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JEL Code: C22
533,723 Total downloads
Showing Papers 461 - 510 of 3,420
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Autoregressive Conditional Tail Behavior and Results on Government Bond Yield Spreads
Niklas Wagner
Date Posted: June 16, 2004125 downloads
Autoregressive Transformations in Cointegrated Regressions The Review of Economics and Statistics, Vol. LXXIX, No. 3, August 1997
Robert F. McNown and
Myles S. Wallace
Date Posted: March 30, 1998
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Simon van Norden and
Robert Vigfusson
Date Posted: January 06, 1998
Backtesting Parametric Value-at-Risk With Estimation Risk CAEPR Working Paper No. 2007-005
Juan Carlos Escanciano
and
Jose Olmo
Date Posted: March 22, 2007Last Revised: September 05, 2008691 downloads
Backtesting VaR Models: An Expected Shortfall Approach
Timotheos Angelidis
and
Stavros Antonios Degiannakis
Date Posted: April 26, 2006848 downloads
Bagging Time Series Models CEPR Discussion Paper No. 4333
Atsushi Inoue and
Lutz Kilian
Date Posted: May 05, 200425 downloads
Balance Sheet Interlinkages and Macro-Financial Risk Analysis in the Euro Area ECB Working Paper No. 1124
Olli Castren
and
Ilja Kristian Kavonius
Date Posted: December 11, 2009297 downloads
Band Spectral Estimation for Signal Extraction CEIS Working Paper No. 105
Tommaso Proietti
Date Posted: May 14, 200741 downloads
Bank Interest Rate Pass-Through: New Evidence from French Individual Data Banque de France Working Paper No. 194
Anne de la Serre
,
Sébastien Frappa
,
Jeremi Montornes
and
Michèle Murez
affiliation not provided to SSRN
,
Banque de France
,
Banque de France
and
Banque de France
Date Posted: September 22, 201040 downloads
Bank Lending Channel for Monetary Policy Transmission in Malaysia: An ARDL Approach Applied Econometrics and International Development, Vol. 7, No. 2, 2007
Kim-Leng Goh ,
Chin Sieng Chong
and
Sook-Lu Yong
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: November 24, 200872 downloads
Bank Rate Rigidities and Asymmetric Adjustment: Evidence from selected OECD Countries Greek Economic Review, Vol. 22, No. 1, Autumn 2003
George Donatos
,
Demetrios Moschos
and
Zacharias Bragoudakis
Date Posted: September 08, 2003
Basic Properties of Stationary First-Order Autoregressive Processes and Random Walks Victoria Univ. of Technology Working Paper No. 1/00
Date Posted: November 06, 2001678 downloads
Bayesian Analysis of Autoregressive Models With Multiple Structural Breaks
Loukia Meligkotsidou
,
Elias Tzavalis and
Ioannis D. Vrontos
Date Posted: February 27, 2007101 downloads
Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle UNSW Australian School of Business Research Paper No. 2013-05
Ming Chien Lo
and
James Morley
Date Posted: April 15, 201313 downloads
Bayesian Estimation and Model Selection for the Weekly Colombian Exchange Rate Revista de Economia del Rosario, Vol. 4, No. 2, pp. 143-172, 2001
Norberto Rodríguez
Date Posted: September 06, 200664 downloads
Bayesian Estimation for Parsimonious Threshold Autoregressive Models in R The Newsletter of the R Project
Cathy W. S. Chen
,
Edward M.H. Lin ,
Feng-Chi Liu
and
Richard H. Gerlach
Date Posted: May 27, 2009Last Revised: August 21, 200935 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
Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations Student, Vol. 5 No. 3-4, pp. 283-298, September 2006
David Ardia
Date Posted: January 28, 2010178 downloads
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations The R Journal, Vol. 2, No. 2, pp. 41–47, 2010,
David Ardia and
Lennart F. Hoogerheide
Date Posted: September 21, 2009Last Revised: April 16, 2011178 downloads
Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis Journal of Forecasting, Forthcoming
Cathy W. S. Chen
,
Richard H. Gerlach
,
Edward M.H. Lin and
Wayne
Date Posted: April 21, 2011Last Revised: May 29, 2011124 downloads
Bayesian Inference in Dynamic Models with Latent Factors Monography of Official Statistics, Forthcoming
Monica Billio ,
Roberto Casarin and
Domenico Sartore
Date Posted: January 21, 2005
Bayesian Inference of Long-Memory Stochastic Volatility via Wavelets Missouri Economics Working Paper No. 01-02
Mark J. Jensen
Date Posted: March 23, 2001322 downloads
Bayesian Inference on Dynamic Models with Latent Factors University Ca' Foscari of Venice, Department of Economics Research Paper No. 34/07
Monica Billio ,
Roberto Casarin and
Domenico Sartore
Date Posted: January 28, 200896 downloads
