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Full Text Papers: 502,842
Authors: 280,065
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SSRN eLibrary Search Results
JEL Code: C15
454,318 Total downloads
Showing Papers 801 - 850 of 2,073
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Incl. Electronic Paper Monte-Carlo Payoff-Smoothing for Pricing Autocallable Instruments
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
Date Posted: May 05, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Time Series Analysis for Big Data: Evaluating Bayesian Structural Time Series Using Electricity Prices
Nicole Ludwig , Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: May 05, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper 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
University Ca' Foscari of Venice - Department of Economics , University of Aarhus - CREATES , Norges Bank and Tinbergen Institute
Date Posted: May 04, 2015
Working Paper Series
246 downloads

Stress Testing: Un Modello Di Simulazione Stocastica E Un Confronto Con L’Esercizio EBA/BCS 2014 (Stress Testing: A Stochastic Simulation Model and a Comparison with 2014 EBA/BCE Exercise)
Bancaria No. 02-15
Giuseppe Montesi , Pasquale Nicastro and Giovanni Papiro
School of Economics and Management - University of Siena , Banca Monte Del Paschi de Siena (MPS) and Banca Monte Del Paschi de Siena (MPS)
Date Posted: April 29, 2015
Accepted Paper Series

Incl. Electronic Paper Models of Complex Adaptive Systems in Strategy and Organization Research
Mind & Society, special issue on "Complexity Modeling in Social Science and Economics", Forthcoming
Oliver Baumann
University of Southern Denmark - Strategic Organization Design Unit (SOD)
Date Posted: April 29, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Option Pricing and Hedging for Regime-Switching Geometric Brownian Motion Models
Bruno Remillard and Sylvain Rubenthaler
HEC Montreal and Université de Nice Sophia Antipolis
Date Posted: April 27, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Why Risk Is So Hard to Measure
Jon Danielsson and Chen Zhou
London School of Economics - Systemic Risk Centre and De Nederlandsche Bank
Date Posted: April 23, 2015
Working Paper Series
179 downloads

Incl. Electronic Paper Multivariate Lévy Models by Linear Combination: Estimation
Angela Loregian , Laura Ballotta and Gianluca Fusai
SYMMYS , City University London - Sir John Cass Business School and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Date Posted: April 21, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Benchmarking UK Mutual Fund Performance: The Random Portfolio Experiment

Andrew Clare , Niall O'Sullivan and Meadhbh Sherman
City University London - Sir John Cass Business School , University College Cork (UCC) - Department of Economics and University College Cork
Date Posted: April 21, 2015
Accepted Paper Series
20 downloads

Incl. Electronic Paper Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)
Yogesh Malhotra
Global Risk Management Network, LLC
Date Posted: April 17, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper On the Stratonovich-Kalman-Bucy Filtering Algorithm Application for Accurate Characterization of Financial Time Series with Use of State-Space Model by Central Banks
Dimitri O. Ledenyov and Viktor O. Ledenyov Sr.
James Cook University, Townsville, Australia and V. N. Karazin Kharkov National University
Date Posted: April 15, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Welfare Gains of the Poor: An Endogenous Bayesian Approach with Spatial Random Effects
Andres Ramirez Hassan and Santiago Montoya Blandón
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF)
Date Posted: April 15, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Speeding Up MCMC by Efficient Data Subsampling
Riksbank Research Paper Series No. 121, Sveriges Riksbank Working Paper Series No. 297
Matias Quiroz , Mattias Villani and Robert Kohn
Sveriges Riksbank - Research Division , Linkoping University and University of New South Wales - School of Economics and School of Banking and Finance
Date Posted: April 14, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper The Impact of Soda Taxes on Consumer Welfare: Implications of Storability and Taste Heterogeneity
RAND Journal of Economics, Forthcoming
Emily Yucai Wang
University of Massachusetts Amherst
Date Posted: April 09, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Advanced Idiosyncratic Risk and Multi-Factor Models
Jan Dash and Mario Bondioli
Bloomberg LP and Bloomberg LP
Date Posted: April 07, 2015
Working Paper Series
50 downloads

