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JEL Code: C15
366,973 Total downloads
Showing Papers 801 - 850 of 1,747
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Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum FRB of New York Staff Report No. 619
Marco Del Negro and
Giorgio E. Primiceri
Date Posted: May 18, 20134 downloads
Asymptotic Refinements of a Misspecification-Robust Bootstrap for Generalized Method of Moments Estimators UNSW Australian School of Business Research Paper No. 2012-09
Seojeong Jay Lee
Date Posted: May 17, 20134 downloads
Generalized Additive Modelling for Conditional Copulas
Valérie Chavez-Demoulin
and
Thibault Vatter
Date Posted: May 16, 20137 downloads
A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models
Fabrizio Anfuso
,
Dimitris Karyampas
and
Andreas Nawroth
Date Posted: May 14, 201324 downloads
Discrete-Time Portfolio Optimization with Transaction Costs
Feiran Tao
and
Tony S. Wirjanto
Date Posted: May 13, 2013
Pricing Financial Derivatives by Gram-Charlier Expansions
Yin-Hei Cheng
and
Tony S. Wirjanto
Date Posted: May 13, 2013
Available at: Introducing a Nearly Vast Amount of Work to Be Done Journal of Law: Periodical Laboratory of Legal Scholarship, Vol. 3, No. 1, pp. 1-26, 2013
Ross E. Davies
Date Posted: May 08, 2013Last Revised: May 22, 201322 downloads
Feasibility of Breast Cancer Screening by Pixe Analysis of Hair
neda gholizadeh
Date Posted: May 08, 2013
Combination Schemes for Turning Point Predictions Norges Bank Working Paper 2012/04
Monica Billio ,
Roberto Casarin ,
Francesco Ravazzolo and
H. K. van Dijk
Date Posted: May 07, 20134 downloads
A Generalized Maximum Entropy Estimator to Simple Linear Measurement Error Model with a Composite Indicator
Maurizio Carpita
and
Enrico Ciavolino
Date Posted: May 02, 20135 downloads
Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness -- or -- How to Prevent Jensen's Inequality from Inflating Your OpRisk Capital Estimates
J.D. Opdyke
Date Posted: April 30, 2013Last Revised: May 20, 201314 downloads
On the Epidemic of Financial Crises
Nikolaos Demiris
,
Theodore Kypraios
and
L. Vanessa Smith
Date Posted: April 28, 201311 downloads
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2013
Roberto Casarin ,
Stefano Grassi
,
Francesco Ravazzolo and
H. K. van Dijk
Date Posted: April 27, 20134 downloads
JSE Exotic Can-Do Options: Determining Initial Margins
Antonie Kotze
and
Rudolf Oosthuizen
Date Posted: April 23, 201313 downloads
Monte Carlo Pricing with Local Volatility Grids
Damian Abasto
,
Bernhard Hientzsch
and
Mark P. Kust
Date Posted: April 18, 2013Last Revised: April 28, 201337 downloads
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
Date Posted: April 17, 201328 downloads
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
Date Posted: April 13, 201320 downloads
SAFCOM/JSE Derivatives: Quantification of the South African Default Fund
Antonie Kotze
Date Posted: April 12, 20134 downloads
Current Exposure Method for CCP's Under Basel III
Antonie Kotze
and
Paul du Preez
Date Posted: April 11, 2013Last Revised: May 20, 201336 downloads
Parallel Sequential Monte Carlo for Efficient Density Combination: The Deco Matlab Toolbox Tinbergen Institute Discussion Paper 13-055/III
Roberto Casarin ,
Stefano Grassi
,
Francesco Ravazzolo and
H. K. van Dijk
Date Posted: April 09, 201344 downloads
Financial and Economic Integration's Impact on Asian Equity Markets’ Sensitivity to External Shocks Financial Review, Vol. 48, Issue 2, pp. 343-363, 2013
Hossein Asgharian and
Marcus Nossman
Date Posted: April 05, 2013
Toward a Bayesian Inference of Time-Deformation Models: Some Simulation Studies
Tony S. Wirjanto and
Zhongxian Men
Date Posted: March 31, 2013
Bayesian Analysis of a Threshold Stochastic Volatility Model
Tony S. Wirjanto ,
Adam W. Kolkiewicz
and
Zhongxian Men
Date Posted: March 31, 2013
Risk Function of Zellner's Extended Melo Estimators and Some Monte Carlo Results Journal of Quantitative Economics, Vol. 16, No. 2, July 2001, 1-18
Sukesh K. Ghosh
and
Tony S. Wirjanto
Date Posted: March 31, 2013
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
Date Posted: March 27, 201311 downloads
Adjustable Robust Parameter Design with Unknown Distributions CentER Discussion Paper Series No. 2013-022
Ihsan Yanikoglu
,
Dick den Hertog and
Jack P. C. Kleijnen
Date Posted: March 26, 20137 downloads
Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach Banque de France Working Paper No. 426
Olivier Darné
,
Guy Levy-Rueff
and
Adrian Pop
Date Posted: March 25, 201311 downloads
Development of Cogeneration in Germany: A Dynamic Portfolio Analysis Based on the New Regulatory Framework FCN Working Paper No. 4/2009 (Revised March 2010)
Günther Westner
and
Reinhard Madlener
Date Posted: March 21, 20136 downloads
Using Trees to Grow Money Risk, Vol 16, No 11, November 2003, S11-S12
Maria-Augusta Miceli and
Gabriele Susinno
Date Posted: March 20, 2013Last Revised: May 05, 20139 downloads
Can Global Value Chains Effectively Serve Regional Economic Development in Asia?
