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Full Text Papers: 514,839
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SSRN eLibrary Search Results
JEL Code: C15
468,576 Total downloads
Showing Papers 901 - 950 of 2,120
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Incl. Electronic Paper Risk Analysis Probability of Default: A Stochastic Simulation Model
The Journal of Credit Risk Volume 10, Number 3 (September 2014)
Giuseppe Montesi and Giovanni Papiro
School of Economics and Management - University of Siena and Banca Monte Del Paschi de Siena (MPS)
Date Posted: July 28, 2015
Accepted Paper Series
3 downloads

Incl. Fee Electronic Paper Double Bootstrap Confidence Intervals in the Two‐Stage DEA Approach
Journal of Time Series Analysis, Vol. 36, Issue 5, pp. 653-662, 2015
Dimitris K. Chronopoulos , Claudia Girardone and John C. Nankervis
University of St. Andrews - School of Management , University of Essex - Essex Business School and University of Essex - Department of Accounting, Finance & Management
Date Posted: July 28, 2015
Accepted Paper Series

Incl. Electronic Paper A Computational Spectral Approach to Interest Rate Models
Luca di Persio , Gregorio Pellegrini and Michele Bonollo
University of Verona - Department of Computer Science , University of Verona - Department of Computer Science and Iason Ltd
Date Posted: July 27, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Determinants of Competitiveness in Travel and Tourism Industry: An Empirical Investigation
Atul Bhardwaj and Ramesh Bhardwaj
Independent and George Brown College
Date Posted: July 27, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Inflated Mixture Models: Applications to Multimodality in Loss Given Default
Mauro R de Oliveira Jr , Francisco Louzada , Gustavo Henrique de Araujo Pereira , Fernando Francis Moreira and Raffaella Calabrese
Caixa Econômica Federal , University of Sao Paulo (USP) , Universidade Federal de São Carlos , Keele University and University of Essex
Date Posted: July 27, 2015
Working Paper Series
10 downloads

Incl. Electronic Paper Optimising Asset Allocation between Hedge Funds and Private Equity
Gabriele Susinno and Christophe de Dardel
Financial Advisory Services and Unigestion SA
Date Posted: July 25, 2015
Working Paper Series
7 downloads

Incl. Electronic Paper Demystifying Rebalancing Premium: A Methodological Path to Risk Premia Engineering
Vladislav Dubikovsky and Gabriele Susinno
MSCI Barra and Financial Advisory Services
Date Posted: July 25, 2015
Working Paper Series
18 downloads

Incl. Electronic Paper Bitcoin Market Return and Volatility Forecasting Using Transaction Network Flow Properties
Steve Y. Yang and Jinhyoung Kim
Stevens Institute of Technology and Stevens Institute of Technology
Date Posted: July 22, 2015
Working Paper Series
16 downloads

Incl. Electronic Paper Accounting for Tax Evasion Profiles and Tax Expenditures in Microsimulation Modelling. The BETAMOD Model for Personal Income Taxes in Italy
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 24/WP/2015
Andrea Albarea , Michele Bernasconi , Cinzia Di Novi , Anna Marenzi , Dino Rizzi and Francesca Zantomio
Ca Foscari University of Venice, Department of Economics, Students , Università Ca' Foscari, Venezia - Department of Economics and SSE , Ca Foscari University of Venice , Ca' Foscari University of Venice, Department of Economics , Ca Foscari University of Venice - Department of Economics and Ca Foscari University of Venice
Date Posted: July 21, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Dynamic Predictive Density Combinations for Large Data Sets in Economics and Finance
Tinbergen Institute Discussion Paper 15-084/III
Roberto Casarin , Stefano Grassi , Francesco Ravazzolo and H. K. van Dijk
University Ca' Foscari of Venice - Department of Economics , University of Kent, Canterbury , Norges Bank and Tinbergen Institute
Date Posted: July 21, 2015
Working Paper Series
4 downloads

