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JEL Code: C32
451,065 Total downloads
Showing Papers 481 - 530 of 3,072
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A New Look at the Trade Volume Effects of Real Exchange Rate Risk: A Rational Expectation-Based Multivariate GARCH-M Approach Cornell University Applied Economics Management Working Paper No. 2002-41
Kai Li Wang and
Christopher B. Barrett
Date Posted: September 16, 2003236 downloads
Leaves and Cigarettes: Modelling the Tobacco Industry
Fabrizio Ferretti
,
Filippo Arfini
and
Konstadinos Mattas
Date Posted: January 24, 2007236 downloads
Markov-Switching Models with Endogenous Explanatory Variables II: A Two-Step MLE Procedure with Standard-Error Correction
Chang-Jin Kim
Date Posted: October 22, 2004236 downloads
Probability Tree Algorithm for General Diffusion Processes
Colleen Chen ,
Radu Paul Mondescu ,
David Muzzall and
Marco Renedo
Date Posted: March 13, 2001236 downloads
Asymmetric Effects of Return and Volatility on Correlation between International Equity Markets
Abderrahim Taamouti
and
Georges Tsafack
Date Posted: February 16, 2009Last Revised: April 08, 2009235 downloads
Cointegration and the Relationship Between Pension Liabilities and Asset Prices Watson Wyatt Technical Paper No. 2003-TR-06
Mirko Cardinale
Date Posted: May 10, 2006235 downloads
Exchange Rate Pass-Through in Turkey IMF Working Paper No. 02/204
Daniel Leigh and
Marco Rossi
Date Posted: February 14, 2006235 downloads
Dynamic Latent Factor Models for Intensity Processes CORE Discussion Paper No. 2003/103
Luc Bauwens and
Nikolaus Hautsch
Date Posted: April 14, 2005234 downloads
News - Good or Bad - and its Impact Over Multiple Horizons
Xilong Chen
and
Eric Ghysels
Date Posted: July 05, 2007234 downloads
Stock Market Volatility Changes in Central Europe Caused by
Asian and Russian Financial Crises Tsenov Academy of Economics Department of Finance and Credit Working Paper No.03-01
Plamen Georgiev Patev
and
Nigokhos Krikorov Kanaryan
Date Posted: March 06, 2003233 downloads
An Empirical Model of Daily Highs and Lows CESifo Working Paper Series No. 1695, HKIMR Working Paper No. 7/2006
Yin-Wong Cheung
Date Posted: April 24, 2006232 downloads
How Do Individual Investors Trade?
Ingmar Nolte
and
Sandra Nolte (Lechner)
Date Posted: January 20, 2010Last Revised: February 18, 2010232 downloads
On Forecasting Daily Stock Volatility: The Role of Intraday Information and Market Conditions Cass Business School Research Paper No. 02-08
Ana-Maria Fuertes ,
Elena Kalotychou
and
Marwan Izzeldin
Date Posted: May 29, 2008232 downloads
Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series Tinbergen Institute Discussion Paper No. TI 02-113/4
Siem Jan Koopman and
Charles S. Bos
Date Posted: January 06, 2003231 downloads
Allowing the Data to Speak Freely: The Macroeconometrics of the Cointegrated Vector Autoregression
Kevin D. Hoover ,
Soren Johansen
and
Katarina Juselius
Date Posted: November 21, 2007229 downloads
Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy
Andrew Mountford
Date Posted: December 05, 2002229 downloads
European Yield Differentials and Basis Risk: A Hedging Perspective EFA 2005 Moscow Meetings Paper
Yiu Chung Cheung and
Frank de Jong
affiliation not provided to SSRN
and
Tilburg University - Department of Finance
Date Posted: October 07, 2004228 downloads
Long and Short-Run Linkages in CEE Stock Markets: Implications for Portfolio Diversification and Stock Market Integration William Davidson Institute Working Paper No. 832
Manolis Syllignakis
and
Georgios P. Kouretas
Date Posted: June 22, 2006228 downloads
Correlation, Hierarchies, and Networks in Financial Markets Journal of Economic Behavior and Organization, Forthcoming
Michele Tumminello
,
Fabrizio Lillo
and
Rosario N. Mantegna
Date Posted: May 29, 2010227 downloads
Essays on Valuation and Risk Management for Insurers
Richard Plat
Date Posted: November 11, 2010Last Revised: March 07, 2011227 downloads
Joint Modelling of International Yield Curves Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Matti Koivu
,
Ken Nyholm and
Jacob Stromberg
Date Posted: December 13, 2007227 downloads
Estimating Risk Premia in Money Market Rates ECB Working Paper No. 221
Alain Durré ,
Snorre Evjen
and
Rasmus Pilegaard
Date Posted: June 04, 2003226 downloads
Modeling and Forecasting the Realized Volatility of US Dollar/Canadian Dollar Using High Frequency Data
Jia Geng
Date Posted: July 12, 2007Last Revised: October 15, 2008226 downloads
T-Statistic Based Correlation and Heterogeneity Robust Inference Harvard Institute of Economic Research Discussion Paper No. 2129
Rustam Ibragimov and
Ulrich K. Müller
Date Posted: February 21, 2007225 downloads
Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models
Dimitris Korobilis
Date Posted: August 26, 2009Last Revised: February 27, 2011224 downloads
Credit Risk and Market Risk: Analyzing U.S. Credit Spreads
Hayette Gatfaoui
Date Posted: May 14, 2009224 downloads
The Macroeconomic Effects of Fiscal Policy ECB Working Paper No. 991
Antonio Afonso and
Ricardo M. Sousa
Date Posted: January 25, 2009224 downloads
Another Perspective on the Effects of Inflation Uncertainty Journal of Money, Credit, and Banking, Vol. 36, No. 5, 2004
John Elder
Date Posted: March 23, 2001Last Revised: February 15, 2013223 downloads
Discrete-Time Affine Term Structure Models: An ARCH Formulation International Journal of Risk Assessment and Management, Forthcoming
Mario Maggi
and
Alessandro Carta Sr.
