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JEL Code: C5
1,171,375 Total downloads
Showing Papers 1,681 - 1,730 of 5,959
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Threshold Autoregressions Under Near Integratedness
Jean-Yves Pitarakis
Date Posted: March 05, 20115 downloads
A Bayesian Analysis of Unobserved Component Models Using Ox Tinbergen Institute Discussion Paper No. 11-048/4
Charles S. Bos
Date Posted: March 04, 2011
Relating Stochastic Volatility Estimation Methods Tinbergen Institute Discussion Paper No. 11-049/4
Charles S. Bos
Date Posted: March 04, 201147 downloads
A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium
Giovanni Calice
,
Christos Ioannides
and
Rong Hui Miao
Date Posted: March 03, 201118 downloads
Sectoral Survey-Based Confidence Indicators for Europe Oxford Bulletin of Economics and Statistics, Vol. 73, No. 2, pp. 175-206, 2011
Andrea Carriero
and
Massimiliano Giuseppe Marcellino
Date Posted: March 01, 20112 downloads
Forecasting the European Credit Cycle Using Macroeconomic Variables
Florian Ielpo
Date Posted: March 01, 2011104 downloads
Identifying Banking Crises Dates Systemic Risk, Basel III, Financial Stability and Regulation, 2011
Pearpilai Jutasompakorn
,
Robert Darren Brooks
and
Sirimon Treepongkaruna
Date Posted: March 01, 2011Last Revised: October 26, 201156 downloads
Securitization Rating Performance and Agency Incentives
Daniel Roesch
and
Harald Scheule
Date Posted: March 01, 201184 downloads
Density Forecasting with Time Varying Higher Moments - A Model Confidence Set Approach
Anders Wilhelmsson
Date Posted: February 28, 201149 downloads
Macroeconomic Modelling and the Effects of Policy Reforms: An Assessment For Italy Using Item and Quest Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 1
Barbara Annicchiarico
,
Fabio Di Dio ,
Francesco Felici
and
Francesco Nucci
Date Posted: February 28, 201124 downloads
Nowcasting Chinese GDP: Information Content of Economic and Financial Data HKIMR Working Paper No. 04/2011
Matthew S. Yiu and
Kenneth K. Chow
Date Posted: February 28, 201145 downloads
Simulating Fundamental Analysis of a Firm Using a VECX Model
Jose Bonifacio De Araujo Jr.
and
Bernardus F. N. Van Doornik
Date Posted: February 28, 2011103 downloads
Application of Adaptive Neuro-Fuzzy Inference System in Interest Rates Effects on Stock Returns Indian Journal of Computer Science and Engineering, Vol. 2, No. 1, 2011
Eleftherios Giovanis
Date Posted: February 27, 2011
A Comparative Analysis of Correlation Approaches in Finance
Gunter A. Meissner
,
Claudio Albanese ,
David Li
and
Edgar Lobackeskiy
affiliation not provided to SSRN
,
King's College London - Department of Mathematics
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: February 24, 2011362 downloads
Bankruptcy Prediction Revisited: Non-Traditional Ratios and Lasso Selection
Volodymyr Perederiy
Date Posted: February 23, 2011250 downloads
Review of Multivariate Statistics With Emphasis on Regression
Lonnie K. Stevans
Date Posted: February 23, 2011Last Revised: February 27, 201148 downloads
Robust Growth Determinants CESifo Working Paper Series No. 3354
Gernot Doppelhofer
and
Melvyn Weeks
Date Posted: February 23, 201179 downloads
The Contribution of Education Investment to Agricultural Development in Vietnam
Cuong Do-Tat
and
Anh Ngoc Thi Ngo
affiliation not provided to SSRN
Date Posted: February 22, 201119 downloads
Latent Fundamentals Arbitrage with a Mixed Effects Factor Model
Andrei Salem Gonçalves
,
Robert Aldo Iquiapaza
and
Aureliano Angel Bressan
Date Posted: February 21, 2011Last Revised: July 10, 201168 downloads
Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chia-Lin Chang
,
Juan-Angel Jiménez-Martin
,
Michael McAleer and
Teodosio Perez Amaral
Date Posted: February 21, 2011783 downloads
Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
Gianni De Nicolo and
Marcella Lucchetta
Date Posted: February 19, 2011Last Revised: March 17, 2011257 downloads
Robust Growth Determinants NHH Dept. of Economics Discussion Paper No. 3/2011
Gernot Doppelhofer
and
Melvyn Weeks
Date Posted: February 18, 201133 downloads
Regime Specific Predictability in Predictive Regressions
Jesús Gonzalo and
Jean-Yves Pitarakis
Date Posted: February 17, 2011Last Revised: March 03, 201158 downloads
The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields Swiss Finance Institute Research Paper No. 11-05
Kun Guo
,
Wei-Xing Zhou
,
Si-Wei Cheng
and
Didier Sornette
Date Posted: February 17, 2011270 downloads
To Sell or Not to Sell: List Price, Transaction Price and Marketing Time in the Housing Market
