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JEL Code: C52
286,285 Total downloads
Showing Papers 561 - 610 of 1,697
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The Influence of Misspecification in Stochastic Frontier Analysis Models: A Simulation Approach
Aljar Meesters
Date Posted: June 17, 201051 downloads
Forecasting VAR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy Frontiers in Finance and Economics, Vol. 6, No. 1, p. 26-50, 2009
Cyril Caillault
and
Dominique Guegan
Date Posted: June 12, 2010150 downloads
EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries? CESifo Working Paper Series No. 3074
Guglielmo Maria Caporale ,
Roman Matousek and
Chris Stewart
affiliation not provided to SSRN
Date Posted: June 10, 201020 downloads
Bankruptcy Prediction Models and the Cost of Debt Journal of Fixed Income, Forthcoming
Sattar Mansi ,
William F. Maxwell and
Andrew (Jianzhong) Zhang
Date Posted: June 09, 2010Last Revised: February 28, 2012900 downloads
Decay Factor Optimisation in Time Weighted Simulation - Evaluating VAR Performance
Sasa Zikovic
and
Bora Aktan
Date Posted: June 09, 2010126 downloads
Freedom of Choice in Macroeconomic Forecasting CESifo Economic Studies, Vol. 56, Issue 2, pp. 192-220, 2010
Nikolay Robinzonov and
Klaus Wohlrabe
affiliation not provided to SSRN
and
CESifo (Center for Economic Studies and Ifo Institute for Economic Research) - Ifo Institute for Economic Research
Date Posted: June 04, 2010
Evidence on a Real Business Cycle Model with Neutral and Investment-Specific Technology Shocks Using Bayesian Model Averaging Tinbergen Institute Discussion Paper 10-050/4
Rodney W. Strachan
and
H. K. van Dijk
Date Posted: May 31, 201016 downloads
Market Timing Using Exchange Traded Funds
Lewis A. Glenn
Date Posted: May 31, 2010349 downloads
Efficient Estimation of Average Treatment Effects Under Treatment-Based Sampling,
Second Version PIER Working Paper No. 10-018
Kyungchul Song
Date Posted: May 30, 201030 downloads
Predicting Agri-Commodity Prices: An Asset Pricing Approach
Yu-Chin Chen ,
Kenneth Rogoff and
Barbara Rossi
Date Posted: May 28, 2010265 downloads
Empirical Simultaneous Confidence Regions for Path-Forecasts CEPR Discussion Paper No. DP7797
Oscar Jorda ,
Malte Knüppel
and
Massimiliano Giuseppe Marcellino
Date Posted: May 19, 20102 downloads
The Use of Survey Weights in Regression Analysis Bank of Italy Temi di Discussione (Working Paper) No. 739
Ivan Faiella
Date Posted: May 12, 2010112 downloads
Ranking Multivariate GARCH Models by Problem Dimension
Massimiliano Caporin and
Michael McAleer
Date Posted: May 09, 2010Last Revised: October 16, 2010240 downloads
Housing Prices and the Role of Speculation: The Case of Seoul Empirical Economics, Vol. 38, No. 3, 2010, Asian Development Bank Economics Working Paper Series No. 146
Donghyun Park
and
Qin Xiao
Date Posted: May 05, 201060 downloads
Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash CESifo Working Paper Series No. 3023
Bahram Pesaran and
M. Hashem Pesaran
Date Posted: April 26, 2010226 downloads
Are OECD Macroeconomic Variables Trend Stationary? Evidence from Panel Stationary Tests Allowing for a Structural Break and Cross-Sectional Dependence The Singapore Economic Review
Kaddour Hadri and
Yao Rao
Date Posted: April 26, 2010Last Revised: June 07, 2010
Investment Climate Assessment in Indonesia, Malaysia, the Philippines and Thailand: Results from Pooling Firm-Level Data The Singapore Economic Review, Vol. 54, No. 3, pp. 335-366, 2009
Álvaro Escribano ,
J. Luis Guasch ,
Manuel de Orte
and
