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1,879,967 Total downloads
Showing Papers 6,671 - 6,720 of 8,575
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A General Multivariate Threshold GARCH Model with Dynamic Conditional Correlations University of St.Gallen, Department of Economics, Discussion Paper No. 2007-25
Fabio Trojani
and
Francesco Audrino
Date Posted: April 14, 2005221 downloads
A New Class of Multivariate Skew Densities, with Application to GARCH Models Journal of Business and Economic Statistics, 23/3, 346-354, 2005.
Luc Bauwens and
Sébastien Laurent
Date Posted: April 14, 2005326 downloads
Adaptive Radial-Based Direction Sampling: Some Flexible and Robust Monte Carlo Integration Methods Journal of Econometrics, Vol. 123, No. 3, pp. 201-225
Luc Bauwens ,
Charles S. Bos ,
H. K. van Dijk and
R.D. van Oest
Date Posted: April 14, 2005
Bayesian Analysis of Dynamic Disequilibrium Models: An Application to the Polish Credit Market
Luc Bauwens and
Michel Lubrano
Date Posted: April 14, 200581 downloads
Bayesian clustering of many GARCH models CORE Discussion Paper No. 2003/87
Luc Bauwens and
J. V. K. Rombouts
Date Posted: April 14, 200599 downloads
Bayesian Option Pricing using Asymmetric GARCH Models Journal of Empirical Finance, Vol. 9, No. 3, pp. 321-342
Luc Bauwens and
Michel Lubrano
Date Posted: April 14, 2005
Density Selection and Combination Under Model Ambiguity: An Application to Stock Returns FEDS Working Paper No. 2005-09
Stefania D'Amico
Date Posted: April 14, 200585 downloads
Econometric Analysis of Intra-Daily Activity on Tokyo Stock Exchange IMES Discussion Paper No. 2005-E-3
Luc Bauwens
Date Posted: April 14, 2005166 downloads
Unbiased Simulators for Anaytic Functions and Maximum Unbiased Simulated Likelihood Estimation
Gregory M. Duncan
Date Posted: April 14, 200548 downloads
European Securitization: A Garch Model of CDO, MBS and Pfandbrief Spreads Journal of Structured Finance, Vol. 12, No. 1, pp. 55-80, J.W. Goethe Universitaet Frankfurt am Main Finance Working Paper No. 121
Andreas A. Jobst
Date Posted: April 13, 20051209 downloads
Subaltern Banking Markets: Explaining the Lags in the Diffusion of Innovation
Pradeep Raje
affiliation not provided to SSRN
Date Posted: April 13, 200586 downloads
A Quantitative Model of Sudden Stops and External Liquidity Management MIT Department of Economics Working Paper No. 05-10
Ricardo J. Caballero and
Stavros Panageas
Date Posted: April 12, 2005198 downloads
Correcting for Primary Study Misspecifications in Meta-Analysis Tinbergen Institute Discussion Paper No. TI 2005-029/3
Mark J. Koetse
,
Raymond J.G.M. Florax and
Henri L. F. de Groot
Date Posted: April 12, 200556 downloads
Genetic Algorithms and Financial Crises in Emerging Markets CEFI International Conference Proceedings
Sylvain Barthelemy
and
Thierry Apoteker
Date Posted: April 12, 2005207 downloads
Can Day of the Week Effect be Explained by Interbank Rates: An Evidence from an Emerging Market
Ekrem Tufan
Date Posted: April 11, 2005
Bayesian Estimation of Random-Coefficients Choice Models Using Aggregate Data Journal of Applied Econometrics, Forthcoming
Andres Musalem
,
Eric Bradlow
and
Jagmohan S. Raju
Date Posted: April 10, 2005Last Revised: April 05, 2012344 downloads
Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model Empirical Economics, Vol. 28, No. 4, pp. 709-731
Luc Bauwens and
Pierre Giot
Date Posted: April 08, 2005261 downloads
Estimation in the Continuous Time Mover-stayer Model with an Application to Bond Ratings Migration Applied Stochastic Models in Business and Industry, Vol. 20, No. 2, pp. 155-170, 2004, Cass Business School Research Paper
Ashay Kadam
and
Halina Frydman
Date Posted: April 08, 2005
Ranking Economics Departments in Europe: A Statistical Approach Journal of the European Economic Association, Vol. 1, No. 6, pp. 1367-1401
Luc Bauwens ,
Michel Lubrano ,
Alan Kirman and
Camelia Protopopescu
Date Posted: April 08, 2005
Re-Examining the Profitability of Technical Analysis with White's Reality Check and Hansen's SPA Test
Po-Hsuan Hsu
and
Chung-Ming Kuan
Date Posted: April 08, 20051966 downloads
The Stochastic Conditional Duration Model: A Latent Factor Model for the Analysis of Financial Durations Journal of Econometrics, Vol. 119, No. 2, pp. 381-412, 2004
Luc Bauwens and
David Veredas
Date Posted: April 08, 2005224 downloads
Exactly Distribution-Free Inference in Instrumental Variables Regression with Possibly Weak Instruments Cowles Foundation Discussion Paper No. 1501
Donald W. K. Andrews and
Vadim Marmer
affiliation not provided to SSRN
Date Posted: April 07, 200580 downloads
Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Daniel Egloff
,
Markus Leippold ,
Stephan Joehri
and
