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JEL Code: C32
455,711 Total downloads
Showing Papers 351 - 400 of 3,093
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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, 201240 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, 2012170 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, 201224 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, 201227 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, 20128 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, 201221 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, 201291 downloads
Equity and CDS Sector Indices: Dynamic Models and Risk Hedging
Massimiliano Caporin
Date Posted: June 03, 2012133 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, 201226 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, 201221 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, 201315 downloads
TailCoR
Lorenzo Ricci and
David Veredas
Date Posted: May 31, 2012Last Revised: May 16, 2013356 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, 201218 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, 2012444 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
Intra-Daily Volatility Spillovers between the US and German Stock Markets
Vasyl Golosnoy
,
Bastian Gribisch and
Roman Liesenfeld
Date Posted: May 25, 201260 downloads
Sovereign Oil Funds, Instrument for Macro-Economic Stability: Assessment of the Effectiveness of Oil Funds as Instrument of Fiscal Stability
Eda Buchner
and
Alexandre Etemad
Date Posted: May 25, 20129 downloads
The Role of Correlation Dynamics in Sector Allocation
Elena Kalotychou
,
Sotiris K. Staikouras and
Zhao Gang
Date Posted: May 25, 2012Last Revised: November 06, 2012304 downloads
Rational Expectations and Monetary Policy: A New Perspective on the Chinese Housing Market
Kuo-Che Hung
,
Tai Ma and
Ming-Chi Chen
Date Posted: May 24, 2012Last Revised: July 17, 2012136 downloads
The Impact of Capacity Utilization on Manufacturing Productivity Growth in Nigeria Using Co-Integration Analysis (1975-2007)
Oluwafemi Olanrewaju Bamikole Sr.
Date Posted: May 24, 2012Last Revised: March 03, 2013101 downloads
Calendar Anomalies in Developed EU Stock Markets International Journal of Economics, Vol.6, No.1, June 2012
Andreas G. Georgantopoulos and
Anastasios Tsamis
Date Posted: May 21, 2012Last Revised: February 14, 2013
Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change: A Comparison of Models with Time-Varying Parameters Bank of England Working Paper No. 450
Alina Barnett
,
Haroon Mumtaz
and
Konstantinos Theodoridis
Date Posted: May 21, 201265 downloads
Tax-and-Spend Principle in Budget Management in Sri Lanka in the Post Reform Period Margin, The Journal of Applied Economic Research 5:3 (2011): 343–359,
Biswajit Maitra
Date Posted: May 21, 2012
Variations in Prices Due to Anticipated and Unanticipated Money Biswajit Maitra, C. K. Mukhopadhyay (2012): “Variations in Prices Due to Anticipated and Unanticipated Money” Asian Economic and Financial Review Vol.2, No.1, pp.76-87.,
Biswajit Maitra
and
Chandan Kumar Mukhopadhyay
Date Posted: May 21, 201212 downloads
A Comparative Study on Calendar Effects: Greece vs Bulgaria International Journal of Economic Research, Forthcoming
Andreas G. Georgantopoulos and
Anastasios Tsamis
Date Posted: May 20, 2012
Indian Corporate Bonds Market – An Analytical Prospective
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: June 25, 2012145 downloads
Investigating Seasonal Patterns in Developing Countries: The Case of FYROM Stock Market International Journal of Economics and Financial Issues, Vol. 1, No. 4, 2011, pp. 211-219
Andreas G. Georgantopoulos and
Anastasios Tsamis
Date Posted: May 20, 2012
The Stochastic Seasonal Behaviour of Natural Gas Prices European Financial Management, Vol. 18, Issue 3, pp. 410-443, 2012
Andrés García Mirantes ,
Javier Población and
Gregorio Serna
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
University of Castilla, La Mancha
Date Posted: May 19, 2012
A Pitfall with DSGE-Based, Estimated, Government Spending Multipliers Banque de France Working Paper No. 379
Patrick Feve ,
Julien Matheron and
Jean-Guillaume Sahuc
Date Posted: May 15, 201218 downloads
Inference on the Threshold Value in Multivariate Sample Splitting Models
Daniele Massacci
Date Posted: May 12, 2012Last Revised: June 06, 201210 downloads
What are the Driving Factors Behind the Rise of Spreads and CDSs of Euro-area Sovereign Bonds? A FAVAR Model for Greece and Ireland Levy Economics Institute, Working Papers Series
Nicholas Apergis
and
Emmanuel C. Mamatzakis
affiliation not provided to SSRN
Date Posted: May 11, 201249 downloads
Marginal Likelihood Estimation with the Cross-Entropy Method CAMA Working Paper No. 18/2012
Joshua C. C. Chan
and
Eric Eisenstat
affiliation not provided to SSRN
Date Posted: May 10, 201215 downloads
Macroeconomic Shocks in an Oil Market VAR ECB Working Paper No. 1432
Marko Melolinna
Date Posted: May 07, 201229 downloads
Evaluating DSGE Model Forecasts of Comovements FEDS Working Paper No. 2012-11
Frank Schorfheide and
Edward Herbst
Date Posted: May 04, 201217 downloads
Time-Varying Performance of International Mutual Funds Journal of Empirical Finance, Vol. 19, No. 3, 2012
Harry J. Turtle and
Chengping Zhang
Date Posted: May 04, 201243 downloads
What Does Financial Volatility Tell Us About Macroeconomic Fluctuations? FEDS Working Paper No. 2012-09
Marcelle Chauvet ,
Zeynep Senyuz
and
Emre Yoldas
Date Posted: May 04, 201229 downloads
Spatial Price Adjustment with and Without Trade Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 3, pp. 453-469, 2012
Emma C. Stephens
,
Ed Mabaya ,
Stephan von Cramon‐Taubadel and
Christopher B. Barrett
affiliation not provided to SSRN
and
Cornell University - Charles H. Dyson School of Applied Economics & Management
Date Posted: May 03, 2012
State-Dependent Effects of Fiscal Policy UNSW Australian School of Business Research Paper No. 2012-27A
Steven M. Fazzari ,
James Morley and
Irina Panovska
Date Posted: April 30, 2012Last Revised: May 13, 2013130 downloads
Shrinkage Based Tests of the Martingale Difference Hypothesis
Pablo M. Pincheira
Date Posted: April 29, 201217 downloads
The Impact of the Crisis on the Monetary Autonomy of Central and Eastern European Countries Public Finance Quarterly, Vol. LVII., Issue 1, p. 27-51
Gábor Dávid Kiss
and
Andreász Kosztopulosz
affiliation not provided to SSRN
Date Posted: April 26, 201225 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, 201223 downloads
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