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Full Text Papers: 397,938
Authors: 228,554
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SSRN eLibrary Search Results
JEL Code: C22
540,487 Total downloads
Showing Papers 61 - 110 of 3,444
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Incl. Electronic Paper How Crude Oil Impacts on Economic Growth of Latin America: An Empirical Investigation in Multiple Regions
Niaz Bashiri Behmiri and José Ramos Pires Manso
University of Beira Interior - Department of Management and Economics and University of Beira Interior - Department of Management and Economics
Date Posted: April 28, 2013
Working Paper Series
12 downloads

Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component
 Zhiwei Xu
Hong Kong University of Science and Technology
Date Posted: April 27, 2013
Working Paper Series

Incl. Fee Electronic Paper Unit Root Testing with Stationary Covariates and a Structural Break in the Trend Function
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 368-384, 2013
 Sebastian Fossati
University of Alberta - Department of Economics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Estimation of the Long‐Memory Stochastic Volatility Model Parameters that is Robust to Level Shifts and Deterministic Trends
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 285-301, 2013
 Adam McCloskey
Brown University - Department of Economics
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Fee Electronic Paper Modelling Long‐Run Trends and Cycles in Financial Time Series Data
Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 405-421, 2013
 Guglielmo Maria Caporale , Juncal Cuñado and Luis A. Gil‐Alana
Brunel University - Centre for Empirical Finance , University of Navarra and University of Navarra
Date Posted: April 26, 2013
Accepted Paper Series

Incl. Electronic Paper The Relationship between Stock Price Index and Exchange Rate in Asian Markets: A Wavelet Based Correlation and Quantile Regression Approach
 Arif Billah Dar , Aasif Shah M. , Niyati Bhanja and Amaresh Samantaraya
Pondicherry University - School of Management , Pondicherry University , Pondicherry University - Department of Economics and Pondicherry University
Date Posted: April 24, 2013
Working Paper Series
39 downloads

Incl. Electronic Paper Non-Parametric Transformation Regression with Non-Stationary Data
 Oliver B. Linton and Qiying Wang
University of Cambridge and University of Sydney
Date Posted: April 23, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper Structural-Break Models under Mis-specification: Implications for Forecasting
 Bonsoo Koo and Myung Hwan Seo
Monash University - Faculty of Business and Economics and London School of Economics & Political Science (LSE)
Date Posted: April 23, 2013
Working Paper Series
12 downloads

Incl. Electronic Paper JSE Exotic Can-Do Options: Determining Initial Margins
 Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Date Posted: April 23, 2013
Working Paper Series
16 downloads

Incl. Electronic Paper Stock Prices Trend Analysis: Comparative Neural Networks, Linear Models and Conditional Heteroscedasticity Models
 Manoochehr Dabirian and Shahab-e-din Shams
Independent and Independent
Date Posted: April 22, 2013
Working Paper Series
31 downloads

Incl. Electronic Paper The Monetary Model of the US Dollar - Japanese Yen Exchange Rate: An Empirical Investigation
Brunel University Working Paper No. 13-08
 John Hunter and Faek Menla Ali
Brunel University - School of Social Science and Brunel University - School of Social Sciences - Economics and Finance Department
Date Posted: April 22, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data
Contemporary Economics, Vol. 7, No. 1, pp. 19-32, 2013
Riané de Bruyn , Rangan Gupta and Lardo Stander
University of Pretoria , University of Pretoria and University of Pretoria
Date Posted: April 18, 2013
Accepted Paper Series
4 downloads

Incl. Electronic Paper The VIX, the Variance Premium and Stock Market Volatility
Columbia Business School Research Paper No. 13-32
 Geert Bekaert and Marie Hoerova
Columbia Business School - Finance and Economics and European Central Bank (ECB)
Date Posted: April 17, 2013
Working Paper Series
295 downloads

Incl. Electronic Paper Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation
Tinbergen Institute Discussion Paper 13-060/III
 Lukasz T. Gatarek , Lennart F. Hoogerheide , Koen Hooning and H. K. van Dijk
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) , Vrije Universiteit Amsterdam - Dept. of Econometrics , Delft University of Technology and Tinbergen Institute
Date Posted: April 17, 2013
Working Paper Series
31 downloads

Incl. Electronic Paper Is the Italian Public Debt Really Unsustainable? An Historical Comparison (1861-2010)
CESifo Working Paper Series No. 4185
 Silvana Bartoletto , Bruno Chiarini and Elisabetta Marzano
Parthenope University - Department of Economic Studies (DES) , University of Naples, Parthenope and Parthenope University - Department of Economic Studies (DES)
Date Posted: April 16, 2013
Working Paper Series
60 downloads

Incl. Electronic Paper Long Memory and Correlation Dynamics of Eurozone Sovereign CDSs
 Yalin Gunduz and Orcun Kaya
Deutsche Bundesbank and Goethe University Frankfurt
Date Posted: April 16, 2013
Last Revised: April 22, 2013
Working Paper Series
19 downloads

