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Full Text Papers: 474,820
Authors: 265,623
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SSRN eLibrary Search Results
JEL Code: C52
328,106 Total downloads
Showing Papers 561 - 610 of 1,946
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Incl. Electronic Paper Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM
PIER Working Paper No. 14-037
Francis DiTraglia
University of Pennsylania
Date Posted: October 29, 2014
Working Paper Series
2 downloads

Incl. Fee Electronic Paper Pricing Nikkei 225 Options Using Realized Volatility
Japanese Economic Review, Vol. 65, Issue 4, pp. 431-467, 2014
Masato Ubukata and Toshiaki Watanabe
Kushiro Public University of Economics and Hitotsubashi University - Institute of Economic Research
Date Posted: October 29, 2014
Accepted Paper Series

Incl. Electronic Paper Models of Mortality - Analysing the Residuals
Colin O'Hare and Youwei Li
Monash University - Department of Econometrics & Business Statistics and Queen's University Belfast - School of Management
Date Posted: October 28, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Using Naïve Forecasts to Assess Limits to Forecast Accuracy and the Quality of Fit of Forecasts to Time Series Data
Paul Goodwin
University of Bath - School of Management
Date Posted: October 28, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper Backtesting General Spectral Risk Measures with Application to Expected Shortfall
Nick Costanzino and Mike Curran
RiskLab - University of Toronto and Independent
Date Posted: October 24, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Does the Probability of Informed Trading Model Fit Empirical Data?
FIRN Research Paper Forthcoming
Quan Gan , Wang Chun Wei and David James Johnstone
University of Sydney - Discipline of Finance , AustralianSuper and University of Sydney - Discipline of Finance
Date Posted: October 24, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper The 'Monsoon Effect' in Indian Equity Market
Hardik Vachhrajani , Jay Desai and Kinjal Jay Desai
Amrita School of Business, Amrita Vishwa Vidyapeetham , Shri Chimanbhai Patel Institute of Management & Research and Corporate Solutions Group, SBI Life Insurance Co. Ltd.
Date Posted: October 23, 2014
Last Revised: October 24, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Independent Regulation of Public Utilities in Developing Countries and Efficiency: The Case of Electricity Sector
Babacar Sarr
Center on Budget and Policy Priorities
Date Posted: October 22, 2014
Working Paper Series
3 downloads

Incl. Electronic Paper Log versus Level in VAR Forecasting: 42 Million Empirical Answers - Expect the Unexpected
DIW Berlin Discussion Paper No. 1412
Johannes Mayr and Dirk Ulbricht
Bayerische Landesbank and German Institute for Economic Research (DIW)
Date Posted: October 21, 2014
Working Paper Series
3 downloads

Adequacy or Inadequacy of Accounting Information in Annual Financial Reports: Methodological Analysis
Journal of Financial Management and Analysis Vol. 27 No. 1 (Jan-Jun 2014)
M. R. K. Swamy , A. Soyode and A. Ariyo
Om Sai Ram Centre for Financial Management Research , University of Ibadan - Department of Economics and University of Ibadan - Department of Economics
Date Posted: October 20, 2014
Last Revised: October 30, 2014
Accepted Paper Series

Incl. Electronic Paper Does Mixed Frequency Vector Error Correction Model Add Relevant Information to Exchange Misalignment Calculus? Evidence for United States
Emerson Fernandes Marçal , Beatrice Zimmermann , Diogo de Prince and Giovanni Tondin Merlin
Sao Paulo School of Economics - FGV , Escola de Economia de Sao Paolo (EESP FGV) , Escola de Economia de Sao Paolo (EESP FGV) and Escola de Economia de Sao Paolo (EESP FGV)
Date Posted: October 18, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Outlier Detection Algorithms for Least Squares Time Series Regression
Soren Johansen and Bent Nielsen
University of Copenhagen - Department of Economics and University of Oxford - Department of Economics
Date Posted: October 16, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Identification of DSGE Models - The Effect of Higher-Order Approximation and Pruning
Willi Mutschler
University of Muenster - Center for Quantitative Economics (CQE)
Date Posted: October 15, 2014
Working Paper Series
2 downloads

Incl. Fee Electronic Paper Economic Theory and Forecasting: Lessons from the Literature
CEPR Discussion Paper No. DP10201
Raffaella Giacomini
University of California, Los Angeles - Department of Economics
Date Posted: October 14, 2014
Working Paper Series

Incl. Electronic Paper Modelling and Forecasting the Realized Range Conditional Quantiles
Giovanni Bonaccolto and Massimiliano Caporin
University of Padua - Department of Statistical Sciences and University of Padova - Department of Economics and Management "Marco Fanno"
Date Posted: October 12, 2014
Working Paper Series
7 downloads

