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JEL Code: C15
366,641 Total downloads
Showing Papers 561 - 610 of 1,747
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Penny Wise, Dollar Foolish: Buy-Sell Imbalances On and Around Round Numbers AFA 2011 Denver Meetings Paper, Management Science, (special issue on Behavioral Economics and Finance), Forthcoming
Utpal Bhattacharya ,
Craig W. Holden and
Stacey E. Jacobsen
Date Posted: March 15, 2010Last Revised: April 09, 2011241 downloads
Tail Return Analysis of Bear Stearns Credit Default Swaps
Liuling Li
and
Bruce Mizrach
Date Posted: March 11, 2010Last Revised: March 16, 2010179 downloads
Optimal Annuity Planning and Longevity Risk: Evidence from Korea Applied Economics, Forthcoming
Yoonkyung Yuh
and
Jaehwan Yang
Date Posted: March 10, 2010
Truncation and Acceleration of the Tian Tree for the Pricing of American Put Options
Ting Chen
and
Mark S. Joshi
Date Posted: March 09, 2010502 downloads
Valuation of the Interest Ceiling Rule (German)
Sven Arnold and
Alexander D.F. Lahmann
Date Posted: March 09, 2010Last Revised: September 19, 2010
New Solution to Time Series Inference in Spurious Regression Problems
Hrishikesh D. Vinod
Date Posted: March 07, 2010Last Revised: June 28, 201097 downloads
What Are the Best Liquidity Proxies for Global Research?
Kingsley Y. L. Fong ,
Craig W. Holden and
Charles Trzcinka
Date Posted: March 05, 2010Last Revised: May 06, 2013376 downloads
Simulation-Based Excess Return Model for Real Estate Development: A Practical Monte Carlo Simulation-Based Method for Quantitative Risk Management and Project Valuation for Real Estate Development Projects
David J. Gimpelevich
Date Posted: February 23, 2010Last Revised: October 13, 2010316 downloads
Liquidity Stress-Tester: A Model for Stress-Testing Banks’ Liquidity Risk CESifo Economic Studies, Vol. 56, Issue 1, pp. 38-69, 2010
Jan Willem van den End
Date Posted: February 22, 2010
Profit Sharing and Employment Stability Schmalenbach Business Review, Vol. 62, pp. 73-92, January 2010
Lutz Bellmann and
Iris Möller
affiliation not provided to SSRN
Date Posted: February 22, 2010Last Revised: December 01, 201032 downloads
The Influence of Investment Horizon on Expected Returns and Risk Perception: Evidence from the Indonesian Market Global Journal of Business Research, Vol. 2, No. 2, pp. 11-30, 2008
Eddy Junarsin
and
Eduardus Tandelilin
Date Posted: February 19, 2010
A Simulation Model of Public Debt Sustainability
Date Posted: February 18, 2010Last Revised: March 11, 201086 downloads
Parametric Productivity Measurement and Choice Among Flexible Functional Forms Journal of Political Economy, December 1979
Mohammed Khaled
Date Posted: February 18, 2010
An Option Theoretic Model for Ultimate Loss-Given-Default with Systematic Recovery Risk and Stochastic Returns on Defaulted Debt
Michael Jacobs Jr.
Date Posted: February 12, 2010
Measuring Credit Risk: CDS Spreads vs. Credit Ratings
Ahmet Karagozoglu
and
Michael Jacobs Jr.
Date Posted: February 12, 2010
Risk Aversion, the Demand for Risky Assets, and Recoveries on Defaulted Corporate Debt Securities
Lewis Gaul ,
Pinar Uysal
and
Michael Jacobs Jr.
Date Posted: February 12, 2010
Testing for Granger Causalityin Heterogeneous Mixed Panels Economic Modelling, Vol. 28, 2011
Furkan Emirmahmutoglu
and
Nezir Kose
Date Posted: February 10, 2010Last Revised: June 24, 201276 downloads
Distributional Incidence of the Gasoline Tax in Chile (Incidencia Distributiva del Impuesto a las Gasolinas en Chile) (Spanish)
Claudio A. Agostini
and
Johanna Jimenez
affiliation not provided to SSRN
Date Posted: February 05, 201030 downloads
Improving Robust Model Selection Tests for Dynamic Models Econometrics Journal, Forthcoming
Hwan-sik Choi
and
Nicholas M. Kiefer
Date Posted: February 05, 2010Last Revised: February 22, 201045 downloads
A Test for Iid Residuals Based on Integrating Over the Correlation Integral CERGE-EI Working Paper Series No. 101
Evzen Kocenda
Date Posted: January 29, 201022 downloads
Inflation Convergence within the European Union: A Panel Data Analysis CERGE-EI Working Paper Series No. 100
Evzen Kocenda and
David H. Papell
Date Posted: January 29, 201061 downloads
Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations Student, Vol. 5 No. 3-4, pp. 283-298, September 2006
David Ardia
Date Posted: January 28, 2010178 downloads
Non-linear DSGE Models and The Optimized Central Difference Particle Filter CREATES Research Paper 2010-5
Martin M. Andreasen
Date Posted: January 28, 2010Last Revised: December 15, 201088 downloads
Efficient Bayesian Estimation and Combination of GARCH-Type Models RETHINKING RISK MEASUREMENT AND REPORTING: EXAMPLES AND APPLICATIONS FROM FINANCE, Vol. II, Chapter 1, Klaus Böcker, eds., RiskBooks, London, 2010,
David Ardia and
Lennart F. Hoogerheide
Date Posted: January 26, 2010Last Revised: April 08, 2011267 downloads
First Passage and Excursion Time Models for Valuing Defaultable Bonds: A Review with Some Insights Frontiers in Finance and Economics, Vol. 5, No. 2, pp. 1-25, 2008
Martina Nardon
Date Posted: January 26, 201046 downloads
Evaluating Promotional Activities in an Online Two-Sided Market of User-Generated Content Simon School Working Paper No. FR 10-08
Paulo Albuquerque ,
Polykarpos Pavlidis
,
Udi Chatow
,
Kay-Yut Chen ,
Zainab Jamal
,
Kok-Wei Koh
and
Andrew Fitzhugh
affiliation not provided to SSRN
,
Hewlett-Packard Laboratories, Palo Alto
and
affiliation not provided to SSRN
Date Posted: January 20, 2010Last Revised: October 27, 2012215 downloads
Jumps and Stochastic Volatility in Oil Prices: Time Series Evidence
Karl Larsson
and
Marcus Nossman
Date Posted: January 16, 2010285 downloads
Public Debt Sustainability and Management in a Compound Option Framework IMF Working Paper WP/10/2
Jorge A. Chan-Lau and
Andre Oliveira Santos Sr.