Hans-Peter Brunner
Date Posted: March 16, 20136 downloads
Derivative Pricing and Hedging in Asynchronous Markets
Christopher Jordinson
Date Posted: March 12, 201345 downloads
Who's Who on the Australian Political Left-Right Spectrum?
Michael Coleman Dalvean
Date Posted: March 06, 20133 downloads
A Macroprudential Approach to Address Liquidity Risk with the Loan-to-Deposit Ratio De Nederlandsche Bank Working Paper No. 372
Jan Willem van den End
Date Posted: March 06, 201321 downloads
Model of Financial Crisis Contagion: A Survey-Based Simulation Using Modified Kaplan-Meier Survival Plots
Lukasz Prorokowski and
Paulina Roszkowska
Date Posted: February 28, 2013Last Revised: April 30, 201312 downloads
Which System GMM to Use? A Simulation Exercise to Identify the Ideal Estimator for Data of Different Sizes
T. M. Tonmoy Islam
Date Posted: February 26, 201314 downloads
Installment Options: A Closed-Form Solution and the Limiting Case Mathematical Control Theory and Finance, Springer, 2008. Edited by A. Sarychev, A. Shiryaev, M. Guerra, M.R. Grossinho.
Susanne Griebsch
,
Uwe Wystup and
Christoph Kühn
Date Posted: February 26, 2013
One Improved Option-Pricing Method Using the Barndorff-Nielsen and Shephard Model
Yun Peng
,
Payam Bahamin
and
Richard Cebula
Date Posted: February 24, 201326 downloads
Does Social Capital Matter for European Regional Growth? Universitat Jaume I Department of Economics Working Paper No. 2013/02
Jesús Peiró Palomino
and
Anabel Forte Deltell
Date Posted: February 23, 20138 downloads
Skewness Risk Premium: Theory and Empirical Evidence CEPR Discussion Paper No. DP9349
Thorsten Lehnert
,
Yuehao Lin and
Christian C. P. Wolff
Date Posted: February 21, 20133 downloads
Nonparametric Inference Based on Conditional Moment Inequalities Cowles Foundation Discussion Paper No. 1840R
Donald W. K. Andrews and
Xiaoxia Shi
Date Posted: February 20, 201315 downloads
Internet Appendix for 'Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much'
Fabio Trojani
,
Christian Wiehenkamp
and
Jan Wrampelmeyer
Date Posted: February 17, 201317 downloads
Bayesian Bandwidth Selection in Nonparametric Time-Varying Coefficient Models
Tingting Cheng
,
Jiti Gao and
X. Zhang
Date Posted: February 14, 20137 downloads
Pricing and Mitigation of Counterparty Credit Exposures Handbook of Systemic Risk, edited by J.-P. Fouque and J.Langsam. Cambridge University Press, 2012
Agostino Capponi
Date Posted: February 12, 201357 downloads
Managing Portfolio Risk Using Multivariate Extreme Value Methods
Sawsan Abbas
,
Ser-Huang Poon and
Jonathan Tawn
Date Posted: February 06, 201358 downloads
Credit Stress Testing from a Portfolio Perspective Selected Issues in Statistical Methods and Applications in an Historical Perspective, Studies in Theoretical and Applied Statistics, Springer-Verlag Berlin Heidelberg (2013)
Tiziano Bellini
Date Posted: February 06, 201338 downloads
Forward Search Outlier Detection in Data Envelopment Analysis European Journal of Operational Research (2012) 216, 200-207
Tiziano Bellini
Date Posted: February 05, 20137 downloads
A Parsimonious Structural Model of Individual Demand for Multiple Related Goods
Andres Musalem
,
Kenneth C. Wilbur and
Patricio Del Sol
Date Posted: February 05, 201353 downloads
Minimum Distance Estimation of the Errors-in-Variables Model Using Linear Cumulant Equations, with Two Corporate Finance Applications
Timothy Erickson ,
Colin H. Jiang and
Toni M. Whited
Date Posted: February 03, 201382 downloads
GMM Estimation and Uniform Subvector Inference with Possible Identification Failure Cowles Foundation Discussion Paper No. 1828R
Donald W. K. Andrews and
Xu Cheng
Date Posted: February 01, 201317 downloads
A New Simulation Based Market Timing Test and an Application to Technical Analysis
Didier Marti
Date Posted: January 31, 201373 downloads
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