Curdin Dalbert
Date Posted: April 07, 2005561 downloads
Robust Test of the January Effect in Stock Markets Using Markov - Switching Model Journal of Financial Management and Analysis, Vol. 17, No. 1, pp. 22-33, 2004
R. S. Rathinasamy
Date Posted: April 07, 2005
A Full Heteroscedastic One-way Error Components Model Allowing for Unbalanced Panel: Pseudo-maximum Likelihood Estimation and Specification Testing CORE Discussion Paper No. 2004/76
Bernard Lejeune
Date Posted: April 06, 200573 downloads
Break in the Mean and Persistence of Inflation: A Sectoral Analysis of French CPI ECB Working Paper No. 463
Laurent Bilke
Date Posted: April 05, 200589 downloads
Understanding Default Risk and Ttc Ratings Through Hazard Rates FAME Research Paper Series No. 141
Fabien Couderc
Date Posted: April 05, 2005Last Revised: November 23, 201182 downloads
Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues CEPR Discussion Paper No. 4809
Balázs Égert ,
Laszlo Halpern and
Ronald MacDonald
Date Posted: April 04, 200533 downloads
Monitoring for Disruptions in Financial Markets
Elena Andreou and
Eric Ghysels
Date Posted: April 04, 2005149 downloads
Partially Adaptive Estimation via Maximum Entropy Densities
Ximing Wu and
Thanasis Stengos
Date Posted: April 04, 200567 downloads
Robust Bayesian Allocation
Attilio Meucci
Date Posted: April 03, 2005Last Revised: May 14, 20112317 downloads
A 'Long March' Perspective on Tobacco Use in Canada Canadian Journal of Economics, Vol. 38, No. 2, pp. 366-393, May 2005
Nikolay Gospodinov
and
Ian Irvine
Date Posted: April 01, 200520 downloads
A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators N150/02/05
Ekaterini Panopoulou
Date Posted: April 01, 2005124 downloads
An Empirical Analysis of Equity Default Swaps (I): Univariate Insights
Arnaud de Servigny
and
Norbert Jobst
Date Posted: April 01, 2005244 downloads
An Empirical Analysis of Equity Default Swaps II: Multivariate Insights
Norbert Jobst
and
Arnaud de Servigny
Date Posted: April 01, 2005287 downloads
Are European Corporate Bond and Default Swap Markets Segmented?
Didier Cossin and
Hongze Abraham Lu
Date Posted: April 01, 2005185 downloads
Linear Filtering for Asymmetric Stochastic Volatility Models
Chris Kirby
Date Posted: April 01, 2005120 downloads
Measuring Marginal Risk Contributions in Credit Portfolios FDIC Center For Financial Research Working Paper No. 2005-01
Paul Glasserman
Date Posted: April 01, 2005598 downloads
Simple Edgeworth Approximations for Semiparametric Averaged Derivatives Economics Bulletin, Vol. 3, No. 50, pp. 1-8, 2005
Chuan Goh
affiliation not provided to SSRN
Date Posted: April 01, 2005Last Revised: February 09, 200931 downloads
Using Engel Curves to Estimate Bias in the Canadian CPI as a Cost of Living Index Canadian Journal of Economics, Vol. 38, No. 2, pp. 482-499, May 2005
Timothy K. M. Beatty
and
Erling Roed Larsen
Date Posted: April 01, 200513 downloads
An Attempt to Evaluate the Impact of Reorganization on the Way Working Time Reduction has Been Implemented by French Firms Since 1996
Fabrice Gilles
Date Posted: March 30, 200548 downloads
Day-of-the-Week Effect in High Moments
Dan Galai and
Haim Kedar-Levy
Date Posted: March 29, 2005249 downloads
Improved Estimates of Correlation and their Impact on the Optimum Portfolios NYU Finance Working Paper No. FIN-04-016
Edwin J. Elton ,
Martin J. Gruber and
Jonathan F. Spitzer
Date Posted: March 29, 2005756 downloads
Public Services Efficiency Provision in Italian Regions: A Non-Parametric Analysis ISEG-UTL Economics Working Paper No. 2/2005/DE/CISEP
Antonio Afonso and
Carla Scaglioni
Date Posted: March 28, 2005266 downloads
Modeling Firms' Choice of Public Issuance AFA 2006 Boston Meetings Paper
Chris Lamoureux and
Ali Nejadmalayeri
Date Posted: March 25, 2005129 downloads
Beware of Breaks in Exchange Rates: Evidence from European Transition Countries
Evzen Kocenda
Date Posted: March 24, 2005Last Revised: March 05, 201063 downloads
On Maximum Likelihood Estimation of Operational Loss Distributions University of Trento Department of Economics Working Paper No. 2005-03
Marco Bee
Date Posted: March 23, 2005394 downloads
A Reexamination of Corporate Governance and Equity Prices AFA 2007 Chicago Meetings Paper
Shane A. Johnson ,
Theodore C. Moorman and
Sorin M. Sorescu
Date Posted: March 22, 2005Last Revised: October 18, 2011891 downloads
Revisiting the Martingale Hypothesis for Exchange Rates
Young-Sook Lee ,
Tae-Hwan Kim and
Paul Newbold
Date Posted: March 20, 2005121 downloads
Estimation of Continuous-time Models with an Application to Equity Volatility Dynamics
Nengjiu Ju ,
Gurdip Bakshi and
Hui Ou-Yang
Date Posted: March 19, 2005414 downloads
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