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JEL Code: C13
355,971 Total downloads
Showing Papers 51 - 100 of 2,072
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A Goodness-of-Fit Test with Focus on Conditional Value at Risk Brazilian Finance Review, Vol. 6, No. 2, pp. 139-155, 2008
José Fajardo ,
Aquiles Farias
and
Jose Renato Haas Ornelas
Date Posted: May 04, 2007Last Revised: December 04, 2008149 downloads
A Heteroscedastic Bivariate Distribution Arising from a Model for Rater Agreement, and its Fitting by Simulation Computational Statistics, Vol. 12, No.4 (1997)
Paul Hutchinson
Date Posted: March 08, 1998
A Hybrid Model for Equity Indices and Stochastic Interest Rates
Jan F. Baldeaux
,
Man Chung Fung
,
Katja Ignatieva
and
Eckhard Platen
Date Posted: November 10, 2012Last Revised: November 16, 201233 downloads
A Jump-Diffusion Approach for Pricing Exotic Multi-Asset Derivatives
Balazs Cserna
Date Posted: June 20, 2012Last Revised: July 18, 2012127 downloads
A Latent Factor Model for Ordinal Data to Measure Multivariate Predictive Ability of Financial Market Movements FAME Research Paper No. 159
Philippe Huber
,
O. Scaillet and
Maria-Pia Victoria-Feser
Date Posted: November 28, 2005224 downloads
A Latent Factor Model of Multivariate Conditional Heteroscedasticity Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 481-503, 2009
Mike Aguilar
Date Posted: October 09, 2009
A Least Squares Regression Realised Covariation Estimation Under MMS Noise and Non-Synchronous Trading
Ingmar Nolte
,
Michalis Vasios
and
Valeri Voev
Date Posted: January 23, 201330 downloads
A Likelihood-Based Analysis for Relaxing the Exclusion Restriction in Randomized Experiments with Imperfect Compliance Bank of Italy Temi di Discussione (Working Paper) No. 683
Andrea Mercatanti
Date Posted: October 28, 200818 downloads
A Long-Run Equilibrium Demand Function: The Mexican Tourism TOURISMOS: An International Multidisciplinary Journal of Tourism, Vol. 3, No. 1, pp. 66-82, 2008
Juan Gabriel Brida ,
Wiston Adrián Risso
and
Edgar Javier Sanchez Carrera
Date Posted: September 21, 2007Last Revised: June 05, 2011134 downloads
A Longer Look at the Asymmetric Dependence between Hedge Funds and the Equity Market Journal of Financial and Quantitative Analysis, Vol. 45, No. 3, June 2010, pp. 763-789
Byoung Uk Kang
,
Francis Haeuck In
,
Gunky Kim
and
Tong Suk Kim
Date Posted: February 01, 2008Last Revised: November 03, 2012338 downloads
A Macro Prediction of the Use of Care Provisions, Based on a Nested Logit Model iHEA 2007 6th World Congress: Explorations in Health Economics Paper
Jedid-Jah Jonker
,
Klarita Sadiraj
and
Isolde Woittiez
Date Posted: June 22, 2007
A Markov Chain Quasi-Monte Carlo Method for Bayesian Estimation of Stochastic Volatility Model
Eric Fung
,
Ching-Wah Ho
,
Tak-Kuen Siu
and
Wing-Keung Wong
affiliation not provided to SSRN
,
Macquarie University, Faculty of Business and Economics
and
Hong Kong Baptist University (HKBU)
Date Posted: February 02, 2010Last Revised: September 03, 2012146 downloads
A Martingale Representation for Matching Estimators IZA Discussion Paper No. 4073
Alberto Abadie and
Guido W. Imbens
Date Posted: March 30, 200924 downloads
A Matter of Attitude: Estimation of the Risk Attitude of the Representative UK Pension Fund Investor Life & Pensions, pp. 34-40, December 2006
Stephen E. Satchell and
Wei Xia
Date Posted: March 08, 2007161 downloads
A Mean-Reverting Stochastic Volatility Option-Pricing Model With An Analytic Solution EFMA 2002 London Meetings
Henrik Andersson
Date Posted: May 27, 2002836 downloads
A Metamodel Specification for a Tomato Processing Plant Journal of the Operational Research Society, Vol. 41, No. 3, pp. 229-40, 1990
S. Andrew Starbird
Date Posted: June 17, 2006
A Method of Moments Estimator for a Stochastic Frontier Model with Errors in Variables
Yi-Yi Chen
and
Hung-Jen Wang
Date Posted: April 20, 2004112 downloads
A Method of Moments Estimator of Tail Dependence CentER Discussion Paper No. 2007-80
John H. J. Einmahl
,
Andrea Krajina
and
Johan Segers
Date Posted: October 29, 200778 downloads
A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models CentER Discussion Paper Series No. 2009-42
Andrea Krajina
Date Posted: May 28, 200958 downloads
A Mixed Model for Double Checking Fallible Auditors CentER Discussion Paper No. 2004-82
Vera Raats
,
J.J.A. Moors
and
B. B. van der Genugten
affiliation not provided to SSRN
and
Tilburg University - Center and Faculty of Economics and Business Administration
Date Posted: October 21, 200454 downloads
A Mixing Model for Operational Risk
Jim Gustafsson
and
Jens Perch Nielsen
affiliation not provided to SSRN
and
City University London - Cass Business School
Date Posted: February 06, 2008Last Revised: July 01, 2008672 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 Model for Long Memory Conditional Heteroscedasticity - (Now Published in Annals of Applied Probability, 10 (2000), Pp.1002-1024.) LSE STICERD Research Paper No. EM382
Liudas Giraitis and
