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Full Text Papers: 583,690
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SSRN eLibrary Search Results
JEL Code: C13
517,185 Total downloads
Showing Papers 801 - 850 of 2,800
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Incl. Electronic Paper A Practical Approach to Testing Calibration Strategies
CAEPR Working Paper 2016-004
Yongquan Cao and Grey Gordon
Indiana University and Indiana University
Date Posted: September 27, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper China Pro-Growth Monetary Policy and its Asymmetric Transmission
FRB Atlanta Working Paper No. 2016-9
Kaiji Chen, Daniel F. Waggoner, Patrick C. Higgins and Tao A. Zha
Emory University - Department of Economics, Federal Reserve Bank of Atlanta, Federal Reserve Banks - Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Date Posted: September 26, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Shrinkage Estimation of Factor Models with Global and Group-Specific Factors
Xu Han
City University of Hong Kong (CityUHK) - Department of Economics & Finance
Date Posted: September 26, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Shrinking the Coskewness Matrix: Bias Corrected Shrinkage Intensity and Extension to Multiple Targets
Kris Boudt, Dries Cornilly and Tim Verdonck
Free University of Brussels (VUB), Free University of Brussels (VUB) and Department of Mathematics, KU Leuven
Date Posted: September 20, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Empirical Hedging Performance on Long-Dated Crude Oil Derivatives
FIRN Research Paper
Benjamin Cheng, Christina Sklibosios Nikitopoulos and Erik Schlogl
University of Technology Sydney (UTS), UTS Business School, Students, University of Technology Sydney - Business School and University of Technology Sydney (UTS) - School of Finance and Economics
Date Posted: September 20, 2016
Working Paper Series
28 downloads

Incl. Electronic Paper FINTECH in Scotland: Building a Digital Future for the Financial Sector.
The Future of Fintech Supported by International Financial Services District (IFSD) The Technology Innovation Centre, Glasgow Date: 2nd September 2016
Daniel Broby and Tatja Karkkainen
University of Strathclyde - Department of Accounting and Finance and Independent
Date Posted: September 20, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
FRB of Cleveland Working Paper No. 16-17
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Date Posted: September 18, 2016
Accepted Paper Series
8 downloads

Incl. Electronic Paper Estimating MIDAS Regressions via OLS with Polynomial Parameter Profiling
Eric Ghysels and Hang Qian
University of North Carolina Kenan-Flagler Business School and The MathWorks, Inc.
Date Posted: September 13, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Finite-Sample and Asymptotic Analysis of Generalization Ability with an Application to Penalized Regression
Ning Xu, Jian Hong and Timothy C. G. Fisher
University of Sydney - School of Economics, University of Sydney - School of Economics and University of Sydney, School of Economics
Date Posted: September 12, 2016
Last Revised: September 26, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Daniel Buncic and Katja I. M. Gisler
University of St. Gallen and University of St. Gallen
Date Posted: September 09, 2016
Last Revised: September 13, 2016
Working Paper Series
37 downloads

Shrinkage Estimation in the Random Parameters Logit Model
Open Journal of Statistics, 2016, 6, 667-674
Tong Zeng and R. Carter Hill
University of La Verne-Department of Applied Business Sciences and Economics and Louisiana State University, Baton Rouge - Department of Economics
Date Posted: September 09, 2016
Accepted Paper Series

A Gaussian Affine Term Structure Model of Interest Rates and Credit Spreads
Zhiping Zhou
Wuhan University
Date Posted: September 08, 2016
Working Paper Series

Incl. Electronic Paper Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressor
Globalization and Monetary Policy Institute Working Paper No. 281
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, USC Dornsife Institute for New Economic Thinking and USC Dornsife Institute for New Economic Thinking
Date Posted: September 08, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Functional Principal Component Analysis for Derivatives of Multivariate Curves
SFB 649 Discussion Paper 2016-033
Maria Grith, Wolfgang K. Härdle, Alois Kneip and Heiko Wagner
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Bonn and University of Bonn
Date Posted: September 08, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper A General Endogenous Grid Method for Multi-Dimensional Models with Non-Convexities and Constraints
Jeppe Druedahl and Thomas Høgholm Jørgensen
University of Copenhagen - Department of Economics and University of Copenhagen
Date Posted: September 06, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper An Empirical Analysis of the Determinants of Interest Rate Spreads: A Case of Commercial Banks in Zimbabwe
Masters Thesis, Faculty of Commerce, Department of Banking & Finance, Great Zimbabwe University.
Wellington Garikai Bonga
Independent
Date Posted: September 06, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Biases in CAPM Beta Estimation
Linda H. Chen, George J. Jiang, Pan Guanzhong and Xingnong Zhu
Washington State University, Washington State University, Washington State University and Ibbotson Associates
Date Posted: September 02, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper Turning Long and Short Return Histories into Equal Histories: A Better Way to Backfill Returns
Yindeng Jiang and Doug Martin
University of Washington Investment Management Company and University of Washington - Department of Applied Mathematics
Date Posted: September 02, 2016
Last Revised: September 03, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Low-Frequency Investment with High-Frequency Measures: Is it Profitable?
Oleg Komarov
Imperial College Business School
Date Posted: September 02, 2016
Working Paper Series
173 downloads

