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SSRN eLibrary Statistics:

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Abstracts: 557,072
Full Text Papers: 459,876
Authors: 258,622
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  Last 12 months:
64,022

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To date: 77,424,413
Last 12 months: 9,695,516
Last 30 days: 665,628

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260,713
Total References: 9,009,750
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5,937,149
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  Footnotes:
89,535
Total Footnotes: 9,142,891


SSRN eLibrary Search Results
JEL Code: C32
512,010 Total downloads
Showing Papers 2,551 - 2,600 of 3,479
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Incl. Electronic Paper Macro News and Stock Returns in the Euro Area: A VAR-GARCH-in-Mean Analysis
DIW Berlin Discussion Paper No. 1399
Guglielmo Maria Caporale , Fabio Spagnolo and Nicola Spagnolo
Brunel University - Centre for Empirical Finance , Brunel University - Economics and Finance and Brunel University
Date Posted: July 30, 2014
Working Paper Series
1 downloads

The Effects of Oil and Gas Prices on Inflation and Interest Rates in India: Evidence from DCC-GARCH Model
Akash Malhotra and Shailesh Krishna
Indian Institute of Technology Bombay and Indian Institute of Technology (IIT), Bombay
Date Posted: July 28, 2014
Working Paper Series

Incl. Electronic Paper Cross-Market Spillovers with ‘Volatility Surprise’
Sofiane Aboura and Julien Chevallier
Université Paris-Dauphine - Centre de Recherches sur la Gestion (CEREG) and IPAG Business School
Date Posted: July 28, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Supply and Demand Shocks in the Oil Market and their Predictive Power
Avihai (Avi) Rapaport
University of Chicago - Booth School of Business
Date Posted: July 27, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Changing Point and Parameter Instability with Heteroskedastic Models
Mumtaz Ahmed , Gulfam Haider and Asad Zaman
Department of Management Sciences, COMSATS Institute of Information Technology Islamabad, Pakistan , International Islamic University, Islamabad and Pakistan Institute of Development Economics
Date Posted: July 27, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement
MIT Sloan Research Paper No. 5110-14
William B. Kinlaw , Mark Kritzman and David Turkington
State Street Global Exchange , Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: July 26, 2014
Working Paper Series
8 downloads

Incl. Fee Electronic Paper The Dynamic Relations between Market Returns and Two Types of Risk with Business Cycles
Financial Review, Vol. 49, Issue 3, pp. 593-618, 2014
Xiaoquan Jiang and Bong‐Soo Lee
Florida International University (FIU) - Department of Finance and Florida State University
Date Posted: July 26, 2014
Accepted Paper Series

Incl. Electronic Paper A Bayesian Midas Approach to Modeling First and Second Moment Dynamics
Davide Pettenuzzo , Allan G. Timmermann and Rossen I. Valkanov
Brandeis University - Department of Economics , University of California, San Diego (UCSD) - Department of Economics and University of California, San Diego (UCSD) - Rady School of Management
Date Posted: July 26, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper High Dimensional Dynamic Stochastic Copula Models
Chicago Booth Research Paper No. 14-25
Drew D. Creal and Ruey S. Tsay
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: July 25, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper Crime, Employment and Social Welfare: An Individual-Level Study on Disadvantaged Males
Tinbergen Institute Discussion Paper 14-091/III
Geert Mesters , Victor van der Geest and Catrien Bijleveld
VU University Amsterdam - Faculty of Economics and Business Administration , VU University Amsterdam and University of Amsterdam - Faculty of Law
Date Posted: July 23, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
CESifo Working Paper Series No. 4881
Guglielmo Maria Caporale , Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance , Brunel University - Economics and Finance Department and Brunel University
Date Posted: July 23, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Are Bad Times Good News for the Securities and Exchange Commission?
Working Paper of the Max Planck Institute for Tax Law and Public Finance No. 2014-11
Christian J. Thomann
Leibniz University Hannover
Date Posted: July 22, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Feasibility Investigation of a Unified Trend-Stationarity Constrained-Autoregressive Test
Shlomo Zilca
Tel Aviv University, Faculty of Management
Date Posted: July 22, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Estimation of the Hurst Exponent by Randomizing Portfolio Coefficients
Aram Gushchyan
Russian Academy of National Economy and Public Administration under the President of the Russian Federation
Date Posted: July 21, 2014
Working Paper Series
36 downloads

Environmental Kuznets Curve for CO2 Emission in Mongolia: An Empirical Analysis
AHMED, K., & Qazi, A. Q. (2014). Environmental Kuznets Curve for CO2 Emission in Mongolia: An Empirical Analysis. Management of Environmental Quality: An International Journal, 25(4), 10-10.
Khalid Ahmed
Sukkur Institute of Business Administration
Date Posted: July 19, 2014
Accepted Paper Series

