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JEL Code: C22
534,121 Total downloads
Showing Papers 551 - 600 of 3,421
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Sovereign Risk: How Filtered Bootstrap and Historical Simulation Catch Government Problems
Stefano Colucci
and
Dario Brandolini
Date Posted: December 06, 2011Last Revised: December 08, 2011102 downloads
The Nature of Alpha
Arthur M. Berd
Date Posted: December 06, 2011170 downloads
Evidence on the Effects of Money Growth on Inflation with Regime Switching China & World Economy, Vol. 19, Issue 6, pp. 19-36, 2011
Jinquan Liu and
Chunyang Pang
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: December 03, 20113 downloads
Modeling and Forecasting Mortality Rates McCombs Research Paper Series No. IROM-01-12
Daniel Mitchell
,
Patrick L. Brockett ,
Rafael Mendoza-Arriaga and
Kumar Muthuraman
Date Posted: December 02, 2011Last Revised: January 05, 2013109 downloads
Persistence and Cyclical Dependence in the Monthly Euribor Rate CESifo Working Paper Series No. 3653
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: December 01, 201122 downloads
The Smallest Firm Effect: An International Study
Lieven De Moor
Date Posted: December 01, 201154 downloads
A Characterization of Oil Price Behavior - Evidence from Jump Models CESifo Working Paper Series No. 3644
Marc Gronwald
Date Posted: November 30, 201149 downloads
Bootstrap for Shrinkage-Type Estimators
Adriana Cornea
Date Posted: November 29, 2011Last Revised: October 10, 201224 downloads
Interpreting the Hours-Technology Time-Varying Relationship Banque de France Working Paper No. 351
Cristiano Cantore
,
Filippo Ferrini
and
Miguel A. Leon-Ledesma
Date Posted: November 29, 201115 downloads
Marginal Likelihood for Markov-Switching and Change-Point GARCH Models CIRANO - Scientific Publication No. 2011s-72
Luc Bauwens ,
Arnaud Dufays
and
J. V. K. Rombouts
Date Posted: November 29, 201152 downloads
Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Ludovic Dubrana
Date Posted: November 26, 201168 downloads
Trends, Persistence, and Volatility in Energy Markets Asian Development Bank Economics Working Paper No. 275
Atanu Ghoshray
Date Posted: November 26, 201148 downloads
A Study on Random Walk Hypotheses of Scrips Belonging to the Technology Sector Listed in Bse
Madhvi Sethi
and
Nageshwar Rao
Date Posted: November 25, 2011Last Revised: April 08, 2013
Common Factors and Causality in the Dynamics of Implied Volatility Surfaces: Evidence from the FX OTC Market Journal of Economic Asymmetries, Vol. 6, No. 1, 2009
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: November 25, 201118 downloads
Can Oil Prices Forecast Exchange Rates? CEPR Discussion Paper No. DP8635
Domenico Ferraro
,
Kenneth Rogoff and
Barbara Rossi
Date Posted: November 24, 20112 downloads
On the Distribution of Exchange Rate Regime Treatment Effects on International Trade CEPR Discussion Paper No. DP8654
Sabrina Maria Dorn
and
Peter Egger
affiliation not provided to SSRN
and
ETH Zürich
Date Posted: November 24, 20115 downloads
Multivariate Autocontours for Specification Testing in Multivariate GARCH Models VOLATILITY AND TIME SERIES ECONOMETRICS: ESSAYS IN HONOR OF ROBERT ENGLE, Tim Bollerslev, Jeffrey R. Russell, Mark W. Watson, eds., Chapter 11, pp. 213-230, Oxford University Press, January 2010
Gloria González-Rivera and
Emre Yoldas
Date Posted: November 23, 2011
Optimality of the Riskmetrics Model Finance Research Letters, Vol. 4, No. 3, 2007
Gloria González-Rivera ,
Tae-Hwy Lee
and
Emre Yoldas
Date Posted: November 23, 2011Last Revised: November 24, 2011
A Bayesian Semiparametric Model for Volatility with a Leverage Effect
Eleni-Ioanna Delatola
and
Jim E. Griffin
Date Posted: November 22, 2011105 downloads
On the Nonlinear Causality between Inflation and Inflation Uncertainty in the G3 Countries Journal of Applied Economics, Vol. 14, No. 2, pp. 269-296, November 2011
Mehmet Balcilar ,
Zeynel Abidin Ozdemir and
Esin Cakan
Date Posted: November 18, 201139 downloads
The Persistence in Real Exchange Rate: Evidence from East Asian Countries Economic Modelling, Vol. 27, pp. 891-895, 2010
Zeynel Abidin Ozdemir and
Esin Cakan
Date Posted: November 18, 201132 downloads
Convergence Clubs, the Euro-Area Rank and the Relationship between Banking and Real Convergence Bank of Italy Temi di Discussione (Working Paper) No. 809
Massimiliano Affinito
Date Posted: November 17, 201132 downloads
Forecasting Investment-Grade Credit-Spreads - A Regularized Approach
Thiago de Oliveira Souza
Date Posted: November 14, 201167 downloads
Open and Closed Positions and Stock Index Futures Volatility
