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Authors: 271,779
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SSRN eLibrary Search Results
JEL Code: C5
1,458,527 Total downloads
Showing Papers 4,831 - 4,880 of 7,268
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Incl. Electronic Paper Forecasting Portfolio-Value-At-Risk with Nonparametric Lower Tail Dependence Estimates
Journal of Banking and Finance, Forthcoming
Karl Friedrich Siburg , Pavel Stoimenov and Gregor N. F. Weiss
TU Dortmund University , University of Dortmund - Department of Economics and TU Dortmund University
Date Posted: January 27, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Flexibility in the Market for International Carbon Credits and Price Dynamics Difference with European Allowances
FEEM Working Paper No. 3.2015
Claire Gavard and Djamel Kirat
Fondazione Eni Enrico Mattei (FEEM) and University of Orleans
Date Posted: January 27, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Diferenças De Performance Explicam a Não-Sobrevivência De Fundos De Investimento? (Does Performance Differences Explain the Non-Survivorship of Mutual Funds?)
Juliane Vanessa Rippel Silveira and Bruno Milani
Faculdade Palotina de Santa Maria and Federal University of Santa Maria
Date Posted: January 27, 2015
Working Paper Series
2 downloads

Dependence Structure between the Equity Market and the Foreign Exchange Market – A Copula Approach
Journal of International Money and Finance, Vol. 20, 2010
Cathy Ning
Ryerson University
Date Posted: January 26, 2015
Accepted Paper Series

Incl. Electronic Paper Microeconomic Models with Latent Variables: Applications of Measurement Error Models in Empirical Industrial Organization and Labor Economics
Yingyao Hu
Johns Hopkins University - Department of Economics
Date Posted: January 26, 2015
Working Paper Series
2 downloads

Is Volatility Clustering of Asset Returns Asymmetric?
Journal of Banking and Finance, Vol. 52, 2015
Cathy Ning , Dinghai Xu and Tony S. Wirjanto
Ryerson University , Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: January 26, 2015
Accepted Paper Series

Incl. Electronic Paper Comparing Dynamic Equilibrium Economies to Data: A Bayesian Approach
FRB Atlanta Working Paper Series No. 2001-23a
Jesús Fernández-Villaverde and Juan Francisco Rubio-Ramirez
University of Pennsylvania - Department of Economics and Duke University - Department of Economics
Date Posted: January 25, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Modest Policy Interventions
FRB Atlanta Working Paper Series No. 99-22
Eric M. Leeper and Tao Zha
Indiana University at Bloomington - Department of Economics and Federal Reserve Bank of Atlanta
Date Posted: January 25, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Conditional Forecasts in Dynamic Multivariate Models
FRB Atlanta Working Paper Series No. 98-22
Daniel F. Waggoner and Tao Zha
Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Date Posted: January 25, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper The ARCH-in-Mean Dose Work: Out-of-Sample Predictability of US Stock Market
Haibin Xie and Shouyang Wang
University of International Business and Economics and Chinese Academy of Sciences (CAS) - Center for Forecasting Science; Academy of Mathematics and Systems Sciences
Date Posted: January 25, 2015
Working Paper Series
7 downloads

24-Hour Realized Volatilities and Transatlantic Volatility Interdependence
Robert Maderitsch
University of Hohenheim - Faculty of Business, Economics and Social Sciences
Date Posted: January 25, 2015
Working Paper Series

Incl. Electronic Paper The Conception of Global Macroeconomic Spherical Model (全球宏观经济球体模型的构想)
Cheng Rui Sheng Sr.
Columbia University
Date Posted: January 25, 2015
Last Revised: January 27, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Hedge Fund Replication: A Model Combination Approach
Michael S. O'Doherty , N. Eugene Savin and Ashish Tiwari
University of Missouri at Columbia - Department of Finance , University of Iowa - Henry B. Tippie College of Business - Department of Economics and University of Iowa
Date Posted: January 25, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper A Bayesian Model to Predict Content Creation with Two-Sided Peer Influence in Content Platforms
Bin Zhang , Anjana Susarla and Ramayya Krishnan
University of Arizona , Michigan State University - The Eli Broad College of Business and The Eli Broad Graduate School of Management and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management
Date Posted: January 25, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Desvio de Preço, Tracking Error e Performance dos Exchange-Traded Funds (ETFs): Revisão da Literatura e Proposição de Medidas (Pricing Deviation, Tracking Error and Performance of Exchange-Traded Funds (ETFs): Literature Review and Proposal of Measures)
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Date Posted: January 24, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Fundos De Investimento Tradicionais e ETFs Ligados a Índices De Sustentabilidade, Responsabilidade Social E Governança Corporativa Apresentam Performance Superior? (Does Traditional Mutual Funds and ETFs Linked to Sustainability, Social Responsibility and Corporate Governance Indexes Present Superior Performance?)
Elisângela de Magalhães Soares and Bruno Milani
Faculdade Palotina de Santa Maria and Federal University of Santa Maria
Date Posted: January 24, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper The Inequality-Growth Plateau
IZA Discussion Paper No. 8771
Daniel J. Henderson , Junhui Qian and Le Wang
University of Alabama , Shanghai Jiao Tong University and University of New Hampshire
Date Posted: January 24, 2015
Working Paper Series

