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Full Text Papers: 573,773
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SSRN eLibrary Search Results
JEL Code: C15
519,841 Total downloads
Showing Papers 901 - 950 of 2,290
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Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri

Date Posted: July 19, 2016
Last Revised: July 21, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Mortality Effects of Temperature Changes in the United Kingdom
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool and Monash University - Department of Econometrics & Business Statistics
Date Posted: July 18, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Missing Observations on a Variable: When Do the Listwise Deletion and Indicator Approaches Work?
Mahdiyeh Entezarkheir
University of Western Ontario - Huron University College
Date Posted: July 16, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Volatility Estimation and Jump Testing via Realized Information Variation
Weiyi Liu and Mingjin Wang
Capital University of Economics and Business - School of Finance and Peking University - Guanghua School of Management
Date Posted: July 14, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Efficient Simulation of High Dimensional Gaussian Vectors
Nabil Kahalé
ESCP Europe
Date Posted: July 14, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Empirical Validation of Simulated Models through the GSL-div: An Illustrative Application
LEM Working Paper Series, 2016/18
Francesco Lamperti
Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM
Date Posted: July 12, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
David Ardia, Anas Guerrouaz and Jeanne Rey
University of Neuchatel - Institute of Financial Analysis, Laval University - Département de Finance et Assurance and National Bank of Canada
Date Posted: July 09, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Credit Exposure in the Presence of Initial Margin
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Date Posted: July 08, 2016
Last Revised: July 23, 2016
Working Paper Series
124 downloads

Incl. Electronic Paper Estimation and Inference with a (Nearly) Singular Jacobian
Sukjin Han and Adam McCloskey
University of Texas at Austin - Department of Economics and Brown University - Department of Economics
Date Posted: July 08, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Testing Identifying Assumptions in Regression Discontinuity Designs
Yu‐Chin Hsu, Ismael Mourifie and Yuanyuan Wan
Academia Sinica, University of Toronto - Department of Economics and University of Toronto - Department of Economics
Date Posted: July 06, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper What is a Complex Innovation System?
Katz JS (2016) What Is a Complex Innovation System? PLoS ONE 11(6): e0156150. doi:10.1371/journal.pone.0156150
Sylvan Katz
University of Sussex - Science and Technology Policy Research Unit (SPRU)
Date Posted: July 02, 2016
Accepted Paper Series
6 downloads

Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap Approach
J. Hambuckers and C. Heuchenne. Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap approach. Journal of Forecasting, 34 (4): 347-372, 2016.
Julien Hambuckers and Cedric Heuchenne
HEC-ULg University of Liège and University of Liege - HEC Management School
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Electronic Paper Thirty Years of Conflict and Economic Growth in Turkey: A Synthetic Control Approach
LEQS Paper No. 112
Firat Bilgel and Burhan Can Karahasan
Okan University and Okan University
Date Posted: June 30, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Taking the One-Year Change from Another Angle
Michel M. Dacorogna, Alessandro Ferriero and David Krief
SCOR Switzerland, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Date Posted: June 25, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?
Bundesbank Discussion Paper No. 46/2015
Philipp Koziol, Carmen Schell and Meik Eckhardt
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Many a Little Makes a Mickle: Macro Portfolio Stress Test for Small and Medium-Sized German Banks
Bundesbank Discussion Paper No. 23/2015
Ramona Busch, Philipp Koziol and Marc Mitrovic
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Calculating Trading Book Capital: Is Risk Separation Appropriate?
Bundesbank Discussion Paper No. 19/2015
Peter Raupach
Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Centrality-Based Capital Allocations
Bundesbank Discussion Paper No. 03/2015
Adrian Alter, Ben R. Craig and Peter Raupach
International Monetary Fund, Federal Reserve Bank of Cleveland and Deutsche Bundesbank - Research Department
Date Posted: June 21, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Stress Testing German Banks Against a Global Cost-of-Capital Shock
Bundesbank Discussion Paper No. 04/2012
Klaus Duellmann and Thomas K. Kick
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper The Oil Price Crash in 2014/15: Was There a (Negative) Financial Bubble?
Energy Policy, Forthcoming
Dean Fantazzini
Date Posted: June 20, 2016
Accepted Paper Series
34 downloads