Environmental Kuznets Curve and Pakistan: An Empirical Analysis
Ahmed, K., & Long, W. (2012). Environmental Kuznets curve and Pakistan: an empirical analysis. Procedia Economics and Finance, 1, 4-13.
Khalid Ahmed
Sukkur Institute of Business Administration
Date Posted: July 19, 2014
Accepted Paper Series

Incl. Electronic Paper The Relative Risk Performance of Islamic Finance: A New Guide to Less Risky Investments
Haitham A Al-Zoubi and Aktham Issa Maghyereh
Social Security and Hashemite University - Department of Finance and Banking
Date Posted: July 15, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Testing for Granger Causality with Mixed Frequency Data
Eric Ghysels , Jonathan B. Hill and Kaiji Motegi
University of North Carolina Kenan-Flagler Business School , University of North Carolina (UNC) at Chapel Hill – Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Date Posted: July 14, 2014
Working Paper Series
7 downloads

Structural Breaks in Volatility Spillovers between International Financial Markets: Contagion or Mere Interdependence?
Journal of Banking and Finance, Forthcoming
Robert Maderitsch and Robert Jung
University of Hohenheim - Faculty of Business, Economics and Social Sciences and University of Hohenheim - Institute of Economics
Date Posted: July 12, 2014
Accepted Paper Series

Incl. Electronic Paper Wide Volatility Spillover Networks
Yoel Furman
University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: July 11, 2014
Last Revised: July 18, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Debt Dynamics and Monetary Policy: A Note
Sveriges Riksbank Working Paper Series No. 283, Riksbank Research Paper Series No. 114
Stefan Laseen and Ingvar Strid
Sveriges Riksbank - Monetary Policy Department and Sveriges Riksbank
Date Posted: July 09, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Systemic Risk Measures and their Viability for Banking Supervision
Benjamin Döring , Claudio Nicolai Wewel and Thomas Hartmann-Wendels
University of Cologne , University of Cologne and University of Cologne - Department of Banking
Date Posted: July 09, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Estimating the Expected Duration of the Zero Lower Bound in DSGE Models with Forward Guidance
UNSW Australian School of Business Research Paper No. 2014-32
Mariano Kulish , James Morley and Tim Robinson
University of New South Wales (UNSW) , University of New South Wales and University of Melbourne - Melbourne Institute of Applied Economic and Social Research (MIAESR)
Date Posted: July 07, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Size and Power of Diagnostic Tests for Asymmetric Garch-Type Models
Prabhath Jayasinghe and Albert K.C. Tsui
University of Colombo - Department of Business Economics and National University of Singapore (NUS) - Department of Economics
Date Posted: July 07, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Melting Down: Systemic Financial Instability and the Macroeconomy
Philipp Hartmann , Kirstin Hubrich , Manfred Kremer and Robert J. Tetlow
European Central Bank (ECB) , European Central Bank - Research Department , European Central Bank (ECB) and Federal Reserve Board
Date Posted: July 06, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The International Dimension of Confidence Shocks
ECB Working Paper No. 1669
Stephane Dees and Jochen Guntner
European Central Bank (ECB) and Johannes Kepler University
Date Posted: July 03, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper The Stock Market, the Real Economy and Contagion
Dirk G. Baur and Isaac Miyakawa
University of Technology Sydney (UTS) - School of Finance and Economics and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: July 03, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Effect of Broker-Dealers to Macroeconomic Variables – The Role of Broker-Dealers in a TVP VAR Setting
Attila Acs
Independent
Date Posted: June 30, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Modelling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas
Mario Cerrato , John Crosby , Minjoo Kim and Yang Zhao
London Metropolitan University - Department of Economics, Finance and International Business (EFIB) , University of Glasgow , University of Glasgow and University of Glasgow - Adam Smith Business School
Date Posted: June 30, 2014
Working Paper Series
36 downloads

Incl. Electronic Paper Global Financial Crisis and International Stock Market Co-Movements: An Empirical Study
Kirti Khanna and Nidhi Sharma
NIMS University and Dayalbagh Educational Institute
Date Posted: June 29, 2014
Last Revised: June 30, 2014
Working Paper Series
5 downloads

Incl. Electronic Paper Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
DIW Berlin Discussion Paper No. 1395
Guglielmo Maria Caporale and Marinko Skare
Brunel University - Centre for Empirical Finance and Juraj Dobrila University of Pula
Date Posted: June 28, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach
DIW Berlin Discussion Paper No. 1394
Guglielmo Maria Caporale , Faek Menla Ali and Nicola Spagnolo
Brunel University - Centre for Empirical Finance , Brunel University - Economics and Finance Department and Brunel University
Date Posted: June 28, 2014
Working Paper Series
12 downloads

Incl. Electronic Paper Exchange Rate Pass-Through in Russia
Yuriy Ponomarev , Pavel Trunin and Alexei Uluykaev
Russian Presidential Academy of National Economy and Public Administration (RANEPA) , Gaidar Institute for Economic Policy and Ministry of Economic Development of the Russian Federation
Date Posted: June 27, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper Theory and Practice of GVAR Modeling
CESifo Working Paper Series No. 4807
Alexander Chudik and M. Hashem Hashem Pesaran
Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California
Date Posted: June 24, 2014
Working Paper Series
37 downloads