Incl. Electronic Paper Marginalized Predictive Likelihood Comparisons of Linear Gaussian State-Space Models with Applications to DSGE, DSGE-VAR, and VAR Models
CFS Working Paper, No. 478
Anders Warne , Günter Coenen and Kai Philipp Christoffel
European Central Bank (ECB) , European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: October 10, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper The Great Mortgaging: Housing Finance, Crises, and Business Cycles
CESifo Working Paper Series No. 4993
Òscar Jordà , Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco , Free University of Berlin (FUB) and University of Virginia (UVA) - Department of Economics
Date Posted: October 09, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Realized Networks
Christian T. Brownlees , Eulalia Nualart and Yucheng Sun
Universitat Pompeu Fabra - Department of Economics and Business , Universitat Pompeu Fabra - Department of Economics and Business and Universitat Pompeu Fabra - Department of Economics and Business
Date Posted: October 09, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Forecast Combination, Non-Linear Dynamics, and the Macroeconomy
Christopher G. Gibbs
UNSW Australia
Date Posted: October 09, 2014
Working Paper Series
4 downloads

Testing Term Structure Estimation Methods
FRB Atlanta Working Paper 96-12a
Robert R. Bliss
Wake Forest University - Schools of Business
Date Posted: October 08, 2014
Working Paper Series

Incl. Electronic Paper Evaluating Conditional Forecasts from Vector Autoregressions
FRB of Cleveland Working Paper No. 14-13
Todd E. Clark and Michael W. McCracken
Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Saint Louis
Date Posted: October 04, 2014
Working Paper Series
2 downloads

Incl. Electronic Paper A Computational Implementation of GMM
Jiti Gao and Han Hong
Monash University - Department of Econometrics & Business Statistics and Stanford University - Department of Economics
Date Posted: October 01, 2014
Working Paper Series
9 downloads

Incl. Electronic Paper Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models
Nikolaus Hautsch , Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research , Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin - School of Business and Economics
Date Posted: October 01, 2014
Working Paper Series
4 downloads

Incl. Fee Electronic Paper Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters
CEPR Discussion Paper No. DP10168
Atsushi Inoue , Lu Jin and Barbara Rossi
Vanderbilt University - College of Arts and Science - Department of Economics , North Carolina State University - Department of Economics and Universitat Pompeu Fabra - ICREA
Date Posted: September 30, 2014
Working Paper Series

Incl. Electronic Paper From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options
Lorenz Schneider and Bertrand Tavin
EMLYON Business School and EMLYON Business School
Date Posted: September 27, 2014
Working Paper Series
31 downloads

Incl. Fee Electronic Paper The Great Mortgaging: Housing Finance, Crises, and Business Cycles
CEPR Discussion Paper No. DP10161
Oscar Jorda , Moritz Schularick and Alan M. Taylor
Federal Reserve Banks - Federal Reserve Bank of San Francisco , Free University of Berlin (FUB) and University of Virginia (UVA) - Department of Economics
Date Posted: September 25, 2014
Working Paper Series
1 downloads

Incl. Electronic Paper The Great Mortgaging: Housing Finance, Crises, and Business Cycles
HKIMR Working Paper No.25/2014
Oscar Jorda , Moritz Schularick and Alan M. Taylor
University of California, Davis - Department of Economics , Free University of Berlin (FUB) and University of Virginia (UVA) - Department of Economics
Date Posted: September 25, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper The Forecast Combination Puzzle: A Simple Theoretical Explanation
Tinbergen Institute Discussion Paper 14-127/III
Gerda Claeskens , J.R. Magnus , Andrey L. Vasnev and Wendun Wang
Katholieke Universiteit Leuven (KUL) , VU University Amsterdam - Faculty of Economics and Business Administration , University of Sydney and Erasmus University Rotterdam (EUR)
Date Posted: September 20, 2014
Working Paper Series
6 downloads

Incl. Electronic Paper The Retail Bank Interest Rate Pass-Through: The Case of the Euro Area During the Financial and Sovereign Debt Crisis
ECB Occasional Paper No. 155
Matthieu Darracq Paries , Diego Moccero , Elizaveta Krylova and Claudia Marchini
European Central Bank (ECB) , European Central Bank (ECB) , European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: September 20, 2014
Working Paper Series
8 downloads

Incl. Electronic Paper The α-Hypergeometric Stochastic Volatility Model
José Da Fonseca and Claude Martini
Auckland University of Technology - Faculty of Business & Law and Zeliade Systems
Date Posted: September 19, 2014
Working Paper Series
14 downloads

Incl. Electronic Paper Replication and the Manufacture of Scientific Inferences: A Formal Approach
Fernando Martel García
Independent
Date Posted: September 17, 2014
Last Revised: October 16, 2014
Working Paper Series
21 downloads

Incl. Electronic Paper Quantifying Randomness: A New Model for Momentum Trading
"Perspective-2014", National Conference on Innovations in Management Science, Shri Chimanbhai Patel Institute of Management and Research, 2014
Jay Desai
Shri Chimanbhai Patel Institute of Management & Research
Date Posted: September 13, 2014
Last Revised: September 14, 2014
Working Paper Series
121 downloads

Incl. Electronic Paper What Predicts U.S. Recessions?
FRB of New York Staff Report No. 691
Weiling Liu and Emanuel Moench
Harvard Business School and Federal Reserve Bank of New York
Date Posted: September 13, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper On the Persistence of Cointegration in Pairs Trading
Matthew Clegg
Independent
Date Posted: September 05, 2014
Working Paper Series
86 downloads