Oscar Carchano
,
Julio J. Lucia
and
Ángel Pardo Tornero
Date Posted: November 13, 201168 downloads
Intraday Dynamics of Volatility and Duration: Evidence from Chinese Stocks
Chun Liu
and
John M. Maheu
Date Posted: November 12, 201139 downloads
The Financial Stress Index: Identification of Systemic Risk Conditions FRB of Cleveland Working Paper No. 11-30
Mikhail V. Oet ,
Ryan Eiben
,
Timothy Bianco
,
Dieter Gramlich
and
Stephen J. Ong
Date Posted: November 10, 2011Last Revised: April 06, 2013210 downloads
Price Dynamic, Volatility and Information Flows in the Oil Industry: A Multivariate Analysis
Alessandro Mauro and
Andrea Peri
Date Posted: November 08, 2011Last Revised: November 09, 2011168 downloads
Robust Spectral Analysis
Andreas Hagemann
Date Posted: November 08, 201150 downloads
About the Non-Random Content of Financial Markets
Laurent Schoeffel
Date Posted: November 06, 201174 downloads
Factorial Moments in Complex Systems
Laurent Schoeffel
Date Posted: November 06, 201122 downloads
Ideas in Algorithmic Trading and System Modeling for Pedestrians
Laurent Schoeffel
Date Posted: November 06, 2011164 downloads
Intermittency in Quantitative Finance
Laurent Schoeffel
Date Posted: November 06, 201124 downloads
International Labour Force Participation Rates by Gender: Unit Root or Structural Breaks? IZA Discussion Paper No. 6063
Zeynel Abidin Ozdemir ,
Mehmet Balcilar and
Aysit Tansel
Date Posted: November 06, 20118 downloads
Returns in Futures Markets and v =3 t-Distribution
Laurent Schoeffel
Date Posted: November 06, 201124 downloads
Using Forecast Evaluation to Improve the Accuracy of the Greenbook Forecast
Natsuki Arai
Date Posted: November 06, 2011Last Revised: May 01, 201222 downloads
Do Newspaper Articles on Card Fraud Affect Debit Card Usage? ECB Working Paper No. 1389
Anneke Kosse
Date Posted: November 05, 201124 downloads
Time Scales in Futures Markets and Applications
Laurent Schoeffel
Date Posted: November 05, 201145 downloads
Productivity-Wage-Growth Nexus: An Empirical Study of Singapore
Liew Chian Fatt Freddy
affiliation not provided to SSRN
Date Posted: November 03, 201135 downloads
A q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data
Tommi A. Vuorenmaa
Date Posted: November 02, 201158 downloads
Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chia-Lin Chang
,
Lydia González Serrano
and
Juan-Angel Jiménez-Martin
Date Posted: November 02, 2011Last Revised: February 14, 2012336 downloads
Liquidity, Activity, and Dependence on Interlinked Trading Venues
Tommi A. Vuorenmaa
Date Posted: November 02, 2011Last Revised: January 16, 2012108 downloads
SAFE: An Early Warning System for Systemic Banking Risk FRB of Cleveland Working Paper No. 11-29
Mikhail V. Oet ,
Ryan Eiben
,
Timothy Bianco
,
Dieter Gramlich
,
Stephen J. Ong
and
Jing Wang
Date Posted: November 01, 2011123 downloads
Statistical Evidence on the Mean Reversion of Interest Rates De Nederlandsche Bank Working Paper No. 284
Jan Willem van den End
Date Posted: October 29, 201178 downloads
Persistence and Cyclical Dependence in the Monthly Euribor Rate DIW Berlin Discussion Paper No. 1165
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: October 28, 201113 downloads
ECB Policy Making and the Financial Crisis De Nederlandsche Bank Working Paper No. 272
Janko Gorter
,
Fauve Stolwijk
,
Jan P. A. M. Jacobs and
Jakob de Haan
affiliation not provided to SSRN
,
University of Groningen - Faculty of Economics and Business
and
University of Groningen - Faculty of Economics and Business
Date Posted: October 27, 2011Last Revised: October 28, 201168 downloads
Forecasting the Return Distribution Using High-Frequency Volatility Measures
Jian Hua
and
Sebastiano Manzan
Date Posted: October 27, 2011Last Revised: August 29, 201252 downloads
Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis Economic Modelling, Vol. 29, No. 6, 2012
Lazaros Symeonidis ,
Marcel Prokopczuk
,
Chris Brooks
and
Emese Lazar
Date Posted: October 25, 2011Last Revised: January 02, 2013263 downloads
Alternative Regime Switching Models for Forecasting Inflation Journal of Forecasting, Vol. 20, pp. 21-35, 2001
Prasad V. Bidarkota
Date Posted: October 24, 2011
Do Fluctuations in U.S. Inflation Rates Reflect Infrequent Large Shocks or Frequent Small Shocks? The Review of Economics and Statistics, Vol. 85, No. 3, pp. 765-771, August 2003
Prasad V. Bidarkota
Date Posted: October 24, 2011
Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP Studies in Nonlinear Dynamics and Econometrics, Vol. 3, No. 4, pp. 191–200, 1999,
Prasad V. Bidarkota
Date Posted: October 24, 2011
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