Subeniotis
,
Ioannis A. Tampakoudis
,
Ioannis G. Kroustalis
and
Markos Poulios
University of Macedonia
,
University of Macedonia - Department of Business Administration
,
University of Macedonia
and
affiliation not provided to SSRN
Date Posted: April 04, 2012
Accepted Paper Series
Trade, FDI, Growth and Biodiversity: An Empirical Analysis for the Main OECD Countries
Roberta de Santis
Italian National Institute of Statistics
Date Posted: March 30, 2012
Working Paper Series
34 downloads
Mapping Local Productivity Advantages in Italy: Industrial Districts, Cities or Both?
Bank of Italy Temi di Discussione Working Paper No. 850
Valter Di Giacinto
,
Matteo Gomellini
,
Giacinto Micucci
and
Marcello Pagnini
Bank of Italy
,
Bank of Italy
,
Bank of Italy
and
Bank of Italy
Date Posted: March 29, 2012
Working Paper Series
37 downloads
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