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JEL Code: C22
533,649 Total downloads
Showing Papers 921 - 970 of 3,420
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Forecasting Stock Index Realized Volatility with an Asymmetric HAR-FIGARCH Model: The Case of S&P 500 and DJI Stock Indices
Dimitrios P. Louzis
,
Spyros Xanthopoulos-Sisinis
and
Apostolos N. Refenes
Date Posted: December 19, 2009Last Revised: January 31, 2010143 downloads
Forecasting with Nonlinear Time Series Models CREATES Research Paper No. 2010-1
Timo Terasvirta
and
Anders Bredahl Kock
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: January 04, 2010Last Revised: January 05, 2010143 downloads
Time Varying Structural Vector Autoregressions and Monetary Policy
Giorgio E. Primiceri
Date Posted: January 08, 2003143 downloads
A Note on an Iterative Least Squares Estimation Method for ARMA and VARMA Models U of London Queen Mary Economics Working Paper No. 467
George Kapetanios
Date Posted: January 15, 2003142 downloads
Detecting Multiple Breaks in Long Memory: The Case of U.S. inflation
Uwe Hassler and
Barbara Meller
Date Posted: August 05, 2009Last Revised: October 25, 2011142 downloads
Memory Time-Varying Models for Weather Derivative Pricing
Massimiliano Caporin and
Juliusz Pres
Date Posted: January 05, 2009Last Revised: December 16, 2009142 downloads
Monetary Policy Under Uncertainty in Micro-Founded Macroeconometric Models FRB of San Francisco Working Paper No. 2005-15
Andrew T. Levin ,
Alexei Onatski
,
John C. Williams and
Noah Williams
Date Posted: October 21, 2005Last Revised: November 03, 2007142 downloads
The Undisclosed Renminbi Basket: Are the Markets Telling Us Something About Where the Renminbi-US Dollar Exchange Rate is Going? CESifo Working Paper Series No. 2272
Michael Funke and
Marc Gronwald
Date Posted: April 10, 2008142 downloads
Fractal Market Time
James McCulloch
Date Posted: April 08, 2011Last Revised: April 16, 2012141 downloads
Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models UCSD Department of Economics Working paper 2000-32R
Silvia Goncalves and
Halbert L. White, Jr.
Date Posted: January 17, 2001141 downloads
Revisiting Non-Linear Dividend Yield Dynamics and Returns Predictability: Evidence from a Time-Varying ESTR Model
David G. McMillan
Date Posted: April 30, 2008141 downloads
Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments FRB of Philadelphia Working Paper No. 08-25
Nii Ayi C. Armah
and
Norman R. Swanson
Date Posted: March 07, 2007Last Revised: April 04, 2011141 downloads
Using Self-Organizing Maps to Adjust Intra-Day Seasonality
Walid Ben Omrane
and
Eric de Bodt
Date Posted: May 09, 2005Last Revised: May 03, 2013141 downloads
Binomial Autoregressive Moving Average Models with an Application to U.S. Recessions Center for Statistics in the Social Sciences Working Paper No. 56
Richard Startz
Date Posted: March 01, 2006140 downloads
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
Paolo Giordani and
Robert Kohn
Date Posted: February 28, 2006140 downloads
Expected Returns Across Time Scales Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Christophe Boucher
and
Bertrand B. Maillet
Date Posted: October 22, 2010140 downloads
Identifying and Forecasting House Price Dynamics in Ireland
Antonello D'Agostino
,
Kieran McQuinn and
Gerard O'Reilly
Date Posted: August 21, 2008140 downloads
Inflation Persistence: Facts or Artefacts? ECB Working Paper No. 371
Carlos Robalo Marques
Date Posted: December 03, 2004140 downloads
Is There Information About Future Inflation in the Term Structure? Empirical Results for Switzerland University of St. Gallen Working Paper
Christian Jochum and
Gebhard Kirchgässner
Date Posted: January 09, 1999140 downloads
Mean Variance Causality between the Official and Parallel Currency Markets: Evidence from Four Latin American Countries EFMA 2000 Athens
Angelos Kanas and
Georgios P. Kouretas
Date Posted: November 20, 2000140 downloads
Short-Run Behavior of Stock Returns: Speed of Adjustment and its Contributing Factors in the Jakarta Stock Exchange
Zaafri Ananto Husodo
and
Thomas Henker
Date Posted: July 01, 2007140 downloads
A New Test for Chaotic Dynamics Using Lyapunov Exponents FEDEA Working Paper No. 2003-09
Fernando Fernández Rodríguez ,
Simón Sosvilla Rivero and
Julián Andrada Félix
Date Posted: May 05, 2003139 downloads
Extreme-Quantile Tracking for Financial Time Series Swiss Finance Institute Research Paper No. 11-27
V. Chavez-Demoulin
,
Paul Embrechts
and
Sylvain Sardy
affiliation not provided to SSRN
Date Posted: July 12, 2011139 downloads
ML vs GMM Estimates of Hybrid Macroeconomic Models (With an Application to the 'New Phillips Curve') Banque de France Working paper No. 103
Eric Jondeau and
Hervé le Bihan