Incl. Electronic Paper Bayesian Nonparametric Sparse Seemingly Unrelated Regression Model (SUR)
Monica Billio, Roberto Casarin and Luca Rossini
Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Ca Foscari University of Venice - Dipartimento di Economia
Date Posted: September 01, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Asset Allocation with Judgment
ECB Working Paper No. 1947
Simone Manganelli
European Central Bank (ECB)
Date Posted: August 29, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper Improving on Daily Measures of Price Discovery
Gustavo Fruet Dias, Marcelo Fernandes and Cristina Mabel Scherrer
University of Aarhus, Queen Mary University of London - Economics Department and Queen Mary, University of London
Date Posted: August 29, 2016
Working Paper Series
29 downloads

Incl. Electronic Paper Supplement To "Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets"
Gustavo Fruet Dias and George Kapetanios
University of Aarhus and University of London - Queen Mary College - Department of Economics
Date Posted: August 29, 2016
Working Paper Series
1 downloads

Inference on the Integrated Volatility with Multiple Records by Using Range
Yiqi Liu, Wang Li and Zhi Liu
University of Macau, University of Macau and University of Macau
Date Posted: August 25, 2016
Working Paper Series

Incl. Electronic Paper Multivariate Least Squares Forecasting Averaging by Vector Autoregressive Models
Jen-Che Liao and Wen-Jen Tsay
Academia Sinica - Institute of Economics and Academia Sinica - Institute of Economics
Date Posted: August 25, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Claims Reserving with a Stochastic Vector Projection
Luis Portugal, Athanasios A. Pantelous and Hirbod Assa
Department of Mathematical Sciences, University of Liverpool, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and University of Liverpool
Date Posted: August 21, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach
Heni Boubaker, Giorgio Canarella, Rangan Gupta and Stephen M. Miller
IPAG Business School, California State University, Los Angeles - Department of Economics & Statistics, University of Pretoria - Department of Economics and University of Nevada, Las Vegas - Department of Economics
Date Posted: August 20, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper The Beta Heuristic from a Time/Frequency Perspective: A Wavelet Analysis of the Market Risk of the 10 S&P Sectors
Bruce Mcnevin and Joan Nix
Midway Group and Queens College
Date Posted: August 19, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Asset Diversification and Efficiency: Evidence from the Chinese Banking Sector
Kai Du, Andrew C. Worthington and Valentin Zelenyuk
University of Adelaide, Griffith University and University of Queensland
Date Posted: August 18, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Characteristic-Sorted Portfolios: Estimation and Inference
FRB of NY Staff Report No. 788
Matias D. Cattaneo, Richard K. Crump, Max H. Farrell and Ernst Schaumburg
University of Michigan at Ann Arbor - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York, University of Chicago - Booth School of Business - Econometrics and Statistics and Federal Reserve Banks - Federal Reserve Bank of New York
Date Posted: August 15, 2016
Working Paper Series
91 downloads

Incl. Electronic Paper Advances in Factor Replication
MIT Sloan Research Paper No. 5174-16
Megan Czasonis, Mark Kritzman and David Turkington
State Street Corporation, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates
Date Posted: August 14, 2016
Last Revised: August 19, 2016
Working Paper Series
161 downloads

Incl. Electronic Paper Improving Weighted Least Squares Inference
University of Zurich, Department of Economics, Working Paper No. 232
Cyrus J. DiCiccio, Joseph P. Romano and Michael Wolf
Stanford University - Department of Statistics, Stanford University - Department of Statistics and University of Zurich - Department of Economics
Date Posted: August 12, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper The Effectiveness of a Population-Based Skin Cancer Screening Program: Evidence from Germany
Micha Kaiser, Joerg Schiller and Christopher Schreckenberger
University of Hohenheim, University of Hohenheim and University of Hohenheim
Date Posted: August 05, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Testing for a Threshold in Models with Endogenous Regressors
CentER Discussion Paper Series No. 2016-029
Mario M. Rothfelder and Otilia Boldea
Tilburg University - Center for Economic Research (CentER) and Tilburg University, CentER
Date Posted: August 05, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Simultaneous Inference for the Partially Linear Model with A Multivariate Unknown Function When the Covariates are Measured with Errors
SFB 649 Discussion Paper 2016-024
Kun Ho Kim, Shih-Kang Chao and Wolfgang K. Härdle
Michigan State University, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: August 04, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics
SFB 649 Discussion Paper 2016-025
Ying Chen, Wee Song Chua and Wolfgang K. Härdle
National University of Singapore (NUS), National University of Singapore (NUS) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: August 04, 2016
Working Paper Series
26 downloads

