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JEL Code: C22
534,165 Total downloads
Showing Papers 581 - 630 of 3,421
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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
Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems De Nederlandsche Bank Working Paper No. 250
M. Hashem Pesaran ,
Andreas Pick
and
Allan G. Timmermann
Date Posted: October 24, 201127 downloads
No Predictable Components in G7 Stock Returns
Prasad V. Bidarkota and
Khurshid M. Kiani
affiliation not provided to SSRN
Date Posted: October 23, 201111 downloads
Modeling of Seasonal Volatility - Empirical Analysis of Impact of Increased Market Timings
Khagesh Agarwal and
Pulkit Ahuja
Date Posted: October 22, 201147 downloads
Behavioral Heterogeneity in U.S. Inflation Dynamics
Adriana Cornea
,
Cars H. Hommes and
Domenico Massaro
Date Posted: October 21, 2011Last Revised: October 10, 201254 downloads
No Predictable Components in G7 Stock Returns
Prasad V. Bidarkota and
Khurshid M. Kiani
affiliation not provided to SSRN
Date Posted: October 21, 2011Last Revised: October 23, 201135 downloads
The Relative Valuation of US Equities at Bear Market Bottoms: A Perspective on the Equity Risk Premium
Robert A. Weigand and
Robert R. Irons
Date Posted: October 20, 2011136 downloads
The Predictability of Aggregate Japanese Stock Returns: Implications of Dividend Yield International Review of Economics and Finance, Forthcoming
Sichong Chen
Date Posted: October 19, 201163 downloads
What Drives the Time-Series and Cross-Sectional Variations in Bank Capital Ratios? Evidence from Japan Pacific Economic Review, Forthcoming
Sichong Chen
Date Posted: October 19, 2011Last Revised: October 20, 201131 downloads
A Simple Test for Linearity Against Exponential Smooth Transition Models with Endogenous Variables
Daniele Massacci
Date Posted: October 17, 2011Last Revised: November 10, 201129 downloads
Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility
Kevin Sheppard and
Andrew J. Patton
Date Posted: October 15, 2011
Causal Relationship between Wages and Prices in UK: VECM Analysis and Granger Causality Testing
Dushko Josheski
,
Darko Lazarov
,
Risto Fotov
and
Cane Koteski
Date Posted: October 14, 201172 downloads
Advertising Pre-Testing in Simulated Test Marketing
Nikolay Y. Korotkov
Date Posted: October 12, 201179 downloads
Forecasting New Product Awareness in Simulated Test Marketing: The Approach for Emerging Markets
Nikolay Y. Korotkov
Date Posted: October 12, 2011116 downloads
A Mathematical Model for American Call Option with Dividends and Variable Volatility Int. J. of Appl. Math. and Mech., Vol. 7, No. 17, pp. 46-60, 2011
Asad Ahmad
Date Posted: October 10, 2011
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies Rotman School of Management Working Paper No. 1939486
John M. Maheu ,
Thomas H. McCurdy and
Yong Song
Date Posted: October 06, 2011Last Revised: November 06, 201289 downloads
Modelling Electricity Forward Markets by Ambit Fields
Ole E. Barndorff-Nielsen ,
Fred Espen Benth
and
Almut Veraart
Date Posted: October 05, 2011134 downloads
The Statistical Behavior of GDP after Financial Crises and Severe Recessions
David H. Papell and
Ruxandra Prodan
Date Posted: October 05, 2011Last Revised: October 06, 2011102 downloads
Volatility Forecasting: Downside Risk, Jumps and Leverage Effect University of St. Gallen Department of Economics and Political Science Discussion Paper No. 2011-38
Francesco Audrino
and
Yujia Hu
Date Posted: October 05, 201162 downloads
Bias-Reduced Log-Periodogram and Whittle Estimation of the Long-Memory Parameter Without Variance Inflation
Patrik Guggenberger and
Yixiao Sun
Date Posted: September 30, 201115 downloads
Forecasting the Intraday Market Price of Money Norges Bank Working Paper No. 2011/06
Andrea Monticini
and
Francesco Ravazzolo
Date Posted: September 30, 201123 downloads
Advances in Forecasting Under Instability Economic Research Initiatives at Duke (ERID) Working Paper No. 111
Barbara Rossi
Date Posted: September 28, 2011181 downloads
A Critical Review of the Filtering Techniques for the for the Real Economic Cycles Theory Cuadernos de Economía, Vol. 29, No. 53, 2010,
Fredy Vásquez Bedoya
,
Sergio Iván Restrepo Ochoa
and
John Fernando Lopera
Date Posted: September 27, 201112 downloads
Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Measures
Oleg Komarov
Date Posted: September 27, 2011365 downloads
Stable Mixture GARCH Models Swiss Finance Institute Research Paper No. 11-39
Simon A. Broda
,
Markus Haas
,
Jochen Krause ,
Marc S. Paolella
and
Sven C. Steude
Date Posted: September 23, 2011Last Revised: October 18, 2011211 downloads
Price Modeling in the Spanish Electric Market (in Spanish) Cuadernos de Economía, Vol. 30, No. 54, p. 227, 2011,
Aitor Ciarreta
,
Mónica Lagullón
and
Ainhoa Zarraga Alonso
Date Posted: September 20, 2011Last Revised: March 08, 201219 downloads
The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures
Siem Jan Koopman and
Marcel Scharth
Date Posted: September 20, 2011Last Revised: September 10, 201256 downloads
Stationarity Changes in Long-Run Fossil Resource Prices: Evidence from Persistence Break Testing DIW Berlin Discussion Paper No. 1152
Aleksandar Zaklan ,
Jan Abrell
and
Anne Neumann
Date Posted: September 19, 201114 downloads
Using VIX Data to Enhance Technical Trading Signals
James Kozyra
and
Camillo Lento
Date Posted: September 19, 2011859 downloads
Risk and Return in the Tehran Stock Exchange Quarterly Review of Economics and Finance, Forthcoming
Mohammad R. Jahan-Parvar
and
Hassan Mohammadi
Date Posted: September 16, 2011Last Revised: May 19, 201342 downloads
GMM Estimation with Non‐Causal Instruments Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 5, pp. 581-592, 2011
Markku Lanne and
Pentti Saikkonen
Date Posted: September 16, 20113 downloads
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