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JEL Code: C51
360,109 Total downloads
Showing Papers 481 - 530 of 1,827
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Hermite Polynomial based Expansion of European Option Prices
Chicago Booth Research Paper No. 11-40
Dacheng Xiu
University of Chicago - Booth School of Business
Date Posted: November 08, 2010
Last Revised: January 03, 2013
Working Paper Series
505 downloads
Seasonality and Causality in the Tourism Sector - The Romanian Case
Marius Surugiu
Institute of National Economy, Bucharest, Romania
Date Posted: November 04, 2010
Working Paper Series
29 downloads
A New Simple Approach for Constructing Implied Volatility Surfaces
Peter Carr and
Liuren Wu
New York University (NYU) - Courant Institute of Mathematical Sciences
and
City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: November 03, 2010
Working Paper Series
1739 downloads
Simple Robust Hedging with Nearby Contracts
Liuren Wu and
Jingyi Zhu
City University of New York, CUNY Baruch College - Zicklin School of Business
and
University of Utah
Date Posted: November 02, 2010
Working Paper Series
271 downloads
Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
Banque de France Working Paper No. 141
Eric Jondeau and
Jean-Guillaume Sahuc
University of Lausanne
and
Banque de France - Centre de Recherche
Date Posted: October 31, 2010
Working Paper Series
32 downloads
Oil Shock Transmission to Stock Market Returns: Wavelet-Multivariate Markov Switching GARCH Approach
Energy: The International Journal, Forthcoming
Rania Jammazi
Tunis El Manar University - Faculty of Economics and Management Sciences
Date Posted: October 30, 2010
Last Revised: November 07, 2011
Accepted Paper Series
Real Time Forecasts of Inflation: The Role of Financial Variables
Bank of Italy Temi di Discussione (Working Paper) No. 767
Libero Monteforte
and
Gianluca Moretti
Bank of Italy
and
Bank of Italy
Date Posted: October 29, 2010
Working Paper Series
58 downloads
Estimating Potential Output with a Production Function for France, Germany and Italy
Banque de France Working Paper No. NER-E 146
Mustapha Baghli
,
Christophe Cahn
and
Jean-Pierre Villetelle
Banque de France
,
Paris School of Economics
and
Banque de France
Date Posted: October 27, 2010
Working Paper Series
39 downloads
Seasonal Adjustment of Monetary Aggregates and Loans Series at the Banque de France: Theoretical Background and Implementation (La Désaisonnalisation des Séries D’Agrégats Monétaires et de Crédit à la Banque de France: Aspects Théoriques et Mise en Oeuvre) (French)
Banque de France Working Paper No. NER-E 147
Elizabeth Fonteny
Banque de France
Date Posted: October 27, 2010
Working Paper Series
24 downloads
An Empirical Study of Online Supports among Patients
Lu Yan
and
Yong Tan
Indiana University Bloomington - Kelley School of Business
and
University of Washington - Michael G. Foster School of Business
Date Posted: October 25, 2010
Last Revised: October 08, 2012
Working Paper Series
123 downloads
Comparing Markets Rents from a User Cost and Reaction Model
OFRC Working Paper Series No. 2010-03
Marc Francke
University of Amsterdam - Faculty of Economics and Business (FEB)
Date Posted: October 25, 2010
Working Paper Series
13 downloads
Moment Component Analysis: An Illustration with International Stock Markets
Swiss Finance Institute Research Paper No. 10-43
Eric Jondeau ,
Emmanuel Jurczenko
and
Michael Rockinger
University of Lausanne
,
ESCP Europe - Department of Economics
and
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: October 21, 2010
Working Paper Series
258 downloads
Structural Assessment of the Sacrifice Ratio and the Euro Area
Banque de France Working Paper No. 163
Jerome Coffinet
,
Julien Matheron and
Céline Poilly
Banque de France
,
Banque de France
and
Banque de France
Date Posted: October 21, 2010
Working Paper Series
14 downloads
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Marco Avellaneda ,
Josh Reed
and
Sasha Stoikov
New York University (NYU) - Courant Institute of Mathematical Sciences
,
New York University (NYU) - Department of Information, Operations, and Management Sciences
and
Cornell Financial Engineering Manhattan
Date Posted: October 14, 2010
Last Revised: October 11, 2012
Accepted Paper Series
1381 downloads
Modeling Within- and Across-Customer Association in Lifetime Value with Copulas
CentER Dicussion Paper Series No. 2010-103
Nicolas Glady
,
Aurelie Lemmens and
Christophe Croux
affiliation not provided to SSRN
,
Tilburg University
and
KU Leuven - Faculty of Business and Economics (FBE)
Date Posted: October 13, 2010
Working Paper Series
54 downloads
Bank Lending to the Production Sector: Credit Crunch or Extra - Credit?
