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SSRN eLibrary Search Results
JEL Code: C15
528,317 Total downloads
Showing Papers 241 - 290 of 2,305
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Incl. Electronic Paper Proxy Svars: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States
FRB of Cleveland Working Paper No. 16-19
Carsten Jentsch and Kurt Graden Lunsford
University of Mannheim and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: September 18, 2016
Accepted Paper Series
1 downloads

Incl. Electronic Paper Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach
Hayette Gatfaoui
IESEG School of Management
Date Posted: September 15, 2016
Working Paper Series
73 downloads

Incl. Electronic Paper The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Daniel Buncic and Katja I. M. Gisler
University of St. Gallen and University of St. Gallen
Date Posted: September 09, 2016
Last Revised: September 13, 2016
Working Paper Series
32 downloads

Shrinkage Estimation in the Random Parameters Logit Model
Open Journal of Statistics, 2016, 6, 667-674
Tong Zeng and R. Carter Hill
University of La Verne-Department of Applied Business Sciences and Economics and Louisiana State University, Baton Rouge - Department of Economics
Date Posted: September 09, 2016
Accepted Paper Series

Incl. Electronic Paper Tempered Particle Filtering
FEDS Working Paper No. 2016-072
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Date Posted: September 08, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Риски Взаимоотношений Государства и Дотируемых Компаний: Агентская Проблема (Risks of Relations of the State and the Subsidized Companies: Agency Problem)
Management accounting and finance
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: September 06, 2016
Working Paper Series
59 downloads

Incl. Electronic Paper Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: September 02, 2016
Last Revised: September 14, 2016
Working Paper Series
113 downloads

Incl. Electronic Paper A Network Framework of Investigating Systemic Risk in Zonal Energy Markets
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey and Luigi Grossi
Leuphana University of Lueneburg, Boston University - Department of Mathematics and Statistics and University of Verona - Department of Economics
Date Posted: September 02, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Simulation in the Real World
Russell Colm Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Bank of America Merrill Lynch
Date Posted: August 31, 2016
Working Paper Series
62 downloads

Incl. Electronic Paper Performance of Technical Trading Rules: Evidence from the Crude Oil Market
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, University of Liverpool - Management School (ULMS), University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and University of Glasgow
Date Posted: August 31, 2016
Working Paper Series
96 downloads

Incl. Electronic Paper An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios
Guojun Gan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut
Date Posted: August 29, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-Ratio Test Statistics
Barbora Pestova and Michal Pesta
The Czech Academy of Sciences, Institute of Computer Science and Charles University in Prague, Faculty of Mathematics and Physics
Date Posted: August 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Rom Simulation with Exact Means, Covariances, and Multivariate Skewness
Michael Hanke, Spiridon Penev, Wolfgang Schief and Alex Weissensteiner
University of Liechtenstein, University of New South Wales (UNSW) - School of Mathematics, University of New South Wales (UNSW) - School of Mathematics and Statistics and Free University of Bolzano/Bozen
Date Posted: August 11, 2016
Working Paper Series
19 downloads

Statistical Considerations in Computer Simulation: The State of the Art
Journal of Statistical Computation and Simulation, Vol. 19(3), pp. 237-263, 1984
Linda Weiser Friedman and Hershey H. Friedman
Baruch College, CUNY - Zicklin School of Business and City University of New York (CUNY) - Department of Business Management
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Electronic Paper Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem
Emlyn James Flint and Eben Mare
Peregrine Securities and Independent
Date Posted: August 04, 2016
Working Paper Series
66 downloads

Incl. Electronic Paper A Gentle Introduction to Default Risk and Counterparty Credit Modelling
Laura Ballotta, Gianluca Fusai and Marina Marena
City University London - Sir John Cass Business School, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Date Posted: August 01, 2016
Working Paper Series
556 downloads