Incl. Electronic Paper The Great Gatsby Curve Revisited - The Relationship Between Inequality and Intergenerational Mobility
Yonatan Berman
Tel Aviv University
Date Posted: June 17, 2016
Last Revised: June 20, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Stochastic Weighted Graphs: Flexible Model Specification and Simulation
Political Networks Workshops & Conference 2016
James David Wilson, Matthew James Denny, Shankar Bhamidi, Skyler J. Cranmer and Bruce A. Desmarais
University of San Francisco, Pennsylvania State University, University of North Carolina (UNC) at Charlotte, Ohio State University (OSU) - Department of Political Science and Pennsylvania State University
Date Posted: June 15, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Estimating Quarterly Indicators of Economic Activity for the States of the Eastern Caribbean Currency Union
Central Bank of Barbados WP/15/7
Shane R. Lowe and Tiffany Grosvenor
University of Glasgow, Faculty of Social Sciences, Department of Economics, Students and Central Bank of Barbados
Date Posted: June 14, 2016
Working Paper Series
5 downloads

Incl. Electronic Paper Inference with Correlated Clusters
RAND Working Paper Series WR- 1137
David Powell
RAND Corporation
Date Posted: June 11, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Risk Premium of Social Media Sentiment
Patrick Houlihan and Germán G. Creamer
Stevens Institute of Technology and Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: June 09, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Systemic Risk Contributions: A Credit Portfolio Approach
Bundesbank Series 2 Discussion Paper No. 2011,08
Klaus Duellmann and Natalia Puzanova
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 08, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper A Solution to the Problem of Too Many Instruments in Dynamic Panel Data GMM
Bundesbank Series 1 Discussion Paper No. 2009,31
Jens Mehrhoff
affiliation not provided to SSRN
Date Posted: June 08, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Stress Testing German Banks in a Downturn in the Automobile Industry
Bundesbank Series 2 Discussion Paper No. 2009,02
Klaus Duellmann and Martin Erdelmeier
Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 08, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?
Bundesbank Series 2 Discussion Paper No. 2008,14
Thomas Breuer, Martin Jandacka, Klaus Rheinberger and Martin Summer
University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg, University of Applied Sciences Vorarlberg and Oesterreichische Nationalbank (OeNB)
Date Posted: June 08, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Panel Estimation of State Dependent Adjustment When the Target is Unobserved
Bundesbank Series 1 Discussion Paper No. 2008,09
Ulf von Kalckreuth
Deutsche Bundesbank - Economic Research Centre
Date Posted: June 08, 2016
Working Paper Series

Incl. Electronic Paper The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market
Bundesbank Series 2 Discussion Paper No. 2008,09
Nikola A. Tarashev and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: June 08, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Asset Correlations and Credit Portfolio Risk: An Empirical Analysis
Bundesbank Series 2 Discussion Paper No. 2007,13
Klaus Duellmann, Martin Scheicher and Christian Schmieder
Deutsche Bundesbank, European Central Bank (ECB) and International Monetary Fund (IMF)
Date Posted: June 08, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Empirical Risk Analysis of Pension Insurance: The Case of Germany
Bundesbank Series 2 Discussion Paper No. 2006,07
Wolfgang Gerke, Ferdinand Mager, Timo Reinschmidt and Christian Schmieder
University of Erlangen-Nuernberg, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and International Monetary Fund (IMF)
Date Posted: June 08, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Measuring Business Sector Concentration by an Infection Model
Bundesbank Series 2 Discussion Paper No. 2006,03
Klaus Duellmann
Deutsche Bundesbank
Date Posted: June 08, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Unit Roots and Cointegration in Panels
Bundesbank Series 1 Discussion Paper No. 2005,42
Jörg Breitung and M. Hashem Pesaran
University of Bonn and USC Dornsife Institute for New Economic Thinking
Date Posted: June 08, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper A Comparison of Dynamic Panel Data Estimators: Monte Carlo Evidence and an Application to the Investment Function
Bundesbank Series 1 Discussion Paper No. 2003,05
Andreas Behr
University of Muenster - Faculty of Economics
Date Posted: June 08, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: An Exact Simulation-Based Approach
Bundesbank Series 1 Discussion Paper No. 2003,01
Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA), University of Montreal - Department of Economics and Laval University - Département d'Économique
Date Posted: June 08, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
Bundesbank Series 1 Discussion Paper No. 2002,26
Lutz Kilian and Sílvia Gonçalves
University of Michigan at Ann Arbor - Department of Economics and affiliation not provided to SSRN
Date Posted: June 08, 2016
Working Paper Series