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: January 20, 2010223 downloads
Predictability in International Asset Returns: A Reexamination FRB of St. Louis Working Paper No. 97-010D
Christopher J. Neely and
Paul A. Weller
Date Posted: September 25, 2000223 downloads
ARIMA and Neural Networks: An Application to the Real GNP Growth Rate and the Unemployment Rate of U.S.A.
Eleftherios Giovanis
Date Posted: March 26, 2009222 downloads
Backtesting Value-at-Risk Models: A Multivariate Approach Center for Applied Economics & Policy Research Working Paper No. 004-2010
Cristina Danciulescu
Date Posted: April 16, 2010222 downloads
Cointegration and Priority Relationships between Stock Market of Turkey, Brazil and Argentina European Journal of Economics, Finance and Administrative Sciences, Issue 10, 2008
Erman Erbaykal Sr.
,
H. Aydin Okuyan
and
Ozgur Kadioglu
Date Posted: December 30, 2008221 downloads
Dependence Structure and Extreme Comovements in International Equity and Bond Markets
Georges Tsafack Kemassong
Date Posted: March 16, 2006221 downloads
Foreign Direct Investment, Macroeconomic Instability and Economic Growth in MENA Countries GATE Working Paper No. 08-17
Mustapha Sadni-Jallab
,
Monnet Gbakou
and
Rene P. Sandretto
Date Posted: July 23, 2008221 downloads
Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence Cowles Foundation Discussion Paper No. 1362
Peter C. B. Phillips and
Donggyu Sul
Date Posted: June 01, 2002220 downloads
The Structure of Interlinkages, Exogeneity and Contagion in the Stock Market and Foreign Exchange Market in Indonesia: A Study of Pre-Crisis and Crisis Times
Zaafri Ananto Husodo
Date Posted: May 10, 2005219 downloads
A Dynamic Asset Pricing Model with Time-Varying Idiosyncratic Risk
Paskalis Glabadanidis
Date Posted: December 08, 2004218 downloads
Just How Undervalued is the Chinese Renminbi? BOFIT Discussion Paper No. 14/2004
Michael Funke and
Jörg Rahn
Date Posted: September 18, 2007218 downloads
On Adjusting the HP-Filter for the Frequency of Observations CESifo Working Paper Series No. 479; LBS, Department of Economics, Working Paper No. DP 2001/1
Morten O. Ravn and
Harald Uhlig
Date Posted: July 11, 2001218 downloads
Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis Journal of Empirical Finance, Vol. 16, No. 2, 2009
Andrea Cipollini
and
George Kapetanios
Date Posted: August 23, 2005Last Revised: May 18, 2009217 downloads
International Financial Contagion: Evidence from the Argentine Crisis of 2001-2002 Applied Financial Economics, Vol. 15, pp. 153-163, 2005
Melisso Boschi
Date Posted: December 05, 2005217 downloads
Monetary Policy, Nominal Interest Rates, and Long-Horizon Inflation Uncertainty University of Cambridge DAE Working Paper No. 9820
Stephen H. Wright
Date Posted: December 27, 1998217 downloads
The Global Price of Market Risk and Country Inflation
Devraj Basu and
Chi-Hsiou Hung
Date Posted: March 03, 2008Last Revised: May 06, 2009217 downloads
What Moves Interest Rates? Ex-Ante Determinants of Interest Rate Volatility
Louis H. Ederington and
Doung Le
Date Posted: January 03, 2008217 downloads
A Test for Structural Change in Markov-Switching Models: Has the U.S. Economy Become More Stable?
Chang-Jin Kim and
Charles R. Nelson
Date Posted: March 12, 1999216 downloads
Comovements in National Stock Market Returns: Evidence of Predictability but not Cointegration IMF Working Paper No. 96/28
Anthony J. Richards
Date Posted: February 15, 2006216 downloads
Convergence across Indian States: A Re-evaluation
Hiroshi Gunji
and
Yuko Nikaido
Date Posted: December 09, 2004216 downloads
New Economy - New Policy Rules? Tilburg University, CentER Working Paper No. 2000-72
James Bullard and
Eric Schaling
Date Posted: October 04, 2000216 downloads
The Policy Challenge at Floating Exchange Rates: Turkey's Recent Experience Bilkent University Department of Economics Working Paper
Faruk Selcuk
Date Posted: September 04, 2003216 downloads
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