Bayesian Inference on GARCH Models Using the Gibbs Sampler The Econometrics Journal, Vol. 1, 1998
Luc Bauwens and
Michel Lubrano
Date Posted: April 06, 1999
Bayesian Model Selection for Heteroskedastic Models
Cathy W. S. Chen
,
Richard H. Gerlach
and
Mike K. P. So
Date Posted: May 28, 2009Last Revised: October 23, 2009103 downloads
Bayesian Model Selection for Structural Break Models
Andrew T. Levin and
Jeremy Piger
Date Posted: May 15, 2008129 downloads
Bayesian Monte Carlo Filtering for Stochastic Volatility Models Cahier du CEREMADE No. 0415
Roberto Casarin
Date Posted: March 09, 2006249 downloads
Bayesian Nonparametric Modelling of the Return Distribution with Stochastic Volatility
Eleni-Ioanna Delatola
and
Jim E. Griffin
Date Posted: August 25, 2010Last Revised: September 26, 2011174 downloads
Bayesian Option Pricing using Asymmetric GARCH Models Journal of Empirical Finance, Vol. 9, No. 3, pp. 321-342
Luc Bauwens and
Michel Lubrano
Date Posted: April 14, 2005
Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models
J. V. K. Rombouts and
Lars Stentoft
Date Posted: December 12, 2008Last Revised: February 24, 2009212 downloads
Behavior of Stock Market Index in the Stock Exchange of Thailand Jiranyakul, Komain, 'Behavior of Stock Market Index in the Stock Exchange of Thailand', NIDA Economic Review, Vol. 2, No. 2, pp. 47-57, 2007
Komain Jiranyakul
Date Posted: April 10, 20137 downloads
Behavioral Heterogeneity in Stock Prices Journal of Economic Dynamics and Control, Vol. 31, 2007
H. Peter Boswijk ,
C. H. Hommes
and
Sebastiano Manzan
Date Posted: February 04, 2009186 downloads
Behavioral Heterogeneity in U.S. Inflation Dynamics
Adriana Cornea
,
Cars H. Hommes and
Domenico Massaro
Date Posted: October 21, 2011Last Revised: October 10, 201252 downloads
Behavioral Heterogeneity in U.S. Inflation Dynamics Tinbergen Institute Discussion Paper 13-015/II
Adriana Cornea
,
Cars H. Hommes and
Domenico Massaro
Date Posted: January 15, 201314 downloads
Best Quadratic Unbiased Estimators of Integrated Variance in the Presence of Market Microstructure Noise
Yixiao Sun
Date Posted: November 26, 201019 downloads
Beta Convergence
London School of Economics WP 97-332
Claudio Michelacci and
P. Zaffaroni
Date Posted: March 09, 1998
Better the Devil You Know: The Role of Political Uncertainty in Determining Financial Market Uncertainty
Lee A. Smales
Date Posted: March 19, 20139 downloads
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Lisa R. Goldberg ,
Guy Miller
and
Jared Weinstein
Date Posted: October 22, 2007758 downloads
Bias and Measurement Error in Discretionary Accrual Models
Glen A. Hansen
Date Posted: December 16, 19991132 downloads
Bias Correction of KPSS Test with Structural Break for Reducing the Size Distortion
Anton Skrobotov
Date Posted: November 30, 2012Last Revised: December 01, 201222 downloads
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
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
Bilateral Exports from Euro Zone Countries to the US - Does Exchange Rate Variability Play a Role? CEGE Discussion Paper No. 121
Florian Verheyen
Date Posted: April 14, 2011Last Revised: April 22, 201115 downloads
Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions Center for Statistics in the Social Sciences Working Paper No. 56
Richard Startz
Date Posted: March 01, 2006140 downloads
Biofuels and Food Prices: Searching for the Causal Link FEEM Working Paper No. 22.2013
Andrea Bastianin
,
Marzio Galeotti and
Matteo Manera
Date Posted: April 04, 201312 downloads
Biofuels and Food Prices: Searching for the Causal Link USAEE Working Paper No. 13-120
Andrea Bastianin
,
Marzio Galeotti and
Matteo Manera
Date Posted: April 01, 201317 downloads
Biofuels and Food Prices: Searching for the Causal Link IEFE ‐ The Center for Research on Energy and Environmental Economics and Policy at Bocconi Universityb Working Paper No. 55,
Andrea Bastianin
,
Marzio Galeotti and
Matteo Manera
Date Posted: March 14, 201319 downloads
Bivariate Causality Between Immigration and Long-Term Unemployment in Australia, 1981-1998 Victoria Univ. Applied Econ. Working Paper No. 18/00
Date Posted: November 11, 2001197 downloads
Bivariate FIGARCH and Fractional Cointegration Queen Mary & Westfield College, Department of Economics Working Paper No. 408
Celso Brunetti and
Christopher L. Gilbert
Date Posted: March 01, 2000445 downloads
Bivariate Time Series Modelling of Financial Count Data Umea Economic Studies Working Paper No. 655
Shahiduzzaman Quoreshi
Date Posted: May 09, 2005
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