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JEL Code: C5
1,185,800 Total downloads
Showing Papers 851 - 900 of 6,012
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A Fractal Version of the Hull-White Interest Rate Model Paris December 2012 Finance Meeting EUROFIDAI-AFFI Paper
Donatien Hainaut
Date Posted: June 03, 201218 downloads
Equity and CDS Sector Indices: Dynamic Models and Risk Hedging
Massimiliano Caporin
Date Posted: June 03, 2012133 downloads
Fast Clustering of GARCH Processes Via Gaussian Mixture Models
Gian Piero Aielli
and
Massimiliano Caporin
affiliation not provided to SSRN
and
University of Padova - Department of Economics and Management "Marco Fanno"
Date Posted: June 03, 201226 downloads
Policy Regimes, Policy Shifts, and U.S. Business Cycles
Saroj Bhattarai
,
Jae Won Lee
and
Woong Yong Park
Date Posted: June 03, 2012Last Revised: May 28, 201326 downloads
Aggregating Credit and Market Risk: The Impact of Model Specification Tinbergen Institute Discussion Paper 12-057/2/DSF36
Andre Lucas and
Bastiaan Verhoef
Date Posted: June 02, 201283 downloads
Examining What Best Explains Corporate Credit Risk: Accounting-Based versus Market-Based Models Journal of Business Economics and Management, DOI:10.3846/16111699.2012.720598, Forthcoming
Antonio Trujillo‐Ponce ,
Reyes Samaniego-Medina
and
Clara Cardone-Riportella
Date Posted: June 02, 2012Last Revised: January 29, 2013
Skyscrapers and Business Cycles
Mark Thornton
Date Posted: June 02, 20124 downloads
Growth of Asian Pension Assets: Implications for Financial and Capital Markets ADBI Working Paper 360
Yuwei Hu IV
Date Posted: June 01, 201240 downloads
Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity? Document de Travail No. 383
Laurent Ferrara
,
Massimiliano Giuseppe Marcellino and
Matteo Mogliani
Date Posted: June 01, 201233 downloads
Minimum Distance Estimators for Dynamic Games
Sorawoot Srisuma
Date Posted: June 01, 2012Last Revised: October 08, 201218 downloads
Uncertainty and Heterogeneity in Factor Models Forecasting Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Matteo Luciani
and
Libero Monteforte
Date Posted: June 01, 2012Last Revised: July 31, 201213 downloads
WALS Prediction CentER Discussion Paper Series No. 2012-043
J.R. Magnus ,
Wendun Wang
and
Xinyu Zhang
Date Posted: June 01, 201216 downloads
A Conditional Capital Asset Pricing Model for Maritime Firms: Empirical Evidence from the Us Stock Market 10th World Conference on Transportation Research, Istanbul, Turkey, 2004
Oral Erdogan
Date Posted: May 31, 201260 downloads
Empirical Investigation of Retail Expansion and Cannibalization in a Dynamic Environment Management Science, Forthcoming
Joseph Pancras
,
S. Sriram and
V. Kumar
Date Posted: May 31, 201253 downloads
FEER Index - Forecasting Extreme Events Risk
Amitay Kauffmann
and
Gal Zahavi
Date Posted: May 31, 2012Last Revised: March 19, 2013154 downloads
Realized Wavelet Jump-GARCH Model: Can Time-Frequency Decomposition of Volatility Improve its Forecasting?
Jozef Barunik and
Lukas Vacha
Date Posted: May 31, 2012Last Revised: February 12, 201371 downloads
Stochastic Volatility with Heterogeneous Time Scales
Danilo Delpini
and
Giacomo Bormetti
Date Posted: May 31, 2012Last Revised: April 03, 201315 downloads
TailCoR
Lorenzo Ricci and
David Veredas
Date Posted: May 31, 2012Last Revised: May 16, 2013356 downloads
Do Labyrinthine Legal Limits on Leverage Lessen the Likelihood of Losses?: An Analytical Framework Texas Law Review, Vol. 90, No. 7, 2012
Andrew W. Lo and
Thomas J. Brennan
Date Posted: May 30, 2012Last Revised: September 05, 2012114 downloads
Nowcasting US GDP: The Role of ISM Business Surveys International Journal of Forecasting, Forthcoming
Kajal Lahiri and
George Monokroussos
Date Posted: May 30, 201232 downloads
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, 201296 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, 2012444 downloads
Forecasting Via Wavelet Denoising – The Random Signal Case
Joanna Bruzda
affiliation not provided to SSRN
Date Posted: May 26, 201262 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, 201280 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, 201271 downloads
Intra-Daily Volatility Spillovers between the US and German Stock Markets
Vasyl Golosnoy
,
Bastian Gribisch and
Roman Liesenfeld
Date Posted: May 25, 201260 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, 2012131 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, 2012304 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, 201372 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, 2013137 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, 201277 downloads
Worldwide Equity Risk Prediction Applied Economics Letters, Forthcoming
David Ardia and
Lennart F. Hoogerheide
Date Posted: May 23, 2012Last Revised: May 22, 201360 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, 2012145 downloads
Indian Money Market Dynamics
Golaka C. Nath
Date Posted: May 20, 2012Last Revised: May 24, 2012139 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, 2013150 downloads
GARCH Processes with Skewed and Leptokurtic Innovations: Revisiting the Johnson SU Case
Jean-Guy Simonato
Date Posted: May 18, 201244 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, 201239 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, 201255 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, 20138 downloads
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