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JEL Code: C53
362,781 Total downloads
Showing Papers 341 - 390 of 2,082
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The Statistical Properties of the Maximum Drawdown in Financial Time Series
Alessandro Casati
and
Serge Tabachnik
Date Posted: May 02, 2012Last Revised: May 15, 2013283 downloads
ROM Simulation: Applications to Stress Testing and VaR
Carol Alexander and
Dan Ledermann
Date Posted: May 01, 2012Last Revised: May 28, 2012245 downloads
Shrinkage Based Tests of the Martingale Difference Hypothesis
Pablo M. Pincheira
Date Posted: April 29, 201216 downloads
The Linkage of Global Raw Material Prices and Taiwan's CPI Level Hu, Jin-Li, Chin-Yi Fang and Tsung-Hsien Kuo (2009), "Linkage of Global Raw Material Prices and Taiwan's CPI Level," Empirical Economics Letters, Vol. 8, No. 3, pp.261-270.
Jin-Li Hu
,
Chin-Yi Fang
and
Tsung-Hsien Kuo
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 27, 201217 downloads
The Prospects of the Baby Boomers: Methodological Challenges in Projecting the Lives of an Aging Cohort SOEPpaper No. 440
Christian Westermeier
,
Anika Rasner
and
Markus Grabka
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
German Institute for Economic Research (DIW Berlin)
Date Posted: April 27, 201217 downloads
American Option Pricing Using Simulation: An Introduction with an Application to the GARCH Option Pricing Model HANDBOOK OF RESEARCH METHODS AND APPLICATIONS IN EMPIRICAL FINANCE, Adrian Bell, Chris Brooks, Marcel Prokopczuk, eds., Edward Elgar Publishing, 2012
Lars Stentoft
Date Posted: April 25, 201274 downloads
Forecasting Macroeconomic Variables Using Collapsed Dynamic Factor Analysis Tinbergen Institute Discussion Paper No. 12-042/4
Falk Bräuning
and
Siem Jan Koopman
Date Posted: April 25, 2012Last Revised: July 05, 201219 downloads
Tracking the Future on the Web: Construction of Leading Indicators Using Internet Searches Banco de Espana Occasional Paper No. 1203
Concha Artola and
Enrique Galán Sr.
affiliation not provided to SSRN
Date Posted: April 22, 201229 downloads
The Value of Multivariate Model Sophistication: An Application to Pricing Dow Jones Industrial Average Options CIRANO - Scientific Publications 2012s-05
J. V. K. Rombouts ,
Lars Stentoft and
Francesco Violante
Date Posted: April 21, 201222 downloads
The Fundamental and Speculative Components of the Oil Spot Price: A Real Option Value Approach CEIS Working Paper No. 229
Claudio Dicembrino
and
Pasquale L. Scandizzo
Date Posted: April 20, 2012104 downloads
Adaptation, Legal Resiliency, and the U.S. Army Corps of Engineers North Carolina Law Review, Vol. 89, No. 1499, 2011
Victor Byers Flatt and
Jeremy M. Tarr
affiliation not provided to SSRN
Date Posted: April 16, 201230 downloads
Keeping a Finger on the Pulse of the Economy: Nowcasting Swiss GDP in Real-Time Squared KOF Working Paper No. 302
Boriss Siliverstovs
Date Posted: April 16, 201216 downloads
An Empirical Growth Model for Major Oil Exporters IZA Discussion Paper No. 6468
Hadi Salehi Esfahani ,
Kamiar Mohaddes
and
M. Hashem Pesaran
Date Posted: April 14, 201228 downloads
Are Forecast Combinations Efficient?