Incl. Electronic Paper The Buy-and-Hold Market Timer
William Trainor
East Tennessee State University
Date Posted: June 04, 2016
Working Paper Series
85 downloads

Incl. Electronic Paper Scalable MCMC for Large Data Problems Using Data Subsampling and the Difference Estimator
Sveriges Riksbank Working Paper Series No. 306, Riksbank Research Paper Series No. 130
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: June 04, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Considering Multiple Materialities for Account Combinations in Audit Planning and Evaluation: A Cost Efficient Approach
Journal of Accounting, Auditing and Finance, Vol. 13, No. 2, 1998
Saurav K. Dutta and Lynford E. Graham
State University of New York (SUNY) at Albany and Bentley University
Date Posted: June 01, 2016
Accepted Paper Series
10 downloads

Incl. Electronic Paper A Unified Approach to Mortality Modelling Using State-Space Framework: Characterisation, Identification, Estimation and Forecasting
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, University College London and CSIRO Australia
Date Posted: May 31, 2016
Working Paper Series
11 downloads

Incl. Electronic Paper On the Computation of LOT Liquidity Measure
Economics Letters, Vol. 136, No. 11, June 2015
Wandi Zhao and Mingjin Wang
Peking University - Guanghua School of Management and Peking University - Guanghua School of Management
Date Posted: May 31, 2016
Accepted Paper Series
13 downloads

Incl. Electronic Paper A Relational Model for Predicting Farm-Level Crop Yield Distributions in the Absence of Farm-Level Data
Lysa Porth, Ken Seng Tan and Wenjun Zhu
University of Manitoba - Warren Centre for Actuarial Studies and Research, University of Waterloo and Nankai University, School of Finance
Date Posted: May 28, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility
Giuseppe Montesi and Giovanni Papiro
University of Siena - School of Economics and Management and Banca Monte Del Paschi de Siena (MPS)
Date Posted: May 28, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Risk Optimisation: Finding the Signal in the Noise
Benedict Burnett, Simon C O'Callaghan and Tom Hulme
Barclays Investment Bank, Barclays Investment Bank and Barclays Investment Bank
Date Posted: May 26, 2016
Last Revised: May 28, 2016
Working Paper Series
116 downloads

Incl. Electronic Paper Alternative HAC Covariance Matrix Estimators with Improved Finite Sample Properties
UNSW Business School Research Paper No. 2016-06
Luke Hartigan
University of New South Wales (UNSW), UNSW Business School, School of Economics
Date Posted: May 24, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models
Leland E. Farmer
University of California, San Diego
Date Posted: May 17, 2016
Working Paper Series
64 downloads

Incl. Electronic Paper Multivariate Pascal Mixture Regression Models for Correlated Claim Frequencies
Dameng Tang, Andrei L Badescu, X. Sheldon Lin and Emiliano A. Valdez
University of Toronto, University of Toronto - Department of Statistics, Department of Statistical Sciences, University of Toronto and University of Connecticut
Date Posted: May 17, 2016
Working Paper Series
20 downloads

Managing Complexity – Effective Decision Rules for Trading Renewable Energy
Michael Hassler
University of Augsburg
Date Posted: May 15, 2016
Working Paper Series


 

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