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13,107,979 Total downloads
Showing Papers 821 - 870 of 36,949
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Stochastic Conditional Duration Models with Mixture Processes
Tony S. Wirjanto ,
Adam W. Kolkiewicz
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
Worst-Case Copulas, Mass Transportation and Wrong-Way Risk in Counterparty Credit Risk Management
Amir Memartoluie
,
David Saunders
and
Tony S. Wirjanto
Date Posted: March 31, 2013
Policy in Adaptive Financial Markets — The Use of Systemic Risk Early Warning Tools
Mikhail V. Oet ,
Stephen J. Ong
and
Dieter Gramlich
Date Posted: March 31, 201329 downloads
Bayesian Inference of Asymmetric Stochastic Conditional Duration Models
Zhongxian Men
,
Adam W. Kolkiewicz
and
Tony S. Wirjanto
Date Posted: March 31, 2013
An Empirical Investigation into The Permanent Income Hypothesis: Further Evidence from the Canadian Data Applied Economics, 1996, 28, 1451-1461
Tony S. Wirjanto
Date Posted: March 31, 2013
Asymmetric Stochastic Conditional Duration Model — A Mixture-of-Normal Approach Journal of Financial Econometrics, Vol. 9, No. 3, 469-488, 2011
Dinghai Xu
,
John Knight and
Tony S. Wirjanto
Date Posted: March 31, 2013
An Analytic Approximation Formula for Pricing Zero-Coupon Bonds Finance Research Letters 4 (2007) 116-126, 1997
Youngsoo Choi
and
Tony S. Wirjanto
Date Posted: March 31, 2013
Modeling the Leverage Effect with Copulas and Realized Volatility Finance Research Letters 5 (2008) 221-227
Cathy Ning ,
Tony S. Wirjanto and
Dinghai Xu
Date Posted: March 31, 2013
Extreme Return-Volume Dependence in East-Asian Stock Markets: A Copula Approach Finance Research Letters 6 (2009) 202–209,
Cathy Ning and
Tony S. Wirjanto
Date Posted: March 31, 2013
Essential Supremum and Essential Maximum with Respect to Random Preference Relations
Youri Kabanov and
Emmanuel Lepinette-Denis
Date Posted: March 31, 20134 downloads
Asset Price Trend Theory: Reframing Portfolio Theory from the Ground Up
Robert Dubois
Date Posted: March 31, 2013Last Revised: May 22, 2013716 downloads
Financial Contagion in South Asia: An EGARCH Approach American Journal of Scientific Research, 85,105-111 (2013)
Syed Kashif Saeed
,
Khalid Riaz and
Usman Ayub
Date Posted: March 31, 201326 downloads
An Investigation of Beta and Downside Beta Based CAPM-Case Study of Karachi Stock Exchange American Journal of Scientific Research, 85,118-135 (2013)
Mohammad Tahir
,
Qaiser Abbas
,
Shahid Mehmood Sargana
,
Usman Ayub and
Syed Kashif Saeed
Date Posted: March 31, 201338 downloads
Implied Cost of Equity Capital in the U.S. Insurance Industry Journal of Financial Perspectives, Forthcoming, Columbia Business School Research Paper No. 13-20
Doron Nissim
Date Posted: March 31, 2013102 downloads
Risk-Neutral Systemic Risk Indicators FRB of New York Staff Report No. 607
Allan Malz
Date Posted: March 30, 2013123 downloads
A Dynamic Affine Factor Model for the Pricing of Collateralized Debt Obligations Swiss Finance Institute Research Paper No. 13-09
Zehra Eksi
and
Damir Filipovic
Date Posted: March 30, 2013Last Revised: April 10, 201349 downloads
Robust Hedging with Proportional Transaction Costs Swiss Finance Institute Research Paper No. 13-11
Yan Dolinsky
and
Halil Mete Soner
Date Posted: March 30, 201395 downloads
Covariance Estimation and Dynamic Asset Allocation under Microstructure Effects via Fourier Methodology “Financial Econometrics Modeling”, G. N. Gregoriou and R. Pascalau Eds., Palgrave-MacMillan, London, UK, 2011, pp. 3-32,
Simona Sanfelici
and
Maria Elvira Mancino
Date Posted: March 30, 2013
Global Bonding: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? IMF Working Paper No. 12/298
Tamim Bayoumi and
Trung Thanh Bui
Date Posted: March 30, 201325 downloads
Estimation of Quarticity with High Frequency Data Quantitative Finance, Vol. 12(4) (2012), pp. 607-622
Maria Elvira Mancino and
Simona Sanfelici
Date Posted: March 30, 2013Last Revised: April 02, 201317 downloads
Multivariate Volatility Estimation with High Frequency Data Using Fourier Method Handbook of Modeling High-Frequency Data in Finance, I. Florescu and F. Viens Eds., Wiley, New York, 2011
Maria Elvira Mancino and
Simona Sanfelici
Date Posted: March 30, 2013Last Revised: April 02, 201322 downloads
The Impact of Liquidity on Senior Credit Spreads During the Subprime Crisis
Miriam Marra
Date Posted: March 30, 201324 downloads
Constructing a Class of Stochastic Volatility Models: Empirical Investigation with Vix Data
Asmerilda Hitaj
,
Lorenzo Mercuri
and
Edit Rroji
Date Posted: March 29, 2013Last Revised: May 15, 201337 downloads
Human Security as a Measure of Country Risk in the Assessment of Emerging Market Bonds
Allan Dwyer
Date Posted: March 29, 20139 downloads
Reset Options on South African Equities
Antonie Kotze
Date Posted: March 29, 2013Last Revised: April 16, 20135 downloads
Comparing Futures and Forwards for Managing Currency Exposures in a South African Context
Antonie Kotze
Date Posted: March 29, 20137 downloads
Leisure, Consumption and Long Run Risk: An Empirical Evaluation
Xiang Zhang
Date Posted: March 29, 20138 downloads
Current Identifiable Biases in Italian Pension Fund Enrolment Decisions Bancaria No. 02/2013
Andrea Lippi
Date Posted: March 29, 2013
To What Extent are Financial Crises Comparable and Thus Predictable?
