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JEL Code: C5
1,171,868 Total downloads
Showing Papers 821 - 870 of 5,963
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The Role of High-Frequency Prices, Long Memory and Jumps for Value-at-Risk Prediction
Ana-Maria Fuertes and
Jose Olmo
Date Posted: May 29, 201294 downloads
Approximating the Multivariate Distribution of Time-Aggregated Stock Returns Under GARCH
Jean-Guy Simonato
Date Posted: May 28, 2012Last Revised: May 11, 201320 downloads
Historical Simulation Plus Filtered Historical Simulation - An Evaluation of Basel III Revision of Quantitative Standard (d)
Meera Sharma
Date Posted: May 28, 2012Last Revised: November 28, 2012429 downloads
Forecasting Via Wavelet Denoising – The Random Signal Case
Joanna Bruzda
affiliation not provided to SSRN
Date Posted: May 26, 201259 downloads
Jointly Testing Linearity and Nonstationarity within Threshold Autoregressions
Jean-Yves Pitarakis
Date Posted: May 26, 201210 downloads
Money, Credit, Monetary Policy and the Business Cycle in the Euro Area CEPR Discussion Paper No. DP8944
Domenico Giannone ,
Michele Lenza
and
Lucrezia Reichlin
affiliation not provided to SSRN
and
London Business School
Date Posted: May 25, 20121 downloads
A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds Netspar Discussion Paper No. 02/2011-121
Joost Driessen ,
Tse-Chun Lin
and
Ludovic Phalippou
Date Posted: May 25, 201276 downloads
An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets Netspar Discussion Paper No. 03/2012-017
Dion Bongaerts
,
Frank de Jong and
Joost Driessen
Date Posted: May 25, 201264 downloads
Intra-Daily Volatility Spillovers between the US and German Stock Markets
Vasyl Golosnoy
,
Bastian Gribisch and
Roman Liesenfeld
Date Posted: May 25, 201258 downloads
Is it Better to Average Probabilities or Quantiles? Darden Business School Working Paper No. 2066806
Kenneth C. Lichtendahl Jr.
,
Yael Grushka-Cockayne
and
Robert L. Winkler
Date Posted: May 25, 2012Last Revised: September 29, 2012125 downloads
The Role of Correlation Dynamics in Sector Allocation
Elena Kalotychou
,
Sotiris K. Staikouras and
Zhao Gang
Date Posted: May 25, 2012Last Revised: November 06, 2012301 downloads
Housing Price Forecastability: A Factor Analysis EFA 2012 Copenhagen Meetings Paper
Lasse Bork and
Stig Vinther Møller
Date Posted: May 24, 2012Last Revised: May 02, 201367 downloads
Realized Copula
Matthias R. Fengler
and
Ostap Okhrin
Date Posted: May 24, 201268 downloads
Time-Changed Lévy LIBOR Market Model: Pricing and Joint Estimation of the Cap Surface and Swaption Cube Swiss Finance Institute Research Paper No. 12-23
Markus Leippold and
Jacob Stromberg
Date Posted: May 24, 2012Last Revised: May 22, 2013132 downloads
Overnight News and Daily Equity Trading Risk Limits
Katja Ahoniemi
,
Ana-Maria Fuertes and
Jose Olmo
Date Posted: May 23, 2012Last Revised: July 19, 201276 downloads
Worldwide Equity Risk Prediction Applied Economics Letters, Forthcoming
David Ardia and
Lennart F. Hoogerheide
Date Posted: May 23, 2012Last Revised: May 22, 201359 downloads
Tax-and-Spend Principle in Budget Management in Sri Lanka in the Post Reform Period Margin, The Journal of Applied Economic Research 5:3 (2011): 343–359,
Biswajit Maitra
Date Posted: May 21, 2012
The Macroeconomic Effects of Budget Deficits in Greece: A VAR-VECM Approach International Research Journal of Finance and Economics/Issue 79 (2011)
Andreas G. Georgantopoulos and
Anastasios Tsamis
Date Posted: May 21, 2012
The Relationship Between Energy Consumption and GDP: A Causality Analysis on Balkan Countries European Journal of Scientific Research/Vol.61 No.3 (2011), pp.372-380
Andreas G. Georgantopoulos and
Anastasios Tsamis
Date Posted: May 21, 2012
Indian Corporate Bonds Market – An Analytical Prospective
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: June 25, 2012139 downloads
Indian Money Market Dynamics
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: May 24, 2012133 downloads
E-Lections: Voting Behavior and the Internet IZA Discussion Paper No. 6545
Oliver Falck
,
Robert Gold
and
Stephan Heblich
affiliation not provided to SSRN
and
University of Stirling - Department of Economics
Date Posted: May 19, 201214 downloads
The Stochastic Seasonal Behaviour of Natural Gas Prices European Financial Management, Vol. 18, Issue 3, pp. 410-443, 2012
Andrés García Mirantes ,
Javier Población and
Gregorio Serna
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
University of Castilla, La Mancha
Date Posted: May 19, 2012
A Quantile Regression Approach to Equity Premium Prediction
Loukia Meligkotsidou
,
Ekaterini Panopoulou
,
Ioannis D. Vrontos
and
Spyridon D. Vrontos
Date Posted: May 18, 2012Last Revised: May 23, 2013148 downloads
GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson SU Case
Jean-Guy Simonato
Date Posted: May 18, 201243 downloads
Dalla Teoria Alla Pratica Nei Modelli Macroeconomici: L’Eclettismo Post-Keynesiano (From Theory to Practice in Macroeconomic Models: Post-Keynesian Eclecticism) Moneta e Credito, Vol. 58, No. 230-231, pp. 71-96, 2005
