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JEL Code: C5
1,170,001 Total downloads
Showing Papers 181 - 230 of 5,952
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VaR Plus: Fat Tails in Financial Risk Management Working Paper No. 98/51
Rachel A.J. Pownall ,
Kees C. G. Koedijk and
Ronald Huisman
Date Posted: October 06, 1998
VAR Forecasting Using Bayesian Variable Selection
Dimitris Korobilis
Date Posted: March 05, 2010Last Revised: April 19, 2011125 downloads
VaR and Intra-Day Volatility Forecasting: The Case of the Athens Stock Exchange Managerial Finance, 2006
Timotheos Angelidis
and
Stavros Antonios Degiannakis
Date Posted: November 01, 2005276 downloads
Valuing Customers Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08
Sunil Gupta
,
Donald R. Lehmann and
Jennifer Ames Stuart
Date Posted: November 13, 2003Last Revised: July 27, 20113106 downloads
Value-at-Risk Model Risk
Carol Alexander and
José María Sarabia
Date Posted: February 09, 2011487 downloads
Value-at-Risk and Expected Shortfall for Rare Events CFS Working Paper No. 2008/14
Stefan Mittnik and
Tina Yener
Date Posted: April 25, 2008
Value of Information in Endogenously Asymmetric Dynamic Auction: An Empirical Analysis
Sudip Gupta
Date Posted: March 21, 2007Last Revised: November 07, 201116 downloads
Value at Risk: Issues and Implementation in Forex Market in India
Golaka C. Nath
and
Y. V. Reddy
Date Posted: December 03, 2003654 downloads
Value at Risk for the Term Structure of Interest Rates: An Orthogonal Approach
Diego Nicolas Lopez
Date Posted: June 01, 2005738 downloads
Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped-T Copula Approach The VAR IMPLEMENTATION HANDBOOK, McGraw-Hill, pp. 253-282, 2009
Date Posted: September 02, 2009Last Revised: December 23, 2011341 downloads
Value At Risk Estimation For Stock Indices Using The Basle Committee Proposal From 1995 University of Basel Working Paper No. 00-07
Momtchil T. Pojarliev and
Wolfgang Polasek
Date Posted: September 13, 2001427 downloads
Value at Risk and Expected Shortfall for Large Portfolios Finance Research Letters, Vol. 8, 2011
Carl Lönnbark ,
Ulf E. Holmberg
and
Kurt Brannas
Date Posted: October 18, 2009Last Revised: March 19, 2012
Valuation, Investment and the Pure Profit Share FEDS Working Paper No. 2004-8
Pierre M. Lafourcade
Date Posted: March 11, 200496 downloads
Valuation of Six Asian Stock Markets: Financial System Identification in Noisy Environments Centre for Research in Financial Services WP #97-02
Cornelis A. Los
Date Posted: September 17, 1997305 downloads
Valuation of Risky Debt: A Multi-Period Bayesian Model
Leonid V. Philosophov
Date Posted: January 11, 2006Last Revised: January 11, 2012256 downloads
Valuation of Credit Default Swaps with Wrong Way Risk – Model Implementation and a Computational Tune-Up
Dmitri Grominski
,
Daniel Schwake
and
Tobias Sudmann
affiliation not provided to SSRN
,
Deloitte
and
affiliation not provided to SSRN
Date Posted: February 15, 2012Last Revised: February 17, 2012137 downloads
Valuation of Cancelable Cross Currency Bermudan Swaps
Milind Sharma and
Jonathan Stein
Date Posted: February 13, 2004589 downloads
Validity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models
Bruno Remillard
Date Posted: November 30, 201167 downloads
Validation of Models: Statistical Techniques and Data Availability Tilburg University, CentER Working Paper No. 1999-104
Jack P. C. Kleijnen
Date Posted: May 15, 2000
Validation of Default Probabilities
Andreas Bloechlinger
Date Posted: March 05, 2008Last Revised: August 03, 2011273 downloads
Utility-Based Pricing of the Weather Derivatives
Helene Hamisultane
Date Posted: August 07, 2006Last Revised: October 20, 2007198 downloads
Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
Ahmed BenSaïda
Date Posted: March 15, 2007821 downloads
Using the EU-SILC to Model the Impact of the Economic Crisis on Inequality IZA Discussion Paper No. 7242
Cathal O'Donoghue ,
Jason Loughrey
and
Karyn Morrissey
Date Posted: March 09, 20133 downloads
Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)
Jack H.W. Penm ,
Jammie H. Penm and
R. Deane Terrell
Date Posted: January 08, 200366 downloads
Using Spectral Density Function in Analysis of Stationary Time Series
Daniel Sorin Manole
affiliation not provided to SSRN
Date Posted: March 29, 2007202 downloads
Using Sentiment to Predict GDP Growth and Stock Returns THE MAKING OF NATIONAL ECONOMIC FORECASTS, Lawrence R. Klein, ed., Edward Elgar, 2009
Giselle Guzman
Date Posted: February 13, 2012Last Revised: December 11, 201253 downloads
Using Sentiment Surveys to Predict GDP Growth and Stock Returns THE MAKING OF NATIONAL ECONOMIC FORECASTS, Lawrence R. Klein, ed., Edward Elgar Publishing, 2009
