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JEL Code: C15
366,415 Total downloads
Showing Papers 241 - 290 of 1,747
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Unit Root Bootstrap Tests Under Infinite Variance Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 32-47, 2012
Marta Moreno and
Juan Romo
affiliation not provided to SSRN
and
Universidad Carlos III de Madrid
Date Posted: December 28, 20112 downloads
Costs, Fees of Hedge Funds and Capital Flow
Ferhat Bilgin
,
Md Ehraz Refayet
and
Ahmed Mohamed Rostom
Date Posted: December 27, 201151 downloads
Nonparametric Inference Based on Conditional Moment Inequalities Cowles Foundation Discussion Paper No. 1840
Donald W. K. Andrews and
Xiaoxia Shi
Date Posted: December 19, 201117 downloads
A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns
Graham L. Giller
Date Posted: December 15, 201115 downloads
GMM Estimation of Fixed Effects Dynamic Panel Data Models with Spatial Lag and Spatial Errors CentER Discussion Paper No. 2011-134
Pavel Cizek
,
Jan P. A. M. Jacobs ,
Jenny E. Ligthart and
Hendrik Vrijburg
affiliation not provided to SSRN
Date Posted: December 12, 2011101 downloads
The Time-Varying Risk Return Tradeoff in the Long-Run
Sungjun Cho
Date Posted: December 08, 2011Last Revised: July 04, 201224 downloads
Quantile Mechanics II: Changes of Variables in Monte Carlo Methods and GPU-Optimized Normal Quantiles
William Thornton Shaw
,
Thomas Luu
and
Nick Brickman
affiliation not provided to SSRN
Date Posted: December 07, 201164 downloads
Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data Tinbergen Institute Discussion Paper No. 11-172/4
Monica Billio ,
Roberto Casarin ,
Francesco Ravazzolo and
H. K. van Dijk
Date Posted: December 05, 201125 downloads
How Expected Shortfall Can Simplify the Equally-Weighted Risk Contribution Portfolio
Stefano Colucci
Date Posted: December 05, 2011Last Revised: December 21, 2011347 downloads
Measuring Portfolio Credit Risk: Modelling Versus Calibration Errors BIS Quarterly Review
Nikola A. Tarashev
and
Haibin Zhu
Date Posted: December 02, 201123 downloads
Sources of Real Exchange Rate Volatility and International Financial Integration: A Dynamic GMM Panel Approach CESifo Working Paper Series No. 3645
Guglielmo Maria Caporale and
Christophe Rault
Date Posted: November 30, 201148 downloads
Validity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models
Bruno Remillard
Date Posted: November 30, 201167 downloads
Bootstrap for Shrinkage-Type Estimators
Adriana Cornea
Date Posted: November 29, 2011Last Revised: October 10, 201223 downloads
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models CIRANO - Scientific Publication No. 2011s-72
Luc Bauwens ,
Arnaud Dufays
and
J. V. K. Rombouts
Date Posted: November 29, 201152 downloads
A Risk Based Approach to Tactical Asset Allocation
Stefano Colucci
and
Dario Brandolini
Date Posted: November 28, 2011Last Revised: December 08, 20111167 downloads
Efficient High-Dimensional Importance Sampling in Mixture Frameworks
Tore Selland Kleppe
and
Roman Liesenfeld
Date Posted: November 26, 201134 downloads
Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Ludovic Dubrana
Date Posted: November 26, 201148 downloads
A Formalized Hybrid Portfolio Replication Technique Applied to Participating Life Insurance Portfolios
Ludovic Dubrana
Date Posted: November 25, 2011119 downloads
A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model
Ludovic Dubrana
Date Posted: November 25, 2011138 downloads
Reinterpretation of Solvency Capital Requirements Through an Analytical Formula
Ludovic Dubrana
Date Posted: November 25, 2011142 downloads
Credit Risk Modeling Through the Use of an Extended and Numerically Stable Version of CreditRisk and a Merton Model
Ludovic Dubrana
Date Posted: November 24, 2011166 downloads
Multivariate Autocontours for Specification Testing in Multivariate GARCH Models VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT ENGLE, Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson, eds., Chapter 11, pp. 213-230, Oxford University Press, January 2010
Gloria González-Rivera and
Emre Yoldas
Date Posted: November 23, 2011
American Option Pricing Using Simulation and Regression: Numerical Convergence Results
Lars Stentoft
Date Posted: November 22, 2011115 downloads
Fore-Shadowed: Where Rex Stout Got the Idea for Fer-De-Lance Green Bag Almanac and Reader, pp. 249-312, 2012, George Mason Law & Economics Research Paper No. 11-49
Ross E. Davies and
Cattleya M. Concepcion
Date Posted: November 22, 2011Last Revised: January 12, 201282 downloads