Incl. Electronic Paper Using Lasso-Type Penalties to Model Time-Varying Covariate Effects in Panel Data Regressions – A Novel Approach Illustrated by the 'Death of Distance' In International Trade
IFN Working Paper No. 961
Wolfgang Hess , Maria Persson , Stephanie Rubenbauer and Jan Gertheiss
Lund University - Department of Economics , Lund University , Ludwig-Maximilians-Universität München and University of Goettingen (Gottingen)
Date Posted: September 01, 2014
Last Revised: October 07, 2014
Accepted Paper Series
3 downloads

Incl. Electronic Paper Pairs Trading Strategy in Dhaka Stock Exchange: Implementation and Profitability Analysis
Asian Economic and Financial Review, 2014, 4(8): 1091-1105
Sharjil Muktafi Haque and A.K. Enamul Haque
Johns Hopkins University - Paul H. Nitze School of Advanced International Studies (SAIS) and East West University
Date Posted: August 30, 2014
Accepted Paper Series
18 downloads

Incl. Electronic Paper Multi-Jumps
Massimiliano Caporin , Alexey Kolokolov and Roberto Renò
University of Padova - Department of Economics and Management "Marco Fanno" , University of Lund and University of Siena - Department of Economics and Statistics
Date Posted: August 30, 2014
Working Paper Series
13 downloads

Incl. Electronic Paper Mismatch Shocks and Unemployment During the Great Recession
CAMA Working Paper No. 57/2014
Francesco Furlanetto and Nicolas Groshenny
Central Bank of Norway and University of Adelaide
Date Posted: August 30, 2014
Last Revised: September 01, 2014
Working Paper Series
4 downloads

Incl. Electronic Paper Model Uncertainty in Panel Vector Autoregressive Models
Gary Koop and Dimitris Korobilis
University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics and University of Glasgow - Adam Smith Business School
Date Posted: August 28, 2014
Working Paper Series
10 downloads

A Note on Natural Experiment

Date Posted: August 18, 2014
Last Revised: September 29, 2014
Working Paper Series

Incl. Electronic Paper Latent Price Impact
Luca Philippe Mertens
IMPA
Date Posted: August 17, 2014
Working Paper Series
124 downloads

Incl. Electronic Paper Land Use in Rural New Zealand: Spatial Land Use, Land-Use Change, and Model Validation
Motu Working Paper No. 14-07
Simon Anastasiadis , Suzi Kerr , Wei Zhang , Corey Allan and William Power
Motu Economic and Public Policy Research , Motu Economic and Public Policy Research Trust , Motu Economic and Public Policy Research Trust , Motu Economic and Public Policy Research Trust and GNS Science
Date Posted: August 16, 2014
Working Paper Series
5 downloads

An Investigation of Model Risk in a Market with Jumps and Stochastic Volatility
Guillaume Coqueret and Bertrand Tavin
EDHEC Business School and EMLYON Business School
Date Posted: August 02, 2014
Last Revised: October 07, 2014
Working Paper Series

Incl. Electronic Paper Do Exchange Rates Really Help Forecasting Commodity Prices?
Lasse Bork and Pablo Rovira Kaltwasser
Aalborg University - Department of Business and Management and Catholic University of Leuven (KUL)
Date Posted: July 30, 2014
Last Revised: August 21, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Many Risks, One (Optimal) Portfolio
Cristian Homescu
Independent
Date Posted: July 30, 2014
Working Paper Series
690 downloads

Incl. Electronic Paper Forecasting House Prices in the 50 States Using Dynamic Model Averaging and Dynamic Model Selection
International Journal of Forecasting, Forthcoming
Lasse Bork and Stig Vinther Møller
Aalborg University - Department of Business and Management and University of Aarhus - CREATES
Date Posted: July 29, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper Score Driven Exponentially Weighted Moving Averages and Value-at-Risk Forecasting
Tinbergen Institute Discussion Paper No. 14-092/IV/DSF77
Andre Lucas
VU University Amsterdam - Faculty of Economics and Business
Date Posted: July 26, 2014
Last Revised: August 20, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Construction of Value-at-Risk Forecasts Under Different Distributional Assumptions within a BEKK Framework
Manuela Braione and Nicolas K. Scholtes
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Date Posted: July 24, 2014
Working Paper Series
28 downloads

Incl. Electronic Paper Empirical Evidence in Solow's Growth Model
Rafael Serrano Quintero
University of Alicante - Department of Economic Analysis
Date Posted: July 22, 2014
Working Paper Series
18 downloads

Incl. Electronic Paper ICT and Non-ICT Investments: Short and Long Run Macro Dynamics
Quaderni - Working Paper DSE N° 956,
Fabio Bacchini , Maria Elena Bontempi , Roberto Golinelli and Cecilia Jona Lasinio
Italian Statistical Institute , University of Bologna - Department of Economics , University of Bologna - Department of Economics and Italian Statistical Institute
Date Posted: July 18, 2014
Working Paper Series
15 downloads


 

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