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JEL Code: C13
355,684 Total downloads
Showing Papers 341 - 390 of 2,072
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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, 201224 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, 2011120 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, 2011140 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, 2011167 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, 2012298 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
Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Turan G. Bali ,
Nusret Cakici and
Robert Whitelaw
Date Posted: October 09, 2011121 downloads
Loss-Based Risk Measures
Rama Cont ,
Romain Deguest
and
Xue Dong He
Date Posted: October 08, 2011387 downloads
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect University of St. Gallen Department of Economics and Political Science Discussion Paper No. 2011-38
Francesco Audrino
and
Yujia Hu
Date Posted: October 05, 201162 downloads
Heteroskedasticity and Spatiotemporal Dependence Robust Inference for Linear Panel Models with Fixed Effects
Min Seong Kim
and
Yixiao Sun
Date Posted: October 01, 2011Last Revised: October 03, 201125 downloads
Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
Patrik Guggenberger and
Yixiao Sun
Date Posted: September 30, 201115 downloads
Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model Economics Letters, Forthcoming
Hung Xuan Do
,
Robert Darren Brooks
and
Sirimon Treepongkaruna
Date Posted: September 23, 2011Last Revised: December 25, 2012
Information Structure and Statistical Information in Discrete Response Models Economic Research Initiatives at Duke (ERID) Working Paper No. 110
Shakeeb Khan
and
Denis Nekipelov
affiliation not provided to SSRN
Date Posted: September 23, 201151 downloads
Stable Mixture GARCH Models Swiss Finance Institute Research Paper No. 11-39
Simon A. Broda
,
Markus Haas
,
Jochen Krause ,
Marc S. Paolella
and
Sven C. Steude
Date Posted: September 23, 2011Last Revised: October 18, 2011211 downloads
Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities Using Brazilian Real Currency Options
Jose Renato Haas Ornelas ,
José Fajardo and
Aquiles Farias
Date Posted: September 21, 201147 downloads
The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models that Include a Mismeasured Factor
Todd Prono
Date Posted: September 21, 2011Last Revised: October 10, 201239 downloads
Stressing Correlations and Volatilities – A Consistent Modeling Approach
Christoph Becker
and
Wolfgang M. Schmidt
Date Posted: September 18, 2011434 downloads
How Do Local Markets Respond to Global Risk Factor Differently in Various Market Regimes? A Study of Country Exchange Traded Funds Midwest Finance Association 2012 Annual Meetings Paper
Jun Yuan
,
Leonard MacLean
,
Kuan Xu and
Yonggan Zhao
Date Posted: September 17, 2011Last Revised: February 13, 201287 downloads
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models Midwest Finance Association 2012 Annual Meetings Paper
Francisco Penaranda
and
Enrique Sentana
Date Posted: September 16, 201136 downloads
Estimating Optimal Hedge Ratio and Hedge Effectiveness Via Fitting the Multivariate Skewed Distributions Midwest Finance Association 2012 Annual Meetings Paper
Wei-Han Liu
Date Posted: September 16, 2011Last Revised: January 24, 201266 downloads
On the Robustness of Goodness-of-Fit Tests for Copulas
Gregor N. F. Weiss
Date Posted: September 16, 2011Last Revised: September 28, 201171 downloads
Estimating Geweke’s (1982) Measure of Instantaneous Feedback
Mehmet F. Dicle
and
John Levendis
Date Posted: September 15, 201164 downloads
Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks
Matteo Luciani
Date Posted: September 14, 201144 downloads
Measurement, Metrology, and the Coordination of Sociotechnical Networks
William P. Fisher Jr.
Date Posted: September 12, 201119 downloads
Statistical Review of Nuclear Power Accidents
Marius Hofert
and
Mario V. Wuthrich
Date Posted: September 06, 2011Last Revised: July 04, 2012276 downloads
Bayesian Estimation of an Extended Local Scale Stochastic Volatility Model Journal of Econometrics, Vol. 162, No. 2, 2011
Philippe J. Deschamps
Date Posted: September 03, 2011Last Revised: October 21, 2011
Nonparametric Bootstrap for Quasi-Likelihood Ratio Tests
Lorenzo Camponovo
Date Posted: September 03, 2011Last Revised: November 04, 201118 downloads
Airline Hedging Using Derivatives ICFAI Journal of Derivatives Markets, Vol. 1, No. 2, April 2009
Tumellano Sebehela
and
Kagiso Madimabe
Date Posted: August 30, 2011Last Revised: May 14, 2013122 downloads
The Estimation of Leverage Effect with High Frequency Data
Dan Christina Wang
and
Per A. Mykland
Date Posted: August 30, 2011Last Revised: January 03, 2013245 downloads
Global Financial Risks and Changes in Conditional Value-at-Risk
Kian-Guan Lim
Date Posted: August 28, 2011Last Revised: April 15, 2012119 downloads
Hedge Funds: The Good, the (Not-So) Bad, and the Ugly
Yong Chen ,
Michael T. Cliff and
Haibei Zhao
Date Posted: August 24, 2011Last Revised: March 16, 2012177 downloads
Tournament Qualification, Seeding and Selection Effciency: An Analysis of the PGA TOUR's FedExCup Tuck School of Business Working Paper No. 2011-96
Robert A. Connolly Jr. and
Richard J. Rendleman
Date Posted: August 24, 2011Last Revised: September 02, 201257 downloads
Heavy-Tail and Plug-In Robust Consistent Conditional Moment Tests of Functional Form
Jonathan B. Hill
Date Posted: August 22, 2011Last Revised: May 18, 201212 downloads
Factors, Characteristics and Endogenous Structural Breaks: Evidence from Japan
Pin-Huang Chou ,
Kuan-Cheng Ko
and
Shinn-Juh Lin
Date Posted: August 18, 201130 downloads
Inference for Extremal Conditional Quantile Models, with an Application to Market and Birthweight Risks MIT Department of Economics Working Paper No. 11-18
Victor Chernozhukov and
Ivan Fernandez-Val
Date Posted: August 16, 201146 downloads
The Economic Impact of Microcredit in a Region of Southern Tunisia
Nahla Dhib
affiliation not provided to SSRN
Date Posted: August 15, 2011Last Revised: November 25, 201142 downloads
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