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JEL Code: C22
540,487 Total downloads
Showing Papers 2,601 - 2,650 of 3,444
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A Comprehensive Analysis of the Short-Term Interest Rate Dynamics
Turan G. Bali and
Liuren Wu
Date Posted: April 15, 2005599 downloads
Testable Implications of Forecast Optimality LSE STICERD Discussion Paper No. EM/05/485
Andrew J. Patton and
Allan G. Timmermann
Date Posted: April 15, 200594 downloads
Bayesian Option Pricing using Asymmetric GARCH Models Journal of Empirical Finance, Vol. 9, No. 3, pp. 321-342
Luc Bauwens and
Michel Lubrano
Date Posted: April 14, 2005
Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns FEDS Working Paper No. 2005-09
Stefania D'Amico
Date Posted: April 14, 200585 downloads
Dynamic Latent Factor Models for Intensity Processes CORE Discussion Paper No. 2003/103
Luc Bauwens and
Nikolaus Hautsch
Date Posted: April 14, 2005234 downloads
Are European Business Cycles Close Enough to be Just One? CEPR Discussion Paper No. 4824
Maximo Camacho
,
Gabriel Perez-Quiros and
Lorena Saiz
Date Posted: April 13, 200533 downloads
Consolidation in the U.S. Banking Industry: Is the Long, Strange Trip About to End?
Kenneth D. Jones
and
Timothy S. Critchfield
Date Posted: April 13, 2005377 downloads
Domestic Fx-Linked Debt and a Currency's Random Walk Down Sao Paulo
Frederico Araujo Turolla and
Mario Margarido
Date Posted: April 12, 200560 downloads
Are Speculative Attacks Triggered by Sunspots? A New Test BIS Working Paper No. 166
Nikola A. Tarashev
Date Posted: April 07, 200554 downloads
A Full Heteroscedastic One-way Error Components Model Allowing for Unbalanced Panel: Pseudo-maximum Likelihood Estimation and Specification Testing CORE Discussion Paper No. 2004/76
Bernard Lejeune
Date Posted: April 06, 200574 downloads
Break in the Mean and Persistence of Inflation: A Sectoral Analysis of French CPI ECB Working Paper No. 463
Laurent Bilke
Date Posted: April 05, 200591 downloads
A 'Long March' Perspective on Tobacco Use in Canada Canadian Journal of Economics, Vol. 38, No. 2, pp. 366-393, May 2005
Nikolay Gospodinov
and
Ian Irvine
Date Posted: April 01, 200520 downloads
Linear Filtering for Asymmetric Stochastic Volatility Models
Chris Kirby
Date Posted: April 01, 2005120 downloads
Interest Rate Changes and Common Stock Returns of Financial Institutions: Evidence from the UK European Journal of Finance, Vol. 4, pp. 113-127, 1998
Sotiris K. Staikouras and
Elias Dinenis
Date Posted: March 30, 2005
Long-Term Trends and Short-Run Dynamics in International Stock Markets. European Research Studies Journal, Vol. 4, pp. 31-49, 2001
Sotiris K. Staikouras ,
Spyros Mesomeris
and
Haris Harissis
Date Posted: March 30, 2005
The Interest Rate Sensitivity of the UK Financial Intermediary Quantitative Analysis, Vol. 1, pp. 69-70, 2996
Sotiris K. Staikouras
Date Posted: March 30, 2005Last Revised: April 08, 2008
The Pricing of Risk Factors and the UK Insurance Stocks' Performance: A Nonlinear Multivariate Approach European Research Studies Journal, Vol. 3, pp. 131-144, 2000
Sotiris K. Staikouras and
Elias Dinenis
Date Posted: March 30, 2005
The Volatility of Greek Interbank Rates: A Continuous Time Analysis European Research Studies Journal, Vol. 1, pp. 5-14, 1998
K. Ben Nowman and
Sotiris K. Staikouras
Date Posted: March 30, 2005
Revisiting the Martingale Hypothesis for Exchange Rates
Young-Sook Lee ,
Tae-Hwan Kim and
Paul Newbold
Date Posted: March 20, 2005121 downloads
The Market P/E Ratio: Stock Returns, Earnings, and Mean Reversion
Robert A. Weigand and
Robert R. Irons
Date Posted: March 17, 2005
The Shape of the Term Structure of Credit Spreads: An Empirical Investigation Journal of Financial Research, Vol. 30, No. 2, 2007
Mascia Bedendo ,
Lara Cathcart
and
Lina El-Jahel
Date Posted: March 17, 2005Last Revised: July 30, 2010
Linear and Nonlinear Dependence Models of Stock Market Returns
Andreia Teixeira Dionisio
,
Diana Mendes
,
Rui Menezes
and
Jacinto Vidigal da Silva
Date Posted: March 13, 2005117 downloads
A Dynamic Factor Analysis of the Response of U. S. Interest Rates to News Federal Reserve Bank of Saint Louis Working Paper No. 2004-013A
Marco Lippi and
Daniel L. Thornton
Date Posted: March 12, 200560 downloads
Volatility Clustering, Leverage Effects, and Jumps Dynamics in Emerging Asian Equity Markets
Elton Daal
,
Atsuyuki Naka
and
Jung-Suk Yu
Date Posted: March 08, 2005240 downloads
Dynamics of Equity Market Integration in Europe: Impact of Political Economy Factors Journal of Common Market Studies, Vol. 48, No. 3, 2010, Institute for International Integration Studies (IIIS) Working Paper No. 19
Cal B. Muckley
,
Raj Aggarwal and
Brian M. Lucey
Date Posted: March 04, 2005Last Revised: January 10, 201069 downloads
Another Look at the Relationship between Cross-market Correlation and Volatility Finance Research Letters, Vol. 2, No. 2, pp. 75-88, 2005