Jorge Pena
Date Posted: April 25, 2010
General Equilibrium Restrictions for Dynamic Factor Models Banco de Espana Working Paper No. 1012
David de Antonio Liedo
affiliation not provided to SSRN
Date Posted: April 22, 201017 downloads
Backtesting Value-at-Risk Models: A Multivariate Approach Center for Applied Economics & Policy Research Working Paper No. 004-2010
Cristina Danciulescu
Date Posted: April 16, 2010222 downloads
Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
Kilani Ghoudi
and
Bruno Remillard
Date Posted: April 16, 2010Last Revised: July 02, 201140 downloads
Volatility in Equilibrium: Asymmetries and Dynamic Dependencies Economic Research Initiatives at Duke (ERID) Working Paper No. 35
Tim Bollerslev ,
Natalia Sizova
and
George Tauchen
Date Posted: April 14, 2010Last Revised: May 06, 2010180 downloads
A Model for Testing Competition in Mobile Markets
François Jeanjean
Date Posted: April 10, 201074 downloads
Impact Evaluation of the Phases I and II of the Transmilemio Mass Project on the Total Travel Time of the Users of the Traditional Public Transport in Bogotá (Evaluación De Impacto De Las Fases I Y II Del Sistema De Transporte Masivo Transmilenio Sobre El Tiempo Total De Desplazamiento De Los Usuarios Del Transporte Público Tradicional En Bogotá) Documento CEDE No. 2010-11
Jorge Andres Perdomo Calvo
,
Hasbleidy Castañeda
and
Juan Carlos Mendieta-Lopez II
Date Posted: April 10, 201051 downloads
Limits of Econometrics for Testing Economic Hypotheses (A Rejoinder on 'Limits of Econometrics' by David Freedman and Arnold Zellner’s Comments) International Econometric Review, Forthcoming
Hans J. Blommestein
Date Posted: April 10, 201074 downloads
Empirical Evidence on Indian Stock Market Efficiency in Context of the Global Financial Crisis Global Journal of Finance and Management, Vol. 1, No. 2, pp.149-157
P. K. Mishra
Date Posted: April 08, 2010Last Revised: January 23, 2012
Spill Over Effects of Futures Contracts Initiation on the Cash Market: A Regime Shift Approach Review of Quantitative Finance and Accounting, Vol. 34, No. 1, 2010
George Karathanassis
and
Vasilios I. Sogiakas
Date Posted: April 04, 2010Last Revised: April 07, 2010
The Predictive Accuracy of Credit Ratings: Measurement and Statistical Inference University of Cologne Statistics and Econometrics Discussion Paper No. 2/10
Walter Orth
Date Posted: April 02, 2010Last Revised: February 18, 2011171 downloads
Volatility Forecast Comparison Using Imperfect Volatility Proxies University of Technology Quantitative Finance Research Centre Research Paper No. 175
Andrew J. Patton
Date Posted: April 02, 201096 downloads
A Comparison of Estimators for Regression Models with Change Points
Cathy W. S. Chen
,
Jennifer S. K. Chan ,
Richard H. Gerlach
and
William
Date Posted: March 30, 201087 downloads
Dynamic Hedging Strategies: An Application to the Crude Oil Market Review of Futures Market, Forthcoming
Delphine Lautier
and
Alain G. Galli
Date Posted: March 29, 2010199 downloads
A Taxonomic Field Investigation into Induced Bias in Residential Real Estate Appraisals
Julian Diaz and
J. Andrew Hansz
Date Posted: March 26, 201056 downloads
Copula-Based Semiparametric Models for Multivariate Time Series
Bruno Remillard ,
Nicolas A. Papageorgiou
and
Frederic Soustra
Date Posted: March 24, 2010Last Revised: December 13, 2011209 downloads
An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance
Januj Juneja
Date Posted: March 22, 2010Last Revised: September 27, 201037 downloads
Can the Performance of Structural Corporate Bond Models Be Improved?