Pablo M. Pincheira
Date Posted: April 14, 2012Last Revised: April 17, 201243 downloads
Tests of Equal Forecast Accuracy for Overlapping Models
Todd E. Clark and
Michael W. McCracken
Date Posted: April 12, 20129 downloads
Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise
Jozef Barunik and
Lukas Vacha
Date Posted: April 08, 2012Last Revised: February 11, 201347 downloads
Predictability and Specification in Models of Exchange Rate Determination CAUSALITY, PREDICTION, AND SPECIFICATION ANALYSIS: RECENT ADVANCES AND FUTURE DIRECTIONS: ESSAYS IN HONOR OF HALBERT L. WHITE JR., Norman Rasmus Swanson and Chen Xiaohong, eds., Springer, June 2012
Levent Bulut and
Esfandiar Maasoumi
Date Posted: April 06, 2012Last Revised: September 04, 201227 downloads
An Empirical Growth Model for Major Oil Exporters CESifo Working Paper Series No. 3780
Hadi Salehi Esfahani ,
Kamiar Mohaddes
and
M. Hashem Pesaran
Date Posted: April 05, 201260 downloads
Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines
Pirmin Meier
and
Francesco Audrino
Date Posted: April 05, 2012Last Revised: December 17, 201268 downloads
Common Drifting Volatility in Large Bayesian Vars CEPR Discussion Paper No. DP8894
Andrea Carriero
,
Todd E. Clark and
Massimiliano Giuseppe Marcellino
Date Posted: April 04, 2012
Revisions in Official Data and Forecasting Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No.3
Cecilia Frale
and
Valentina Raponi
affiliation not provided to SSRN
Date Posted: April 03, 2012Last Revised: July 31, 201213 downloads
Forecasting World Output: The Rising Importance of Emerging Economies Bank of Italy Temi di Discussione (Working Paper) No. 853
Alessandro Borin
,
Riccardo Cristadoro ,
Roberto Golinelli and
Giuseppe Parigi
Date Posted: March 30, 201224 downloads
A Predictability Test for a Small Number of Nested Models
Eleonora Granziera
,
Kirstin Hubrich and
Hyungsik Roger Moon
Date Posted: March 28, 2012Last Revised: May 08, 20135 downloads
On the Correspondence between Data Revision and Trend-Cycle Decomposition CAMA Working Paper No. 16/2012
Mardi H. Dungey
,
Jan P. A. M. Jacobs ,
Jing Tian
and
Simon van Norden
Date Posted: March 28, 201212 downloads
Tail Risk Reduction Strategies RETHINKING VALUATION AND PRICING MODELS: LESSONS LEARNED FROM THE CRISIS AND FUTURE CHALLENGES, C.S. Wehn, G.N. Gregoriou, C. Hoppe, eds., Elsevier
Lerby Murat Ergun
and
Philip A. Stork
Date Posted: March 28, 2012
Short-term Forecasting of the Japanese Economy Using Factor Models ECB Working Paper No. 1428
Claudia Godbout
and
Marco J. Lombardi
Date Posted: March 27, 201217 downloads
Tracking the Future on the Web: Construction of Leading Indicators Using Internet Searches Banco de Espana Occasional Paper No. 1203
Concha Artola and
Enrique Galán
affiliation not provided to SSRN
Date Posted: March 24, 201262 downloads
Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (F. di Mauro and M.H. Pesaran eds.), Forthcoming.
