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JEL Code: C52
286,493 Total downloads
Showing Papers 201 - 250 of 1,697
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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, 201222 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, 201245 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, 201237 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, 201342 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, 201255 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, 20128 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, 2012180 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, 2013210 downloads
Bayesian Estimation of Dynamic Term Structure Models Under Restrictions on Risk Pricing
Michael D. Bauer
Date Posted: March 19, 201239 downloads
Exchange Rate Volatility and Export Performance: A Cointegrated VAR Approach Statistics Norway, Discussion Paper No. 522
Pal Boug and
Andreas Fagereng
Date Posted: March 19, 201242 downloads
Tactical Asset Allocation Using Relative Strength
John Lewis
Date Posted: March 19, 2012Last Revised: March 22, 2012865 downloads
Large Time-Varying Parameter VARs
Dimitris Korobilis and
Gary Koop
Date Posted: March 18, 201228 downloads
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model
Nima Nooshi
,
Young Shin Kim
,
Svetlozar Rachev
and
Frank J. Fabozzi
Date Posted: March 18, 2012135 downloads
Empirical Policy Functions as Benchmarks for Evaluation of Dynamic Capital Structure Models
Santiago Bazdresch
Date Posted: March 17, 201227 downloads
Market Integration and Small Stock Returns: A Co-Movement Analysis
Markus Glaser
and
Steffen Schaarschmidt
Date Posted: March 15, 2012Last Revised: October 30, 2012230 downloads
The Influence of the Year of the Dragon on Fertility of Chinese Malaysians: Cointegration and Variance Decomposition Analysis
Thirunaukarasu Subramaniam ,
Evelyn Shyamala Devadason and
Ahmad Zubaidi Baharumshah
Date Posted: March 15, 201235 downloads
DSGE Model-Based Forecasting FRB of New York Staff Report No. 554
Marco Del Negro and
Frank Schorfheide
Date Posted: March 09, 201281 downloads
Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (Lavar)
Jiahan Li
Date Posted: March 08, 201279 downloads
On Testing Theories of Financial Intermediary Portfolio Selection Review of Economic Studies, Vol. 47, No. 5, 1980
Ernst R. Berndt ,
Thomas H. McCurdy and
David Rose
Date Posted: March 08, 2012Last Revised: November 06, 20124 downloads
Variance Bounds on the Permanent and Transitory Components Of Stochastic Discount Factors Journal of Financial Economics, 2012
Gurdip Bakshi
Date Posted: March 06, 201223 downloads
Selection Bias in Innovation Studies: A Simple Test ZEW - Centre for European Economic Research Discussion Paper No. 12-012
Gaétan de Rassenfosse and
Annelies Wastyn
Date Posted: March 05, 201215 downloads
Endogenous Product Choice: A Progress Report CEPR Discussion Paper No. DP8862
George S. Crawford
Date Posted: March 01, 20121 downloads
Wealth, Credit Conditions and Consumption: Evidence from South Africa CEPR Discussion Paper No. DP8800
Janine Aron
and
John Muellbauer
Date Posted: March 01, 20122 downloads
Testing the Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis Journal of International Money and Finance, Vol. 3, p. 357, 1984
Allan Gregory
and
Thomas H. McCurdy
Date Posted: March 01, 20129 downloads
The Unbiasedness Hypothesis in the Forward Foreign Exchange Market: A Specification Analysis with Application to France, Italy, Japan, the United Kingdom and West Germany European Economic Review, Vol. 30, p. 365, 1986
Allan Gregory
and
Thomas H. McCurdy
Date Posted: March 01, 20125 downloads
Forecasting Economic Activity with Higher Frequency Targeted Predictors Bank of Italy Temi di Discussione (Working Paper) No. 847
Guido Bulligan ,
Massimiliano Giuseppe Marcellino and
Fabrizio Venditti
Date Posted: February 29, 201228 downloads
Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction International Journal of Forecasting, Forthcoming
Ana-Maria Fuertes and
Jose Olmo
Date Posted: February 29, 2012Last Revised: May 06, 201299 downloads
Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models Frontiers in Finance and Economics, Vol. 8, No. 2, pp. 49-88, 2011
Raúl De Jesús
and
Edgar Ortiz
Date Posted: February 29, 2012146 downloads
Bayesian Inference about the Types of Structural Breaks When There Are Different Breaks in Many Parameters
Yunjong Eo
Date Posted: February 27, 2012Last Revised: April 22, 201219 downloads
Forecasting Financial Statements Using Risk Management Associates Industry Data Business Education and Accreditation, Vol. 4, No. 1, pp. 123-134, 2012
Terrance Jalbert ,
James E. Briley
and
Mercedes Jalbert
Date Posted: February 26, 2012Last Revised: April 01, 2012161 downloads
Misspecification Testing in a Class of Conditional Distributional Models IZA Discussion Paper No. 6364
Christoph Rothe and
Dominik Wied
affiliation not provided to SSRN
and
University TU Dortmund
Date Posted: February 25, 201225 downloads
Investment Forecasting with Business Survey Data Bank of Italy Temi di Discussione (Working Paper) No. 832
Leandro D'Aurizio
and
Stefano Iezzi
Date Posted: February 24, 201229 downloads
Quantile Forecasts of Financial Returns Using Realized GARCH Models Japanese Economic Review, Vol. 63, Issue 1, pp. 68-80, 2012
Toshiaki Watanabe
Date Posted: February 20, 20122 downloads
Multivariate Rotated ARCH Models
Diaa Noureldin
,
Neil Shephard and
Kevin Sheppard
Date Posted: February 19, 2012330 downloads
Concept-Based Bayesian Model Averaging and Growth Empirics CentER Discussion Paper Series No. 2012-017
J.R. Magnus and
Wendun Wang
Date Posted: February 17, 201224 downloads
Identifying Fiscal Policy Shocks in Chile and Colombia
Jorge E. Restrepo
and
Hernan Rincon
Date Posted: February 15, 201223 downloads
Internet Search Behavior as an Economic Forecasting Tool: The Case of Inflation Expectations The Journal of Economic and Social Measurement, Vol. 36, No. 3, December 2011
Giselle Guzman
Date Posted: February 14, 2012Last Revised: October 31, 2012118 downloads
An Inflation Expectations Horserace
Giselle Guzman
Date Posted: February 14, 2012Last Revised: June 13, 201224 downloads
Opportunities for International Portfolio Diversification in the Balkans’ Markets International Journal of Economics and Research, Vol. 3i1, pp. 1-12, 2012
Dimitrios I. Dimitriou
and
Dimitris Kenourgios
Date Posted: February 14, 201241 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
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