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JEL Code: C13
355,416 Total downloads
Showing Papers 621 - 670 of 2,072
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Modeling the Stochastic Volatility: Bovespa Index between 2000 and 2009
Bruno Breyer Caldas
PPGA/UFRGS
Date Posted: July 19, 2010
Working Paper Series
49 downloads
The Economic Value of Estimated Portfolio Rules Under General Utility Specifications
Bradley S. Paye
University of Georgia - C. Herman and Mary Virginia Terry College of Business
Date Posted: July 19, 2010
Last Revised: December 07, 2012
Working Paper Series
74 downloads
Natural Resources: Curse or Blessing?
CESifo Working Paper Series No. 3125
Rick van der Ploeg
University of Oxford
Date Posted: July 17, 2010
Working Paper Series
772 downloads
Further Results on the Limiting Distribution of GMM Sample Moment Conditions
Journal of Business and Economic Statistics, Forthcoming
Nikolay Gospodinov
,
Raymond Kan and
Cesare Robotti
Concordia University, Quebec - Department of Economics
,
University of Toronto - Rotman School of Management
and
Federal Reserve Bank of Atlanta
Date Posted: July 15, 2010
Last Revised: May 09, 2012
Accepted Paper Series
39 downloads
Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
DIW Berlin Discussion Paper No. 1006
Guglielmo Maria Caporale and
Luis A. Gil-Alana
London South Bank University
and
University of Navarra - Department of Economics
Date Posted: July 14, 2010
Working Paper Series
28 downloads
Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
Ba M. Chu
and
Roman Kozhan
Carleton University
and
University of Warwick, Warwick Business School
Date Posted: July 12, 2010
Working Paper Series
176 downloads
Inequality in Vietnamese Urban-Rural Living Standards, 1993-2006
IZA Discussion Paper No. 4987
Alison L. Booth
University of Essex - Department of Economics
Date Posted: June 29, 2010
Working Paper Series
34 downloads
Quantile Treatment Effects in the Regression Discontinuity Design: Process Results and Gini Coefficient
IZA Discussion Paper No. 4993
Markus Froelich and
Blaise Melly
Universität Mannheim, Chair of Econometrics
and
Brown University - Department of Economics
Date Posted: June 29, 2010
Working Paper Series
30 downloads
Estimating Incentive and Welfare Effects of Non-Stationary Unemployment Benefits
IZA Discussion Paper No. 4958
Andrey Launov
and
Klaus Wälde
University of Wuerzburg
and
University of Mainz
Date Posted: June 29, 2010
Working Paper Series
8 downloads
High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data
Yacine Ait-Sahalia ,
Jianqing Fan
and
Dacheng Xiu
Princeton University - Department of Economics
,
Princeton University - Bendheim Center for Finance
and
University of Chicago - Booth School of Business
Date Posted: June 28, 2010
Working Paper Series
410 downloads
A Framework for Assigning Incremental Capital for Transfer Risk Under Basel Pillar 1
A. Agarwal
,
P. Harrald
and
Peter J. Thompson
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
Standard Chartered Bank
Date Posted: June 27, 2010
Working Paper Series
Inference in Mixed Proportional Hazard Models with K Random Effects
Statistical Papers, Forthcoming
Guillaume Horny
University of Strasbourg - Bureau of Economic Theory and Application (BETA)
Date Posted: June 27, 2010
Accepted Paper Series
14 downloads
Proposed Indicators for Macro-Prudential Supervision of the Banking System in the CEMAC Zone
Journal of Applied Research in Finance, Vol. 2, No. 2, 2009
Christian Kinfack Tsombou ,
Jules Tinang Nzesseu and
Severin Yves Kamgna
Sub-regional Institute of Statistics and Applied Economy (ISSEA-CEMAC Sub-region)
,
Institut Sous-régional de Statistique et d'Economie Appliquée (ISSEA)
and
Bank of Central African States
Date Posted: June 27, 2010
Accepted Paper Series
62 downloads
On the Choice of the Unit Period in Time Series Models
Peter Fuleky
University of Hawaii Economic Research Organization
Date Posted: June 23, 2010
Working Paper Series
5 downloads
Academic Benefits of Living on Campus
Pedro de Araujo
and
James Murray
Colorado College
and
University of Wisconsin - La Crosse – Department of Economics
Date Posted: June 22, 2010
Working Paper Series
429 downloads
Alright: Asymmetric Large-Scale (I)GARCH with Hetero-Tails
Swiss Finance Institute Research Paper No. 10-27
Marc S. Paolella
University of Zurich
Date Posted: June 22, 2010
Working Paper Series
166 downloads
Robust Estimation of Some Nonregular Parameters
PIER Working Paper No. 10-020
Kyungchul Song
University of Pennsylvania - Department of Economics
Date Posted: June 22, 2010