Incl. Electronic Paper Where to Hide in Bad Times: Or Should One Still Diversify Internationally?
Rotman School of Management Working Paper No. 2812623
Redouane Elkamhi and Denitsa Stefanova
University of Toronto - Rotman School of Management and Luxembourg School of Finance
Date Posted: July 25, 2016
Working Paper Series
37 downloads

Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Date Posted: July 19, 2016
Last Revised: July 28, 2016
Working Paper Series
76 downloads

Incl. Electronic Paper Mortality Effects of Temperature Changes in the United Kingdom
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and Monash University - Department of Econometrics & Business Statistics
Date Posted: July 18, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Missing Observations on a Variable: When Do the Listwise Deletion and Indicator Approaches Work?
Mahdiyeh Entezarkheir
University of Western Ontario - Huron University College
Date Posted: July 16, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Volatility Estimation and Jump Testing via Realized Information Variation
Weiyi Liu and Mingjin Wang
Capital University of Economics and Business - School of Finance and Peking University - Guanghua School of Management
Date Posted: July 14, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Efficient Simulation of High Dimensional Gaussian Vectors
Nabil Kahalé
ESCP Europe
Date Posted: July 14, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Empirical Validation of Simulated Models through the GSL-div: An Illustrative Application
LEM Working Paper Series, 2016/18
Francesco Lamperti
Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM
Date Posted: July 12, 2016
Working Paper Series
17 downloads

Incl. Electronic Paper Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
David Ardia, Anas Guerrouaz and Jeanne Rey
University of Neuchatel - Institute of Financial Analysis, Laval University - Département de Finance et Assurance and National Bank of Canada
Date Posted: July 09, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Credit Exposure in the Presence of Initial Margin
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Date Posted: July 08, 2016
Last Revised: August 18, 2016
Working Paper Series
232 downloads

Incl. Electronic Paper Estimation and Inference with a (Nearly) Singular Jacobian
Sukjin Han and Adam McCloskey
University of Texas at Austin - Department of Economics and Brown University - Department of Economics
Date Posted: July 08, 2016
Working Paper Series
8 downloads

Testing Identifying Assumptions in Regression Discontinuity Designs
Yu‐Chin Hsu, Ismael Mourifie and Yuanyuan Wan
Academia Sinica, University of Toronto - Department of Economics and University of Toronto - Department of Economics
Date Posted: July 06, 2016
Working Paper Series

Incl. Electronic Paper What is a Complex Innovation System?
Katz JS (2016) What Is a Complex Innovation System? PLoS ONE 11(6): e0156150. doi:10.1371/journal.pone.0156150
Sylvan Katz
University of Sussex - Science and Technology Policy Research Unit (SPRU)
Date Posted: July 02, 2016
Accepted Paper Series
13 downloads

Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap Approach
J. Hambuckers and C. Heuchenne. Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap approach. Journal of Forecasting, 34 (4): 347-372, 2016.
Julien Hambuckers and Cedric Heuchenne
HEC-ULg University of Liège and University of Liege - HEC Management School
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Electronic Paper Thirty Years of Conflict and Economic Growth in Turkey: A Synthetic Control Approach
LEQS Paper No. 112
Firat Bilgel and Burhan Can Karahasan
Okan University and Okan University
Date Posted: June 30, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Taking the One-Year Change from Another Angle
Michel M. Dacorogna, Alessandro Ferriero and David Krief
DEAR-Consulting, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Date Posted: June 25, 2016
Working Paper Series
46 downloads

Incl. Electronic Paper Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?
Bundesbank Discussion Paper No. 46/2015
Philipp Koziol, Carmen Schell and Meik Eckhardt
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
32 downloads

