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JEL Code: C13
355,334 Total downloads
Showing Papers 311 - 360 of 2,072
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Robust Estimation of a High-Dimensional Integrated Covariance Matrix
Takayuki Morimoto and
Shuichi Nagata
Date Posted: January 31, 201299 downloads
Implied Volatility Spreads and Expected Market Returns
Yigit Atilgan
,
Turan G. Bali and
K. Ozgur Demirtas
Date Posted: January 30, 2012Last Revised: March 22, 2013255 downloads
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
Turan G. Bali ,
Linda Allen and
Yi Tang
Date Posted: January 30, 2012Last Revised: July 08, 2012123 downloads
Effective Empirical Characteristic Function Methods for Estimation of Affine Diffusions Using the Realized Variance
Alex Levin and
Vladimir Khramtsov
Date Posted: January 30, 2012Last Revised: June 13, 2012125 downloads
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Turan G. Bali ,
Nusret Cakici and
Robert Whitelaw
Date Posted: January 30, 201256 downloads
Systematic Risk and the Cross-Section of Hedge Fund Returns
Turan G. Bali ,
Stephen J. Brown and
Mustafa O. Caglayan
Date Posted: January 29, 201264 downloads
Evolutionary Computational Approach in TAR Model Estimation University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 26/WP/2011
Francesca Parpinel
and
Claudio Pizzi
Date Posted: January 26, 201225 downloads
Consistency of AUC Maximization as an Estimator of Binary Choice Models
Igor Fedotenkov
Date Posted: January 25, 201222 downloads
Estimating Willingness to Pay for Recreation Site Attributes Using Information - Theoretic Methods
Miguel Henry-Osorio
and
Ron Mittelhammer
Date Posted: January 23, 2012
Which Model to Match?
Matteo Barigozzi
,
Roxana Halbleib-Chiriac
and
David Veredas
Date Posted: January 17, 2012Last Revised: May 03, 2013100 downloads
Using Proxy Variables to Control for Unobservables When Estimating Productivity: A Sensitivity Analysis
Carmine Ornaghi
and
Ilke Van Beveren
Date Posted: January 14, 201238 downloads
Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models UNSW Australian School of Business Research Paper No. 2012-03
Rachida Ouysse
Date Posted: January 13, 201248 downloads
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
Andras Fulop
,
Junye Li
and
Jun Yu
Date Posted: January 07, 2012Last Revised: October 09, 201263 downloads
MBA Share in the U.S. Graduate Management Education Market Business Education & Administration, Vol.. 3, No. 1, pp. 29-40, 2012
Marina Murray
Date Posted: January 06, 2012138 downloads
Portfolio Optimization Using a Block Structure for the Covariance Matrix Journal of Business Finance and Accounting, Forthcoming
David Disatnik and
Saggi Katz
Date Posted: December 30, 2011
Multi‐Variate Stochastic Volatility Modelling Using Wishart Autoregressive Processes Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 48-60, 2012
K. Triantafyllopoulos
affiliation not provided to SSRN
Date Posted: December 28, 20112 downloads
Towards a Context-Aware Analysis of Business Process Performance Proceedings of the 15th Pacific Asia Conference of Information Systems
Michael Leyer
Date Posted: December 27, 201130 downloads
Considerations on Partially Identified Regression Models Working Papers of BETA (Bureau d'Economie Théorique et Appliquée) No. 2012-07, ZEW - Centre for European Economic Research Discussion Paper No. 12-024,
Daniel Cerquera
,
Francois Laisney and
Hannes Ullrich
Date Posted: December 20, 2011Last Revised: July 11, 201238 downloads
Systematic Risk and the Cross-Section of Hedge Fund Returns
Turan G. Bali ,
Stephen J. Brown and
Mustafa O. Caglayan
Date Posted: December 19, 2011192 downloads
Stochastic Volatility of Volatility and Variance Risk Premia
Ole E. Barndorff-Nielsen and
Almut Veraart
Date Posted: December 16, 2011151 downloads
A Chi-Squared Statistic for Comparing the Independence of Out-of-Sample Factor Returns
Graham L. Giller
Date Posted: December 15, 201115 downloads
Estimating Optimal Hedge Ratio and Hedge Effectiveness via Fitting the Multivariate Skewed Distributions 2012 Financial Markets & Corporate Governance Conference
Wei-Han Liu
Date Posted: December 15, 201187 downloads
Growth in a Cross-Section of Cities: Location, Increasing Returns or Random Growth? XREAP No. 2011-21
Rafael González-Val
and
Jose Olmo
affiliation not provided to SSRN
and
Centro Universitario de la Defensa de Zaragoza
Date Posted: December 15, 201110 downloads
Skew-Normal Shocks in the Linear State Space Form DSGE Model National Bank of Poland Working Paper No. 101
Grzegorz Grabek
,
Bohdan Klos
and
Grzegorz Koloch
Date Posted: December 14, 201118 downloads
Time-Varying Risk Premium in Large Cross-Sectional Equidity Datasets Swiss Finance Institute Research Paper No. 11-40
