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JEL Code: C32
450,640 Total downloads
Showing Papers 301 - 350 of 3,070
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Efficient Estimation of Some Elliptical Copula Regression Models through Scale Mixtures of Normal
Nuttanan Wichitaksorn
,
Richard H. Gerlach
and
Boris Choy
affiliation not provided to SSRN
,
University of Sydney
and
The University of Sydney Business School
Date Posted: August 07, 201244 downloads
The Volatility of Long-Term Bond Returns: Persistent Interest Shocks and Time-Varying Risk Premiums
Daniela Osterrieder and
Peter C. Schotman
Date Posted: August 03, 201270 downloads
'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE
Kirti Khanna and
Nidhi Sharma
Date Posted: August 02, 201264 downloads
Output Growth and Its Volatility: The Gold Standard through the Great Moderation
Wen-Shwo Fang
and
Stephen M. Miller
Date Posted: August 02, 201222 downloads
Fundamental Problems with Nonfundamental Shocks DIW Berlin Discussion Paper No. 1230
Helmut Luetkepohl
Date Posted: August 01, 201218 downloads
Nonlinear Volatility Models in Economics: Smooth Transition and Neural Network Augmented GARCH, APGARCH, FI-GARCH and FIAGARCH Models
Melike Bildirici
and
Ozgur Omer Ersin
Date Posted: July 29, 2012Last Revised: August 09, 201248 downloads
Forecasting Interest Rates with Shifting Endpoints Tinbergen Institute Discussion Paper 12-076/4
Dick J. C. van Dijk ,
Siem Jan Koopman ,
Michel van der Wel
and
Jonathan H. Wright
Date Posted: July 27, 2012Last Revised: April 17, 201399 downloads
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries FRB International Finance Discussion Paper No. 1050
Lutz Kilian and
Robert Vigfusson
Date Posted: July 25, 2012
Price Discovery in European Energy Markets
John Swieringa
Date Posted: July 24, 2012Last Revised: September 06, 201239 downloads
On the Stochastic Properties of Carbon Futures Prices
Julien Chevallier
and
Benoît Sévi
Date Posted: July 23, 2012Last Revised: October 21, 201282 downloads
An Empirical Study of Credit Shock Transmission in a Small Open Economy CIRANO - Scientific Publications 2012s-16
Nathan Bedock
and
Dalibor Stevanovic
Date Posted: July 18, 20124 downloads
The Information Content of Retail Investors' Order Flow
Ingmar Nolte
and
Sandra Nolte (Lechner)
Date Posted: July 18, 201271 downloads
Inflation Targeting, Credibility and Non-Linear Taylor Rules MAGKS Joint Discussion Paper Series in Economics 35-2012
Matthias Neuenkirch
and
Peter Tillmann
Date Posted: July 16, 2012Last Revised: May 13, 201337 downloads
Arbitrage, Market Definition and Monitoring a Time Series Approach
Simon P. Burke
and
John Hunter
Date Posted: July 15, 2012Last Revised: August 02, 201214 downloads
Modeling the Dynamics of Correlations Among Implied Volatilities
Robert F. Engle and
Stephen Figlewski
Date Posted: July 15, 2012292 downloads
Does Federal Funds Futures Rate Contain Information About the Treasury Bill Rate?
N. Kundan Kishor
and
Hardik A. Marfatia
Date Posted: July 14, 201226 downloads
Heuristic Model Selection for Leading Indicators in Russia and Germany MAGKS Papers on Economics 201101
Ivan Savin
and
Peter Winker
Date Posted: July 12, 201219 downloads
Liquidity Needs, Private Information, Feedback Trading: Verifying Motives to Trade National Bank of Poland Working Paper No. 119
Bartosz Gebka
and
Dobromil Serwa
Date Posted: July 10, 201230 downloads
Euro Money Market Spreads During the 2007-? Financial Crisis ECB Working Paper No. 1437
Nuno Cassola
and
Claudio Morana
Date Posted: July 09, 201244 downloads
Inclusive Growth Strategies for Pakistan ─ Myth or Reality for Policymakers!