Paul E. Carrillo
Date Posted: February 17, 201134 downloads
What Explains Risk Premia in Crude Oil Futures? Bank of Finland Research Discussion Paper No. 2/2011
Marko Melolinna
Date Posted: February 17, 201170 downloads
Does Decomposing Realized Volatility Help in Risk Prediction: Evidence from Chinese Mainland Stocks
Yin Liao
Date Posted: February 14, 201146 downloads
Shock Responses of Rural Households in Indonesia: A Multinomial Logit Analysis
Francesca Modena
and
Christopher L. Gilbert
Date Posted: February 14, 201130 downloads
Liquidity Requirements and Payment Delays - Participant Type Dependent Preferences ECB Working Paper No. 1291
Christian Schulz
Date Posted: February 12, 201116 downloads
Balancing Support for Children for Future Growth, During Crisis: The Role of Public Institutions in Africa
Hilary U. Nwokeabia
affiliation not provided to SSRN
Date Posted: February 11, 20117 downloads
Determinants of Investment and Policy Implications – With a Comparative Study of Investment Functions in the LINK Models
Pingfan Hong
Date Posted: February 11, 201147 downloads
Prediction by Regression in Multivariate Normal Distributions
Stanley L. Sclove
Date Posted: February 11, 201130 downloads
An Alternative Bayesian Approach to Structural Breaks in Time Series Models Tinbergen Institute Discussion Paper 11-023/4
Sjoerd van den Hauwe
,
Richard Paap and
Dick J. C. van Dijk
Date Posted: February 10, 2011103 downloads
Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Marcel Prokopczuk
Date Posted: February 10, 2011Last Revised: January 30, 2012105 downloads
Markov-Switching Midas Models CEPR Discussion Paper No. DP8234
Pierre Guérin
and
Massimiliano Giuseppe Marcellino
affiliation not provided to SSRN
and
European University Institute
Date Posted: February 09, 20115 downloads
High and Low Frequency Correlations in Global Equity Markets
Robert F. Engle and
Jose Gonzalo Rangel
Date Posted: February 09, 2011133 downloads
Value-at-Risk Model Risk
Carol Alexander and
José María Sarabia
Date Posted: February 09, 2011487 downloads
The Factor-Spline-GARCH Model for High- and Low-Frequency Correlations Journal of Business and Economic Statistics, Vol. 30, No. 1, pp. 109-124, 2012
Jose Gonzalo Rangel and
Robert F. Engle
Date Posted: February 07, 2011Last Revised: May 06, 2012174 downloads
Modeling and Forecasting Realized Range Volatility Marco Fanno Working Paper No. 128-2011
Massimiliano Caporin and
Gabriel G. Velo
Date Posted: February 06, 201167 downloads
Non-Parametric Future Looking Value-at-Risk
Anders Wilhelmsson
and
Marcus Nossman
Date Posted: February 05, 2011Last Revised: February 27, 2011125 downloads
Econometrics of Asset Pricing: Methodological Review and Empirical Exercise
Martin Lozano
Date Posted: February 04, 2011117 downloads
Estimation and Evaluation of DSGE Models: Progress and Challenges FRB of Philadelphia Working Paper No. 11-7
Frank Schorfheide
Date Posted: February 04, 201130 downloads
Pricing Interest Rate Derivatives Under Different Interest Rate Modeling: A Critical and Empirical Comparison Investment Management and Financial Innovations, Vol. 7, No. 2, 2010
Antonio De Simone
Date Posted: February 04, 2011120 downloads
Trade-Offs Between Efficiency and Robustness in the Empirical Evaluation of Asset Pricing Models
Ian Garrett ,
Stuart Hyde and
Martin Lozano
Date Posted: February 04, 2011Last Revised: November 26, 2011100 downloads
Structural Heterogeneity or Asymmetric Shocks? Poland and the Euro Area Through the Lens of a Two-Country DSGE Model National Bank of Poland Working Paper No. 49
Marcin Kolasa
Date Posted: February 03, 201131 downloads
A Spot Price's Model for Electricity in the Colombian Market Using Markov Chains and Mean Reversion - An Approach for Including the ENSO Effects on Prices
Gonzalo Diaz-Hoyos Sr.
Date Posted: February 02, 2011Last Revised: November 17, 201165 downloads
Do Emergent Market Currencies Lure the Forward Premium Bias to its Doom?
Dhekra Azouzi
affiliation not provided to SSRN
Date Posted: February 01, 201124 downloads
Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask European Journal of Finance, Forthcoming
Petr Geraskin
Date Posted: February 01, 2011947 downloads
Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH
Date Posted: February 01, 2011313 downloads
Testing Models of Strategic Behavior Characterized by Conditional Likelihoods
Thomas Otter
,
Timothy Gilbride
and
Greg M. Allenby
Date Posted: February 01, 201168 downloads
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