Donatas Surgailis
Date Posted: July 21, 200810 downloads
A Model of Political Competition With Activists Applied to the Elections of 1989 and 1995 in Argentina Mathematical Social Sciences, Vol. 53, No. 3, 2007
Norman Schofield and
Guido Cataife
Date Posted: August 15, 2007
A Model-Free Transformation for Multivariate Volatility Processes
Yu-Pin Hu
Date Posted: January 22, 201127 downloads
A Model-Independent Measure of Aggregate Idiosyncratic Risk
Turan G. Bali ,
Nusret Cakici and
Haim Levy
Date Posted: March 16, 2005Last Revised: February 27, 2012600 downloads
A Modification of the ESTAR Model and Testing for a Unit Root in a Nonlinear Framework
To Dieu-Hang
and
Tom Kompas
Date Posted: October 02, 2010Last Revised: January 26, 201148 downloads
A Moment Expansion of Downside Risk Measures
Stoyan V. Stoyanov
Date Posted: February 21, 201198 downloads
A Monte Carlo Procedure for Checking Identification in DSGE Models CEPR Discussion Paper No. DP9411
Vo Phuong Mai Le ,
Patrick Minford and
Michael R. Wickens
Date Posted: April 03, 2013
A Multiple Regime Nonlinear Asymmetric AR(p)-GARCH(1,1) Model
Adán Díaz Hernández
and
Nick Constantinou
Date Posted: December 01, 2010Last Revised: July 29, 201197 downloads
A Multivariate Non-stationary Approach for Financial Returns with Nonparametric Heteroscedasticity
Marc Gürtler
,
Jens-Peter Kreiss
and
Ronald Rauh
Date Posted: September 28, 2009Last Revised: January 12, 201355 downloads
A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing
Yixiao Sun
and
David Kaplan
affiliation not provided to SSRN
Date Posted: November 26, 201017 downloads
A New Class of Multivariate Skew Densities, with Application to GARCH Models Journal of Business and Economic Statistics, 23/3, 346-354, 2005.
Luc Bauwens and
Sébastien Laurent
Date Posted: April 14, 2005326 downloads
A New Distribution-Based Test of Self-Similarity Fractals-Complex Geometry Patterns and Scaling in Nature and Society, Vol. 12, No. 3, pp. 331-346, 2004
Sergio Bianchi
Date Posted: July 18, 20119 downloads
A New Linear Estimator for Gaussian Dynamic Term Structure Models Bank of Canada Working Paper 2013-10
Antonio Diez de los Rios
Date Posted: April 23, 2013Last Revised: May 21, 201315 downloads
A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?
Turan G. Bali ,
Susan Hume
and
Terrence F. Martell
Date Posted: October 11, 20061186 downloads
A New Method for the Calibration of Stochastic Volatility Models: The Malliavin Gradient Method Quantitative Finance, Vol. 6, No. 2, pp. 147-158, April 2006
Christian-Oliver Ewald
and
Aihua Zhang
Date Posted: January 16, 2008
A New Perspective on Gaussian Dynamic Term Structure Models Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Scott Joslin
,
Kenneth J. Singleton and
Haoxiang Zhu
Date Posted: March 23, 2009Last Revised: October 13, 20101827 downloads
A New Pseudo Bayesian Model for Stock Returns In Financial Crisis
Wing-Keung Wong
,
Eric Fung
,
Kin Lam and
Tak-Kuen Siu
Date Posted: May 12, 2011Last Revised: May 25, 201188 downloads
A New Pseudo-Bayesian Model for Investors' Behaviors in Financial Crises
Wing-Keung Wong
,
Kin Lam
,
Wing-Keung Wong
and
Lixing Zhu
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 03, 201249 downloads
A New Simple Approach for Constructing Implied Volatility Surfaces
Peter Carr and
Liuren Wu
Date Posted: November 03, 20101740 downloads
A New Test for Chaotic Dynamics Using Lyapunov Exponents FEDEA Working Paper No. 2003-09
Fernando Fernández Rodríguez ,
Simón Sosvilla Rivero and
Julián Andrada Félix
Date Posted: May 05, 2003139 downloads
A New Theory of Forecasting ECB Working Paper No. 584, EFA 2006 Zurich Meetings
Simone Manganelli
Date Posted: February 03, 2006304 downloads
A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility CREATES Research Paper No. 2009-31
Eduardo Rossi and
Paolo Santucci de Magistris
Date Posted: July 16, 2009Last Revised: September 22, 2010121 downloads
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Andrew Ang and
Monika Piazzesi
Date Posted: November 22, 1999696 downloads
A Nonparametric Estimator for Local Quantile Treatment Effects in the Regression Discontinuity Design
Brigham R. Frandsen
Date Posted: August 12, 2008Last Revised: October 30, 2008254 downloads
A Nonparametric Least-Squares Test for Checking a Polynomial Relationship Univ. Catholique de Louvain Working Paper No. 9912
Irene Gijbels and
V. Rousson
Date Posted: May 31, 2000
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form LSE STICERD Research Paper No. EM419
Oliver B. Linton and
Zhijie Xiao
Date Posted: July 21, 200814 downloads
A Note on Allen-Uzawa Partial Elasticities of Substitution: The Case of the Translog Cost Function IZA Discussion Paper No. 2712
Atanas Christev
and
Allen M. Featherstone
Date Posted: April 21, 2007272 downloads
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models U of London Queen Mary Economics Working Paper No. 467
George Kapetanios
Date Posted: January 15, 2003142 downloads
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