Incl. Electronic Paper Complete Analytical Solution of the American Style Option Pricing with Constant and Stochastic Volatilities: A Probability Density Function Approach
Alexander F. Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading
Date Posted: January 24, 2015
Last Revised: January 25, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Dynamic Correlation between Share Returns, NAV Variation and Market Proxy of Brazilian ETFs
Engineering Economics, v. 25, i.1, pp. 21-30, 2014.
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Date Posted: January 24, 2015
Accepted Paper Series
2 downloads

Incl. Electronic Paper A Multiscale Approach to Emerging Market Pricing
Economics Bulletin, v. 34, i.2, 2014.
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Date Posted: January 24, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Comparison between Brazilian Exchange-Traded Funds and Mutual Funds Performance: A Multiscale Approach
Bruno Milani and Paulo Sergio Ceretta
Federal University of Santa Maria and Universidade Federal de Santa Maria
Date Posted: January 23, 2015
Last Revised: January 26, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Brazilian REITs Performance: An Analysis of Higher Moments and Time Scales Influence
Bruno Milani , Paulo Sergio Ceretta and Mari Eldionara Rosa Machado
Federal University of Santa Maria , Universidade Federal de Santa Maria and Federal University of Santa Maria (UFSM)
Date Posted: January 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Risk, Uncertainty, and Profit for the Cyber Era: Model Risk Management of Cyber Insurance Models Using Quantitative Finance and Advanced Analytics
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: January 23, 2015
Last Revised: January 25, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper How Robust Is Robust Covariance? Evidence from International Portfolio Selection
Tsung-Wu Ho
Shih Hsin University
Date Posted: January 23, 2015
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Austerity in 2009-2013
CEPR Discussion Paper No. DP10347
Alberto F. Alesina , Omar Barbiero , Carlo A. Favero , Francesco Giavazzi and Matteo Paradisi
Harvard University - Department of Economics , Harvard University , Bocconi University - Department of Finance , Bocconi University - Department of Economics and Harvard University
Date Posted: January 23, 2015
Working Paper Series

Incl. Fee Electronic Paper Impulse Response Matching Estimators for DSGE Models
CEPR Discussion Paper No. DP10298
Pablo Guerrón-Quintana , Atsushi Inoue and Lutz Kilian
Federal Reserve Banks - Federal Reserve Bank of Philadelphia , Vanderbilt University - College of Arts and Science - Department of Economics and University of Michigan at Ann Arbor - Department of Economics
Date Posted: January 23, 2015
Working Paper Series

Incl. Fee Electronic Paper Are Long‐Term Inflation Expectations Well‐Anchored? Evidence from the Euro Area and the United States
Bulletin of Economic Research, Vol. 67, Issue 1, pp. 65-82, 2015
Tsvetomira Tsenova
Bulgarian National Bank
Date Posted: January 22, 2015
Accepted Paper Series

Incl. Electronic Paper Mixture Pair-Copula-Constructions
Journal of Banking and Finance, Forthcoming
Gregor N. F. Weiss and Marcus Scheffer
TU Dortmund University and University of Dortmund - Economics and Social Sciences
Date Posted: January 21, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper A White Paper on Equity Market Valuation Index
Jay Desai
Shri Chimanbhai Patel Institute of Management & Research
Date Posted: January 20, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Optimal Pricing Policy of Kolkata-Agartala Transit Route: Some Methodological Issues
S. Ahmed (Edited), Foreign Direct Investment, Trade and Economic Growth. New Delhi, India & Abingdon, UK: Routledge, pp. 281-299, 2012
Subir Kumar Sen , Sudakshina Gupta and Ishita Mukhopadhyay
Department of Commerce, Tripura University , University of Calcutta - Department of Economics and University of Calcutta - Department of Economics
Date Posted: January 20, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Impact of Law of Demand & Supply on Stock Market: A Study of Most Active BSE Indices with the Help of RSI
Jain, Esha (Nov.-Dec. 2014). Impact of Law of Demand & Supply on Stock Market: A Study of Most Active BSE Indices with the Help of RSI; IOSR Journal of Economics and Finance (IOSR-JEF), e-ISSN: 2321-5933, p-ISSN: 2321-5925, Volume 5, Issue 6. Ver. II, pp. 06-15.
Esha Jain
G D Goenka University
Date Posted: January 20, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Real-World and Risk-Neutral Probabilities in the Regulation on the Transparency of Structured Products
ESMA Working Paper n. 1 2015
Luca Giordano and Giovanni Siciliano
IOSCO (International Organization of Securities Commissions) and CONSOB (Commissione Nazionale per le Società e la Borsa)
Date Posted: January 19, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Dynamic Corporate Capital Structure Behavior: Empirical Assessment in the Light of Heterogeneity and Non Stationarity
Quaderni - Working Paper DSE N° 988,
Maria Elena Bontempi , Laura Bottazzi and Roberto Golinelli
University of Bologna - Department of Economics , Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and University of Bologna - Department of Economics
Date Posted: January 19, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Stochastic Simulation Framework for the Limit Order Book Using Liquidity Motivated Agents
Efstathios Panayi and Gareth William Peters
University College London - Financial Computing and Analytics Group, Department of Computer Science and University College London - Department of Statistical Science
Date Posted: January 19, 2015
Working Paper Series
9 downloads

