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JEL Code: C5
1,171,487 Total downloads
Showing Papers 601 - 650 of 5,961
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Heterogeneous Asymmetric Dynamic Conditional Correlation Model with Stock Return and Range
Manabu Asai
Date Posted: September 19, 201230 downloads
Identifying the Independent Sources of Consumption Variation
Matteo Barigozzi
and
Alessio Moneta
Date Posted: September 19, 20126 downloads
Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Ryan Brauchler
Date Posted: September 18, 201290 downloads
Stock Prices in an Artificial Stock Market with Optimistic and Pessimistic Agents
Herbert Kimura
,
Fabiano Guasti Lima
,
Luiz C. J. Perera and
Roberto Borges Kerr
Date Posted: September 16, 201218 downloads
Comparacion de los Modelos SETAR y STAR para el Indice de Empleo Industrial Colombiano (Comparison SETAR and STAR Models for Index of Industrial Use)
Nancy Milena Hoyos Gomez
and
Mario Galindo
Date Posted: September 15, 20124 downloads
International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach Melbourne Institute Working Paper No. 18
Matthew Greenwood-Nimmo
,
Viet Hoang Nguyen and
Yongcheol Shin
Date Posted: September 15, 201217 downloads
Interest Rate Pass‐Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate Economic Record, Vol. 88, Issue 282, pp. 341-350, 2012
Abbas Valadkhani
and
Sajid Anwar
Date Posted: September 14, 2012
Evaluating the Existence of Structural Change in the Brazilian Term Structure of Interest Rate: Evidence Based on Cointegration Models with Structural Break
Emerson Fernandes Marçal
and
Pedro L. Valls Pereira
Date Posted: September 14, 201217 downloads
Methodology of the Rand Continuous 2012 Presidential Election Poll RAND Working Paper No. WR-961
Arie Kapteyn ,
Erik Meijer
and
Bas Weerman
Date Posted: September 14, 201219 downloads
On the Role of the Estimation Error in Prediction of Expected Shortfall
Carl Lönnbark
Date Posted: September 14, 201212 downloads
Automated Model Selection in Finance: General‐To‐Specific Modelling of the Mean and Volatility Specifications Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 5, pp. 716-735, 2012
Genaro Sucarrat
and
Alvaro Escribano
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 12, 2012
Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
Taras Bodnar
and
Nikolaus Hautsch
Date Posted: September 12, 201270 downloads
Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests PIER Working Paper No. 12-035
Francis X. Diebold
Date Posted: September 11, 201253 downloads
Decizia in Rezolvarea Problemelor Operative (The Decision Inside the Operative Problem Solving) Editura Militara, Bucuresti, 1989, ISBN 973-32-0064-6
Nicolae Bulz
Date Posted: September 11, 20127 downloads
Forecasting Volatility in Financial Markets! By Introducing a GA-Assisted SVR-Garch Model
Ali Habibnia
Date Posted: September 11, 2012
European Option Pricing under Jump Diffusion with Proportional Transaction Costs
Haipeng Xing ,
Yang Yu
and
TiongWee Lim
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 09, 201246 downloads
Psychological Dominance, Market Dominance and Their Impacts on Price Stability in Turkey
Melike Bildirici
,
Ilker Parasiz
,
Ozgur Omer Ersin and
Elcin Aykac Alp
affiliation not provided to SSRN
Date Posted: September 09, 201224 downloads
An Analysis of the Main Determinants of Electricity Forward Prices and Forward Risk Premia
Álvaro Cartea and
Pablo Villaplana
Date Posted: September 07, 2012106 downloads
Short-Run Regional Forecasts: Spatial Models Through Varying Cross-Sectional and Temporal Dimensions Defining the Spatial Scale in Modern Regional Analysis: New Challenges from Data at Local Level, pp. 173–92, E. Fernández Vazquez and F. Rubiera Morollón, eds., Springer, 2012,
Matias Mayor and
Roberto Patuelli
Date Posted: September 07, 2012Last Revised: January 30, 20136 downloads
Effect of Decimalization on Market Equilibrium and Price Discovery
Surya Chelikani
Date Posted: September 06, 201227 downloads
Multivariate Volatility Models: An Application to IBOVESPA and Dow Jones Industrial Cuadernos de Economía, Vol. 31, No. 56, 2011,
Jorge Alberto Achcar
,
Edilberto Cepeda-Cuervo
and
Milton Barossi-Filho
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: September 06, 20128 downloads
Pricing Illiquidity of Corporate Bonds Through Static and Dynamic Measures Seoul Journal of Economics, Vol. 25, No. 3, pp. 279-316, 2012
Daisuke Miyakawa
and
Shuji Watanabe
Date Posted: September 05, 201221 downloads
Volatility, Correlation, and the Market Trend
Christoph Becker
and
Wolfgang M. Schmidt
Date Posted: September 05, 2012Last Revised: October 10, 2012160 downloads
Comovement and the News
Travis Box
Date Posted: September 04, 2012Last Revised: May 22, 2013123 downloads
A Computationally Efficient Fixed Point Approach to Structural Estimation of Aggregate Demand Rotman School of Management Working Paper No. 2140617
Yutec Sun and
Masakazu Ishihara
Date Posted: September 04, 2012Last Revised: February 12, 201379 downloads
Determining Countries' Tax Effort Hacienda Pública Española/Revista de Economía Pública, 195-(4/2010): 65-87,
Carola Pessino
and
Ricardo Fenochietto
Date Posted: September 04, 201240 downloads
A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction
Stefano Colucci
Date Posted: September 03, 2012Last Revised: February 20, 2013347 downloads
On Italy's Economic Mechanism
György Simon Jr.
