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JEL Code: C13
355,851 Total downloads
Showing Papers 201 - 250 of 2,072
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Expected Shortfall Estimation and Gaussian Inference for Infinite Variance Time Series
Jonathan B. Hill
Date Posted: June 23, 2012Last Revised: May 14, 201319 downloads
Star Wars: The Empirics Strike Back Paris School of Economics Working Paper No. 2012-29
Abel Brodeur
,
Mathias Lé
,
Marc Sangnier and
Yanos Zylberberg
Date Posted: June 23, 2012434 downloads
Stationarity and Ergodicity of Univariate Generalized Autoregressive Score Processes Tinbergen Institute Discussion Paper No. 12-059/2
Francisco Blasques
,
Siem Jan Koopman and
Andre Lucas
Date Posted: June 22, 201229 downloads
A Jump-Diffusion Approach for Pricing Exotic Multi-Asset Derivatives
Balazs Cserna
Date Posted: June 20, 2012Last Revised: July 18, 2012127 downloads
Robust Estimation of the Term Structure
Robert R. Bliss ,
Emrah Ahi ,
Gunes Erdogan
and
Emrah Sener
Date Posted: June 20, 201273 downloads
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models IZA Discussion Paper No. 6583
Kazuhiko Hayakawa
and
M. Hashem Pesaran
Date Posted: June 16, 201210 downloads
Differencing Transformations and Robust Inference in Predictive Regression Models
Lorenzo Camponovo
Date Posted: June 16, 201225 downloads
Inference About Long Run Canonical Correlations Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 665-683, 2012
Prosper Dovonon
,
Alastair R. Hall and
Kalidas Jana
affiliation not provided to SSRN
Date Posted: June 15, 2012
Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Ludovic Dubrana
Date Posted: June 13, 2012Last Revised: June 16, 2012162 downloads
A Classical Moment-Based Approach with Bayesian Properties: Econometric Theory and Empirical Evidence from Asset Pricing Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Benjamin Holcblat
Date Posted: June 12, 2012Last Revised: April 30, 201358 downloads
Are University Admissions Academically Fair?
Debopam Bhattacharya
,
Shin Kanaya
and
Margaret Stevens
Date Posted: June 12, 201222 downloads
Hedge Fund Return Dynamics: Long Memory and Regime Switching
Mohamed-Ali Limam
,
Virginie Terraza
and
Michel Terraza
Date Posted: June 12, 2012
The Fine-Structure of Volatility Feedback
Rémy Chicheportiche
and
Jean-Philippe Bouchaud
Date Posted: June 11, 201232 downloads
Predictable Dynamics in the Small Stock Premium
Valeriy Zakamulin
Date Posted: June 10, 2012Last Revised: February 01, 2013113 downloads
Dynamics of Unemployment and Home Price Shocks on Mortgage Default Rates
Yaw Owusu-Ansah
Date Posted: June 09, 2012Last Revised: November 15, 201223 downloads
Estimating a Structural Model of Herd Behavior in Financial Markets FRB of New York Staff Report No. 561
Marco Cipriani
and
Antonio Guarino
Date Posted: June 09, 2012106 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
Estimating Term Structure Changes Using Principal Component Analysis in Indian Sovereign Bond Market
Golaka C. Nath
Date Posted: June 04, 2012Last Revised: July 09, 201284 downloads
Fast Clustering of GARCH Processes Via Gaussian Mixture Models
Gian Piero Aielli
and
Massimiliano Caporin
affiliation not provided to SSRN
and
University of Padova - Department of Economics and Management "Marco Fanno"
Date Posted: June 03, 201224 downloads
Oracle Inequalities for High Dimensional Vector Autoregressions Aarhus University, CREATES Research Paper 2012-16
Anders Bredahl Kock
and
Laurent Callot
Date Posted: June 03, 201219 downloads
Minimum Distance Estimators for Dynamic Games
Sorawoot Srisuma
Date Posted: June 01, 2012Last Revised: October 08, 201217 downloads
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
Measuring Convergence Using Dynamic Equilibrium Models: Evidence from Chinese Provinces
Lei Pan
,
Olaf Posch
and
Michel van der Wel
Date Posted: May 31, 201225 downloads
Stein Estimation for Spherically Symmetric Distributions: Recent Developments
Ann Cohen Brandwein and
William Strawderman
Date Posted: May 28, 2012
Short and Long Memory in Stock Returns Data Economics Letters, Forthcoming
Enrico Onali
and
John Goddard
Date Posted: May 27, 2012
Realized Copula
Matthias R. Fengler
and
Ostap Okhrin
Date Posted: May 24, 201268 downloads
The Impact of Capacity Utilization on Manufacturing Productivity Growth in Nigeria Using Co-Integration Analysis (1975-2007)
Oluwafemi Olanrewaju Bamikole Sr.