Temi di Economia e Finanza Working Paper No. 1
Daniele Di Giulio
Italian Banking Association
Date Posted: October 09, 2010
Working Paper Series
61 downloads
Differences in Interest Rate Policy at the ECB and the Fed: An Investigation with a Medium-Scale DSGE Model
Banque de France Working Paper No. 182
Frank Smets and
Jean-Guillaume Sahuc
European Central Bank (ECB)
and
Banque de France - Centre de Recherche
Date Posted: October 09, 2010
Working Paper Series
20 downloads
Lumpy Price Adjustments: A Microeconometric Analysis
National Bank of Belgium Working Paper No. 100
Emmanuel Dhyne
,
Catherine Fuss
,
M. Hashem Pesaran and
Patrick Sevestre
National Bank of Belgium
,
National Bank of Belgium
,
University of Southern California
and
Banque de France
Date Posted: October 09, 2010
Working Paper Series
9 downloads
Pricing of the Time-Change Risks
Economic Research Initiatives at Duke (ERID) Working Paper No. 71
George Tauchen and
Ivan Shaliastovich
Duke University - Economics Group
and
University of Pennsylvania - Finance Department
Date Posted: October 09, 2010
Working Paper Series
67 downloads
Testing Heterogeneity within the Euro Area
Banque de France Working Paper No. 181
Eric Jondeau and
Jean-Guillaume Sahuc
University of Lausanne
and
Banque de France - Centre de Recherche
Date Posted: October 09, 2010
Working Paper Series
10 downloads
The Realized Laplace Transform of Volatility
Economic Research Initiatives at Duke (ERID) Working Paper No. 72
George Tauchen and
Viktor Todorov
Duke University - Economics Group
and
Northwestern University
Date Posted: October 09, 2010
Last Revised: July 21, 2011
Working Paper Series
87 downloads
Lumpy Price Adjustments: A Microeconometric Analysis
Banque de France Working Paper No. NER - R 185
Emmanuel Dhyne
,
Catherine Fuss
,
M. Hashem Pesaran and
Patrick Sevestre
National Bank of Belgium
,
National Bank of Belgium
,
University of Southern California
and
Banque de France
Date Posted: October 08, 2010
Working Paper Series
14 downloads
Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French)
Banque de France Working Paper No. NER - E 187
Marie Adanero-Donderis
,
Olivier Darné
and
Laurent Ferrara
Banque de France
,
Banque de France
and
Banque de France
Date Posted: October 08, 2010
Working Paper Series
12 downloads
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Economic Research Initiatives at Duke (ERID) Working Paper No. 73
Tim Bollerslev ,
George Tauchen and
Natalia Sizova
Duke University - Finance
,
Duke University - Economics Group
and
Rice University
Date Posted: October 07, 2010
Working Paper Series
95 downloads
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Economic Research Initiatives at Duke (ERID) Working Paper No. 75
Viktor Todorov
,
George Tauchen and
Iaryna Grynkiv
Northwestern University
,
Duke University - Economics Group
and
Duke University
Date Posted: October 06, 2010
Working Paper Series
48 downloads
Searching for Additional Sources of Inflation Persistence: The Micro-Price Panel Data Approach
National Bank of Belgium Working Paper No. 132
Rafal Raciborski
affiliation not provided to SSRN
Date Posted: October 03, 2010
Working Paper Series
11 downloads
Distinguishing between Consistency and Error in Reliability Coefficients: Improving the Estimation and Interpretation of Information on Measurement Precision
William P. Fisher Jr.
University of California, Berkeley
Date Posted: October 01, 2010
Working Paper Series
84 downloads
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
Massimiliano Caporin ,
Juliusz Pres
and
Hipòlit Torró
University of Padova - Department of Economics and Management "Marco Fanno"
,
Szczecin University of Technology
and
University of Valencia
Date Posted: September 30, 2010
Working Paper Series
103 downloads
A Quarterly Econometric Model of the Slovenian Economy
Economic and Business Review, Vol. 8, No. 3, 2006, IER Working Paper, No. 30, 2005
Miroslav Verbic
University of Ljubljana - Faculty of Economics
Date Posted: September 29, 2010
Accepted Paper Series
17 downloads
Chilean Stock Market Expected Return Analysis: A Variance Decomposition
Ercos Valdivieso
affiliation not provided to SSRN
Date Posted: September 28, 2010
Working Paper Series
62 downloads
Evaluating a Monetary Business Cycle Model with Unemployment for the Euro Area
National Bank of Belgium Working Paper No. 173
Nicolas Groshenny
Reserve Bank of New Zealand
Date Posted: September 28, 2010
Working Paper Series
10 downloads
Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
Swiss Finance Institute Research Paper No. 10-41
Eric Jondeau and
Michael Rockinger
University of Lausanne
and
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: September 28, 2010
Working Paper Series
128 downloads
Taxation Reforms: A CGE-Microsimulation Analysis for Pakistan
MPIA Working Paper 2010-12
Saira Ahmed
,
Vaqar Ahmed
and
Ahsan Abbas
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 28, 2010
Working Paper Series
89 downloads
An Econometric Analysis of Willingness-to-Pay for Sustainable Development: A Case Study of the Volčji Potok Landscape Area
Ecological Economics, Vol. 68, No. 5, 2009, CEPS ENEPRI Working Paper, No. 53, 2007
Miroslav Verbic
and
Renata Slabe Erker
University of Ljubljana - Faculty of Economics
and
Institute for Economic Research (IER) Slovenia
Date Posted: September 27, 2010
Accepted Paper Series
37 downloads
Capital Structure of SMEs: To What Extent Does Size Matter?