Measuring the Effects of Removing Subsidies for Private Insurance on Public Expenditure for Health Care Melbourne Institute Working Paper No. 26/11
Terence Chai Cheng
Date Posted: November 18, 2011Last Revised: December 02, 201159 downloads
Poverty Dynamics in Nairobi’s Slums: Testing for True State Dependence and Heterogeneity Effects CEPS/INSTEAD Working Paper No. 2011-56
Ousmane Faye
,
Nizamul Islam
and
Eliya Msiyaphazi Zulu
affiliation not provided to SSRN
and
African Population and Health Research Center (APHRC)
Date Posted: November 17, 201127 downloads
Calendar Anomalies in Stock Index Futures
Oscar Carchano
and
Ángel Pardo Tornero
Date Posted: November 13, 2011246 downloads
Two Practical Algorithms for Solving Rational Expectations Models FEDS Working Paper No. 2011-44
Flint Brayton
Date Posted: November 10, 201122 downloads
Affine Recursion Problem and a General Framework for Adjoint Methods for Calculating Sensitivities for Financial Instruments
Joerg Kienitz
and
Nikolai Nowaczyk
Date Posted: November 09, 201192 downloads
Robust Spectral Analysis
Andreas Hagemann
Date Posted: November 08, 201150 downloads
About the Non-Random Content of Financial Markets
Laurent Schoeffel
Date Posted: November 06, 201174 downloads
Factorial Moments in Complex Systems
Laurent Schoeffel
Date Posted: November 06, 201122 downloads
Ideas in Algorithmic Trading and System Modeling for Pedestrians
Laurent Schoeffel
Date Posted: November 06, 2011162 downloads
Intermittency in Quantitative Finance
Laurent Schoeffel
Date Posted: November 06, 201124 downloads
Returns in Futures Markets and v =3 t-Distribution
Laurent Schoeffel
Date Posted: November 06, 201124 downloads
Time Scales in Futures Markets and Applications
Laurent Schoeffel
Date Posted: November 05, 201145 downloads
An Irony of Electronics: On a Form or Two of Serious Legal Scholarship George Mason Law & Economics Research Paper No. 11-44, Journal of Law, Vol. 1, No. 2, pp. 219-222, 2011
Ross E. Davies
Date Posted: November 01, 201139 downloads
GMM Estimation and Uniform Subvector Inference with Possible Identification Failure Cowles Foundation Discussion Paper No. 1828
Donald W. K. Andrews and
Xu Cheng
Date Posted: October 28, 2011112 downloads
Statistical Methods for Modeling Home Values
Joseph Wadalawala
Date Posted: October 28, 201150 downloads
Liquidity Stress-Tester: Do Basel III and Unconventional Monetary Policy Work? De Nederlandsche Bank Working Paper No. 269
Jan Willem van den End
Date Posted: October 27, 201197 downloads
Efficient Semi-Analytical Simulation for Heston Model Forthcoming, Computational Economics
Xianming Sun
Date Posted: October 25, 2011Last Revised: April 19, 201327 downloads
An Evaluation of the Cross Entropy Method to Solve Vehicle Routing Problems Proceedings of the Latin-American Operations Research Workshop (TLAIO IV), November 2011
Edgar Possani ,
Marta Cabo Nodar
and
Carlos Herrera Musi
Date Posted: October 20, 201144 downloads
Affine Model of Inflation-Indexed Derivatives and Inflation Risk Premium
Hsiao-Wei Ho
,
Hongming Huang
and
Yildiray Yildirim
affiliation not provided to SSRN
,
National Central University at Taiwan
and
Syracuse University - Whitman School of Management
Date Posted: October 18, 2011Last Revised: November 12, 2012120 downloads
A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
Daniele Massacci
Date Posted: October 17, 2011Last Revised: November 10, 201129 downloads
Maximum Likelihood Estimation and Uniform Inference with Sporadic Identification Failure Cowles Foundation Discussion Paper No. 1824
Donald W. K. Andrews and
Xu Cheng
Date Posted: October 17, 2011142 downloads
Approximating Moments by Nonlinear Transformations, with an Application to Resampling from Fat-Tailed Distributions
Karim M. Abadir and
Adriana Cornea
Date Posted: October 15, 2011Last Revised: February 21, 201338 downloads
Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests [Extended Version] Journal of Business and Economic Statistics, Forthcoming
Ana-Maria Dumitru
and
Giovanni Urga
Date Posted: October 15, 2011139 downloads
Testing the Strategic Asset Allocation of Stabilization Sovereign Wealth Funds
Fabio Bertoni and
Stefano Lugo
Date Posted: October 15, 2011Last Revised: October 20, 2012122 downloads
CVA Implied Vol and Netting Arbitrage
Christian Kamtchueng
Date Posted: October 10, 2011Last Revised: November 12, 2012155 downloads
Assessing the Impact of the 2007 Tax Reform on Poverty and Inequality in Uruguay PEP MPIA Working Paper No. 2011-14
Cecilia Llambi
,
Silvia Laens
,
Marcelo Perera
and
Mery Ferrando
Date Posted: October 03, 201140 downloads
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