Incl. Electronic Paper Many a Little Makes a Mickle: Macro Portfolio Stress Test for Small and Medium-Sized German Banks
Bundesbank Discussion Paper No. 23/2015
Ramona Busch, Philipp Koziol and Marc Mitrovic
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Calculating Trading Book Capital: Is Risk Separation Appropriate?
Bundesbank Discussion Paper No. 19/2015
Peter Raupach
Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Centrality-Based Capital Allocations
Bundesbank Discussion Paper No. 03/2015
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Stress Testing German Banks Against a Global Cost-of-Capital Shock
Bundesbank Discussion Paper No. 04/2012
Klaus Duellmann and Thomas K. Kick
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
Energy Policy, Forthcoming
Dean Fantazzini
Date Posted: June 20, 2016
Accepted Paper Series
41 downloads

Incl. Electronic Paper The Great Gatsby Curve Revisited - Understanding the Relationship Between Inequality and Intergenerational Mobility
Yonatan Berman
Tel Aviv University
Date Posted: June 17, 2016
Last Revised: August 13, 2016
Working Paper Series
34 downloads

Incl. Electronic Paper Stochastic Weighted Graphs: Flexible Model Specification and Simulation
Political Networks Workshops & Conference 2016
James David Wilson, Matthew James Denny, Shankar Bhamidi, Skyler J. Cranmer and Bruce A. Desmarais
University of San Francisco, Pennsylvania State University, University of North Carolina (UNC) at Charlotte, Ohio State University (OSU) - Department of Political Science and Pennsylvania State University
Date Posted: June 15, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Estimating Quarterly Indicators of Economic Activity for the States of the Eastern Caribbean Currency Union
Central Bank of Barbados WP/15/7
Shane R. Lowe and Tiffany Grosvenor
University of Glasgow, Faculty of Social Sciences, Department of Economics, Students and Central Bank of Barbados
Date Posted: June 14, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Inference with Correlated Clusters
RAND Working Paper Series WR- 1137
David Powell
RAND Corporation
Date Posted: June 11, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Risk Premium of Social Media Sentiment
Patrick Houlihan and Germán G. Creamer
Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: June 09, 2016
Working Paper Series
92 downloads

Incl. Electronic Paper Systemic Risk Contributions: A Credit Portfolio Approach
Bundesbank Series 2 Discussion Paper No. 2011,08
Klaus Duellmann and Natalia Puzanova
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 08, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper A Solution to the Problem of Too Many Instruments in Dynamic Panel Data GMM
Bundesbank Series 1 Discussion Paper No. 2009,31
Jens Mehrhoff
affiliation not provided to SSRN
Date Posted: June 08, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Stress Testing German Banks in a Downturn in the Automobile Industry
Bundesbank Series 2 Discussion Paper No. 2009,02
Klaus Duellmann and Martin Erdelmeier
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 08, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?
Bundesbank Series 2 Discussion Paper No. 2008,14
Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg and Oesterreichische Nationalbank (OeNB)
Date Posted: June 08, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Panel Estimation of State Dependent Adjustment When the Target is Unobserved
Bundesbank Series 1 Discussion Paper No. 2008,09
Ulf von Kalckreuth
Deutsche Bundesbank - Economic Research Centre
Date Posted: June 08, 2016
Working Paper Series

Incl. Electronic Paper The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market
Bundesbank Series 2 Discussion Paper No. 2008,09
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: June 08, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Asset Correlations and Credit Portfolio Risk: An Empirical Analysis
Bundesbank Series 2 Discussion Paper No. 2007,13
Klaus Duellmann, Martin Scheicher and Christian Schmieder
Deutsche Bundesbank, European Central Bank (ECB) and International Monetary Fund (IMF)
Date Posted: June 08, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Empirical Risk Analysis of Pension Insurance: The Case of Germany
Bundesbank Series 2 Discussion Paper No. 2006,07
Wolfgang Gerke, Ferdinand Mager, Timo Reinschmidt and Christian Schmieder
University of Erlangen-Nuernberg, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and International Monetary Fund (IMF)
Date Posted: June 08, 2016
Working Paper Series
5 downloads


 

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