Incl. Electronic Paper Investigating the Impact of Customer Stochasticity on Firm Price Discrimination Strategies Using a New Bayesian Mixture Scale Heterogeneity Model
Joseph Pancras , Xia Wang and Dipak K. Dey
University of Connecticut - Department of Marketing , University of Cincinnati and University of Connecticut
Date Posted: April 04, 2015
Last Revised: April 07, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Maximum Non-Extensive Entropy Block Bootstrap for Non-Stationary Processes
Michele Bergamelli , Jan Novotny and Giovanni Urga
City University London - Sir John Cass Business School , City University London - Faculty of Finance and Cass Business School, Faculty of Finance, London
Date Posted: April 03, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper The Time-Series Linkages between US Fiscal Policy and Asset Prices
Ghassen El Montasser , Rangan Gupta , Charl Jooste and Stephen M. Miller
University of Manouba , University of Pretoria - Department of Economics , Government of the Republic of South Africa - South Africa National Treasury and University of Nevada, Las Vegas - Department of Economics
Date Posted: April 02, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Pricing JSE Exotic Can-Do Options: Monte Carlo Simulation
Antonie Kotze and Rudolf Oosthuizen
Financial Chaos Theory and JSE Securities Exchange
Date Posted: April 01, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Анализ Рисков Инвестиционного Проекта (Risk Analysis of the Investment Project)
Vigen Babkenovich Minasyan and Mikhail Alexandrovich Limitovskiy
Russian Presidential Academy of National Economy and Public Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: March 31, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Возникновение Кризисных Явлений Как Фазовый Переход в Процессе Формирования Рыночного Портфеля. Взгляд С Точки Зрения Теории Марковица и CAPM (Emergence of the Crisis Phenomena as Phase Transition in the Course of Formation of a Market Portfolio. A Look from the Point of View of Markowitz's Theory and CAPM)
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: March 31, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper CAPM и Диверсификация Инвестиционного Портфеля в Условиях Неоднородной Волатильности (CAPM and Diversification of an Investment Portfolio in the Conditions of Non-Uniform Volatility)
Vigen Babkenovich Minasyan and Mikhail Alexandrovich Limitovskiy
Russian Presidential Academy of National Economy and Public Administration and Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: March 30, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper The Effect of Probability and Uncertainty Models on Hedge Fund Performance Analysis
The Journal of Applied Business Research, September/October 2014 Volume 30, Number 5
John Weirstrastrass Muteba Mwamba
University of Johannesburg
Date Posted: March 29, 2015
Accepted Paper Series
5 downloads

Incl. Electronic Paper Going Hybrid: A Joint Model for Temperature and Natural Gas
Roberto Baviera and Teodoro Federico Mainetti
Politecnico di Milano - Department of Mathematics and KPMG International, LLP - Milan Office
Date Posted: March 29, 2015
Last Revised: April 17, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Active Portfolio Management with Conditional Tracking Error
Winfried G. Hallerbach and I. Pouchkarev
Robeco Asset Management, Quantitative Strategies and Erasmus University Rotterdam (EUR) - Rotterdam School of Management (RSM)
Date Posted: March 28, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper CAPM Модель и Альфа-Дженсена При Возникновении Кризисных Явлений (CAPM Model and Alpha-Jensen at Emergence of the Crisis Phenomena)
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: March 27, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper Sparse Graphical Vector Autoregression: A Bayesian Approach
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2014
Daniel Felix Ahelegbey , Monica Billio and Roberto Casarin
Ca Foscari University of Venice - Department of Economics , Ca Foscari University of Venice - Department of Economics and University Ca' Foscari of Venice - Department of Economics
Date Posted: March 27, 2015
Last Revised: May 05, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper The Sources of Business Cycles in a Low Income Country
IMF Working Paper No. 15/40
Romain Houssa , Jolan Mohimont and Christopher Otrok
CRED & CEREFIM, University of Namur , University of Namur and University of Missouri
Date Posted: March 26, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Non-Stationary Stochastic Volatility Model for Dynamic Feedback and Skewness
Sujay Mukhoti
IIM Indore
Date Posted: March 23, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models
FRB Atlanta Working Paper No. 2013-11
Nikolay Gospodinov and Serena Ng
Federal Reserve Bank of Atlanta and Columbia University
Date Posted: March 22, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
FRB Atlanta Working Paper No. 2013-8
Hirbod Assa , Amal Dabbous and Nikolay Gospodinov
University of Liverpool , Concordia University, Quebec - Department of Economics and Federal Reserve Bank of Atlanta
Date Posted: March 22, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
FRB Atlanta Working Paper 2013-05
Nikolay Gospodinov and Damba Lkhagvasuren
Federal Reserve Bank of Atlanta and Concordia University, Quebec
Date Posted: March 22, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper A Bayesian Methodology for Systemic Risk Assessment in Financial Networks
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE)
Date Posted: March 21, 2015
Last Revised: April 18, 2015
Working Paper Series
69 downloads