Söhnke M. Bartram and
Yaw-Huei Wang
Date Posted: February 28, 2005178 downloads
Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach Journal of Applied Economics, Vol. 7, No. I, pp. 325-353, 2004
Douglas J. Hodgson ,
Oliver B. Linton and
Keith Vorkink
Date Posted: February 28, 2005
Indirect Robust Estimation of the Short-term Interest Rate Process Charles A. Dice Center Working Paper No. 2005-4
Veronika Czellar ,
George Andrew Karolyi and
Elvezio Ronchetti
Date Posted: February 27, 2005104 downloads
Mean and Variance Causality Between the Cyprus Stock Exchange and Major Equity Markets University of Crete Economics Working Paper No. 05-02
Eleni Constantinou
,
Robert Georgiades
,
Avo Kazandjian and
Georgios P. Kouretas
Date Posted: February 27, 200581 downloads
Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion? EFA 2005 Moscow Meetings Paper
Eric Jondeau and
Michael Rockinger
Date Posted: February 26, 2005387 downloads
Estimates of Quarterly Capital Stock Series for the Post-War U.S. Economy Review of Income and Wealth, Vol. 40, No. 3, pp. 317-349, September 1994
Daniel Levy and
Haiwei Chen
Date Posted: February 25, 2005
Periodic Properties of Interpolated Time Series Economics Letters, Vol. 44, No. 3, pp. 221-228, May 1994
Hashem Dezhbakhsh and
Daniel Levy
Date Posted: February 25, 2005
An Empirical Analysis of the Black Market Exchange Rate in Iran Asian-African Journal of Economics and Econometrics, Vol. 4, No. 2, pp. 141-152, 2004
Abbas Valadkhani
Date Posted: February 22, 2005
An EViews Program For ARMA Modeling and Forecasting
Hossein Abbasi-Nejad
and
Shapour Mohammadi
Date Posted: February 22, 20051330 downloads
Assessing Persistence in Discrete Nonstationary Time-Series Models Journal of Time Series Analysis, Vol. 26, No. 2, pp. 305-317, March 2005
Brendan P.M. McCabe
,
G. M. Martin
and
Andy Tremayne
Date Posted: February 18, 200512 downloads
A Time-Frequency Analysis of the Coherences of the US Business Cycle and the European Business Cycle CEPR Discussion Paper No. 4751
Andrew J. Hughes and
Christian R. Richter
Date Posted: February 08, 200514 downloads
Testing for Additive Outliers in Seasonally Integrated Time Series University of Aarhus Department of Economics Working Paper No. 2004-14
Niels Haldrup ,
Antonio Montañes and
Andreu Sansó
Date Posted: February 08, 200541 downloads
Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation Louisiana State University Economics Working Paper No. 2003-10
Eric T. Hillebrand
Date Posted: January 31, 2005214 downloads
Neglecting Parameter Changes in Autoregressive Models Louisiana State University Ecocomics Working Paper No. 2004-04
Eric T. Hillebrand
Date Posted: January 31, 200542 downloads
Overlaying Time Scales in Financial Volatility Data
Eric T. Hillebrand
Date Posted: January 31, 2005134 downloads
Asymptotic Normality of Narrow-band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting Journal of Econometrics, Forthcoming
Bent Jesper Christensen and
Morten Ørregaard Nielsen
Date Posted: January 28, 2005
The Disposition Effect: Empirical Evidence on Purchases of Investor Magazines Applied Financial Economics Letters, Vol. 1, No. 1, pp. 47-51, January 2005
Dirk Czarnitzki
and
Georg Stadtmann
Date Posted: January 28, 2005
Socially Responsible Fixed-Income Funds Journal of Business Finance and Accounting, Vol. 36, pp. 210-229, 2009
Jeroen Derwall
and
Kees C. G. Koedijk
Date Posted: January 26, 2005Last Revised: August 16, 2009320 downloads
A Closed-form Estimator for the GARCH(1,1)-Model
Dennis Kristensen
and
Oliver B. Linton
Date Posted: January 24, 2005172 downloads
Bayesian Inference in Dynamic Models with Latent Factors Monography of Official Statistics, Forthcoming
Monica Billio ,
Roberto Casarin and
Domenico Sartore
Date Posted: January 21, 2005
Investment Styles in the European Equity Market ADVANCES IN QUANTITATIVE ASSET MANAGEMENT, C. Dunis, ed., Kluwer Academic Press, 2000
Monica Billio ,
Roberto Casarin ,
Claire Mehu
and
Domenico Sartore
Date Posted: January 21, 2005
Evaluating Portfolio Value-at-Risk Using Semi-Parametric GARCH Models ERIM Report Series Reference No. ERS-2004-107-F&A
J. V. K. Rombouts and
Marno Verbeek
Date Posted: January 20, 2005494 downloads
Discrete Sine Transform for Multi-Scales Realized Volatility Measures
Giuseppe Curci
Date Posted: January 19, 2005191 downloads
Econometric and Time Series Model Selections: A Choice between Two Possible Approaches to Assess Linkages between the U.S. and Export Chicken Markets Southern Agricultural Economic Association Annual Meetings Paper
Harjanto Djunaidi
Date Posted: January 14, 2005126 downloads
Model-based Measurement of Actual Volatility in High-frequency Data Tinbergen Institute Discussion Paper No. 2005-002/4
Borus Jungbacker
and
Siem Jan Koopman
Date Posted: January 10, 2005228 downloads
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