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JEL Code: C22
533,438 Total downloads
Showing Papers 1,851 - 1,900 of 3,417
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Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects University of St. Gallen Economics Discussion Paper No. 2008-04
Francesco Audrino
Date Posted: February 18, 2008277 downloads
Modelling and Forecasting the Diffusion of Telephones in India
Sanjay Kumar Singh
Date Posted: February 17, 2008Last Revised: July 30, 2012254 downloads
Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange
Golaka C. Nath
and
Manoj Dalvi
Date Posted: February 13, 2008609 downloads
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? HKIMR Working Paper No. 22/2007
Peter C. B. Phillips ,
Yangru Wu and
Jun Yu
Date Posted: February 12, 200893 downloads
Realized Volatility FRB of Chicago Working Paper No. 2008-14
Torben G. Andersen and
Luca Benzoni
Date Posted: February 12, 2008Last Revised: December 05, 20081459 downloads
Turismo y Crecimiento Economico: Un Analisis Empirico de Colombia (Tourism and Economic Growth: An Empirical Analysis for the Case of Colombia) Estudios y Perspectivas en Turismo, Vol. 18, No. 1, pp. 21-35, 2009
María Jesús Such
,
Sandra Zapata-Aguirre
,
Wiston Adrián Risso
,
Juan Gabriel Brida and
Juan Sebastián Pereyra
Date Posted: February 12, 2008Last Revised: June 16, 2011516 downloads
Measuring U.S. International Relative Prices: A Warp View of the World FRB International Finance Discussion Paper No. 917
Charles P. Thomas ,
Jaime Marquez and
Sean P. Fahle
Date Posted: February 11, 200862 downloads
Commodity Futures Markets in India: Riding the Growth Phase International Conference on Commodity Future: Riding the Growth Phase, January 2008
Alok Kumar Mishra
Date Posted: February 06, 20081321 downloads
Conditional Distribution of the Colombian Exchange Rate Returns: An Empirical Exercise Using Multivariate GARCH Models Revista de Economía del Rosario, Vol. 10, No. 2, December 2007,
Karoll Gómez
and
Santiago Gallón
Date Posted: February 06, 200895 downloads
Empirical Comparison of Multivariate GARCH Models for Estimation of Intraday Value at Risk
Takayuki Morimoto and
Yoshinori Kawasaki
Date Posted: February 06, 2008415 downloads
The Application of Time Series Modeling to Some Major Economic Variables American Association of Behavioral and Social Sciences Conference Paper
Muhannad A. El-Mefleh
and
Manhal M. Shotar
Date Posted: February 06, 2008
Tourism and Economic Growth: The Case of Uruguay PASOS: Revista de Turismo y Patrimonio Cultural, Vol. 6, No. 3, pp. 481-492, 2008
Juan Gabriel Brida ,
Bibiana Lanzilotta
and
Wiston Adrián Risso
Date Posted: February 06, 2008Last Revised: June 16, 2011236 downloads
Intra-Day Returns Transmissions between US and European Equity Markets Journal of Financial Decision Making, Vol. 5, No. 2, 2009
Nikos S. Thomaidis ,
Nick Kondakis and
Vassileios Vassiliadis
affiliation not provided to SSRN
Date Posted: February 04, 2008Last Revised: November 08, 2011
Likelihood-Based Inference in Nonlinear Error-Correction Models CREATES Research Paper No. 2007-38
Anders Rahbek
and
Dennis Kristensen
Date Posted: February 04, 200859 downloads
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach
Dennis Kristensen
Date Posted: February 04, 2008111 downloads
The January Effect Across Volatility Regimes Second Singapore International Conference on Finance 2008
Henry Aray
and
Betty Agnani
affiliation not provided to SSRN
Date Posted: February 04, 200899 downloads
Comparison between BSE100 and Sensex
Shruti Tripathi
Date Posted: January 31, 2008150 downloads