Date Posted: September 03, 2012Last Revised: April 29, 201329 downloads
On Models for Portfolio Selection with Short-Term Forecasting
Nikolai Dokuchaev
Date Posted: September 03, 2012Last Revised: January 07, 201386 downloads
Orthogonalized Regressors and Spurious Precision Midwest Finance Association 2013 Annual Meeting Paper
Martina L. Vandebroek
Date Posted: September 03, 2012Last Revised: February 11, 201325 downloads
An Industry-Based Prediction Model for Regional Unemployment Rates Based on Officially Available Data Lecture Notes in Information Technology, Vol. 21, 2012
Adrian Otoiu ,
Emilia Titan
and
Remus Dumitrescu
Date Posted: September 02, 2012
Using Monte Carlo Simulation to Calculate Match Importance: The Case of English Premier League
Jiri Lahvicka
Date Posted: September 02, 201227 downloads
Multilateral Virtual Currency Model
Ilya I. Gikhman
Date Posted: September 01, 2012Last Revised: November 19, 201237 downloads
Can Tightness in the Housing Market Help Predict Subsequent Home Price Appreciation? Evidence from the U.S. and the Netherlands
Paul E. Carrillo ,
Erik R. de Wit and
William D. Larson
Date Posted: August 31, 2012Last Revised: September 03, 201226 downloads
Equilibrium-Based Volatility Models of the Market Portfolio Rate of Return
David Feldman and
Xin Xu
Date Posted: August 31, 2012Last Revised: March 29, 2013107 downloads
Robust Estimation of Shape Constrained State Price Density Surfaces
Markus Ludwig
Date Posted: August 31, 2012Last Revised: March 26, 2013142 downloads
Who Creates Jobs? Estimating Job Creation Rates at the Firm Level
Peter Huber
,
Harald Oberhofer
and
Michael Pfaffermayr
Date Posted: August 31, 201218 downloads
Mean‐Plus‐Noise Factor Models: An Empirical Exploration Japanese Economic Review, Vol. 63, Issue 3, pp. 289-309, 2012
Atsushi Inoue
Date Posted: August 30, 2012
A Plug-In Averaging Estimator for Regressions with Heteroskedastic Errors
Chu-An Liu
Date Posted: August 30, 201220 downloads
Consistent Testing for Structural Change at the Ends of the Sample FRB of St. Louis Working Paper No. 2012-029A
Michael W. McCracken
Date Posted: August 30, 20126 downloads
Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance
Bradford Case ,
Massimo Guidolin and
Yildiray Yildirim
Date Posted: August 30, 2012175 downloads
Scenarios for the Agricultural Sector in South and East Mediterranean Countries by 2030 CASE Network Report No. 109
Saad Belghazi
affiliation not provided to SSRN
Date Posted: August 29, 201222 downloads
International Linkages of the Korean Economy: The Global Vector Error-Correcting Macroeconometric Modelling Approach Journal of Market Economy 41(3), pp. 15-64.
Matthew Greenwood-Nimmo
,
Viet Hoang Nguyen and
Yongcheol Shin
Date Posted: August 28, 2012Last Revised: December 17, 201239 downloads
Mobilizing Revenue in Sub-Saharan Africa: Empirical Norms and Key Determinants IMF Working Paper No. 12/108
Paulo Drummond
,
Wendell Daal ,
Nandini Srivastava and
Luis Oliveira
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
International Monetary Fund (IMF)
Date Posted: August 27, 201222 downloads
A Directional Analysis of Japanese GDP Forecasts Made by Corporate Executives
Yoichi Tsuchiya
Date Posted: August 27, 201212 downloads
Are Government and IMF Forecasts Useful? An Application of a New Market-Timing Test
Yoichi Tsuchiya
Date Posted: August 27, 201223 downloads
Purchasing and Supply Managers Provide Early Clues on the Direction of the US Economy: An Application of a New Market-Timing Test
Yoichi Tsuchiya
Date Posted: August 27, 201225 downloads
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Ait-Sahalia ,
Mustafa Karaman
and
Loriano Mancini
Date Posted: August 27, 2012346 downloads
Return Predictability under the Alternative
Marco Rossi
,
Timothy T. Simin and
Daniel R. Smith
Date Posted: August 26, 2012Last Revised: February 10, 201327 downloads
Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Jozef Barunik and
Michaela Barunikova
Date Posted: August 24, 2012Last Revised: February 18, 201324 downloads
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