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JEL Code: C13
358,771 Total downloads
Showing Papers 81 - 130 of 2,078
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A New Asymptotic Theory for Vector Autoregressive Long-Run Variance Estimation and Autocorrelation Robust Testing
Yixiao Sun
and
David Kaplan
affiliation not provided to SSRN
Date Posted: November 26, 201017 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, 2005327 downloads
A New Distribution-Based Test of Self-Similarity Fractals-Complex Geometry Patterns and Scaling in Nature and Society, Vol. 12, No. 3, pp. 331-346, 2004
Sergio Bianchi
Date Posted: July 18, 20119 downloads
A New Linear Estimator for Gaussian Dynamic Term Structure Models Bank of Canada Working Paper 2013-10
Antonio Diez de los Rios
Date Posted: April 23, 2013Last Revised: May 21, 201315 downloads
A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?
Turan G. Bali ,
Susan Hume
and
Terrence F. Martell
Date Posted: October 11, 20061192 downloads
A New Method for the Calibration of Stochastic Volatility Models: The Malliavin Gradient Method Quantitative Finance, Vol. 6, No. 2, pp. 147-158, April 2006
Christian-Oliver Ewald
and
Aihua Zhang
Date Posted: January 16, 2008
A New Perspective on Gaussian Dynamic Term Structure Models Review of Financial Studies, Forthcoming, AFA 2010 Atlanta Meetings Paper
Scott Joslin
,
Kenneth J. Singleton and
Haoxiang Zhu
Date Posted: March 23, 2009Last Revised: October 13, 20101829 downloads
A New Pseudo Bayesian Model for Stock Returns In Financial Crisis
Wing-Keung Wong
,
Eric Fung
,
Kin Lam and
Tak-Kuen Siu
Date Posted: May 12, 2011Last Revised: May 25, 201188 downloads
A New Pseudo-Bayesian Model for Investors' Behaviors in Financial Crises
Wing-Keung Wong
,
Kin Lam
,
Wing-Keung Wong
and
Lixing Zhu
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 03, 201250 downloads
A New Simple Approach for Constructing Implied Volatility Surfaces
Peter Carr and
Liuren Wu
Date Posted: November 03, 20101794 downloads
A New Test for Chaotic Dynamics Using Lyapunov Exponents FEDEA Working Paper No. 2003-09
Fernando Fernández Rodríguez ,
Simón Sosvilla Rivero and
Julián Andrada Félix
Date Posted: May 05, 2003140 downloads
A New Theory of Forecasting ECB Working Paper No. 584, EFA 2006 Zurich Meetings
Simone Manganelli
Date Posted: February 03, 2006304 downloads
A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility CREATES Research Paper No. 2009-31
Eduardo Rossi and
Paolo Santucci de Magistris
Date Posted: July 16, 2009Last Revised: September 22, 2010122 downloads
A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables
Andrew Ang and
Monika Piazzesi
Date Posted: November 22, 1999697 downloads
A Nonparametric Estimator for Local Quantile Treatment Effects in the Regression Discontinuity Design
Brigham R. Frandsen
Date Posted: August 12, 2008Last Revised: October 30, 2008254 downloads
A Nonparametric Least-Squares Test for Checking a Polynomial Relationship Univ. Catholique de Louvain Working Paper No. 9912
Irene Gijbels and
V. Rousson
Date Posted: May 31, 2000
A Nonparametric Regression Estimator that Adapts to Error Distribution of Unknown Form LSE STICERD Research Paper No. EM419
Oliver B. Linton and
Zhijie Xiao
Date Posted: July 21, 200814 downloads
A Note on Allen-Uzawa Partial Elasticities of Substitution: The Case of the Translog Cost Function IZA Discussion Paper No. 2712
Atanas Christev
and
Allen M. Featherstone
Date Posted: April 21, 2007275 downloads
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models U of London Queen Mary Economics Working Paper No. 467
George Kapetanios
Date Posted: January 15, 2003143 downloads
A Note on Costly Sequential Search and Oligopoly Pricing CESifo Working Paper Series No. 1332; Tinbergen Institute Working Paper No. 04-068/1
Maarten Janssen and
Matthijs R. Wildenbeest
Date Posted: June 24, 2004122 downloads
A Note on Implementing Box-Cox Quantile Regression ZEW - Centre for European Economic Research Discussion Paper No. 04-061
Bernd Fitzenberger
,
Ralf A. Wilke
and
Xuan Zhang
Date Posted: October 15, 2004Last Revised: August 15, 2008110 downloads
A Note on Least Squares Fitting of Signal Waveforms
Sudhanshu K. Mishra
Date Posted: September 11, 2007Last Revised: May 02, 200851 downloads
A Note on Nonparametric Estimation With Constructed Variables and Generated Regressors
Stefan Sperlich
Date Posted: September 05, 2007
A Note on Numerical Estimation of Sato's Two-Level CES Production Function