Incl. Electronic Paper A Triple Hazard Model for Price and Sales Crashes of New High-Technology Products
Carlos H. Mireles and Georgios Effraimidis
University of Texas at Austin and University of Southern Denmark
Date Posted: July 17, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Size Matters – Small is Beautiful: The Impact of Portfolio Diversification and Selection on Risk and Return in Private Equity
Olivier Gottschalg , Dr. Ralf Gleisberg and Ramun Derungs
HEC Paris (Groupe HEC) - Strategy & Business Policy , Akina Ltd. and Akina Ltd.
Date Posted: July 17, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Assessment of Accuracy of Finite Difference Methods in Evaluation of Options within Heston Model
Chencheng Cai
Rutgers, The State University of New Jersey - Financial Statistics & Risk Management
Date Posted: July 15, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Updating Poverty Estimates in the Absence of Regular and Comparable Consumption Data: Methods and Illustration with Reference to a Middle-Income Country
Hai-Anh Dang , Peter F. Lanjouw and Umar Serajuddin
World Bank , World Bank - Development Research Group (DECRG) and World Bank
Date Posted: July 13, 2015
Last Revised: July 25, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Confidence Bands for ROC Curves with Serially Dependent Data
Forthcoming in Journal of Business & Economic Statistics
Kajal Lahiri and Liu Yang
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics and Nanjing University - School of Business
Date Posted: July 10, 2015
Accepted Paper Series
17 downloads

Incl. Electronic Paper Calculating Trading Book Capital: Is Risk Separation Appropriate?
Peter Raupach
Deutsche Bundesbank - Research Department
Date Posted: July 08, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Regression and Kriging Metamodels with Their Experimental Designs in Simulation: Review
CentER Discussion Paper Series No. 2015-035
Jack P. C. Kleijnen
Tilburg University, CentER
Date Posted: July 07, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Validating the Assumptions of Sequential Bifurcation in Factor Screening
CentER Discussion Paper Series No. 2015-034
Wen Shi and Jack P. C. Kleijnen
Huazhong University of Science and Technology and Tilburg University, CentER
Date Posted: July 06, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Change Point and Trend Analyses of Annual Expectile Curves of Tropical Storms
Petra Burdejova , Wolfgang K. Härdle , Piotr Kokoszka and Q. Xiong
Humboldt University of Berlin - School of Business and Economics , Humboldt University of Berlin - Institute for Statistics and Econometrics , Utah State University - Department of Mathematics & Statistics and Humboldt University of Berlin
Date Posted: July 03, 2015
Working Paper Series
2 downloads

Incl. Electronic Paper Accurate & Efficient Pricing of Arithmetic Average Asian Options within the Hull-White Method
Pratik Ramprasad
Department of Statistics, Rutgers University
Date Posted: June 30, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Performance of Alternative Price Forecast for Pakistan
Forman Journal of Economic Studies Vol. 8, 2012 (January–December) pp. 31-61,
Yasser Javed and Eatzaz Ahmad
Federal Urdu University of Arts, Science and Technology Islamabad, Students and Quaid-e-Azam University
Date Posted: June 29, 2015
Accepted Paper Series
1 downloads

Incl. Electronic Paper Is Real Per Capita State Personal Income Stationary? New Nonlinear, Asymmetric Panel-Data Evidence
Furkan Emirmahmutoglu , Rangan Gupta , Stephen M. Miller and Tolga Omay
Gazi University , University of Pretoria - Department of Economics , University of Nevada, Las Vegas - Department of Economics and Cankaya University
Date Posted: June 28, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Estimation of VAR Using Copula and Extreme Value Theory
Multinational Finance Journal, Vol. 12, No. 3/4, p. 205-218, 2008
Luiz Koodi Hotta , Edimilson C. Lucas and Helder P. Palaro
University of Campinas (UNICAMP) - Department of Statistics , Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration and Independent
Date Posted: June 26, 2015
Accepted Paper Series
12 downloads

