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JEL Code: C51
360,588 Total downloads
Showing Papers 651 - 700 of 1,829
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Market Timing & Trading Strategies Using Asset Rotation
Panagiotis Schizas
and
Dimitrios D. Thomakos
Date Posted: January 18, 2010Last Revised: February 19, 20102040 downloads
Modeling the Monetary Policy Reaction Function of the Colombian Central Bank Documentos de Trabajo, Facultad de Economía, Universidad del Rosario, No. 35,
Jesus Otero
and
Manuel Ramirez-Gomez
affiliation not provided to SSRN
and
Facultad de Economía U. del Rosario
Date Posted: January 18, 201026 downloads
Risk-Neutral Valuation of Real Estate Derivatives ORTEC Technical Paper No. 2009-02
David van Bragt ,
Marc Francke
,
Bert Kramer
and
Antoon Pelsser
Date Posted: January 16, 2010Last Revised: October 26, 2010169 downloads
Major OECD Country Industrial Sector Interfuel Substitution Estimates: 1960-79 Energy Economics, Vol. 8, 1986
Viv Hall
Date Posted: January 15, 2010
Power Maximization and Size Control in Heteroskedasticity and Autocorrelation Robust Tests with Exponentiated Kernels Cowles Foundation Discussion Paper No. 1749
Yixiao Sun
,
Peter C. B. Phillips and
Sainan Jin
Date Posted: January 15, 201021 downloads
Regime Switching Fractional Cointegration and Futures Hedging Finance and Corporate Governance Conference 2010 Paper
Hsiang-Tai Lee
Date Posted: January 15, 2010Last Revised: February 11, 2010124 downloads
Betas and Industry Weights Australian Journal of Management, Vol. 29, No. 1, pp. 109-120, 2004
Martin Lally
Date Posted: January 12, 2010
Models with Simultaneous Equations for Local Development Theoretical and Applied Economics, Vol. XVII, No. 1, 2010
Ani I. Matei and
Stoica Anghelescu
affiliation not provided to SSRN
Date Posted: January 12, 201067 downloads
The Accuracy of CAPM Proxies for Estimating a Firm's Cost of Equity Accounting and Finance, Vol. 35 No. 1, pp. 63-72, May 1995
Martin Lally
Date Posted: January 12, 2010
The Effect of an Asset's Market Weight on its Beta Journal of Multinational Financial Management, Vol. 13, No. 2, pp. 161-170, 2003
Steve Swidler and
Martin Lally
Date Posted: January 12, 2010
The Preparation of Quarterly Economic Forecasts New Zealand Institute of Economic Research Working Paper, No. 86/03, February 1986
Jerry Mushin
Date Posted: January 11, 2010Last Revised: July 12, 2010
Understanding New Zealand’s Changing Income Distribution 1983-98: A Semiparametric Analysis Economica, Vol. 72, No. 3, October 2003
David C. Maré and
Dean Hyslop
Date Posted: January 06, 2010Last Revised: January 12, 2010
The Contribution of Equipment Leasing in the Error-Correction Model of Investment in Machinery and Equipment: Evidence from Italy Applied Econometric and International Development, Vol. 9, No. 2, pp. 87-96, 2009
Luca Zanin
Date Posted: December 28, 2009Last Revised: January 05, 2010
Does Central Bank Intervention Reduce Exchange Rate Volatility? An Empirical Investigation Using Tanzanian Data
Wilfred E. Mbowe Sr.
affiliation not provided to SSRN
Date Posted: December 23, 2009Last Revised: December 26, 200957 downloads
Knowledge Diffusion and Knowledge Transfer: Two Sides of the Medal ZEW - Centre for European Economic Research Discussion Paper No. 09-080
Torben Klarl
Date Posted: December 22, 200953 downloads
A Reinvestigation of Robust Scale Estimation in Finite Samples Computational Statistics & Data Analysis, Vol. 52, No. 11, pp. 5014-5021, July 15, 2008
John Randal
Date Posted: December 21, 2009
Maximum Likelihood Estimation for Tukey's Three Corners Computational Statistics & Data Analysis, Vol. 46, No. 1, pp. 677-687, July 2004
John Randal
Date Posted: December 21, 2009
Non-Parametric Estimation of Historical Volatility Quantitative Finance, Vol. 4, No. 4, pp. 427-440, August 2004
John Randal
,
Martin Lally and
Peter J. Thomson
affiliation not provided to SSRN
Date Posted: December 21, 2009
Robust Volatility Estimation and Analysis of the Leverage Effect
John Randal
Date Posted: December 21, 2009
A Comparison of Construction Contract Prices for Traditionally Procured Roads and Public-Private Partnerships Review of Industrial Organization, Vol. 35, No. 1-2, 2009
Frederic Blanc-Brude
Date Posted: December 19, 2009
Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model: The Case of S&P 500 and DJI Stock Indices
Dimitrios P. Louzis
,
Spyros Xanthopoulos-Sisinis
and
Apostolos N. Refenes
Date Posted: December 19, 2009Last Revised: January 31, 2010144 downloads
Block Structure Multivariate Stochastic Volatility Models
Manabu Asai ,
Massimiliano Caporin and
Michael McAleer
Date Posted: December 18, 2009244 downloads
How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating
Data FDIC Working Paper Series
Paul H. Kupiec
Date Posted: December 17, 2009202 downloads
Generalized Maximum Entropy Estimation of Discrete Sequential Move Games of Perfect Information
Yafeng Wang and
Brett Graham
affiliation not provided to SSRN
Date Posted: December 15, 200934 downloads
Optimal Hedging in Discrete and Continuous Time
Bruno Remillard and
Sylvain Rubenthaler
