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JEL Code: C1
1,904,686 Total downloads
Showing Papers 4,601 - 4,650 of 8,651
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A Foxy Hedgehog: Wynne Godley and Macroeconomic Modelling Cambridge Journal of Economics, Vol. 32, Issue 4, pp. 639-663, 2008
Lance Taylor
affiliation not provided to SSRN
Date Posted: July 04, 2008
Evaluating the Predictive Distributions of Bayesian Models of Asset Returns
John Geweke and
Gianni Amisano
Date Posted: July 04, 200886 downloads
On Recovery and Intensity's Correlation - A New Class of Credit Risk Models Journal of Credit Risk, Vol. 4, No. 2, pp. 1-33
Raquel M. Gaspar and
Irina Slinko
Date Posted: July 04, 2008Last Revised: April 15, 2010143 downloads
On the Pricing of CDOs CREDIT DERIVATIVES HANDBOOK, Chapter 11, P.U. Ali and G.N. Gregoriou, eds., pp. 229-258, McGraw-Hill
Raquel M. Gaspar and
Thorsten Schmidt
Date Posted: July 04, 2008
Optimal Prediction Pools ECB Working Paper No. 1017
John Geweke and
Gianni Amisano
Date Posted: July 04, 2008147 downloads
Solvency II - An Important Case in Applied VAR The VaR Modeling Handbook: Practical Applications in Alternative Investments, Banking, Insurance and Portfolio Management, G.N. Gregoriou, ed., Ch. 12, McGraw-Hill, ISBN: 9780071625159
Alfredo D Egidio dos Reis ,
Raquel M. Gaspar and
Ana Teresa Vicente
Date Posted: July 04, 2008Last Revised: May 12, 2009
Term Structure Models with Shot-Noise Effects ISEG Advance Working Paper No. 3/2007
Raquel M. Gaspar and
Thorsten Schmidt
Date Posted: July 04, 2008Last Revised: December 15, 201087 downloads
The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models
Christian Dahl
and
Emma M. Iglesias
affiliation not provided to SSRN
and
Michigan State University
Date Posted: July 04, 200832 downloads
Central Bank Independence and Price Stability: Evidence from OECD-Countries Oxford Economic Papers, Vol. 60, Issue 3, pp. 410-422, 2008
Sven-Olov Daunfeldt and
Xavier de Luna
Date Posted: July 02, 2008
Bayesian Semiparametric Stochastic Volatility Modeling Federal Reserve Bank of Atlanta Working Paper No. 2008-15
Mark J. Jensen and
John M. Maheu
Date Posted: July 02, 2008101 downloads
Investigating the Strategic Influence of Customer and Employee Satisfaction on Firm Financial Performance Fisher College of Business Working Paper No. 1154048
Jeffrey Dotson
and
Greg M. Allenby
Date Posted: July 02, 2008Last Revised: September 27, 2010408 downloads
Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading
Ole E. Barndorff-Nielsen ,
Peter Reinhard Hansen ,
Asger Lunde and
Neil Shephard
Date Posted: July 02, 2008Last Revised: July 14, 2010693 downloads
Reality Check: Combining Survey and Market Data to Estimate Choice Models
Eleanor McDonnell Feit
,
Mark A. Beltramo
and
Fred Feinberg
Date Posted: July 02, 200894 downloads
The Spline-GARCH Model for Low-Frequency Volatility and its Global Macroeconomic Causes The Review of Financial Studies, Vol. 21, Issue 3, pp. 1187-1222, 2008
Robert F. Engle and
Jose Gonzalo Rangel
affiliation not provided to SSRN
Date Posted: July 02, 2008
A Simple and Exact Simulation Approach to Heston Model
Jianwei Zhu
Date Posted: July 01, 20081823 downloads
The Goldilocks Principle: Avoiding Pitfalls in Interpretation of Regression Coefficients
Jane E. Miller
Date Posted: July 01, 2008159 downloads
Better Safe than Sorry: Bulls, Bears, and Optimal International Portfolio Choice under Disappointment Aversion
Joni Kokkonen
Date Posted: June 27, 2008Last Revised: March 16, 2011201 downloads
Do Short-Term Observed Income Changes Overstate Structural Economic Mobility? Oxford Bulletin of Economics and Statistics, Forthcoming
Felix Naschold
and
Christopher B. Barrett
Date Posted: June 26, 2008Last Revised: May 20, 2011
Does Money Matter in the IS Curve? The Case of the UK ECB Working Paper No. 904
Barry E. Jones and
Livio Stracca
Date Posted: June 26, 200833 downloads
Estimating the Dynamics of Mutual Fund Alphas and Betas The Review of Financial Studies, Vol. 21, Issue 1, pp. 233-264, 2008
Harry Mamaysky ,
Matthew I. Spiegel and
Hong Zhang
Date Posted: June 26, 2008
A Stochastic Volatility Model with Random Level Shifts: Theory and Applications to S&P 500 and NASDAQ Return Indices
Zhongjun Qu
and
Pierre Perron
Date Posted: June 25, 200878 downloads
Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation The Review of Financial Studies, Vol. 20, No. 5, pp. 1547-1581, 2007
Yongmiao Hong
and
Guofu Zhou
Date Posted: June 25, 2008
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure CREATES Research Paper No. 2008-8
Christina Amado
and
Timo Terasvirta
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 25, 200866 downloads
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model CREATES Research Paper No. 2008-5
Annastiina Silvennoinen
and
Timo Terasvirta
affiliation not provided to SSRN
Date Posted: June 25, 200878 downloads
Small Bandwidth Asymptotics for Density-Weighted Average Derivatives CREATES Research Paper 2008-24
Matias D. Cattaneo
,
Richard K. Crump and
Michael Jansson
Date Posted: June 25, 200829 downloads