Volatility Co-Movements and Spillover Effects within the Eurozone Economies: A Multivariate GARCH Approach Using the Financial Stress Index
Andreas Tsopanakis , Ronald MacDonald and Vasilios I. Sogiakas
University of Salford , University of Glasgow - Adam Smith Business School and University of Glasgow
Date Posted: January 18, 2015
Working Paper Series

Incl. Electronic Paper Transparency Regime Initiatives and Liquidity in the CDS Market
Andras Fulop and Laurence Lescourret
ESSEC Business School and ESSEC Business School
Date Posted: January 18, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper How Does Stock Market Volatility React to Oil Shocks?
FEEM Working Paper No. 110.2014
Andrea Bastianin and Matteo Manera
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS)
Date Posted: January 17, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Quantile Aggregation of Density Forecasts
Bank of Italy Temi di Discussione (Working Paper) No. 979
Fabio Busetti
Bank of Italy
Date Posted: January 17, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Financial Indicators and Density Forecasts for US Output and Inflation
Bank of Italy Temi di Discussione (Working Paper) No. 977
Piergiorgio Alessandri and Haroon Mumtaz
Bank of Italy and Queen Mary University of London
Date Posted: January 17, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump
CFS Working Paper No. 500
Christiane Baumeister , Lutz Kilian and Thomas K Lee
Bank of Canada , University of Michigan at Ann Arbor - Department of Economics and Energy Information Administration - US DOE
Date Posted: January 17, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Risk Management and Portfolio Optimization for Gas- and Coal-Fired Power Plants in Germany: A Multivariate GARCH Approach
FCN Working Paper No. 23/2013
George Charalampous and Reinhard Madlener
RWTH Aachen University and RWTH Aachen University
Date Posted: January 17, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Optimal Order Display in Limit Order Markets with Liquidity Competition
Gökhan Cebiroglu and Ulrich Horst
University of Vienna, Faculty of Business and Economics and Humboldt University of Berlin
Date Posted: January 16, 2015
Working Paper Series
21 downloads

Incl. Electronic Paper The Alpha and Beta of Private Equity Investments
Axel Buchner
University of Passau
Date Posted: January 16, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Lambda Value at Risk: A New Backtestable Alternative to VaR
Asmerilda Hitaj and Ilaria Peri
University of Milan, Bicocca - Dipartimento di Statistica e Metodi Quantitativi and ESC Rennes School of Business
Date Posted: January 16, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper What Are the Carbon Emissions Elasticities for Income and Population? Bridging STIRPAT and EKC via Robust Heterogeneous Panel Estimates
Global Environmental Change, Vol. 31, pp. 62-73, 2015
Brant Liddle
Asia Pacific Energy Research Centre
Date Posted: January 15, 2015
Last Revised: January 19, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Trade Costs, Conflicts, and Defense Spending
Michael Seitz , Alexander Tarasov and Roman Zakharenko
Ludwig-Maximilians-Universität München - Faculty of Economics , Ludwig-Maximilians-Universität München and National Research University Higher School of Economics
Date Posted: January 15, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper A Multi-Country Approach to Forecasting Output Growth Using PMIs
CAFE Research Paper No. 15.01
Alexander Chudik , Valerie Grossman and M. Hashem Pesaran
University of Cambridge , Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Southern California
Date Posted: January 14, 2015
Accepted Paper Series
12 downloads

Incl. Electronic Paper Quality Ratings and Premiums in the Medicare Advantage Market
Ian M. McCarthy and Michael Darden
Emory University - Department of Economics and Tulane University - Department of Economics
Date Posted: January 14, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Reforming Old Age Security: Effects and Alternatives
Industrial Alliance Research Chair on the Economics Working Paper 14-10
Nicholas-James Clavet , Jean-Yves Duclos , Bernard Fortin and Steeve Marchand
Laval University , Laval University , Laval University and Laval University
Date Posted: January 14, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Testing the Lag Structure of Assets' Realized Volatility Dynamics
Francesco Audrino , Lorenzo Camponovo and Constantin Roth
University of St. Gallen , University of St. Gallen and University of St. Gallen
Date Posted: January 14, 2015
Working Paper Series
14 downloads


 

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