Incl. Electronic Paper Bayesian Analysis of Nonlinear Exchange Rate Dynamics and the Purchasing Power Parity Persistence Puzzle
UNSW Australian School of Business Research Paper No. 2013-05
 Ming Chien Lo and James Morley
Saint Cloud State University - Department of Economics and University of New South Wales
Date Posted: April 15, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Application of Synthetic Straddles for Equity Risk Management
Materiály VII Mezinárodní Vědecko Praktická Konference, Zprávy Vědecké Ideje, 2011,
Yuriy Vasilievich Trifonov , Sergey Nikolaevitch Yashin , Egor Viktorovich Koshelev and Dimitry V. Chuhmanov
Lobachevsky State University of Nizhni Novgorod , Nizhni Novgorod State University , Lobachevsky State University of Nizhni Novgorod and Lobachevsky State University of Nizhni Novgorod
Date Posted: April 13, 2013
Accepted Paper Series
22 downloads

Incl. Electronic Paper The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model
DIW Berlin Discussion Paper No. 1288
 Guglielmo Maria Caporale , Luis A. Gil-Alana and Yuliya Lovcha
Brunel University - Centre for Empirical Finance , University of Navarra - Department of Economics and Independent
Date Posted: April 12, 2013
Working Paper Series
8 downloads

Incl. Electronic Paper Behavior of Stock Market Index in the Stock Exchange of Thailand
Jiranyakul, Komain, 'Behavior of Stock Market Index in the Stock Exchange of Thailand', NIDA Economic Review, Vol. 2, No. 2, pp. 47-57, 2007
 Komain Jiranyakul
National Institute of Development Administration
Date Posted: April 10, 2013
Accepted Paper Series
12 downloads

Modeling the Long-Term and Short-Run Relationship between Indian Local Exchange Traded Funds (ETFs) and their Underlying Indices
20th Global Finance Association Conference Proceedings (Forthcoming)
 Vinodh Madhavan
Indian Institute of Management Lucknow
Date Posted: April 09, 2013
Accepted Paper Series

Incl. Electronic Paper Financial Stress Index: A Lens for Supervising the Financial System
FRB of Cleveland Policy Discussion Paper No. 12-37
 Mikhail V. Oet , Timothy Bianco , Dieter Gramlich and Stephen J. Ong
Federal Reserve Banks - Federal Reserve Bank of Cleveland , Federal Reserve Banks - Federal Reserve Bank of Cleveland , Baden-Württemberg Cooperative State University and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: April 06, 2013
Accepted Paper Series
78 downloads

Incl. Electronic Paper New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil
 Claudio Morana
Università di Milano Bicocca
Date Posted: April 06, 2013
Last Revised: June 14, 2013
Working Paper Series
15 downloads

Incl. Fee Electronic Paper Do Criminal Sanctions Deter Insider Trading?
Financial Review, Vol. 48, Issue 2, pp. 205-232, 2013
 Bart Frijns , Aaron B. Gilbert and Alireza Tourani Rad
Auckland University of Technology - Faculty of Business & Law , Auckland University of Technology - Faculty of Business & Law and Auckland University of Technology - Faculty of Business & Law
Date Posted: April 05, 2013
Accepted Paper Series

Incl. Electronic Paper Food Versus Fuel: Causality and Predictability in Distribution
FEEM Working Paper No. 23.2013
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 04, 2013
Working Paper Series
17 downloads

Incl. Electronic Paper Biofuels and Food Prices: Searching for the Causal Link
FEEM Working Paper No. 22.2013
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 04, 2013
Working Paper Series
20 downloads

Incl. Electronic Paper Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
 Gary Antonacci
Portfolio Management Consultants
Date Posted: April 04, 2013
Last Revised: April 27, 2013
Working Paper Series
2664 downloads

SAFE: An Early Warning System for Systemic Banking Risk
Journal of Banking & Finance, Available online 13 March 2013, ISSN 0378-4266
 Mikhail V. Oet , Timothy Bianco , Dieter Gramlich and Stephen J. Ong
Federal Reserve Banks - Federal Reserve Bank of Cleveland , Federal Reserve Banks - Federal Reserve Bank of Cleveland , Baden-Württemberg Cooperative State University and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: April 04, 2013
Last Revised: April 21, 2013
Accepted Paper Series

An Empirical Characteristic Function Approach to VaR Under a Mixture-of-Normal Distribution with Time-Varying Volatility
Journal of Derivatives (2010), 18, 1, 39-58
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 04, 2013
Working Paper Series

Risk Measures under a Stochastic Volatility Model with a Mixture-of-Normal Error Distribution
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution: Theoretical Properties and Monte-Carlo Results
 Dinghai Xu , John Knight and Tony S. Wirjanto
Independent , University of Western Ontario - Department of Economics and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics: A Selected Review
 Tony S. Wirjanto and Dinghai Xu
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science and Independent
Date Posted: April 02, 2013
Working Paper Series

Computation of Portfolio VaRs with GARCH-Type Volatility
 Dinghai Xu and Tony S. Wirjanto
Independent and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: April 02, 2013
Working Paper Series