Working Paper Series
10 downloads
Credit BuVaR: Asymmetric Spread VaR with Default
Journal of Risk Management in Financial Institutions, Vol. 5, No. 1, pp. 86–95, 2011 ,
Max C.Y. Wong
Royal Bank of Scotland (RBS)
Date Posted: June 20, 2010
Last Revised: January 21, 2012
Working Paper Series
148 downloads
Market BuVaR: A Countercyclical Risk Metric
Max C.Y. Wong
Royal Bank of Scotland (RBS)
Date Posted: June 20, 2010
Last Revised: October 27, 2011
Working Paper Series
261 downloads
Simulation-Based Excess Return Model for Real Estate Development:
A Practical Monte Carlo Simulation-Based Method for Quantitative Risk Management and Project Valuation for Real Estate Development Projects Illustrated with a High-Rise
Office Development Case Study
Journal of Property Investment and Finance, Vol. 29, No. 2, 2011
David J. Gimpelevich
Mid-Market Securities, LLC
Date Posted: June 19, 2010
Last Revised: December 26, 2010
Accepted Paper Series
189 downloads
Indirect Inference Based on the Score
Peter Fuleky
and
Eric Zivot
University of Hawaii Economic Research Organization
and
University of Washington - Department of Economics
Date Posted: June 18, 2010
Last Revised: June 23, 2010
Working Paper Series
23 downloads
Efficient Maximum Likelihood Estimation of Spatial Autoregressive Models with Normal But Heteroskedastic Disturbances
Takahisa Yokoi
Tohoku University - Graduate School of Information Sciences
Date Posted: June 16, 2010
Last Revised: November 02, 2010
Working Paper Series
54 downloads
Identification and Estimation with Competing Auctions
Christopher Adams
Federal Trade Commission - Bureau of Economics
Date Posted: June 16, 2010
Last Revised: November 11, 2010
Working Paper Series
53 downloads
Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
Linda Allen ,
Turan G. Bali and
Yi Tang
Baruch College, CUNY - Zicklin School of Business
,
Georgetown University - Robert Emmett McDonough School of Business
and
Fordham University - School of Business
Date Posted: June 12, 2010
Last Revised: July 07, 2012
Working Paper Series
504 downloads
Simulation Based Estimation of Discrete Sequential Move Games of Perfect Information
Yafeng Wang and
Brett Graham
Xiamen University - The Wang Yanan Institute for Studies in Economics (WISE)
and
affiliation not provided to SSRN
Date Posted: June 09, 2010
Working Paper Series
15 downloads
Estimating Incentive and Welfare Effects of Non-Stationary Unemployment Benefits
CESifo Working Paper Series No. 3069
Andrey Launov
and
Klaus Wälde
University of Wuerzburg
and
University of Mainz
Date Posted: June 08, 2010
Working Paper Series
37 downloads
Extracting Correlations from the Market: New Correlation Parameterizations and the Calibration of a Stochastic Volatility LMM to CMS Spread Options
Matthias Lutz
University of Ulm
Date Posted: June 05, 2010
Last Revised: June 16, 2010
Working Paper Series
496 downloads
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options
Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Carol Alexander and
Andreas Kaeck
University of Reading - ICMA Centre
and
ICMA Centre, Henley Business School, University of Reading, UK
Date Posted: June 04, 2010
Working Paper Series
149 downloads
A Note on ‘Good Starting Values’ in Numerical Optimisation
Manfred Gilli and
Enrico Schumann
University of Geneva - Department of Economics
and
VIP Value Investment Professionals AG
Date Posted: June 03, 2010
Last Revised: September 16, 2010
Working Paper Series
96 downloads
Common Business and Housing Market Cycles in the Euro Area from a Multivariate Decomposition
Banque de France Working Paper No. 275
Laurent Ferrara
and
Siem Jan Koopman
Banque de France
and
VU University Amsterdam
Date Posted: June 03, 2010
Working Paper Series
37 downloads
An Economic Capital Model Integrating Credit and Interest Rate Risk in the Banking Book
Bank of England Working Paper No. 388
Piergiorgio Alessandri
and
Mathias Drehmann
Bank of England
and
Bank for International Settlements
Date Posted: June 01, 2010
Working Paper Series
131 downloads
Multi-Outcome Lotteries: Prospect Theory vs. Relative Utility
Krzysztof Kontek
Artal Investments
Date Posted: May 30, 2010
Working Paper Series
44 downloads
Transfer Risk Under Basel Pillar 1
P. Harrald
,
A. Agarwal
and
Peter J. Thompson
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
Standard Chartered Bank
Date Posted: May 29, 2010
Last Revised: November 30, 2011
Working Paper Series
106 downloads
To Elect or to Appoint? Bias, Information, and Responsiveness of Bureaucrats and Politicians
Matias Iaryczower
,
Garrett Lewis
and
Matthew Shum
Princeton University