Ignazio Visco
Date Posted: May 17, 2012Last Revised: March 20, 20132 downloads
Do Stock Returns in India Follow a Random Walk? The IUP Journal of Applied 56 Economics, Vol. XI, No. 2, 2012
Anver Sadat ,
Gourishankar S. Hiremath
and
Bandi Kamaiah V
Date Posted: May 16, 201232 downloads
Efficiency and Competition in Korean Banking Nottingham University Business School Research Paper No. 2012-07
Richard Simper
and
Max J.B. Hall
Date Posted: May 16, 201253 downloads
Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture FRB Atlanta Working Paper Series No. 2012-6
Mark J. Jensen and
John M. Maheu
Date Posted: May 16, 201238 downloads
Un Modello Econometrico Per Il Credito Bancario Alle Imprese in Italia (An Econometric Model for Bank Credit to Corporations in the Euro Area) Moneta e Credito, Vol. 59, No. 234
Luca Casolaro ,
Ginette Eramo
and
Leonardo Gambacorta
Date Posted: May 15, 2012Last Revised: March 20, 20136 downloads
Franco: Una Mente Mai Ferma (Franco: A Mind Never at Rest) Moneta e Credito, Vol. 58, No. 230-231
Paul A. Samuelson
Date Posted: May 15, 2012Last Revised: March 20, 2013
Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter CESifo Working Paper Series No. 3816
Gebhard Flaig
Date Posted: May 15, 201246 downloads
Can We Consistently Forecast a Firm's Earnings? Using Combination Forecast Methods to Predict the EPS of Dow Firms Journal of Economics and Finance, 2012
Naresh Bansal
,
Jack Strauss and
Alireza Nasseh
Date Posted: May 14, 2012
Market Risk, Credit Risk, and Futures Trading in Commodity Markets
Takashi Kanamura
Date Posted: May 13, 2012117 downloads
A Conversation with Arnold Zellner History of Economics Review, 51, Winter 2010, pp. 72-81
Ernst Juerg Weber
,
Michael McLure
and
Darrell Turkington
affiliation not provided to SSRN
Date Posted: May 12, 20128 downloads
Explanatory Factors and Causality in the Dynamics of Volatility Surfaces Implied from OTC Asian-Pacific Currency Options Computational Economics, Vol. 41, No. 3, pp. 327-358, 2013
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: May 12, 2012Last Revised: February 20, 201326 downloads
Parametric Modeling of Implied Smile Functions: A Generalized SVI Model Review of Derivatives Research, Forthcoming
Bo Zhao
and
Stewart D. Hodges
Date Posted: May 12, 2012137 downloads
Predictability in Implied Volatility Surfaces: Evidence from the Euro OTC FX Market European Journal of Finance, Forthcoming
George Chalamandaris
and
Andrianos E. Tsekrekos
Date Posted: May 12, 201276 downloads
Some Aspects of Economic Development of Serbia
György Simon Jr.
Date Posted: May 11, 2012Last Revised: May 21, 201346 downloads
Marginal Likelihood Estimation with the Cross-Entropy Method CAMA Working Paper No. 18/2012
Joshua C. C. Chan
and
Eric Eisenstat
affiliation not provided to SSRN
Date Posted: May 10, 201215 downloads
Assessing the Functional Relationship between CO2 Emissions and Economic Development Using an Additive Mixed Model Approach Economic Modelling, Vol. 29, No. 4, pp. 1328-1337, 2012
Luca Zanin
and
Giampiero Marra
Date Posted: May 09, 2012Last Revised: May 30, 2012
Stock Return Comovement and Systemic Risk in the Turkish Banking System Central Bank Review, Vol. 13, 2013
Mahir Binici
,
Bülent Köksal and
Cuneyt Orman
Date Posted: May 09, 2012Last Revised: April 01, 201356 downloads
Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach International Review of Economics & Finance, Forthcoming
Jan Annaert ,
Anouk G. P. Claes ,
Marc J. K. de Ceuster and
Hairui Zhang
Date Posted: May 08, 2012Last Revised: February 19, 2013371 downloads
The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers FEDS Working Paper No. 2012-20
Dario Caldara and
Christophe Kamps
Date Posted: May 08, 201244 downloads
The Asymmetric Effects of Investor Sentiment
Chandler Lutz
Date Posted: May 08, 2012Last Revised: November 19, 2012112 downloads
The Estimation of Svensson Model Term Structures and Their Volatilities
Jan Annaert ,
Anouk G. P. Claes ,
Marc J. K. de Ceuster and
Hairui Zhang
Date Posted: May 08, 201293 downloads
Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation
Z. George Yang and
Liang Zhong
Date Posted: May 07, 2012921 downloads
Inference on Treatment Effects after Selection Amongst High-Dimensional Controls MIT Department of Economics Working Paper No. 12-13
Alexandre Belloni
,
Victor Chernozhukov and
Christian Hansen
Date Posted: May 05, 201239 downloads
The Extensive Margin, Sectoral Shares, and International Business Cycles - La Marge Extensive, Les Parts Des Secteurs Et Les Cycles D’Affaires Internationaux Canadian Journal of Economics/Revue canadienne d'économique, Vol. 45, Issue 2, pp. 509-534, 2012,
Michael B. Devereux and
Viktoria V. Hnatkovska
Date Posted: May 04, 2012
Corporate Social Responsibility and Earnings Forecasting Unbiasedness CEIS Working Paper No. 233
Leonardo Becchetti
,
Rocco Ciciretti
and
Alessandro Giovannelli
Date Posted: May 04, 2012Last Revised: February 12, 2013260 downloads
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