Matthew Greenwood-Nimmo
,
Viet Hoang Nguyen and
Yongcheol Shin
Date Posted: March 23, 2012Last Revised: July 14, 2012129 downloads
ARIMA (Autoregressive Integrated Moving Average) Approach to Predicting Inflation in Ghana Journal of Economics and International Finance, Vol. 3, No. 5, pp. 328-336, May 2011
Samuel Erasmus Alnaa
and
Ferdinand Ahiakpor
affiliation not provided to SSRN
Date Posted: March 21, 2012Last Revised: May 13, 201251 downloads
Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework Journal of Applied Econometrics, Forthcoming
Matthew Greenwood-Nimmo
,
Viet Hoang Nguyen and
Yongcheol Shin
Date Posted: March 21, 2012
Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications
Ying Chen
and
Linlin Niu
Date Posted: March 20, 201276 downloads
Modeling The Time-Varying Skewness via Decomposition For Out-of-Sample Forecast
Xiaochun Liu
Date Posted: March 20, 2012Last Revised: September 11, 201233 downloads
Out-of-Sample Equity Premium Predictability and Sample Split Invariant Inference
Gueorgui I. Kolev
Date Posted: March 20, 2012Last Revised: May 23, 201235 downloads
Analysts' Forecast Error: A Robust Short Term Prediction Model and Its Trading Profitability
Kris Boudt
,
Peter de Goeij
,
James Thewissen
and
Geert Van Campenhout
Date Posted: March 18, 2012Last Revised: April 01, 2013204 downloads
Common Drifting Volatility in Large Bayesian VARs FRB of Cleveland Working Paper No. 12-06
Andrea Carriero
,
Todd E. Clark and
Massimiliano Giuseppe Marcellino
Date Posted: March 18, 20127 downloads
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model
Nima Nooshi
,
Young Shin Kim
,
Svetlozar Rachev
and
Frank J. Fabozzi
Date Posted: March 18, 2012135 downloads
Can Investors Benefit from Market Transparency? - An Asset Allocation Perspective
Michalis Vasios
,
Ingmar Nolte
and
Richard Payne
Date Posted: March 15, 2012Last Revised: September 23, 201236 downloads
Can the Information Content of Share Repurchases Improve the Accuracy of Equity Premium Predictions?
Dimitris Andriosopoulos
,
Dimitris K. Chronopoulos
and
Fotios I. Papadimitriou
Date Posted: March 14, 2012Last Revised: April 01, 2013156 downloads
A Markov-Switching Range-Based Volatility Model with Applications in Volatility Adjusted VAR Estimation
Chun-Chou Wu
,
Yi-Kai Su
and
Daniel Wei-Chung Miao
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: March 13, 201261 downloads
Forecasting Macroeconomic Variables Using Disaggregate Survey Data
Kjetil Martinsen
,
Francesco Ravazzolo and
Fredrik Wulfsberg
Date Posted: March 13, 201232 downloads
Nonlinear Forecasting Using a Large Number of Predictors Rivista Italiana degli Economisti, Vol. 1, April 2012
Alessandro Giovannelli
Date Posted: March 12, 2012
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options Journal of Financial and Quantitative Analysis, Forthcoming
Michael Neumann
and
George S. Skiadopoulos
Date Posted: March 12, 2012
Cointegrated VARMA Models and Forecasting US Interest Rates
Christian Kascha
and
Carsten Trenkler
affiliation not provided to SSRN
and
University of Mannheim
Date Posted: March 09, 201232 downloads
Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (Lavar)
Jiahan Li
Date Posted: March 08, 201279 downloads
Short-Term Forecasting of International Tourist Arrivals to Sri Lanka: Comparative Evidence Using Exponential Smoothers 6th International Conference on Management and Finance, 2011
Nisantha Kurukulasooriya and
Lelwala E. I.
affiliation not provided to SSRN
Date Posted: March 08, 201214 downloads
A Comprehensive Look at Financial Volatility Prediction by Economic Variables BIS Working Paper No. 374
Charlotte Christiansen ,
Maik Schmeling
and
Andreas Schrimpf
Date Posted: March 06, 2012156 downloads
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
Siem Jan Koopman ,
Andre Lucas and
Marcel Scharth
Date Posted: March 06, 201231 downloads
The Illusion of Predictability: A Call to Action International Journal of Forecasting, Forthcoming
John Keith Ord
Date Posted: March 06, 201248 downloads
Study of Discrete Choice Models and Adaptive Neuro-Fuzzy Inference
System in the Prediction of Economic Crisis Periods in USA Economic Analysis and Policy, Vol. 42, No. 1, pp. 79-96, 2012
Eleftherios Giovanis
Date Posted: March 04, 2012
Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas Journal of Banking and Finance, Forthcoming
Gregor N. F. Weiss
and
Hendrik Supper
Date Posted: March 02, 2012Last Revised: May 05, 2013153 downloads
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