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SSRN eLibrary Search Results
JEL Code: C15
463,287 Total downloads
Showing Papers 241 - 290 of 2,103
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Incl. Electronic Paper Change Point and Trend Analyses of Annual Expectile Curves of Tropical Storms
Petra Burdejova , Wolfgang K. Härdle , Piotr Kokoszka and Q. Xiong
Humboldt University of Berlin - School of Business and Economics , Humboldt University of Berlin - Institute for Statistics and Econometrics , Utah State University - Department of Mathematics & Statistics and Humboldt University of Berlin
Date Posted: July 03, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Pratik Ramprasad
Department of Statistics, Rutgers University
Date Posted: June 30, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Performance of Alternative Price Forecast for Pakistan
Forman Journal of Economic Studies Vol. 8, 2012 (January–December) pp. 31-61,
Yasser Javed and Eatzaz Ahmad
Federal Urdu University of Arts, Science and Technology Islamabad, Students and Quaid-e-Azam University
Date Posted: June 29, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
Furkan Emirmahmutoglu , Rangan Gupta , Stephen M. Miller and Tolga Omay
Gazi University , University of Pretoria - Department of Economics , University of Nevada, Las Vegas - Department of Economics and Cankaya University
Date Posted: June 28, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Estimation of VAR Using Copula and Extreme Value Theory
Multinational Finance Journal, Vol. 12, No. 3/4, p. 205-218, 2008
Luiz Koodi Hotta , Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics , Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Date Posted: June 26, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Asymmetric Return and Volatility Responses to Composite News from Stock Markets
Multinational Finance Journal, Vol. 11, No. 3/4, p. 179-210, 2007
Thomas Chinan Chiang , Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance , Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Date Posted: June 26, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Higher-Order Terms in Bivariate Returns to International Stock Market Indices
Multinational Finance Journal, Vol. 12, No. 1/2, p. 127-155, 2008
Kirt C. Butler and Katsushi Okada
Michigan State University and Michigan State University
Date Posted: June 26, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application
Multinational Finance Journal, Vol. 13, No. 3/4, p. 293-321, 2009
James McDonald , Richard A. Michelfelder and Panayiotis Theodossiou
Brigham Young University - Department of Economics , Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Date Posted: June 26, 2015
Accepted Paper Series
13 downloads

Incl. Electronic Paper Heterogeneous Basket Options Pricing Using Analytical Approximations
Multinational Finance Journal, Vol. 15, No. 1/2, p. 47-85, 2011
Georges Dionne , Geneviève Gauthier , Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance , HEC Montreal - Department of Management Sciences , IESEG School of Management and York University - Atkinson School of Administrative Studies
Date Posted: June 25, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral
ECB Working Paper No. 1793
alvise lennkh and Florian Walch
European Stability Mechanism and European Central Bank (ECB)
Date Posted: June 23, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Kernel Estimation of Copula Densities and Applications
Song LI and Param Silvapulle
Monash University - Faculty of Business and Economics and Monash University - Department of Econometrics & Business Statistics
Date Posted: June 20, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes
Roman Liesenfeld , Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics , University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Date Posted: June 11, 2015
Last Revised: June 16, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Stock Price Kinetics
Rodion Remorov
Independent
Date Posted: June 09, 2015
Working Paper Series
47 downloads

Incl. Electronic Paper Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
Imma Valentina Curato
University of Ulm
Date Posted: June 07, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Timing Law School (Presentation Slides)
Michael Simkovic and Frank McIntyre
Seton Hall Law School and Rutgers Business School Newark and New Brunswick
Date Posted: June 01, 2015
Last Revised: June 02, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper The Econometrics of Networks: A Review
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2015
Daniel Felix Ahelegbey
Ca Foscari University of Venice - Department of Economics
Date Posted: May 30, 2015
Working Paper Series
176 downloads

Incl. Electronic Paper Can Social Media and the Options Market Predict the Stock Market Behavior?
Patrick Houlihan and Germán Creamer, “Can social media and the options market predict the stock market behavior?” in Proceedings of the 21st International Conference on Computing in Economics and Finance, Taipei, June 2015, Forthcoming,
Patrick Houlihan and Germán G. Creamer
Stevens Institute of Technology and Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: May 29, 2015
Working Paper Series
53 downloads