John Diamondopoulos
Date Posted: March 29, 201332 downloads
Calibration of a Nonlinear Feedback Option Pricing Model Quantitative Finance, Vol. 7(1), 2007, pp. 95-110
Simona Sanfelici
Date Posted: March 29, 2013Last Revised: April 02, 20133 downloads
Beta of Viet Nam Listed Banking and Other Financial Service Company Groups During and After the Financial Crisis 2007-2011
Dinh Tran Ngoc Huy
Date Posted: March 29, 201316 downloads
The Importance of Being Steve: An Econometric Analysis of the Contribution of Steve Jobs's Patents to Apple's Market Valuation Colorado College Working Paper No. 2013-1
Daniel K. N. Johnson and
Sylvie Scowcroft
Date Posted: March 29, 201375 downloads
Galerkin Infinite Element Approximation for Pricing Barrier Options and Options with Discontinuous Payoff Decisions in Economics and Finance, Vol. 27(2), 2004, pp. 125-151
Simona Sanfelici
Date Posted: March 29, 2013
Bonus Schemes and Trading Activity TILEC Discussion Paper No. 2013-007
Elena Pikulina
,
Luc Renneboog ,
Jenke ter Horst and
Philippe Tobler
Date Posted: March 29, 201313 downloads
The Buyback Anomaly on the Polish Capital Market
Adam Szyszka and
Adam Zaremba
Date Posted: March 29, 2013Last Revised: April 01, 20138 downloads
Say Pays! Shareholder Voice and Firm Performance Upjohn Institute Working Paper No. 13-192
Vicente Cuñat and
Mireia Gine
Date Posted: March 28, 2013104 downloads
2012: A Year of the State's Increasing Presence in the Stock Market Journal of Russian Economic Developments, No. 2, 2013
Alexander E. Abramov
Date Posted: March 28, 20136 downloads
Cash Dividends and Investor Protection in Asia International Review of Financial Analysis, Forthcoming
Abhinav Goyal and
Cal B. Muckley
Date Posted: March 28, 2013Last Revised: March 29, 201317 downloads
Option Pricing with Market Impact and Non-Linear Black and Scholes PDEs
Grégoire Loeper
Date Posted: March 28, 201311 downloads
Barrier Options Under Lévy Processes: A Simple Short-Cut
José Fajardo
Date Posted: March 28, 2013Last Revised: April 19, 201317 downloads
A Takeover Ratio Parameter for the Evaluation of an Initial Public Offer
Tadeusz Dudycz
Date Posted: March 28, 201312 downloads
Sequential Static-Dynamic Hedging for Long-Term Derivatives Procedia Computer Science, Volume 9, 2012, pp.1211--1218
Tim Leung
Date Posted: March 28, 2013
Performance Evaluation, Contracts, and Flows in Efficient Markets
Heber Farnsworth
Date Posted: March 28, 201322 downloads
Expecting the Fed
Anna Cieslak
and
Pavol Povala
Date Posted: March 28, 2013Last Revised: May 14, 201331 downloads
Long Memory in the Ukrainian Stock Market DIW Berlin Discussion Paper No. 1279
Guglielmo Maria Caporale and
Luis A. Gil-Alana
Date Posted: March 28, 201310 downloads
Foreign Investor Flows and 'Blue Chip' Stock Returns International Journal of Emerging Markets, Vol.8, No.2, 2013, pp.170-181
Cahit Adaoglu and
Salih Turan Katircioglu
Date Posted: March 28, 2013
Is the Willingness to Take Financial Risk a Sex-Linked Trait? Evidence from National Surveys of Household Finance DIW Berlin Discussion Paper No. 1278
Nataliya Barasinska
and
Dorothea Schaefer
Date Posted: March 28, 201320 downloads
Why Do Stock Prices Drop by Less than the Amount of the Dividend? Evidence from a Unique Environment
Khamis Al-Yahyaee
Date Posted: March 27, 201320 downloads
An Efficient Stock Market? Ridiculous Journalof Portfolio Management, p. 31, Summer 1983
Robert Ferguson
Date Posted: March 27, 201317 downloads
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