Incl. Electronic Paper Asymmetry in Tail Dependence of Equity Portfolios
Eric Jondeau
University of Lausanne
Date Posted: June 24, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper New HEAVY Models for Fat-Tailed Returns and Realized Covariance Kernels
Tinbergen Institute Discussion Paper 14-073/IV
Pawel Janus , Andre Lucas and Anne Opschoor
VU University Amsterdam , VU University Amsterdam - Faculty of Economics and Business and VU University Amsterdam
Date Posted: June 24, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Credit Growth, Monetary Policy, and Economic Activity in a Three-Regime TVAR Model
BIS Working Paper No. 449
Stefan Avdjiev and Zheng Zeng
Bank for International Settlements (BIS) and Bowling Green State University, Department of Economics
Date Posted: June 23, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area
Tinbergen Institute Discussion Paper 14-071/III
Geert Mesters , Bernd Schwaab and Siem Jan Koopman
VU University Amsterdam - Faculty of Economics and Business Administration , European Central Bank (ECB) - Directorate General Research and VU University Amsterdam
Date Posted: June 21, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Time Varying Transition Probabilities for Markov Regime Switching Models
Tinbergen Institute Discussion Paper 14-072/III
Marco Bazzi , Francisco Blasques , Siem Jan Koopman and Andre Lucas
University of Padova , VU University Amsterdam , VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Date Posted: June 20, 2014
Working Paper Series
11 downloads

Incl. Electronic Paper VAR Estimation with the Adaptive Elastic Net
Yoel Furman
University of Oxford - Oxford-Man Institute of Quantitative Finance
Date Posted: June 20, 2014
Working Paper Series
10 downloads

Incl. Electronic Paper Structural Vector Autoregressions with Smooth Transition in Variances: The Interaction between U.S. Monetary Policy and the Stock Market
DIW Berlin Discussion Paper No. 1388
Helmut Luetkepohl and Aleksei Netsunajev
German Institute for Economic Research (DIW Berlin) and Free University of Berlin (FUB)
Date Posted: June 19, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Contagion Analysis in the Banking Sector
Serge Darolles , Simon Dubecq and Christian Gourieroux
Université Paris-Dauphine - DRM-CEREG , Banque de France and University of Toronto - Department of Economics
Date Posted: June 19, 2014
Working Paper Series
31 downloads

Incl. Electronic Paper Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence
Matthew Ames , Gareth William Peters , Guillaume Bagnarosa and Ioannis Kosmidis
Department of Statistical Science, University College London , University College London , Molinero Capital ManagementUniversity College London and Department of Statistical Science, University College London
Date Posted: June 18, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Convergence and Risk-Return Linkages Across Financial Service Firms
Journal of Banking & Finance 31 (2007) 1167–1190, Fox School of Business Research Paper,
Elyas Elyasiani , Iqbal Mansur and Michael S. Pagano
Temple University - Department of Finance , Widener University - School of Business Administration and Villanova University - Villanova School of Business
Date Posted: June 17, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?
CAMA Working Paper No. 46/2014
Varang Wiriyawit and Benjamin Wong
Australian National University and Reserve Bank of New Zealand
Date Posted: June 14, 2014
Last Revised: June 16, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper A Quadratic Kalman Filter
Banque de France Working Paper No. 486
Alain Monfort , Jean-Paul Renne and Guillaume Roussellet
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) , Banque de France and Banque de France
Date Posted: June 13, 2014
Working Paper Series
8 downloads

An Empirical Examination of the Process of Information Transmission in India's Agriculture Futures Markets
Forthcoming in Journal of Quantitative Economics (New Series)
Sanjay Sehgal , Wasim Ahmad and Florent Deisting
University of Delhi - Department of Financial Studies , University of Delhi - Department of Financial Studies and ESC PAU
Date Posted: June 13, 2014
Accepted Paper Series

Incl. Electronic Paper Are the Effects of Oil Price and Exchange Rate Volatilities on Exports Linear? Evidence from African Countries
Halima Jibril and Kausik Chaudhuri
Leeds University Business School and University of Leeds - Leeds University Business School (LUBS)
Date Posted: June 11, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets
Monica Billio , Roberto Casarin and Ayokunle Anthony Osuntuyi
Ca Foscari University of Venice - Department of Economics , University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice
Date Posted: June 10, 2014
Working Paper Series
19 downloads

Incl. Electronic Paper Inflation Expectations and How It Explains the Inflationary Impact of Oil Price Shocks: Evidence from the Michigan Survey
CAMA Working Paper No. 45/2014
Benjamin Wong
Reserve Bank of New Zealand
Date Posted: June 10, 2014
Last Revised: June 11, 2014
Working Paper Series
6 downloads


 

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