Incl. Electronic Paper Comparing the Homogeneity of Income Distributions Using Polarization Indices
CIRPEE Working Paper 15-12
André-Marie Taptue
Laval University
Date Posted: May 27, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Comparing the Size of the Middle Class Using the Alienation Component of Polarization
CIRPEE Working Paper 15-11
André-Marie Taptue
Laval University
Date Posted: May 27, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model
Patrik Karlsson , Shashi Jain and Cornelis W. Oosterlee
Lund University , Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: May 27, 2015
Last Revised: June 01, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Estimation Method for Dynamic Equilibrium Models of Firm Dynamics
Kazufumi Yamana
Hitotsubashi University - Graduate School of Economics
Date Posted: May 26, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach
Alexander F. Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading
Date Posted: May 23, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors
Humberto Moreira and Marcelo J. Moreira
Fundacao Getulio Vargas (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Date Posted: May 22, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?
Reserve Bank of New Zealand Discussion Paper 2015/02
Varang Wiriyawit and Benjamin Wong
Australian National University and Reserve Bank of New Zealand
Date Posted: May 18, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Valoración De Derivados Europeos Con Mixtura De Distribuciones Weibull (Valuation for European Derivatives with Mixture-Weibull Distributions)
Cuadernos de Economía, Vol. 34, No. 65, 279-298. doi: 10.15446/cuad.econ.v34n65.48656 ,
Andrés Mauricio Molina and José Alfredo Jiménez Moscoso
National University of Colombia and National University of Colombia
Date Posted: May 16, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Modelling Annuity Portfolios and Longevity Risk with Extended CreditRiskPlus
Jonas Hirz , Uwe Schmock and Pavel V. Shevchenko
TU Wien , TU Wien and Government of the Commonwealth of Australia - CSIRO (Commonwealth Scientific and Industrial Research Organisation)
Date Posted: May 15, 2015
Last Revised: May 29, 2015
Working Paper Series
30 downloads

Incl. Electronic Paper Investigating the Results: A Criminologists Licensure Exam Study
Adrian Tamayo
University of Mindanao - Research and Publication Center
Date Posted: May 12, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Geographies of Violence: A Spatial Analysis of Five Types of Homicide in Brazil's Municipalities
Kellogg Institute for International Studies, Working Paper Series: #405
Matthew C. Ingram and Marcelo Marchesini da Costa
SUNY Albany and SUNY University at Albany
Date Posted: May 10, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper The Application of Affine Processes in Multi-Cohort Mortality Model
UNSW Business School Research Paper No. 2015ACTL13
Yajing Xu , Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies , University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: May 07, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Monte-Carlo Payoff-Smoothing for Pricing Autocallable Instruments
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
Date Posted: May 05, 2015
Last Revised: June 09, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Time Series Analysis for Big Data: Evaluating Bayesian Structural Time Series Using Electricity Prices
Nicole Ludwig , Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: May 05, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox
Tinbergen Institute Discussion Paper 13-055/III
Roberto Casarin , Stefano Grassi , Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics , University of Aarhus - CREATES , Norges Bank and Tinbergen Institute
Date Posted: May 04, 2015
Working Paper Series
268 downloads

Stress Testing: Un Modello Di Simulazione Stocastica E Un Confronto Con L’Esercizio EBA/BCS 2014 (Stress Testing: A Stochastic Simulation Model and a Comparison with 2014 EBA/BCE Exercise)
Bancaria No. 02-15
Giuseppe Montesi , Pasquale Nicastro and Giovanni Papiro
School of Economics and Management - University of Siena , Banca Monte Del Paschi de Siena (MPS) and Banca Monte Del Paschi de Siena (MPS)
Date Posted: April 29, 2015
Accepted Paper Series