Incl. Electronic Paper Asymmetric Return and Volatility Responses to Composite News from Stock Markets
Multinational Finance Journal, Vol. 11, No. 3/4, p. 179-210, 2007
Thomas Chinan Chiang , Cathy W. S. Chen and Mike K. P. So
Drexel University - Department of Finance , Feng Chia University - Department of Statistics and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics & Operations Management
Date Posted: June 26, 2015
Accepted Paper Series
8 downloads

Incl. Electronic Paper Higher-Order Terms in Bivariate Returns to International Stock Market Indices
Multinational Finance Journal, Vol. 12, No. 1/2, p. 127-155, 2008
Kirt C. Butler and Katsushi Okada
Michigan State University and Michigan State University
Date Posted: June 26, 2015
Accepted Paper Series
3 downloads

Incl. Electronic Paper Robust Regression Estimation Methods and Intercept Bias: A Capital Asset Pricing Model Application
Multinational Finance Journal, Vol. 13, No. 3/4, p. 293-321, 2009
James McDonald , Richard A. Michelfelder and Panayiotis Theodossiou
Brigham Young University - Department of Economics , Rutgers, The State University of New Jersey - Rutgers University, Camden and Cyprus University of Technology
Date Posted: June 26, 2015
Accepted Paper Series
15 downloads

Incl. Electronic Paper Heterogeneous Basket Options Pricing Using Analytical Approximations
Multinational Finance Journal, Vol. 15, No. 1/2, p. 47-85, 2011
Georges Dionne , Geneviève Gauthier , Nadia Ouertani and Nabil Tahani
HEC Montreal - Department of Finance , HEC Montreal - Department of Management Sciences , IESEG School of Management and York University - Atkinson School of Administrative Studies
Date Posted: June 25, 2015
Accepted Paper Series
10 downloads

Incl. Electronic Paper Double-Jump Stochastic Volatility Model for VIX: Evidence from VVIX
Xin Zang , Jun Ni , Jingzhi Huang and Lan Wu
Peking University , Pennsylvania State University - Department of Mathematics , Pennsylvania State University - Department of Finance and Peking University
Date Posted: June 24, 2015
Last Revised: July 07, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Collateral Damage? Micro-Simulation of Transaction Cost Shocks on the Value of Central Bank Collateral
ECB Working Paper No. 1793
Alvise Lennkh and Florian Walch
European Stability Mechanism and European Central Bank (ECB)
Date Posted: June 23, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Kernel Estimation of Copula Densities and Applications
Song LI and Param Silvapulle
Monash Business School and Monash University - Department of Econometrics & Business Statistics
Date Posted: June 20, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes
Roman Liesenfeld , Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics , University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Date Posted: June 11, 2015
Last Revised: June 16, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Stock Price Kinetics
Rodion Remorov
Independent
Date Posted: June 09, 2015
Working Paper Series
52 downloads

Incl. Electronic Paper Estimation of the Stochastic Leverage Effect Using the Fourier Transform Method
Imma Valentina Curato
University of Ulm
Date Posted: June 07, 2015
Working Paper Series
24 downloads

Incl. Electronic Paper Timing Law School (Presentation Slides)
Michael Simkovic and Frank McIntyre
Seton Hall Law School and Rutgers Business School Newark and New Brunswick
Date Posted: June 01, 2015
Last Revised: July 22, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper The Econometrics of Networks: A Review
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 13/WP/2015
Daniel Felix Ahelegbey
Ca Foscari University of Venice - Department of Economics
Date Posted: May 30, 2015
Working Paper Series
212 downloads

Incl. Electronic Paper Can Social Media and the Options Market Predict the Stock Market Behavior?
Patrick Houlihan and Germán Creamer, “Can social media and the options market predict the stock market behavior?” in Proceedings of the 21st International Conference on Computing in Economics and Finance, Taipei, June 2015, Forthcoming,
Patrick Houlihan and Germán G. Creamer
Stevens Institute of Technology and Stevens Institute of Technology - Wesley J. Howe School of Technology Management
Date Posted: May 29, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Comparing the Homogeneity of Income Distributions Using Polarization Indices
CIRPEE Working Paper 15-12
André-Marie Taptue
Laval University
Date Posted: May 27, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper Comparing the Size of the Middle Class Using the Alienation Component of Polarization
CIRPEE Working Paper 15-11
André-Marie Taptue
Laval University
Date Posted: May 27, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Fast and Accurate Exercise Policies for Bermudan Swaptions in Libor Market Model
Patrik Karlsson , Shashi Jain and Cornelis W. Oosterlee
Lund University , Center for Mathematics and Computer Science (CWI) and Center for Mathematics and Computer Science (CWI)
Date Posted: May 27, 2015
Last Revised: June 01, 2015
Working Paper Series
23 downloads