Date Posted: December 14, 2009Last Revised: June 25, 2010134 downloads
Realized Volatility Risk
David E. Allen ,
Michael McAleer and
Marcel Scharth
Date Posted: December 11, 2009Last Revised: January 25, 2010240 downloads
Estimating Earnings Trend Using Unobserved Components Framework Economics Letters, Forthcoming
Arabinda Basistha
and
Alexander Kurov
Date Posted: December 09, 2009Last Revised: December 17, 200953 downloads
Private Equity Performance and Liquidity Risk Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Francesco A. Franzoni
,
Eric Nowak and
Ludovic Phalippou
Date Posted: December 04, 2009Last Revised: September 13, 20121136 downloads
Habit, Long Run Risks, Prospect? A Statistical Inquiry Journal of Financial Econometrics, Forthcoming
Eric M. Aldrich and
A. Ronald Gallant
Date Posted: November 30, 2009Last Revised: November 30, 201046 downloads
Comparison of Misspecified Calibrated Models: The Minimum Distance Approach
Viktoria V. Hnatkovska
,
Vadim Marmer
and
Yao Tang
Date Posted: November 28, 2009Last Revised: January 22, 201220 downloads
Supplement to 'Comparison of Misspecified Calibrated Models'
Viktoria V. Hnatkovska
,
Vadim Marmer
and
Yao Tang
Date Posted: November 28, 2009Last Revised: February 03, 20117 downloads
Identification of Macroeconomic Factors in Large Panels
Lasse Bork ,
Hans Dewachter and
Romain Houssa
Date Posted: November 23, 200920 downloads
Regime-Switching Models for Electricity Spot Prices: Introducing Heteroskedastic Base Regime Dynamics and Shifted Spike Distributions IEEE Conference Proceedings, 6th International Conference on the European Energy Market, May 2009
Joanna Janczura
and
Rafal Weron
Date Posted: November 21, 200923 downloads
Dynamic Conditional Correlation: On Properties and Estimation
Gian Piero Aielli
affiliation not provided to SSRN
Date Posted: November 18, 2009Last Revised: July 14, 2011668 downloads
Predicting Recoveries and the Importance of Using Enough Information CEPR Discussion Paper No. DP7508
Xiaoming Cai and
Wouter J. den Haan
affiliation not provided to SSRN
and
University of Amsterdam
Date Posted: November 17, 20098 downloads
A Hybrid Bankruptcy Prediction Model with Dynamic Loadings on Accounting-Ratio-Based and Market-Based Information: A Binary Quantile Regression Approach Journal of Empirical Finance, Vol. 17, No. 4, 2010
Ming-Yuan Li
and
Peter Miu
Date Posted: November 16, 2009Last Revised: October 21, 2010
Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options Applied Mathematical Finance, Vol. 17, No. 5, 2010
Jan van Heys
and
Reik H. Boerger
affiliation not provided to SSRN
and
RWE AG
Date Posted: November 15, 2009Last Revised: August 17, 2011
When Does it Hurt? The Exchange Rate 'Pain Threshold' for German Exports DIW Berlin Discussion Paper No. 943
Ansgar Hubertus Belke ,
Matthias Göcke
and
Martin Günther
affiliation not provided to SSRN
Date Posted: November 06, 200931 downloads
How Do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings
Carmine Trecroci
Date Posted: November 03, 2009Last Revised: July 27, 2010289 downloads
Unconditional Quantile Regression for Panel Data with Exogenous or Endogenous Regressors RAND Working Paper Series WR-710-2
David Powell
affiliation not provided to SSRN
Date Posted: November 03, 2009Last Revised: November 27, 2012118 downloads
Use of Mathematical Models of the Interest Rate Processes for the Analysis of Yield Time Series
Natalia Ilieva
affiliation not provided to SSRN
Date Posted: November 03, 200958 downloads
Some Statistical Tests and Experiments for Correlation of Financial Series
Nikolai Dokuchaev
Date Posted: November 02, 2009Last Revised: November 04, 200962 downloads
Empirical Asset Pricing with Nonlinear Risk Premia
Aleksandar Mijatovic
and
Paul Schneider
Date Posted: November 01, 2009Last Revised: April 02, 2013118 downloads
Realized Volatility and Multipower Variation CREATES Research Paper 2009-49
Torben G. Andersen and
Viktor Todorov
Date Posted: October 29, 200969 downloads
Dynamic Hedging and Extreme Asset Co-Movements
Denitsa Stefanova
Date Posted: October 28, 2009Last Revised: April 23, 2012103 downloads
The Determinants of U.S. State Economic Growth: A Less Extreme Bounds Analysis Economic Inquiry, Vol. 47, Issue 4, pp. 685-700, October 2009
W. Robert Reed
Date Posted: October 26, 20091 downloads
Dynamic Correlation Hedging in Copula Models for Portfolio Selection Paris December 2009 Finance International Meeting
Denitsa Stefanova
and
Redouane Elkamhi
Date Posted: October 26, 2009234 downloads
Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models FRB of Philadelphia Working Paper No. 09-29
Valentina Corradi
and
Norman R. Swanson
Date Posted: October 26, 200914 downloads
Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Roengchai Tansuchat
,
Chia-Lin Chang
and
Michael McAleer
Date Posted: October 24, 2009417 downloads
Expected Returns and Volatility of Fama-French Factors Charles A. Dice Center Working Paper No. 2009-17, Fisher College of Business Working Paper No. 2009-03-017
Fousseni Chabi-Yo
Date Posted: October 22, 2009172 downloads
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