,
California Institute of Technology
and
Johns Hopkins University - Department of Economics
Date Posted: May 25, 2010
Last Revised: February 04, 2012
Working Paper Series
48 downloads
Factor Profiling for Ultra High Dimensional Variable Selection
Hansheng Wang
Peking University - Guanghua School of Management
Date Posted: May 23, 2010
Working Paper Series
414 downloads
Weak Identification in Fuzzy Regression Discontinuity Designs
Vadim Marmer
,
Donna Feir
and
Thomas Lemieux
University of British Columbia (UBC) - Department of Economics
,
University of British Columbia (UBC) - Department of Economics
and
University of British Columbia (UBC) - Department of Economics
Date Posted: May 16, 2010
Last Revised: November 05, 2012
Working Paper Series
55 downloads
Poverty Risk and Strikes: An Empirical Analysis for Europe (1995 - 2006)
Miltiades N. Georgiou
Independent
Date Posted: May 16, 2010
Working Paper Series
15 downloads
Real Options Approach to Investment in Base Load Coal Fired Plant
Jurica Brajkovic
Energy Institute Hrvoje Pozar
Date Posted: May 13, 2010
Working Paper Series
68 downloads
Estimation of Dynamic Discrete Choice Models in Continuous Time
Economic Research Initiatives at Duke (ERID) Working Paper No. 50
Peter Arcidiacono ,
Patrick J. Bayer ,
Jason R. Blevins and
Paul B. Ellickson
Duke University - Department of Economics
,
Duke University - Department of Economics
,
Ohio State University (OSU) - Department of Economics
and
University of Rochester - Simon School of Business
Date Posted: May 07, 2010
Last Revised: May 18, 2013
Working Paper Series
203 downloads
Estimation of Optimal Portfolio Weights Using Shrinkage Technique
Takuya Kinkawa
Keio University - School of Science for Open and Environmental Systems
Date Posted: May 06, 2010
Last Revised: July 08, 2010
Working Paper Series
182 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
Asian Development Bank - Economic Research
and
University of Aberdeen - Business School
Date Posted: May 05, 2010
Accepted Paper Series
60 downloads
Estimation of Jump Tails
CREATES Research Paper No. 2010-16
Tim Bollerslev and
Viktor Todorov
Duke University - Finance
and
Duke University
Date Posted: May 02, 2010
Working Paper Series
74 downloads
Maximum Likelihood Estimator for the Uneven Power Distribution: Application to DJI Returns
Krzysztof Kontek
Artal Investments
Date Posted: May 02, 2010
Last Revised: May 07, 2010
Working Paper Series
29 downloads
Estimation of Peaked Densities Over the Interval [0,1] Using Two-Sided Power Distribution: Application to Lottery Experiments
Krzysztof Kontek
Artal Investments
Date Posted: May 01, 2010
Working Paper Series
30 downloads
Meritocratic Aspects Concerning Civil Servant Career - Comparative Study in Central and Eastern European Countries
NISPAcee Annual Conference, 2010, May, 12-14, Warsaw,Poland
Ani I. Matei and
Florin Marius Popa
National School of Political Studies and Public Administration (NSPSPA)
and
National School of Political Studies and Public Administration
Date Posted: May 01, 2010
Working Paper Series
59 downloads
'Zero' Option in Conjoint Analysis: A New Specification of the Indecision and the Refusal - Application to the Video on Demand Market
Gilbert Saporta
and
Silva Ohannessian
Conservatoire National des Arts et Métiers (CNAM)
and
affiliation not provided to SSRN
Date Posted: April 27, 2010
Working Paper Series
29 downloads
Most Efficient Homogeneous Volatility Estimators
CCSS Working Paper Series No. CCSS-09-007
Alexander I. Saichev
,
Didier Sornette and
Vladimir Filimonov
ETH Zurich - D-MTEC
,
Swiss Finance Institute
and
Swiss Federal Institute of Technology Zurich (ETH Zurich)
Date Posted: April 27, 2010
Working Paper Series
53 downloads
Persistence Analysis of Hedge Fund Returns
Serge Patrick Amvella
,
Iwan Meier and
Nicolas A. Papageorgiou
HEC Montreal - Department of Finance
,
HEC Montreal - Department of Finance
and
HEC Montreal - Department of Finance
Date Posted: April 27, 2010
Last Revised: June 08, 2010
Working Paper Series
169 downloads
Using Shifted Distributions in Computing Operational Risk Capital
Ilya Rozenfeld
Capital One
Date Posted: April 27, 2010
Last Revised: September 27, 2010
Working Paper Series
230 downloads
The Robustness of Estimators for Dynamic Panel Data Models to Misspecification
The Singapore Economic Review, Vol. 54, No. 3, pp. 399-426, 2009
Mark N. Harris and
Laszlo Matyas
Curtin University
and
Central European University (CEU) - Department of Economics
Date Posted: April 23, 2010
Accepted Paper Series
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