Incl. Electronic Paper Pitfalls of Estimating the Marginal Likelihood Using the Modified Harmonic Mean
CAMA Working Paper No. 8/2015
Joshua C. C. Chan and Angelia Grant
Australian National University (ANU) and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Date Posted: March 19, 2015
Last Revised: March 20, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper The Stochastic Volatility in Mean Model with Time-Varying Parameters: An Application to Inflation Modeling
CAMA Working Paper No. 7/2015
Joshua C. C. Chan
Australian National University (ANU)
Date Posted: March 19, 2015
Last Revised: March 20, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Making Sense Out of Variable Spending Strategies for Retirees
Wade D. Pfau
The American College
Date Posted: March 17, 2015
Working Paper Series
3167 downloads

Incl. Electronic Paper Efficient SABR Simulation Schemes Revisited
Kyle Haven
Aozora Bank
Date Posted: March 10, 2015
Working Paper Series
25 downloads

Incl. Electronic Paper An Information Theoretic Criterion for Empirical Validation of Time Series Models
LEM Working Papers
Francesco Lamperti
Scuola Superiore Sant'Anna
Date Posted: March 09, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Timing Law School
HLS Center on the Legal Profession Research Paper No. 2015-4
Frank McIntyre and Michael Simkovic
Rutgers Business School Newark and New Brunswick and Seton Hall Law School
Date Posted: March 08, 2015
Last Revised: April 21, 2015
Accepted Paper Series
516 downloads

Incl. Electronic Paper Bootstrap Methods for Inference with Cluster Sample IV Models
Keith Finlay and Leandro M. Magnusson
Tulane University - Department of Economics and University of Western Australia
Date Posted: March 06, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper The Federal Funds Interest Rate Meets the Prime Rates
Joseph Friedman and Yochanan Shachmurove
Temple University - Department of Economics and City University of New York, CUNY City College of New York - Department of Economics
Date Posted: March 04, 2015
Working Paper Series
36 downloads

Incl. Electronic Paper Markov Interacting Importance Samplers
Eduardo F Mendes , Marcel Scharth and Robert Kohn
UNSW Australia Business School, School of Economics , University of New South Wales and University of New South Wales - School of Economics and School of Banking and Finance
Date Posted: February 26, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Lagged Explanatory Variables and the Estimation of Causal Effects
Marc F. Bellemare , Takaaki Masaki and Thomas B. Pepinsky
University of Minnesota - Twin Cities - Department of Applied Economics , Cornell University and Cornell University - Department of Government
Date Posted: February 24, 2015
Working Paper Series
146 downloads

Incl. Electronic Paper A Double Correlated Three Factor Model for a Crude Oil Market
Gaetano Fileccia and Carlo Sgarra
Polytechnic University of Milan and Politecnico di Milano- Dipartimento di Matematica
Date Posted: February 24, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper In-Sample Bounds for Time-Varying Parameters of Observation Driven Models
Tinbergen Institute Discussion Paper 15-027/III
Francisco Blasques , Siem Jan Koopman , Katarzyna Lasak and Andre Lucas
VU University Amsterdam , VU University Amsterdam , VU Amsterdam and VU University Amsterdam - Faculty of Economics and Business
Date Posted: February 24, 2015
Working Paper Series
8 downloads

Incl. Electronic Paper Latent Class Logits and Discrete Choice Experiments: Implications for Welfare Measures
Revue Revue d'économie politique, 2015, Forthcoming,
Adan L. Martinez-Cruz
Swiss Federal Institute of Technology Zurich - Centre for Energy Policy and Economics (CEPE)
Date Posted: February 22, 2015
Last Revised: February 25, 2015
Accepted Paper Series
5 downloads

Incl. Electronic Paper Bayesian Estimation of Cox Models with Non-Nested Random Effects: An Application to the Ratification of ILO Conventions by Developing Countries
Annales d’Economie et de Statistique, 2008, Issue 89, Banque de France Working Paper No. 249,
Guillaume Horny , Bernhard Boockmann , Dragana Djurdjevic and Francois Laisney
Banque de France , Centre for European Economic Research (ZEW) , University of St. Gallen and Universite Louis Pasteur - BETA-Theme
Date Posted: February 22, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Measures of Agreement for Probabilistic Diagnoses
Douglas Mossman
University of Cincinnati College of Medicine
Date Posted: February 20, 2015
Last Revised: April 19, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Centrality-Based Capital Allocations
FRB of Cleveland Working Paper No. 15-01
Adrian Alter , Ben R. Craig and Peter Raupach
International Monetary Fund , Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Date Posted: February 19, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper To Score or Not to Score? Estimates of a Sponsored Search Auction Model
USC-INET Research Paper No. 15-09
Yu-Wei Hsieh , Matthew Shum and Sha Yang
USC Dornsife Institute for New Economic Thinking , California Institute of Technology and University of Southern California - Marshall School of Business
Date Posted: February 18, 2015
Working Paper Series
11 downloads


 

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