Syed Muhammad Atif
and
Sardar Mohazzam
Date Posted: July 08, 2012Last Revised: August 16, 2012105 downloads
Capitalisation Effects in Forecasting UK Stock Returns
Daniele Massacci
Date Posted: July 07, 2012Last Revised: August 01, 201227 downloads
Is Monetary Policy in the New EU Member States Asymmetric? Economic Systems, Vol. 36, No. 2, 2012
Bořek Vašíček
Date Posted: July 06, 2012
Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study Eratalay M.H., Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study, p. 50, 2012
, European University of Saint Petersburg (EUSP) - Economics Department Working Paper Ec-04/12
M. Hakan Eratalay
Date Posted: July 02, 2012Last Revised: December 10, 201223 downloads
An Econometric Evaluation of the Sustainability of Australia's High Current Account Deficit International Journal of Apllied Economics & Econometrics, Bangalore, India,
Vol. XVII, No.4. October-December, 2009
Neil Dias Karunaratne
Date Posted: June 29, 201217 downloads
The Sustainability of Australia's Current Account Deficits - A Reappraisal after the Global Financial Crisis Journal of Policy Modeling, Vol. 32, pp. 81-97, 2010
Neil Dias Karunaratne
Date Posted: June 29, 201230 downloads
Time Variation in Asset Return Dependence: Strength or Structure? ERIM Report Series Reference No. ERS-2009-052-F&A
Thijs D. Markwat ,
Erik Kole
and
Dick J. C. van Dijk
Date Posted: June 27, 201233 downloads
A Dynamic Factor Model of the Yield Curve as a Predictor of the Economy FEDS Working Paper No. 2012-32
Marcelle Chauvet and
Zeynep Senyuz
Date Posted: June 27, 201239 downloads
Estimating Sarb´s Policy Reaction Rule Working Paper No. 165, Center for International Development at Harvard University
Alberto Ortiz
and
Federico Sturzenegger
Date Posted: June 21, 20122 downloads
Inference About Long Run Canonical Correlations Journal of Time Series Analysis, Vol. 33, Issue 4, pp. 665-683, 2012
Prosper Dovonon
,
Alastair R. Hall and
Kalidas Jana
affiliation not provided to SSRN
Date Posted: June 15, 2012
Calibration of Credit Spread Scenarios for Monte Carlo Simulations
Ludovic Dubrana
Date Posted: June 13, 2012Last Revised: June 16, 2012160 downloads
Unit Root Vector Autoregression with Volatility Induced Stationarity Univ. of Copenhagen Dept. of Economics Discussion Paper No. 12-02
Anders Rahbek
and
Heino Bohn Nielsen
Date Posted: June 13, 201223 downloads
Influences of Trading Volume on Financial Return Distributions: A Reassessment and a Step Further
Hung Xuan Do
,
Robert Darren Brooks
,
Sirimon Treepongkaruna
and
Eliza Wu
Date Posted: June 12, 201222 downloads
Modelling Speed Limit Offenders in Mauritius Using Symmetric and Asymmetric GARCH Models: From Financial Modeling to Traffic Modeling International Journal for Traffic and Transport Engineering, Forthcoming
Indranarain Ramlall
Date Posted: June 12, 2012
Cointegration, Linear and Nonlinear Causality Among Futures with Different Maturities: Evidence from Indian Agricultural Commodity Futures Markets
Tarun Kumar Soni
Date Posted: June 11, 2012
The Fine-Structure of Volatility Feedback
Rémy Chicheportiche
and
Jean-Philippe Bouchaud
Date Posted: June 11, 201232 downloads
De Baten Van Een Gemeenschappelijke Europese Munt (The Benefits from a Common European Currency) Tijdschrift voor Politieke Economie, Vol. 2, No. 21, pp. 48-65, 1999
Peter van Els
and
Marga Peeters
Date Posted: June 08, 20126 downloads
International Stock Market Integration: Central and South Eastern Europe Compared William Davidson Institute Working Paper No. 1028
Roman Horvath
and
Dragan Petrovski
affiliation not provided to SSRN
Date Posted: June 06, 201224 downloads
Price Test for Market Definition in the Beer Industry in Uruguay Revista de Economía, Banco Central del Uruguay, 2010, mayo, vol. 17(1): 149-68,
Leandro Zipitria
Date Posted: June 06, 2012Last Revised: June 08, 201219 downloads
Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction Centre for Applied Macroeconomic Analysis Working Paper No. 26/2012
Yin Liao
Date Posted: June 05, 201260 downloads
Estimating Term Structure Changes Using Principal Component Analysis in Indian Sovereign Bond Market
Golaka C. Nath
Date Posted: June 04, 2012Last Revised: July 09, 201284 downloads
Equity and CDS Sector Indices: Dynamic Models and Risk Hedging
Massimiliano Caporin
Date Posted: June 03, 2012128 downloads
Fast Clustering of GARCH Processes Via Gaussian Mixture Models
Gian Piero Aielli
and
Massimiliano Caporin
affiliation not provided to SSRN
and
University of Padova - Department of Economics and Management "Marco Fanno"
Date Posted: June 03, 201224 downloads
Oracle Inequalities for High Dimensional Vector Autoregressions Aarhus University, CREATES Research Paper 2012-16
Anders Bredahl Kock
and
Laurent Callot
Date Posted: June 03, 201219 downloads
Uncertainty and Heterogeneity in Factor Models Forecasting Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Matteo Luciani
and
Libero Monteforte
Date Posted: June 01, 2012Last Revised: July 31, 201213 downloads
Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini
and
Giacomo Bormetti
Date Posted: May 31, 2012Last Revised: April 03, 201314 downloads
TailCoR
Lorenzo Ricci and
David Veredas
Date Posted: May 31, 2012Last Revised: May 16, 2013337 downloads
The Impact of Inflation Uncertainty on Output Growth and Inflation in Thailand Asian Economic Journal, Vol. 25, Issue 3, pp. 291-307, 2011
Komain Jiranyakul and
Timothy Opiela
affiliation not provided to SSRN
Date Posted: May 31, 2012Last Revised: June 01, 2012
Time Value of the Money and Contagions on the Bond Markets D. Stavarek, P. Vodova, ed., 13th International Conference on Finance and Banking, Karnivá: Silesian University, pp. 171-183, 2012, ISBN 978-80-7248-753-0,
Gábor Dávid Kiss
and
Attila Acs
Date Posted: May 29, 201216 downloads
Historical Simulation Plus Filtered Historical Simulation - An Evaluation of Basel III Revision of Quantitative Standard (d)
Meera Sharma
Date Posted: May 28, 2012Last Revised: November 28, 2012427 downloads
Money, Credit, Monetary Policy and the Business Cycle in the Euro Area CEPR Discussion Paper No. DP8944
Domenico Giannone ,
Michele Lenza
and
Lucrezia Reichlin
affiliation not provided to SSRN
and
London Business School
Date Posted: May 25, 20121 downloads
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