Date Posted: May 05, 2003139 downloads
On the Efficiency of Capital Markets ? A Dynamic Analysis of the Term Structure of Interest Rates in Britain Ludwig Boltzmann Working Paper
Martin Christian Richter
Date Posted: February 22, 2002139 downloads
Testing Real Interest Parity in Emerging Markets IMF Working Paper No. 06/249
Manmohan Singh
and
Abhisek Banerjee
Date Posted: November 13, 2006139 downloads
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models University of Copenhagen Discussion Paper
Nikolaus Hautsch
Date Posted: December 13, 2006139 downloads
Error Correction Mechanisms and
Short-Run Expectations FRB of New York Staff Report No. 10
Angelos A. Antzoulatos
Date Posted: June 22, 2007138 downloads
Explosive Behavior in the 1990s Nasdaq: When did Exuberance Escalate Asset Values? Cowles Foundation Discussion Paper No. 1699
Peter C. B. Phillips ,
Yangru Wu and
Jun Yu
Date Posted: June 05, 2009138 downloads
Long-Horizon Regressions when the Predictor is Slowly Varying
Hyungsik Roger Moon ,
Antonio Rubia Serrano
and
Rossen I. Valkanov
Date Posted: July 18, 2004138 downloads
Monetary Policy Rules and Regime Shifts
Giorgio Valente
Date Posted: July 21, 2002138 downloads
Predictable Risks and Predictive Regression in Present-Value Models
Ilaria Piatti
and
Fabio Trojani
Date Posted: March 15, 2011Last Revised: November 23, 2012138 downloads
Predictive Regressions with Panel Data FRB International Finance Discussion Paper No. 869
Erik Hjalmarsson
Date Posted: December 05, 2006138 downloads
Testing the Informational Efficiency of OTC Options on Emerging Market Currencies IMF Working Paper No. 03/01
Jorge A. Chan-Lau and
Armando Morales Bueno
Date Posted: May 03, 2003138 downloads
Contagion Across and Integration of Central and Eastern European Stock Markets: Evidence from Intraday Data William Davidson Institute Working Paper No. 798
Balázs Égert and
Evzen Kocenda
Date Posted: May 25, 2006137 downloads
Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries ECB Working Paper No. 496
Fabio Rumler
Date Posted: June 23, 2005137 downloads
Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets Using Logistic Smooth Transition Regression Models Quantitative Finance Research Centre Research Paper No. 172
Andreas Röthig
and
Carl Chiarella
Date Posted: May 02, 2006137 downloads
Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns
Melike Bildirici
and
Ozgur Omer Ersin
Date Posted: August 08, 2012137 downloads
The European Carbon Market in the Financial Turmoil: Some Empirics in Early Phase II IEFE Working Paper No. 20
Anna Creti
,
Monica Bonacina
and
Simone Cozialpi
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: July 05, 2009137 downloads
The Tail Risk of Emerging Stock Markets Massey U. College of Business Research Paper No. 6
Xiaoming Li and
Lawrence C. Rose
Date Posted: June 05, 2009Last Revised: July 06, 2009137 downloads
Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods UCSD, Economics Working Paper No. 2002-12
Raffaella Giacomini
Date Posted: November 10, 2002136 downloads
Excess Volatility of Exchange Rates with Unobservable Fundamentals FRB of New York Staff Report No. 103
Leonardo Bartolini and
Lorenzo Giorgianni
Date Posted: July 25, 2000136 downloads
Output Gaps and Inflation in Mainland China BIS Working Paper No. 194, HKIMR Working Paper No. 20/2005
Stefan Gerlach and
Wensheng Peng
Date Posted: March 21, 2006136 downloads
Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria
Shehu Usman Rano Aliyu
Date Posted: January 28, 2009136 downloads
Short-Term Estimates of Euro Area Real GDP by Means of Monthly Data ECB Working Paper No. 276
Franck Sédillot
and
Gerhard Rünstler
Date Posted: January 20, 2004136 downloads
Variance, Return, and High-Low Price Spreads Journal of Financial Research, Vol. 17, No. 3, Fall 1994
Ji-Chai Lin and
Michael S. Rozeff
Date Posted: May 23, 2006136 downloads
Copula-Based Nonlinear Quantile Autoregression Cowles Foundation Discussion Paper No. 1679
Xiaohong Chen ,
Roger Koenker and
Zhijie Xiao
Date Posted: October 15, 2008Last Revised: December 26, 2008135 downloads
Explaining Bias in the Foreign Exchange Market: The Case of Traded Volatility and Fractional Cointegration EFMA 2004 Basel Meetings Paper
Neil Kellard
and
Nicholas Sarantis
Date Posted: May 14, 2004135 downloads
GMM Estimation of Autoregressive Roots Near Unity with Panel Data Cowles Foundation Discussion Paper No. 1390; USC CLEO Research Paper No. C02-27
Hyungsik Roger Moon and
Peter C. B. Phillips
Date Posted: November 21, 2002135 downloads
International Stock Return Predictability: What is the Role of the United States?
David Rapach
,
Jack Strauss and
Guofu Zhou
Date Posted: March 19, 2010135 downloads
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