Patrick Gagliardini ,
Elisa Ossola and
O. Scaillet
Date Posted: December 13, 201191 downloads
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
Riccardo Rebonato
and
Peter Jaeckel
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 10, 2011329 downloads
The Role of High Frequency Intra-Daily Data, Daily Range and Implied Volatility in Multi-Period Value-at-Risk Forecasting
Dimitrios P. Louzis
,
Spyros Xanthopoulos-Sisinis
and
Apostolos N. Refenes
Date Posted: December 10, 2011Last Revised: November 10, 2012101 downloads
Credit Migration Risk and Point in Time Credit Dynamics: A New Perspective for Credit Risk Management
Antonio Dalessandro
Date Posted: December 08, 2011147 downloads
An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment
Wing-Keung Wong
,
Pui-lam Leung
and
Hon-Yip Ng
Date Posted: December 07, 2011Last Revised: February 16, 2012150 downloads
Modeling and Forecasting Mortality Rates McCombs Research Paper Series No. IROM-01-12
Daniel Mitchell
,
Patrick L. Brockett ,
Rafael Mendoza-Arriaga and
Kumar Muthuraman
Date Posted: December 02, 2011Last Revised: January 05, 2013106 downloads
Comparing Correlation Matrix Estimators Via Kullback-Leibler Divergence
Vanessa Mattiussi
,
Michele Tumminello
,
Giulia Iori and
Rosario N. Mantegna
Date Posted: December 02, 2011125 downloads
Credit Rating Migration Risk and Business Cycles Journal of Business Finance & Accounting, Forthcoming
Ana-Maria Fuertes ,
Elena Kalotychou
and
Fei Fei
Date Posted: December 02, 2011Last Revised: July 12, 201258 downloads
The Smallest Firm Effect: An International Study
Lieven De Moor
Date Posted: December 01, 201154 downloads
Bootstrap for Shrinkage-Type Estimators
Adriana Cornea
Date Posted: November 29, 2011Last Revised: October 10, 201223 downloads
Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile
Ludovic Dubrana
Date Posted: November 26, 201148 downloads
A Formalized Hybrid Portfolio Replication Technique Applied to Participating Life Insurance Portfolios
Ludovic Dubrana
Date Posted: November 25, 2011118 downloads
A Stochastic Model for Credit Spreads Under a Risk-Neutral Framework Through the Use of an Extended Version of the Jarrow, Lando and Turnbull Model
Ludovic Dubrana
Date Posted: November 25, 2011138 downloads
Reinterpretation of Solvency Capital Requirements Through an Analytical Formula
Ludovic Dubrana
Date Posted: November 25, 2011142 downloads
Credit Risk Modeling Through the Use of an Extended and Numerically Stable Version of CreditRisk and a Merton Model
Ludovic Dubrana
Date Posted: November 24, 2011164 downloads
Estimating Causal Installed-Base Effects: A Bias-Correction Approach NET Institute Working Paper No. 11-22
Sridhar Narayanan and
Harikesh Nair
Date Posted: November 24, 201123 downloads
Market Timing with Option-Implied Distributions: A Forward-Looking Approach Management Science, Vol. 57, No. 7, pp. 1231-1249, 2011
Alexandros Kostakis
,
Nikolaos Panigirtzoglou and
George S. Skiadopoulos
Date Posted: November 24, 2011Last Revised: November 27, 2011
Threshold Asymmetries in Equity Return Distributions: Statistical Tests and Investment Implications Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Emre Yoldas
Date Posted: November 23, 2011Last Revised: December 07, 201121 downloads
The Two-Block Covariance Matrix and the CAPM
David Disatnik and
Simon Benninga
Date Posted: November 22, 2011Last Revised: January 31, 201298 downloads
Effect of Employment Guarantee on Access to Credit: Evidence from Rural India
Deepak Saraswat
Date Posted: November 14, 2011
WK1 Model: Prediction Intervals for Your Forecasts
Martin Van Wunnik
affiliation not provided to SSRN
Date Posted: November 06, 201176 downloads
Forecasting the Size Premium Over Different Time Horizons Journal of Banking and Finance, Forthcoming
Valeriy Zakamulin
Date Posted: November 01, 2011Last Revised: November 06, 2012297 downloads
Sectoral Structure and Economic Growth Romanian Journal of Economic Forecasting, Vol. 3, pp. 5-36, 2011
Emilian Dobrescu
Date Posted: October 29, 201188 downloads
Parameter Identification in an Estimated New Keynesian Open Economy Model Riksbank Research Paper Series No. 82, Sveriges Riksbank Working Paper Series No. 251
Malin Adolfson and
Jesper Linde
Date Posted: October 25, 201126 downloads
Modeling Dependent Risks with Multivariate Erlang Mixtures ASTIN Bulletin, 42(1), 153-180 (2012)
Simon Lee and
X. Sheldon Lin
affiliation not provided to SSRN
and
University of Toronto
Date Posted: October 24, 2011Last Revised: August 26, 201271 downloads
Stressing Correlations and Volatilities - A Consistent Modeling Approach Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Christoph Becker
and
Wolfgang M. Schmidt
Date Posted: October 14, 201190 downloads
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