Incl. Electronic Paper Models of Complex Adaptive Systems in Strategy and Organization Research
Mind & Society, special issue on "Complexity Modeling in Social Science and Economics", Forthcoming
Oliver Baumann
University of Southern Denmark - Strategic Organization Design Unit (SOD)
Date Posted: April 29, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Option Pricing and Hedging for Regime-Switching Geometric Brownian Motion Models
Bruno Remillard and Sylvain Rubenthaler
HEC Montreal and Université de Nice Sophia Antipolis
Date Posted: April 27, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Why Risk Is So Hard to Measure
Jon Danielsson and Chen Zhou
London School of Economics - Systemic Risk Centre and De Nederlandsche Bank
Date Posted: April 23, 2015
Working Paper Series
263 downloads

Incl. Electronic Paper Multivariate Lévy Models by Linear Combination: Estimation
Angela Loregian , Laura Ballotta and Gianluca Fusai
SYMMYS , City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Date Posted: April 21, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Benchmarking UK Mutual Fund Performance: The Random Portfolio Experiment

Andrew Clare , Niall O'Sullivan and Meadhbh Sherman
City University London - Sir John Cass Business School , University College Cork (UCC) - Department of Economics and University College Cork
Date Posted: April 21, 2015
Accepted Paper Series
32 downloads

Incl. Electronic Paper Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: April 17, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks
Dimitri O. Ledenyov and Viktor O. Ledenyov Sr.
James Cook University, Townsville, Australia and V. N. Karazin Kharkov National University
Date Posted: April 15, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Welfare Gains of the Poor: An Endogenous Bayesian Approach with Spatial Random Effects
Andres Ramirez Hassan and Santiago Montoya Blandón
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Date Posted: April 15, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Speeding Up MCMC by Efficient Data Subsampling
Riksbank Research Paper Series No. 121, Sveriges Riksbank Working Paper Series No. 297
Matias Quiroz , Mattias Villani and Robert Kohn
Sveriges Riksbank - Research Division , Linkoping University and University of New South Wales - School of Economics and School of Banking and Finance
Date Posted: April 14, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Impact of Soda Taxes on Consumer Welfare: Implications of Storability and Taste Heterogeneity
RAND Journal of Economics, Forthcoming
Emily Yucai Wang
University of Massachusetts Amherst
Date Posted: April 09, 2015
Accepted Paper Series
18 downloads

Incl. Electronic Paper Advanced Idiosyncratic Risk and Multi-Factor Models
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg LP
Date Posted: April 07, 2015
Working Paper Series
70 downloads

Incl. Electronic Paper Investigating the Impact of Customer Stochasticity on Firm Price Discrimination Strategies Using a New Bayesian Mixture Scale Heterogeneity Model
Joseph Pancras , Xia Wang and Dipak K. Dey
University of Connecticut - Department of Marketing , University of Cincinnati and University of Connecticut
Date Posted: April 04, 2015
Last Revised: April 07, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes
Michele Bergamelli , Jan Novotny and Giovanni Urga
City University London - Sir John Cass Business School , City University London - Faculty of Finance and Cass Business School, Faculty of Finance, London
Date Posted: April 03, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Time-Series Linkages between US Fiscal Policy and Asset Prices
Ghassen El Montasser , Rangan Gupta , Charl Jooste and Stephen M. Miller
University of Manouba , University of Pretoria - Department of Economics , Government of the Republic of South Africa - South Africa National Treasury and University of Nevada, Las Vegas - Department of Economics
Date Posted: April 02, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Pricing JSE Exotic Can-Do Options: Monte Carlo Simulation
Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Date Posted: April 01, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper Анализ Рисков Инвестиционного Проекта (Risk Analysis of the Investment Project)
Vigen Babkenovich Minasyan and Mikhail Alexandrovich Limitovskiy
Russian Presidential Academy of National Economy and Public Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: March 31, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Возникновение Кризисных Явлений Как Фазовый Переход в Процессе Формирования Рыночного Портфеля. Взгляд С Точки Зрения Теории Марковица и CAPM (Emergence of the Crisis Phenomena as Phase Transition in the Course of Formation of a Market Portfolio. A Look from the Point of View of Markowitz's Theory and CAPM)
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: March 31, 2015
Working Paper Series
5 downloads


 

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