Estimating Equations for a Class of Time-Irreversible Multi-Factor Models
Nina Boyarchenko
and
Sergei Levendorskii
Date Posted: January 31, 200896 downloads
Financial Development, Trade and Growth Triangle: The Case of India International Journal of Social Economics, Vol. 34, No. 9, pp. 586-598, 2007
Salih Turan Katircioglu
,
Neslihan Kahyalar
and
Hasret Benar Balcioglu
Date Posted: January 31, 2008
Macroeconomic Sources of Foreign Exchange Risk in New EU Members William Davidson Institute Working Paper No. 898
Evzen Kocenda and
Tigran Poghosyan
Date Posted: January 31, 200895 downloads
Causality Analysis and Multivariate Autoregressive Modelling with an Application to Supermarket Sales Analysis Journal of Economic Dynamics and Control, Vol. 3, November 1981
Peter Caines
,
C. W. Keng
and
Suresh Sethi
affiliation not provided to SSRN
and
University of Texas at Dallas - Naveen Jindal School of Management
Date Posted: January 30, 2008Last Revised: February 02, 2008
The Stambaugh Bias in Panel Predictive Regressions FRB International Finance Discussion Paper No. 914
Erik Hjalmarsson
Date Posted: January 30, 2008100 downloads
Trading Frequency and the Efficiency of Price Discovery in a Non-Dealer Market European Journal of Finance, Vol. 7, No. 3, pp. 187-197, September 2001
Shmuel Hauser ,
Azriel Levy and
Uzi Yaari
affiliation not provided to SSRN
and
Rutgers University
Date Posted: January 30, 2008Last Revised: July 14, 2009
Bayesian Inference on Dynamic Models with Latent Factors University Ca' Foscari of Venice, Department of Economics Research Paper No. 34/07
Monica Billio ,
Roberto Casarin and
Domenico Sartore
Date Posted: January 28, 200896 downloads
An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data
Hiroki Masuda
and
Takayuki Morimoto
Date Posted: January 25, 2008Last Revised: January 06, 200976 downloads
An Hourly Periodic State Space Model for Modelling French National Electricity Load Tinbergen Institute Discussion Paper No. 2008-008/4
V. Dordonnat
,
Siem Jan Koopman ,
Marius Ooms ,
A. Dessertaine
and
Jérôme Collet
Date Posted: January 23, 2008159 downloads
Option Pricing Using Realized Volatility CREATES Research Paper 2008-13, EFA 2008 Athens Meetings Paper
Lars Stentoft
Date Posted: January 23, 2008503 downloads
Panel Unit Root Tests in the Presence of a Multifactor Error Structure CESifo Working Paper No. 2193
M. Hashem Pesaran ,
L. Vanessa Smith and
Takashi Yamagata
Date Posted: January 23, 200865 downloads
Stationarity Testing Under Endogenous Smooth Deterministic Components: Some Asymptotic Results
Maria Jose Presno
Date Posted: January 17, 200831 downloads
U.S. Inflation and Commodity Prices: Analytical and Empirical Issues Journal of Macroeconomics, Vol. 28, pp. 267-271, 2006
A. G. (Tassos) Malliaris
Date Posted: January 17, 2008265 downloads
Asset Allocation Under Multivariate Regime Switching Journal of Economic Dynamics and Control, Vol. 31, No. 11, pp. 3503-3544, 2007
Allan G. Timmermann and
Massimo Guidolin
Date Posted: January 16, 2008
'Some Unpleasant Fiscal Arithmetic': The Role of Monetary and Fiscal Policy in Public Debt Dynamics Since the 1970s Bank of Finland Research Discussion Paper No. 28/2007
Harri Hasko
Date Posted: January 11, 200888 downloads
Nonparametric Tests for Analyzing the Fine Structure of Price Fluctuations Columbia University Financial Engineering Report No. 2007-13
Rama Cont and
Cecilia Mancini
Date Posted: January 11, 2008Last Revised: November 02, 2008244 downloads
Cointegration Analysis with Structural Breaks and Deterministic Trends: An Application to the Canadian Dollar Applied Economics, Vol. 42, pp. 3023-3037, 2010