Sudhanshu K. Mishra
Date Posted: November 28, 2006123 downloads
A Note on Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots with Drift
Dimitrios D. Thomakos
Date Posted: March 28, 2008Last Revised: June 14, 200848 downloads
A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables University of St. Gallen Economics Discussion Paper No. 2006-11
Markus Froelich
Date Posted: May 30, 200642 downloads
A Note on Parametric and Nonparametric Regression in the Presence of Endogenous Control Variables IZA Discussion Paper No. 2126
Markus Froelich
Date Posted: May 17, 2006123 downloads
A Note on Portfolio Optimization and the Diagonal Covariance Matrix
David Disatnik
Date Posted: June 11, 2009303 downloads
A Note on Spurious Break and Regime Shift in a Cointegrating Relationship Massachusetts Institute of Technology, Department of Economics Working Paper No. 96-13
Jushan Bai
Date Posted: December 03, 1998
A Note on Spurious Nonlinear Regression
Edward J. O'Brien
Date Posted: February 24, 200871 downloads
A Note on Tail Dependence Regression
Qingzhao Zhang
,
Deyuan Li
and
Hansheng Wang
Date Posted: May 29, 201313 downloads
A Note on the Application of EC2SLS and EC3SLS Estimators in Panel Data Models Center for Policy Research Working Paper No. 116
Badi H. Baltagi
and
Long Liu
Date Posted: April 12, 201121 downloads
A Note on the Bandwidth Choice When the Null Hypothesis is Semiparametric Revista de Economia del Rosario, Vol. 8, No. 2, 2005
Jorge Barrientos-Marín
Date Posted: September 01, 200618 downloads
A Note on the Coefficient of Determination in Models with Infinite Variance Variables FRB International Finance Discussion Paper No. 895
Jeong-Ryeol Kurz-Kim
and
Mico Loretan
Date Posted: June 27, 200769 downloads
A Note on the Link between Asymmetric Risk and Shortfall Risk
Ba M. Chu
Date Posted: October 03, 2008113 downloads
A Note on the Mean-Variance Analysis of Self-Financing Portfolios
Zhidong Bai
,
Huixia Liu
and
Wing-Keung Wong
Date Posted: October 19, 2006183 downloads
A Note on the Relation of Weighting and Matching Estimators U of St. Gallen Discussion Paper No. 2007-34
Michael Lechner
Date Posted: October 15, 200768 downloads
A Note on the Sub-Optimality of Rank Ordering of Objects on the Basis of the Leading Principal Component Factor Scores
Sudhanshu K. Mishra
Date Posted: December 29, 2008Last Revised: January 11, 200972 downloads
A Note on ‘Good Starting Values’ in Numerical Optimisation
Manfred Gilli and
Enrico Schumann
Date Posted: June 03, 2010Last Revised: September 16, 201096 downloads
A Paradox of Inconsistent Parametric and Consistent Nonparametric Regression Cowles Foundation Discussion Paper No. 1704
Peter C. B. Phillips and
Liangjun Su
Date Posted: June 05, 200944 downloads
A Penalty Function Approach to Bias Reduction in Non-linear Panel Models with Fixed Effects
Alan Bester
and
Christian Hansen
Date Posted: July 29, 200597 downloads
A Potential Outcomes, and Typically More Powerful, Alternative to 'Cochran-Mantel-Haenszel'
Cassandra Wolos Pattanayak ,
Donald B. Rubin and
Elizabeth R. Zell
affiliation not provided to SSRN
Date Posted: August 15, 201260 downloads
A Practical Guide to GMM (with Applications to Option Pricing)
Tom Arnold and
Timothy Falcon Crack
Date Posted: May 10, 20012364 downloads
A Quantilogram Approach to Evaluating Directional Predictability Cowles Foundation Discussion Paper No. 1454
Oliver B. Linton and
Yoon-Jae Whang
Date Posted: January 10, 200485 downloads
A Quantitative Mirror on the Euribor Market Using Implied Probability Density Functions ECB Working Paper No. 1281
Rupert de Vincent-Humphreys
and
Josep Maria Puigvert Gutierrez
Date Posted: January 04, 201172 downloads
A Quantitative Study of the Effect of Foreign Investment on Nonresident Patenting in Developing Countries, 1980-2010
Ryan J. Birkholz
Date Posted: December 16, 201258 downloads
A Real Business Cycle Model for Panel Data: An Application for the Central European Transition Economies CERGE-EI Working Paper No. 107
Libor Krkoska
Date Posted: January 23, 2010Last Revised: January 28, 201027 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
A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators N150/02/05
Ekaterini Panopoulou
Date Posted: April 01, 2005124 downloads
A Review of Heuristic Optimization Methods in Econometrics Swiss Finance Institute Research Paper No. 08-12
Manfred Gilli and
Peter Winker
Date Posted: June 05, 2008906 downloads
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