Date Posted: January 16, 2010Last Revised: January 28, 201048 downloads
Leveraged CAPM
Jörg Seidel
Date Posted: January 15, 2010Last Revised: August 23, 2010127 downloads
Trans-Tasman CGE Modeling: Some Illustrative Results from the Joani Model Economic Modelling, Vol. 12, No. 4, 1995
Ganesh Nana
and
Viv Hall
affiliation not provided to SSRN
and
Victoria University of Wellington - School of Economics & Finance
Date Posted: January 15, 2010
Monte Carlo Market Greeks in the Displaced Diffusion LIBOR Market Model
Mark S. Joshi and
Oh Kang Kwon
Date Posted: January 12, 2010542 downloads
A Simulation of the Economic Effects of Expenditure Attitudes and Political Structure MODELLING AND SIMULATION IN PRACTICE, pp. 229-243, Mark Cross, ed., Pentech Press, 1979
Jerry Mushin
Date Posted: January 11, 2010Last Revised: January 15, 2010
A Simulation of the European Monetary System Computer Education, No. 35, pp. 8-19, June 1980
Jerry Mushin
Date Posted: January 11, 2010
Fast Monte-Carlo Greeks for Financial Products with Discontinuous Pay-Offs
Jiun Hong Chan and
Mark S. Joshi
Date Posted: January 11, 2010Last Revised: November 28, 2010517 downloads
Simulating the Economy Computer Education, No. 30, pp. 13-25, November 1978
Jerry Mushin
Date Posted: January 11, 2010
What Determines Differences in Foreign Bank Efficiency? Australian Evidence Finance and Corporate Governance Conference 2010 Paper
Jan-Egbert Sturm and
Barry Williams
Date Posted: January 09, 201048 downloads
Credit Models and the Crisis, or: How I Learned to Stop Worrying and Love the CDOs
Damiano Brigo ,
Andrea Pallavicini
and
Roberto Torresetti
Date Posted: December 31, 2009Last Revised: February 18, 2010756 downloads
Applications of the Characteristic Function Based Continuum GMM in Finance Computational Statistics & Data Analysis
Rachidi Kotchoni
Date Posted: December 29, 2009Last Revised: March 24, 201217 downloads
Realized Volatility When Sampling Times are Possibly Endogenous Econometric Theory, Forthcoming
Yingying Li
,
Per A. Mykland ,
Eric Renault
,
Lan Zhang
and
Xinghua Zheng
Date Posted: December 21, 2009Last Revised: April 27, 2013191 downloads
MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis
Eleftherios Giovanis
Date Posted: December 15, 2009794 downloads
The Econometric Discrete Dependent Variable Multinomial Logit Model 'An Application on a Local Furniture Market Enterprise'
Eleftherios Giovanis
Date Posted: December 15, 200986 downloads
The Effect of Sanctions and Active Labour Market Programmes on the Exit Rate from Unemployment University of Aarhus Economics Working Paper No. 2009-14
Nisar Ahmad
and
Michael Svarer
affiliation not provided to SSRN
and
University of Aarhus - Department of Economics
Date Posted: December 09, 200910 downloads
Dynamic Panel Data Models Featuring Endogenous Interaction and Spatially Correlated Errors CentER Discussion Paper Series No. 2009-92
Jan P. A. M. Jacobs ,
Jenny E. Ligthart and
Hendrik Vrijburg
affiliation not provided to SSRN
Date Posted: December 08, 200950 downloads
Diagnostic Analysis and Computational Strategies for Estimating Single Spell Discrete Time Duration Models – A Monte Carlo Study
Xianghong Li and
J. Barry Smith
Date Posted: December 02, 2009Last Revised: December 05, 200913 downloads
Calculating Delta Greeks of Callable Exotics in the LMM: A New Approach
Ahsan Amin
Date Posted: November 28, 2009Last Revised: February 24, 2010395 downloads
Transmission of Macro Shocks to Loan Losses in a Deep Crisis: The Case of Finland Bank of Finland Research Discussion Paper No. 26/2009
Esa Jokivuolle ,
Matti Viren
and
Oskari Vahamaa
Date Posted: November 28, 200952 downloads
Quantile Filtering and Learning
Michael S. Johannes ,
Nick Polson and
Seung M. Yae
Date Posted: November 21, 200993 downloads
Sequential Inference for Nonlinear Models using Slice Variables
Michael S. Johannes ,
Nick Polson and
Seung M. Yae
Date Posted: November 21, 200969 downloads
Forecasting Long Memory Time Series Under a Break in Persistence CREATES Research Paper 2009-53
Philipp Sibbertsen and
Robinson Kruse
Date Posted: November 19, 200929 downloads
Bootstrap Confidence Bands for Forecast Paths
Anna Staszewska-Bystrova
Date Posted: November 18, 200942 downloads
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