Incl. Electronic Paper Biofuels and Food Prices: Searching for the Causal Link
USAEE Working Paper No. 13-120
 Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: April 01, 2013
Working Paper Series
20 downloads

On the Stability of Long-Run M2 Demand in Japan
The Japanese Economic Review, Vol. 51, No. 4, December 2000.
 Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Aggregate Consumption Behaviour and Liquidity Constraints: The Canadian Evidence
Canadian Journal of Economics, Vol. 28, No. 4b, pp. 1135-115, November 1995
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Testing the Permanent Income Hypothesis: The Evidence from Canadian Data
Canadian Journal of Economics, Vol. 24, No. 3, pp. 563-577, August 1991
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Aggregate Consumption Behaviour with Time-Nonseparable Preferences and Liquidity Constraints
Applied Financial Economics, 1997, 7, 107-114
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Exploring Consumption-Based Asset Pricing Model with Stochastic-Trend Forcing Processes
Applied Economics, 36:14, 1591-1597, 2004
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

An Empirical Investigation into The Permanent Income Hypothesis: Further Evidence from the Canadian Data
Applied Economics, 1996, 28, 1451-1461
 Tony S. Wirjanto
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Asymmetric Stochastic Conditional Duration Model — A Mixture-of-Normal Approach
Journal of Financial Econometrics, Vol. 9, No. 3, 469-488, 2011
 Dinghai Xu , John Knight and Tony S. Wirjanto
Independent , University of Western Ontario - Department of Economics and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Money Stock Targeting and Money Supply: A Closer Examination of the Data
Journal of Applied Econometrics, Vol. 11, pp. 93-104, 1996
 Robert A. Amano and Tony S. Wirjanto
Bank of Canada & CREFE and University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science
Date Posted: March 31, 2013
Accepted Paper Series

Intertemporal Substitution, Imports and the Permanent Income Model
Journal of International Economics, 40, 439-457, 1996
 Tony S. Wirjanto and Robert A. Amano
University of Waterloo, School of Accounting & Finance and Department of Statistics & Actuarial Science and Bank of Canada & CREFE
Date Posted: March 31, 2013
Accepted Paper Series

Incl. Electronic Paper Inflation Uncertainty, Output Growth Uncertainty and Macroeconomic Performance Comparing Alternative Exchange Rate Regimes in Eastern Europe
 Muhammad Khan , Mazen Kebewar and Nikolay Nenovsky
University of Orleans - Laboratoire d'économie d'Orléans , Université d’Orléans - Laboratoire d’Économie d’Orléans (LEO) and Bulgarian National Bank
Date Posted: March 31, 2013
Working Paper Series
198 downloads

Covariance Estimation and Dynamic Asset Allocation under Microstructure Effects via Fourier Methodology
“Financial Econometrics Modeling”, G. N. Gregoriou and R. Pascalau Eds., Palgrave-MacMillan, London, UK, 2011, pp. 3-32,
Simona Sanfelici and Maria Elvira Mancino
University of Parma - Facoltà di Economia and University of Florence - Department of Mathematics for Decisions
Date Posted: March 30, 2013
Accepted Paper Series

Incl. Electronic Paper Forecasting the Risk of Speculative Assets by Means of Copula Distributions
DIW Berlin Discussion Paper No. 1282
 Benjamin Beckers , Helmut Herwartz and Moritz Seidel
German Institute for Economc Research (DIW) , University of Goettingen (Gottingen) and Deutsche Bundesbank
Date Posted: March 28, 2013
Working Paper Series
26 downloads

Incl. Electronic Paper Long Memory in the Ukrainian Stock Market
DIW Berlin Discussion Paper No. 1279
 Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Date Posted: March 28, 2013
Working Paper Series
10 downloads

Incl. Electronic Paper Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models
Tinbergen Institute Discussion Paper 13-050/III
 Istvan Barra , Lennart F. Hoogerheide , Siem Jan Koopman and Andre Lucas
VU University Amsterdam , Vrije Universiteit Amsterdam - Dept. of Econometrics , VU University Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Date Posted: March 27, 2013
Working Paper Series
11 downloads

Incl. Electronic Paper Food Versus Fuel: Causality and Predictability in Distribution
IEFE ‐ The Center for Research on Energy and Environmental Economics and Policy at Bocconi University Working Paper No. 56,
Andrea Bastianin , Marzio Galeotti and Matteo Manera
University of Milan, Bicocca - Department of Economics, Quantitative Methods and Business Strategies (DEMS) , University of Milan - Department of Economics, Business and Statistics (DEAS) and University of Milan-Bicocca, Italy - Department of Economics, Quantitative Methods and Business Strategies (DEMS)
Date Posted: March 27, 2013
Working Paper Series
5 downloads

Incl. Electronic Paper Noncausality and Inflation Persistence
DIW Berlin Discussion Paper No. 1286
 Markku Lanne
University of Helsinki - Department of Political and Economic Studies
Date Posted: March 27, 2013
Working Paper Series
8 downloads


 

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