Giselle Guzman
Date Posted: February 14, 2012Last Revised: June 08, 201259 downloads
Using Qualitative Methods to Evaluate and Validate Formal Models APSA 2012 Annual Meeting Paper
M. Taylor Fravel
,
Peter L. Lorentzen
and
Jack Paine
Date Posted: July 13, 2012Last Revised: May 14, 201373 downloads
Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis FRB of Kansas City Working Paper No. 04-03
Todd E. Clark and
Kenneth D. West
Date Posted: August 05, 200477 downloads
Using Options to Forecast LIBOR
Riccardo Cesari and
Lorenzo Sevini
Date Posted: September 11, 2004468 downloads
Using Option Prices to Infer Overpayments and Synergies in M&A Transactions Vanderbilt Owen Graduate School of Management Research Paper No. 2012-02
Kathryn Barraclough
,
David T. Robinson ,
Tom Smith and
Robert E. Whaley
Date Posted: October 12, 2011Last Revised: December 12, 2012204 downloads
Using Monthly Indicators to Predict Quarterly GDP Bank of Canada Working Paper No. 2006-26
Isabel Yi Zheng
and
James Rossiter
Date Posted: August 02, 2006168 downloads
Using Monte Carlo Simulation to Calculate Match Importance: The Case of English Premier League
Jiri Lahvicka
Date Posted: September 02, 201226 downloads
Using Misspecified Marginals and Misspecified Copulas to Compute the Value at Risk: When Do We Have to Care? Computational Statistics and Data Analysis, Forthcoming
Date Posted: December 14, 2007Last Revised: December 23, 2011588 downloads
Using Internet Data to Account for Special Events in Economic Forecasting Ruhr Economic Paper No. 382
Torsten Schmidt and
Simeon Vosen
Date Posted: January 15, 201320 downloads
Using Higher Moments to Estimate the Simple Errors-in-Variables Model RAND JOURNAL OF ECONOMICS, Vol 28 No 0, Special Issue
John G. Cragg
Date Posted: March 25, 1997
Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance European Univ., Economics Discussion Paper No. 2001/6
Roel C. A. Oomen
Date Posted: May 01, 2001993 downloads
Using Hierarchical Models to Shrink Alphas and Interpret Residual Covariance in Mutual Fund Returns
Geoffrey C. Friesen
Date Posted: December 13, 2005187 downloads
Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (F. di Mauro and M.H. Pesaran eds.), Forthcoming.
Matthew Greenwood-Nimmo
,
Viet Hoang Nguyen and
Yongcheol Shin
Date Posted: March 23, 2012Last Revised: July 14, 2012129 downloads
Using Genetic Algorithms For Robust Optimization In Financial Applications
Olivier V. Pictet ,
Michel M. Dacorogna ,
Bastien Chopard ,
Mouloud Oussaidene ,
Roberto Schirru and
Marco Tomassini
Date Posted: August 25, 1998
Using Forecast Evaluation to Improve the Accuracy of the Greenbook Forecast
Natsuki Arai
Date Posted: November 06, 2011Last Revised: May 01, 201222 downloads
Using Extreme Value Theory to Measure Value-at-Risk for Daily Electricity Spot Prices International Journal of Forecasting, Vol. 22, No. 2, 2006
Kam Fong Chan and
Philip Gray
Date Posted: August 15, 2009
Using Expert Assessments to Forecast the 2010 House Election
Sanford C. Gordon
Date Posted: September 30, 201019 downloads
Using Decision Trees for Prediction of US Economic Recessions
Eleftherios Giovanis
Date Posted: December 07, 201213 downloads
Using Composite Estimators to Improve both Domain and Total Area Estimation UPF Economics and Business Working Paper No. 731
Alex Costa Saenz de San Pedro
,
Albert Satorra and
Eva Ventura
Date Posted: July 12, 200430 downloads
Using Capabilities to Project Growth, 2010-30 Bard College Levy Economics Institute Working Paper No. 609
Jesus Felipe
,
Utsav Kumar
and
Arnelyn Abdon
affiliation not provided to SSRN
and
Asian Development Bank
Date Posted: August 16, 201013 downloads
Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio
Pin-Huang Chou
Date Posted: November 19, 1996
Using Additional Infomation in Estimating Output Gap in Peru: A Multivariate Unobserved Component Approach
Luis-Gonzalo Llosa
and
Shirley Miller
Date Posted: April 15, 200580 downloads
Using a New Open Economy Macroeconomics Model to Make Real Nominal Exchange Rate Forecasts Riksbank Research Paper No. 213
Peter Sellin
Date Posted: December 20, 2007200 downloads
Using a Leading Credit Index to Predict Turning Points in the U.S. Business Cycle The Conference Board Economics Program Working Paper No. 11-05
Gad Levanon
,
Ataman Ozyildirim ,
Jean Claude Manini
,
Brian Schaitkin
and
Jennelyn Tanchua
affiliation not provided to SSRN
,
The Conference Board
,
The Conference Board
,
affiliation not provided to SSRN
and
The Conference Board
Date Posted: January 05, 2012332 downloads
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