Nikolaos Daskalakis
and
Eleni Thanou
Small Enterprises Institute IME-GSEVEE
and
University of Crete
Date Posted: September 27, 2010
Working Paper Series
128 downloads
EU Banks Rating Assignments: Is There Heterogeneity between New and Old Member Countries?
DIW Berlin Discussion Paper No. 1009
Guglielmo Maria Caporale ,
Roman Matousek and
Chris Stewart
London South Bank University
,
London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
and
London Metropolitan University
Date Posted: September 23, 2010
Working Paper Series
15 downloads
Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects
Banque de France Working Paper No. 202
Vassilis Hajivassiliou and
Frederique Savignac
London School of Economics & Political Science (LSE) - Department of Economics
and
University Paris-Est Créteil (UPEC)
Date Posted: September 22, 2010
Working Paper Series
41 downloads
Seasonal Adjustment of Monetary Aggregates: Implementation of New Procedures
Renaud Lacroix
and
Laurent Maurin
Banque de France
and
Banque de France
Date Posted: September 22, 2010
Working Paper Series
30 downloads
Calibrating the Nelson-Siegel-Svensson Model
Manfred Gilli ,
Stefan Grosse
and
Enrico Schumann
University of Geneva - Department of Economics
,
NORD/LB
and
VIP Value Investment Professionals AG
Date Posted: September 16, 2010
Last Revised: April 22, 2011
Working Paper Series
275 downloads
No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Caroline Jardet
,
Alain Monfort and
Fulvio Pegoraro
Banque de France - Economics and Finance Research Center
,
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
and
Banque de France - Economics and Finance Research Center
Date Posted: September 16, 2010
Last Revised: June 09, 2011
Working Paper Series
37 downloads
A g-and-h Copula Approach to Risk Measurement in Multivariate Financial Models
Markus Huggenberger
and
Timo Klett
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
and
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Date Posted: September 15, 2010
Last Revised: December 18, 2010
Working Paper Series
199 downloads
The Interactive Causality between Higher Education and Economic Growth in Romania
Proceedings of Annual London Business Research Conference, 2010
Lucian Belașcu
and
Daniela Emanuela Danacica
Lucian Blaga University of Sibiu
and
Constantin Brancusi University of Targu-Jiu, Faculty of Economics and Business Administration
Date Posted: September 12, 2010
Accepted Paper Series
47 downloads
Dynamic Entry with Cross Product Spillovers: An Application to the Generic Drug Industry
Economic Research Initiatives at Duke (ERID) Working Paper Series No. 57
A. Ronald Gallant ,
Han Hong and
Ahmed Khwaja
Duke University - Fuqua School of Business, Economics Group
,
Duke University - Department of Economics
and
Yale School of Management
Date Posted: September 09, 2010
Working Paper Series
100 downloads
Continuous-Time Modeling in Econometrics and Engineering
Arie Ten Cate
CPB Netherlands Bureau of Economic Policy Analysis
Date Posted: September 08, 2010
Working Paper Series
Estimation and Inference in Arch Models in the Presence of Outliers
Journal of Financial Econometrics, Vol. 8, No. 4, pp. 547-569, 2010
Allan Gregory
and
Jonathan J. Reeves
Queen's University
and
Australian School of Business, University of New South Wales
Date Posted: September 08, 2010
Accepted Paper Series
Modelling and Forecasting Imported Japanese Parts Content of US Transplants: An Error Correction and State Space Approach
Date Posted: September 06, 2010
Working Paper Series
17 downloads
Predicting Probability of Default of Russian Public Companies on the Basis of Financial and Market Variables
Victor Maleev
and
Tatiana Nikolenko
Independent
and
Independent
Date Posted: September 06, 2010
Working Paper Series
63 downloads
Credit Constraints, Health Care Choices and Health Outcomes
Chandra Shekhar Kumar
affiliation not provided to SSRN
Date Posted: September 05, 2010
Working Paper Series
2 downloads
Estimating DSGE Models with Unknown Data Persistence
Bank of Italy Temi di Discussione (Working Paper) No. 750
Gianluca Moretti
and
Giulio Nicoletti
Bank of Italy
and
Bank of Italy
Date Posted: September 01, 2010
Working Paper Series
23 downloads
Identification of Models of the Labor Market
FRB of Chicago Working Paper No. 2010-08
Eric French and
Christopher Taber
Federal Reserve Bank of Chicago
and
National Bureau of Economic Research (NBER)
Date Posted: August 31, 2010
Last Revised: September 27, 2010
Working Paper Series
59 downloads
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