Date Posted: May 24, 2012Last Revised: March 03, 2013100 downloads
Book Review: 'ROI for Technology Projects: Measuring and Delivering Value' by D. Brian Roulstone and Jack J. Phillips
Alexei Botchkarev
and
Peter Andru
Date Posted: May 22, 2012Last Revised: October 22, 201228 downloads
Bootstrapping the Chain-Ladder Method for Several Correlated Run-Off Portfolios Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 97, No. 4 (2008), DOI:10.1007/s12297-008-0035-5,
Jochen Heberle
,
Luis Huergo
and
Michael Merz
affiliation not provided to SSRN
and
University of Hamburg
Date Posted: May 20, 2012
Systems Analysis by Hermeneutic Methodology
Jerry Heath
Date Posted: May 19, 2012Last Revised: September 26, 201219 downloads
Aggregated Chain-Ladder Reserves Including Mack's Tail Factors: An Empirical Analysis
Jochen Heberle
and
Tobias Gummersbach
affiliation not provided to SSRN
Date Posted: May 17, 201245 downloads
Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive DIstribution of the Claims Development Result
Jochen Heberle
,
Luis Huergo
and
Michael Merz
affiliation not provided to SSRN
and
University of Hamburg
Date Posted: May 16, 2012Last Revised: May 18, 201256 downloads
On the Association between HIV Knowledge and Risky Sexual Behavior in India? Colorado College Working Paper No. 2012-03
Smriti Agarwal
and
Pedro de Araujo
Date Posted: May 15, 201223 downloads
Comparison of the Accuracy of the Minimum-Variance Grid Method and the Least Squares Method – A Non-Linear Extension Real Estate Valuation Theory, (Wang, K and Wolverton, M. I. ed.) American Real Estate Society Monograph Series: Resear
K.W. Chau ,
F. F. Ng and
W. Huang
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: May 14, 2012Last Revised: November 15, 201265 downloads
Liquidity Shocks and Stock Market Reactions Georgetown McDonough School of Business Research Paper No. 2012-02
Turan G. Bali ,
Lin Peng ,
Yannan Shen
and
Yi Tang
Date Posted: May 10, 2012Last Revised: October 25, 2012162 downloads
A Cross-Sectional Performance Measure for Portfolio Management CES Working Paper No. 2010-70
Monica Billio ,
Ludovic Cales and
Dominique Guegan
Date Posted: May 09, 201259 downloads
Using Histograms for Goodness-of-Fit Testing, Model Indexing and Parameter Estimation in Stock Markets
Robert Dochow
,
Mike Kersch
and
Günter Schmidt
Date Posted: May 09, 2012Last Revised: July 10, 201229 downloads
A Three Line Proof that OLS is BLUE
Halbert L. White, Jr. and
Jin Seo Cho
Date Posted: May 04, 201285 downloads
Gaussian Process Based Trading Strategy Identification
Steve Y. Yang
,
Qifeng Qiao
,
Peter Beling
,
Willam T. Scherer
and
Andrei A. Kirilenko
Date Posted: May 04, 2012Last Revised: December 04, 2012199 downloads
Testing Weak Cross-Sectional Dependence in Large Panels CESifo Working Paper Series No. 3800
M. Hashem Pesaran
Date Posted: May 03, 201219 downloads
Constructing Confidence Bands for the Hodrick-Prescott Filter Victoria University of Wellington Legal Research Paper No. EWP1202
David E. A. Giles
Date Posted: May 02, 201219 downloads
Bayesian Estimation of Probabilities of Default for Low Default Portfolios
Dirk Tasche
Date Posted: April 30, 201230 downloads
Robust Standard Errors in Transformed Likelihood Estimation of Dynamic Panel Data Models
Kazuhiko Hayakawa
and
M. Hashem Pesaran
Date Posted: April 29, 201244 downloads
Consistent Estimation of the 'True' Fixed-Effects Stochastic Frontier Model CEIS Working Paper No. 231
Federico Belotti
and
Giuseppe Ilardi
Date Posted: April 25, 201230 downloads
Endogeneity in Ultrahigh Dimension
Jianqing Fan
and
Yuan Liao
Date Posted: April 25, 2012141 downloads
Regulated Fractionally Integrated Time Series
Mirza Trokic
Date Posted: April 19, 2012Last Revised: July 27, 201235 downloads
Regulated Variance Ratio Unit Root Tests
Mirza Trokic
Date Posted: April 19, 2012Last Revised: July 25, 201251 downloads
Item Selection by an Extended Latent Class Model: An Application to Nursing Homes Evaluation
Francesco Bartolucci ,
Giorgio Eduardo Montanari
and
Silvia Pandolfi
Date Posted: April 18, 2012Last Revised: April 27, 201232 downloads
High Technology Royalty Survey Financial Terms: Descriptive Statistics and Analysis Chapter 5, 2011 High Technology Sector Deal Term & Royalty Rate Survey Report, the Licensing Executives Society (U.S.A. and Canada), March 30, 2012.
Jiaqing "Jack" Lu
Date Posted: April 16, 2012
High Technology Royalty Survey: Economic and Econometric Analysis on Major Issues in Survey Chapter 6, 2011 High Technology Sector Deal Term & Royalty Rate Survey Report, the Licensing Executives Society (U.S.A. and Canada), March 30, 2012.
Jiaqing "Jack" Lu
Date Posted: April 16, 2012
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