Testing for Expected Return and Market Price of Risk in Chinese A-B Share Market: A Geometric Brownian Motion and Multivariate GARCH Model Approach CREATES Research Paper No. 2008-15
Jie Zhu
Date Posted: June 25, 2008138 downloads
The Determinants of Suppliers' Performance in E-Procurement: Evidence from the Italian Government's E-Procurement Platform FEEM Working Paper No. 49.2008
Gian Luigi Albano
,
Federico Dini
,
Roberto Zampino
and
Marta Fana
Date Posted: June 25, 2008106 downloads
Analysis of Extreme Temperatures for four sites across Peninsular Spain Theoretical and Applied Climatology
Dolores Furió
and
Vicente Meneu
Date Posted: June 24, 2008Last Revised: October 09, 2010
Bias-Reduced Estimation of Long Memory Stochastic Volatility CREATES Research Paper No. 2008-35
Per Skaarup Frederiksen
and
Morten Ørregaard Nielsen
Date Posted: June 24, 2008Last Revised: July 01, 200824 downloads
Bipower-Type Estimation in a Noisy Diffusion Setting CREATES Research Paper No. 2008-25
Mark Podolskij
and
Mathias Vetter
Date Posted: June 24, 200840 downloads
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
Damiano Brigo ,
Kyriakos Chourdakis and
Imane Bakkar
Date Posted: June 24, 2008570 downloads
Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9 CREATES Research Paper 2007-43
Jean Jacod ,
Yingying Li
,
Per A. Mykland ,
Mark Podolskij
and
Mathias Vetter
Date Posted: June 24, 2008Last Revised: May 20, 2010131 downloads
Parameter Estimation in Nonlinear AR-GARCH Models CREATES Research Paper 2008-30
Mika Meitz
and
Pentti Saikkonen
Date Posted: June 24, 200863 downloads
To Bind or Not to Bind Collecitvely? Decomposition of Bargained Wages Using Counterfactual Distributions IAW Discussion Paper Series
Wolf Dieter Heinbach
and
Markus Spindler
Date Posted: June 24, 2008
A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects Economic Research Initiatives at Duke (ERID) Working Paper No. 6
Tim Bollerslev ,
Uta Kretschmer
,
Christian Pigorsch
and
George Tauchen
Date Posted: June 23, 2008117 downloads
A Mixing Severity Model Incorporating Three Sources of Data for Operational Risk Quantification
Jim Gustafsson
affiliation not provided to SSRN
Date Posted: June 23, 2008173 downloads
A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models CREATES Research Paper 2008-22
Mark Podolskij
and
Daniel Ziggel
Date Posted: June 23, 200830 downloads
A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures Journal of Econometrics, Vol. 160, Issue 1, pp. 176-189, January 2011, CREATES Research Paper 2007-14
Torben G. Andersen ,
Tim Bollerslev and
Xin Huang
Date Posted: June 23, 2008Last Revised: January 07, 2012215 downloads
Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit Journal of Statistical Software, Vol. 29, No. 3, pp.1-32, Jan 2009
David Ardia ,
Lennart F. Hoogerheide
and
H. K. van Dijk
Date Posted: June 23, 2008Last Revised: April 08, 201194 downloads
An Empirical Study of Exposure at Default
Michael Jacobs Jr.
Date Posted: June 23, 2008Last Revised: February 15, 20101161 downloads
Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns CREATES Research Paper No. 2007-21
Torben G. Andersen ,
Tim Bollerslev ,
Per Skaarup Frederiksen
,
Morten Ørregaard Nielsen and
Margit Sommer
Date Posted: June 23, 2008Last Revised: December 02, 2008201 downloads
Headlights on Tobacco Road to Low Birthweight Outcomes - Evidence from a Battery of Quantile Regression Estimators and a Heterogeneous Panel CREATES Research Paper 2008-20
Stefan Holst Bache
,
Christian Dahl
and
Johannes Tang Kristensen
affiliation not provided to SSRN
and
CREATES
Date Posted: June 23, 2008Last Revised: April 10, 2011120 downloads
Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks CREATES Research Paper No. 2007-15
Viktor Todorov
and
Tim Bollerslev
Date Posted: June 23, 2008223 downloads
Macroeconomic Stress and Worst Case Analysis of Loan Portfolios
Thomas Breuer
,
Martin Jandacka
,
Klaus Rheinberger
and
Martin Summer
Date Posted: June 23, 2008269 downloads
On Construction of Robust Composite Indices by Linear Aggregation
Sudhanshu K. Mishra
Date Posted: June 23, 2008Last Revised: December 23, 200899 downloads
Optimal Inference for Instrumental Variables Regression with Non-Gaussian Errors CREATES Research Paper 2007-11
Matias D. Cattaneo
,
Richard K. Crump and
Michael Jansson
Date Posted: June 23, 200816 downloads
Outlyingness Weighted Covariation Journal of Financial Econometrics, Vol. 9, pp. 657-684, 2011
Kris Boudt
,
Christophe Croux
and
Sébastien Laurent
Date Posted: June 23, 2008Last Revised: March 04, 2012175 downloads
Risk, Jumps, and Diversification CREATES Research Paper 2007-19
Tim Bollerslev ,
Tzuo Hann Law
and
George Tauchen
affiliation not provided to SSRN
and
Duke University - Economics Group
Date Posted: June 23, 2008133 downloads
Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility CREATES Research Paper No. 2007-18
Torben G. Andersen ,
Tim Bollerslev and
Francis X. Diebold
Date Posted: June 23, 2008238 downloads
Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis CREATES Research Paper 2007-12
Michael Jansson
Date Posted: June 23, 200813 downloads
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