Incl. Electronic Paper Estimation Method for Dynamic Equilibrium Models of Firm Dynamics
Kazufumi Yamana
Hitotsubashi University - Graduate School of Economics
Date Posted: May 26, 2015
Working Paper Series
6 downloads

Incl. Electronic Paper A Complete Analytical Solution of the Asian Option Pricing within the Heston Model for Stochastic Volatility: A Probability Density Function Approach
Alexander F. Izmailov and Brian Shay
Market Memory Trading L.L.C. and Market Memory Trading
Date Posted: May 23, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Optimal Two-Sided Tests for Instrumental Variables Regression with Heteroskedastic and Autocorrelated Errors
Humberto Moreira and Marcelo J. Moreira
Fundacao Getulio Vargas (FGV) and Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças
Date Posted: May 22, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Structural VARs, Deterministic and Stochastic Trends: Does Detrending Matter?
Reserve Bank of New Zealand Discussion Paper 2015/02
Varang Wiriyawit and Benjamin Wong
Australian National University and Reserve Bank of New Zealand
Date Posted: May 18, 2015
Working Paper Series
3 downloads

Incl. Electronic Paper Valoración De Derivados Europeos Con Mixtura De Distribuciones Weibull (Valuation for European Derivatives with Mixture-Weibull Distributions)
Cuadernos de Economía, Vol. 34, No. 65, 279-298. doi: 10.15446/cuad.econ.v34n65.48656 ,
Andrés Mauricio Molina and José Alfredo Jiménez Moscoso
National University of Colombia and National University of Colombia
Date Posted: May 16, 2015
Accepted Paper Series
4 downloads

Incl. Electronic Paper Modelling Annuity Portfolios and Longevity Risk with Extended CreditRiskPlus
Jonas Hirz , Uwe Schmock and Pavel V. Shevchenko
TU Wien , TU Wien and CSIRO Australia
Date Posted: May 15, 2015
Last Revised: May 29, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper Investigating the Results: A Criminologists Licensure Exam Study
Adrian Tamayo
University of Mindanao - Research and Publication Center
Date Posted: May 12, 2015
Working Paper Series
5 downloads

Incl. Electronic Paper Geographies of Violence: A Spatial Analysis of Five Types of Homicide in Brazil's Municipalities
Kellogg Institute for International Studies, Working Paper Series: #405
Matthew C. Ingram and Marcelo Marchesini da Costa
SUNY Albany and SUNY University at Albany
Date Posted: May 10, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper The Application of Affine Processes in Multi-Cohort Mortality Model
UNSW Business School Research Paper No. 2015ACTL13
Yajing Xu , Michael Sherris and Jonathan Ziveyi
UNSW Australia Business School, School of Risk & Actuarial Studies , University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and UNSW Australia Business School, School of Risk & Actuarial Studies
Date Posted: May 07, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Monte-Carlo Payoff-Smoothing for Pricing Autocallable Instruments
Frank Koster and Achim Rehmet
DGZ-DekaBank and DGZ-DekaBank
Date Posted: May 05, 2015
Last Revised: June 09, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Time Series Analysis for Big Data: Evaluating Bayesian Structural Time Series Using Electricity Prices
Nicole Ludwig , Stefan Feuerriegel and Dirk Neumann
University of Freiburg (Germany) - Information Systems Research , University of Freiburg (Germany) - Information Systems Research and University of Freiburg
Date Posted: May 05, 2015
Working Paper Series
43 downloads


 

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