Maxym Chaban
Date Posted: January 10, 2008Last Revised: April 21, 2011321 downloads
Multivariate Markov Switching with Weighted Regime Determination: Giving France More Weight than Finland Federal Reserve Bank of St. Louis Working Paper No. 2008-001A
Michael Dueker and
Martin Sola
Date Posted: January 06, 2008132 downloads
The Phillips Curve and NAIRU Revisited: New Estimates for Germany ZEW - Centre for European Economic Research Discussion Paper No. 07-070
Bernd Fitzenberger
,
Wolfgang Franz and
Oliver Bode
Date Posted: January 04, 2008Last Revised: August 26, 2008
What Explains the Spread between the Euro Overnight Rate and the ECB's Policy Rate? ZEW - Centre for European Economic Research Discussion Paper No. 07-076
Tobias Linzert
and
Sandra Schmidt
Date Posted: January 04, 2008Last Revised: August 26, 200877 downloads
A Stochastic Volatility Model with Fat Tails, Skewness and Leverage Effects
Daniel R. Smith
Date Posted: December 27, 2007546 downloads
Accounting in Three Dimensions: A Case for Momentum Balance Sheet, Vol. 12, No. 1, pp. 31-36, 2004, Journal of Risk Finance, Vol. 5, No. 3, pp. 49-53, 2004
Eric Melse
Date Posted: December 27, 2007Last Revised: September 24, 2009
Interest Rate Pass-Through in Central and Eastern Europe: Reborn from Ashes Merely to Pass Away? William Davidson Institute Working Paper No. 851
Balázs Égert ,
Jesús Crespo Cuaresma and
Thomas Reininger
Date Posted: December 27, 200787 downloads
What Colour is Your Balance Sheet? The Relevance and Explanatory Power of Wealth Accounts Balance Sheet, Vol. 12, No. 4, pp. 17-32, 2004
Eric Melse
Date Posted: December 27, 2007Last Revised: April 06, 2009
Tourism's Impact on Long-Run Mexican Economic Growth Economics Bulletin, Vol. 23, No. 21, pp. 1-8, 2008
Edgar Javier Sanchez Carrera ,
Juan Gabriel Brida and
Wiston Adrián Risso
Date Posted: December 18, 2007Last Revised: November 30, 2008300 downloads
Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries ECB Working Paper No. 839
Maurizio Michael Habib
and
Margarita M. Kalamova
Date Posted: December 17, 2007287 downloads
Comparison of Volatility Measures: A Risk Management Perspective Universita' di Firenze, Dipartimento di Statistica G. Parenti Working Paper No. 2008-3
Christian T. Brownlees
and
Giampiero M. Gallo
Date Posted: December 12, 2007Last Revised: April 27, 2009456 downloads
Efficient Robust Estimation of Time-Series Regression Models CentER Discussion Paper No. 2007-95
Pavel Cizek
Date Posted: December 10, 200778 downloads
A Residual-Based Cointegration Test for Near Unit Root Variables FRB International Finance Discussion Paper No. 907
Erik Hjalmarsson and
Pär Österholm
Date Posted: December 09, 200795 downloads
Does Global Liquidity Help to Forecast US Inflation? Journal of Money, Credit and Banking, Forthcoming
Antonello D'Agostino
and
Paolo Surico
Date Posted: December 07, 2007Last Revised: August 12, 200972 downloads
Thin Trading and Betas Risk Estimators in an Emerging Country: The Case of the Tunisian Stock Market (Transactions Manquantes Et Mesure Du Risque Des Titres Cotés Sur Le Marché Boursier Tunisien)
Abdelkader Boudriga
and
Myriam Trabelsi
Date Posted: December 07, 2007299 downloads
The Econometric Modeling of the Dynamics of the Romanian Economic Growth During the Period 1990-2004
Ciprian Ionel Turturean
Date Posted: December 03, 2007124 downloads
Why Bayes Rules: A Note on Bayesian v. Classical Inference in Regime Switching Models
Dennis L. Gärtner
Date Posted: December 03, 200791 downloads
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