Incl. Electronic Paper Generalized Additive Models for Pair-Copula Constructions
Thibault Vatter and Thomas Nagler
Ecole Polytechnique Fédérale de Lausanne and Technische Universität München (TUM), Chair of Mathematical Statistics, Students
Date Posted: August 04, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper A Diagnostic Criterion for Approximate Factor Structure
Swiss Finance Institute Research Paper No. 16-51
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Date Posted: August 03, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Unstable Diffusion Indexes: With an Application to Bond Risk Premia
Daniele Massacci
Bank of England
Date Posted: August 02, 2016
Last Revised: September 23, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Large Dynamic Covariance Matrices
University of Zurich, Department of Economics, Working Paper No. 231
Robert F. Engle, Olivier Ledoit and Michael Wolf
New York University - Leonard N. Stern School of Business - Department of Economics, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Date Posted: July 28, 2016
Working Paper Series
137 downloads

Incl. Electronic Paper The Interpretation of DNA Evidence: A Case Study in Probabilities
National Academies of Science, Engineering and Medicine, Science Policy Decision-making Educational Modules, 2016, Penn State Law Research Paper No. 23-2016
David H. Kaye
Pennsylvania State University, Penn State Law
Date Posted: July 27, 2016
Last Revised: September 02, 2016
Accepted Paper Series
64 downloads

Incl. Electronic Paper Monetary Policy Rules in Emerging Countries: Is There an Augmented Nonlinear Taylor Rule?
CESifo Working Paper Series No. 5965
Guglielmo Maria Caporale, Nazif Catik, Mohamad Helmi, Faek Menla Ali and Coskun Akdeniz
Brunel University London - Department of Economics and Finance, Ege University Department of Economics, Brunel University London - College of Business, Arts and Social Sciences, Brunel University - Economics and Finance Department and Ege University - Department of Economics
Date Posted: July 26, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Is Economic Uncertainty Priced in the Cross-Section of Individual Stocks?
Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Turan G. Bali, Stephen Brown, Qiusha Peng and Yi Tang
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business, Cambridge Endowment for Research in Finance, University of Cambridge and Fordham University - Gabelli School of Business
Date Posted: July 25, 2016
Working Paper Series
102 downloads

Incl. Electronic Paper Jumps and Stochastic Volatility in Crude Oil Prices and Advances in Average Option Pricing
Quantitative Finance (Forthcoming)
Ioannis Kyriakou, Panos K. Pouliasis and Nikos C. Papapostolou
City University London - Sir John Cass Business School, Sir John Cass Business School and Cass Business School, City University London
Date Posted: July 24, 2016
Accepted Paper Series
81 downloads

Incl. Electronic Paper Error-in-Variables Jump Regression Using Local Clustering
Yicheng Kang, Xiaodong Gong, Jiti Gao and Peihua Qiu
Department of Biostatistics, Australian National University (ANU) - School of Economics, Monash University - Department of Econometrics & Business Statistics and Department of Biostatistics
Date Posted: July 20, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Date Posted: July 19, 2016
Last Revised: July 28, 2016
Working Paper Series
80 downloads

Incl. Electronic Paper Missing Observations on a Variable: When Do the Listwise Deletion and Indicator Approaches Work?
Mahdiyeh Entezarkheir
University of Western Ontario - Huron University College
Date Posted: July 16, 2016
Working Paper Series
3 downloads

Incl. Fee Electronic Paper Mitigating Estimation Risk in Asset Allocation: Diagonal Models Versus 1/N Diversification
Financial Review, Vol. 51, Issue 3, pp. 403-433, 2016
Chris T. Stivers and Licheng Sun
University of Louisville and Old Dominion University
Date Posted: July 15, 2016
Accepted Paper Series

Incl. Electronic Paper Estimating Jump-Diffusions Using Closed-Form Likelihood Expansions -- Online Supplementary Material
Chenxu Li and Dachuan Chen
Peking University and University of Illinois at Chicago
Date Posted: July 11, 2016
Working Paper Series
23 downloads

Incl. Fee Electronic Paper Correcting for Sample Selection from Competitive Bidding, with an Application to Estimating the Effect of Wages on Performance
CEPR Discussion Paper No. DP11376
Laurent Lamy, Manasa Patnam and Michael Visser
Paris School of Economics (PSE), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Date Posted: July 11, 2016
Working Paper Series


 

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