Craig W. Holden and
Zhongyan Zhu
Date Posted: March 19, 2010123 downloads
Can We Explain the Sign-Switching Behavior of Cross-Country Interest Rate Correlations?
Dong-Hyun Ahn
,
In Seok Baek
and
A. Ronald Gallant
Date Posted: March 16, 2010Last Revised: January 23, 201144 downloads
Modeling the Cross Section of Stock Returns: A Model Pooling Approach Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Michael S. O'Doherty ,
N. Eugene Savin and
Ashish Tiwari
Date Posted: March 15, 2010Last Revised: May 06, 2012234 downloads
The Link between Macroeconomic Performance and Variability in the UK Economics Letters, Vol. 106, No. 3, pp. 154-157, 2010
Christian Conrad
,
Menelaos Karanasos
and
Ning Zeng
Date Posted: March 15, 2010Last Revised: May 04, 2010
CDOs and the Financial Crisis: Credit Ratings and Fair Premia EFA 2011
Marcin Wojtowicz
Date Posted: March 13, 2010Last Revised: November 19, 2012243 downloads
Dynamic Hedging Strategies: An Application to the Crude Oil Market
Delphine Lautier
and
Alain G. Galli
affiliation not provided to SSRN
and
Cerna Mines-Paristech
Date Posted: March 11, 2010362 downloads
GMM and OLS Estimation and Inference for New Keynesian Phillips Curve
Hrishikesh D. Vinod
Date Posted: March 07, 2010Last Revised: July 15, 2010112 downloads
Estimation of Treatment Effects Without an Exclusion Restriction with an Application to the Analysis of the School Breakfast Program Andrew Young School of Policy Studies Research Paper Series No. 10-05, Andrew Young School of Policy W. J. Usery Workplace Research Group Paper No. 2010-2-1
Daniel L. Millimet and
Rusty Tchernis
Date Posted: March 06, 201031 downloads
VAR Forecasting Using Bayesian Variable Selection
Dimitris Korobilis
Date Posted: March 05, 2010Last Revised: April 19, 2011125 downloads
The Brazilian Strategy and the Interventions to Manage Risk of Foreign Currency Exposure During Crisis
Antonio F. A. Silva Jr. Jr.
Date Posted: March 04, 201068 downloads
Are Early Warning Models Still Useful Tools for Bank Supervisors‘
Gary Whalen
Date Posted: March 03, 2010Last Revised: March 27, 201075 downloads
Performance Evaluation for the Banking Industry in Taiwan Based on Total Quality Management Global Journal of Business Research, Vol. 3, No. 1 pp. 49-60, 2009
Jui-Kuei Chen
and
I. Shuo Chen
Date Posted: February 27, 2010307 downloads
A Forecast Based Comparison of Restricted Realized Covariance Models
Massimiliano Caporin ,
Angelo Ranaldo and
Matteo Bonato
Date Posted: February 24, 201050 downloads
Forecasts with Single-Equation Markov-Switching Model: An Application to the Gross Domestic Product of Latvia
Ginters Buss
Date Posted: February 23, 201020 downloads
An Encompassing Test for Non-Nested Quantile Regression Models Economics Letters, Vol. 107, No. 2, pp.257-260, 2010
Chung-Ming Kuan and
Hsin-Yi Lin
Date Posted: February 21, 2010Last Revised: April 23, 2011
Assessing Models in Frontier Analysis Through Dynamic Graphics Dipartimento di Scienze Economiche e Statistiche, University of Salerno WP 3.84
Giovanni C. Porzio
and
Sergio Destefanis
affiliation not provided to SSRN
and
University of Salerno
Date Posted: February 20, 201027 downloads
Long Memory in Exchange Rates: International Evidence The International Journal of Business and Finance Research, Vol. 2, No. 1, pp. 31-39, 2008
Christos Floros
Date Posted: February 19, 2010
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