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JEL Code: C52
288,934 Total downloads
Showing Papers 181 - 230 of 1,707
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Advances in Forecast Evaluation Federal Reserve Bank of St. Louis Working Paper No. 2011-025B
Michael W. McCracken and
Todd E. Clark
Date Posted: June 13, 2012Last Revised: October 24, 201220 downloads
Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Ludovic Dubrana
Date Posted: June 13, 2012Last Revised: June 16, 2012170 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
Date Posted: June 13, 201214 downloads
The Fine-Structure of Volatility Feedback
Rémy Chicheportiche
and
Jean-Philippe Bouchaud
Date Posted: June 11, 201232 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
Date Posted: June 09, 2012Last Revised: November 07, 201224 downloads
Jensen's Inequality and the Success of Linear Prediction Pools
Fabian Krueger
Date Posted: June 09, 2012Last Revised: June 14, 201371 downloads
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
Date Posted: June 08, 2012143 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
Date Posted: June 05, 201260 downloads
Policy Regimes, Policy Shifts, and U.S. Business Cycles
Saroj Bhattarai
,
Jae Won Lee
and
Woong Yong Park
Date Posted: June 03, 2012Last Revised: May 28, 201326 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
Date Posted: June 02, 2012Last Revised: January 29, 2013
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
Date Posted: June 01, 2012Last Revised: July 31, 201213 downloads
WALS Prediction CentER Discussion Paper Series No. 2012-043
J.R. Magnus ,
Wendun Wang
and
Xinyu Zhang
Date Posted: June 01, 201216 downloads
The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction
Ana-Maria Fuertes and
Jose Olmo
Date Posted: May 29, 201296 downloads
The Role of Correlation Dynamics in Sector Allocation
Elena Kalotychou
,
Sotiris K. Staikouras and
Zhao Gang
Date Posted: May 25, 2012Last Revised: November 06, 2012303 downloads
Overnight News and Daily Equity Trading Risk Limits
Katja Ahoniemi
,
Ana-Maria Fuertes and
Jose Olmo
Date Posted: May 23, 2012Last Revised: July 19, 201277 downloads
Worldwide Equity Risk Prediction Applied Economics Letters, Forthcoming
David Ardia and
Lennart F. Hoogerheide
Date Posted: May 23, 2012Last Revised: May 22, 201360 downloads
Indian Corporate Bonds Market – An Analytical Prospective
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: June 25, 2012145 downloads
Indian Money Market Dynamics
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: May 24, 2012139 downloads
Efficiency and Competition in Korean Banking Nottingham University Business School Research Paper No. 2012-07
Richard Simper
and
Max J.B. Hall
Date Posted: May 16, 201255 downloads
Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter CESifo Working Paper Series No. 3816
Gebhard Flaig
Date Posted: May 15, 201248 downloads
Parametric Modeling of Implied Smile Functions: A Generalized SVI Model Review of Derivatives Research, Forthcoming
Bo Zhao
and
Stewart D. Hodges
Date Posted: May 12, 2012140 downloads
Marginal Likelihood Estimation with the Cross-Entropy Method CAMA Working Paper No. 18/2012
Joshua C. C. Chan
and
Eric Eisenstat
affiliation not provided to SSRN
Date Posted: May 10, 201215 downloads
The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers FEDS Working Paper No. 2012-20
Dario Caldara and
Christophe Kamps
Date Posted: May 08, 201246 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
Date Posted: May 04, 2012
Bounds for Rating Override Rates
Dirk Tasche
Date Posted: April 30, 2012Last Revised: September 01, 201217 downloads
Digital Divide and Public Plans: Governance Modes and Their Impact on Broadband Universal Service Provision
Jose M. Castellano Sr.
Date Posted: April 30, 201228 downloads
Shrinkage Based Tests of the Martingale Difference Hypothesis
Pablo M. Pincheira
Date Posted: April 29, 201217 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
Date Posted: April 28, 2012112 downloads
Comparison of Specification Tests for GARCH Models
Kilani Ghoudi
and
Bruno Remillard
Date Posted: April 28, 201218 downloads
A Note on the Assumed Distributions in Stochastic Frontier Models
Aljar Meesters
Date Posted: April 22, 2012Last Revised: February 28, 201350 downloads
Non-Parametric Change Point Problems Using Multipliers
Bruno Remillard
Date Posted: April 22, 201242 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
Date Posted: April 21, 201223 downloads
The Dynamics of Political Risk Rating and Stock Market Volatility
Muhammad Tahir Suleman
Date Posted: April 18, 2012
The Role of Models in Measurement Outside the Laboratory
Marcel J. Boumans
Date Posted: April 18, 201216 downloads
Are Forecast Combinations Efficient?
Pablo M. Pincheira
Date Posted: April 14, 2012Last Revised: April 17, 201243 downloads
Tests of Equal Forecast Accuracy for Overlapping Models
Todd E. Clark and
Michael W. McCracken
Date Posted: April 12, 20129 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
Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble 25th Australasian Finance and Banking Conference 2012
Vitor Leone
Date Posted: April 05, 2012Last Revised: May 22, 201250 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
affiliation not provided to SSRN
Date Posted: April 04, 2012
Trade, FDI, Growth and Biodiversity: An Empirical Analysis for the Main OECD Countries
Roberta de Santis
Date Posted: March 30, 201234 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
Date Posted: March 29, 201238 downloads
A Predictability Test for a Small Number of Nested Models
Eleonora Granziera
,
Kirstin Hubrich and
Hyungsik Roger Moon
Date Posted: March 28, 2012Last Revised: May 08, 20135 downloads
A Methodological Proposal to Estimate Changes of Residential Property Value: Case Study Developed in Bogotá Applied Economics Letters, Vol. 18, No. 16, 2011
Jorge Andres Perdomo Calvo
Date Posted: March 28, 2012
On the Forecasting Quality of Professionals: Does Affiliation Matter?
Aron Veress
Date Posted: March 28, 2012Last Revised: August 30, 2012179 downloads
The Long-Term Cognitive Consequences of Early Childhood Malnutrition: The Case of Famine in Ghana
Samuel Ampaabeng
and
Chih Ming Tan
Date Posted: March 27, 2012Last Revised: May 13, 201344 downloads
Reproducing Business Cycle Features: Are Nonlinear Dynamics a Proxy for Multivariate Information? UNSW Australian School of Business Research Paper No. 2012ECON23
James Morley ,
Jeremy Piger and
Pao-Lin Tien
Date Posted: March 27, 201257 downloads
Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging Tinbergen Institute Discussion Paper No. 12-025/4
Rodney W. Strachan
and
H. K. van Dijk
Date Posted: March 21, 20129 downloads
Pitfalls in Backtesting Historical Simulation VAR Models Center for Applied Economics and Policy Research Working Paper No. 2012-003
Juan Carlos Escanciano
and
Pei Pei
Date Posted: March 21, 2012190 downloads
Structural Models of Capital Structure: A Framework for Model Evaluation and Testing AFA 2013 San Diego Meetings Paper
Arthur G. Korteweg
and
Michael Lemmon
Date Posted: March 19, 2012Last Revised: January 14, 2013221 downloads
Bayesian Estimation of Dynamic Term Structure Models Under Restrictions on Risk Pricing
Michael D. Bauer
Date Posted: March 19, 201240 downloads
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