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Full Text Papers: 393,564
Authors: 226,645
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  Last 12 months: 		68,973

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Last 12 months: 11,172,224
Last 30 days: 1,065,087

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SSRN eLibrary Search Results
JEL Code: C5
1,170,102 Total downloads
Showing Papers 951 - 1,000 of 5,952
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Incl. Electronic Paper A Flexible Matrix Libor Model with Smiles
Alessandro Gnoatto , Martino Grasselli and José Da Fonseca
Ludwig-Maximilians-Universität Munich , University of Padua and Auckland University of Technology - Faculty of Business & Law
Date Posted: March 23, 2012
Working Paper Series
56 downloads

Incl. Electronic Paper Using Global VAR Models for Scenario-Based Forecasting and Policy Analysis
The GVAR Handbook: Structure and Applications of a Macro Model of the Global Economy for Policy Analysis (F. di Mauro and M.H. Pesaran eds.), Forthcoming.
 Matthew Greenwood-Nimmo , Viet Hoang Nguyen and Yongcheol Shin
University of Melbourne , Melbourne Institute of Applied Economic and Social Research and University of Leeds - Leeds University Business School - Division of Economics
Date Posted: March 23, 2012
Last Revised: July 14, 2012
Working Paper Series
129 downloads

Incl. Electronic Paper Market Risk of Developed and Developing Countries During the Global Financial Crisis
 Bülent Köksal and Mehmet Orhan
Ipek University - Department of Economics and Fatih University - Department of Economics
Date Posted: March 22, 2012
Working Paper Series
39 downloads

Incl. Electronic Paper ARIMA (Autoregressive Integrated Moving Average) Approach to Predicting Inflation in Ghana
Journal of Economics and International Finance, Vol. 3, No. 5, pp. 328-336, May 2011
Samuel Erasmus Alnaa and Ferdinand Ahiakpor
Bolgatanga Polytechnic and affiliation not provided to SSRN
Date Posted: March 21, 2012
Last Revised: May 13, 2012
Accepted Paper Series
51 downloads

Incl. Electronic Paper Evidence on Features of a DSGE Business Cycle Model from Bayesian Model Averaging
Tinbergen Institute Discussion Paper No. 12-025/4
 Rodney W. Strachan and H. K. van Dijk
Australian National University (ANU) - Research School of Economics and Tinbergen Institute
Date Posted: March 21, 2012
Working Paper Series
8 downloads

Incl. Electronic Paper Pitfalls in Backtesting Historical Simulation VAR Models
Center for Applied Economics and Policy Research Working Paper No. 2012-003
 Juan Carlos Escanciano and Pei Pei
Indiana University Bloomington - Department of Economics and Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development
Date Posted: March 21, 2012
Working Paper Series
179 downloads

Probabilistic Forecasting of Output Growth, Inflation and the Balance of Trade in a GVAR Framework
Journal of Applied Econometrics, Forthcoming
 Matthew Greenwood-Nimmo , Viet Hoang Nguyen and Yongcheol Shin
University of Melbourne , Melbourne Institute of Applied Economic and Social Research and University of Leeds - Leeds University Business School - Division of Economics
Date Posted: March 21, 2012
Accepted Paper Series

Incl. Electronic Paper Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications
 Ying Chen and Linlin Niu
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Xiamen University - The Wang Yanan Institute for Studies in Economics (WISE)
Date Posted: March 20, 2012
Working Paper Series
76 downloads

Incl. Electronic Paper Heterogeneity in Beliefs and Volatility Tail Behavior
 Gurdip Bakshi , Dilip B. Madan and George Panayotov
University of Maryland - Robert H. Smith School of Business , University of Maryland - Robert H. Smith School of Business and Georgetown University - Robert Emmett McDonough School of Business
Date Posted: March 20, 2012
Working Paper Series
90 downloads

Incl. Electronic Paper Modeling The Time-Varying Skewness via Decomposition For Out-of-Sample Forecast
 Xiaochun Liu
Emory University - Department of Economics
Date Posted: March 20, 2012
Last Revised: September 11, 2012
Working Paper Series
33 downloads

Incl. Electronic Paper Out-of-Sample Equity Premium Predictability and Sample Split Invariant Inference
 Gueorgui I. Kolev
EDHEC Business School
Date Posted: March 20, 2012
Last Revised: May 23, 2012
Working Paper Series
35 downloads

Incl. Electronic Paper Structural Models of Capital Structure: A Framework for Model Evaluation and Testing
AFA 2013 San Diego Meetings Paper
 Arthur G. Korteweg and Michael Lemmon
Stanford Graduate School of Business and University of Utah - Department of Finance
Date Posted: March 19, 2012
Last Revised: January 14, 2013
Working Paper Series
210 downloads

Incl. Electronic Paper Bayesian Estimation of Dynamic Term Structure Models Under Restrictions on Risk Pricing
 Michael D. Bauer
Federal Reserve Banks - Federal Reserve Bank of San Francisco
Date Posted: March 19, 2012
Working Paper Series
39 downloads

Incl. Electronic Paper Exchange Rate Volatility and Export Performance: A Cointegrated VAR Approach
Statistics Norway, Discussion Paper No. 522
 Pal Boug and Andreas Fagereng
Statistics Norway - Research Department and Statistics Norway
Date Posted: March 19, 2012
Working Paper Series
42 downloads

Incl. Electronic Paper Tactical Asset Allocation Using Relative Strength
 John Lewis
Dorsey Wright Money Management
Date Posted: March 19, 2012
Last Revised: March 22, 2012
Working Paper Series
864 downloads

Incl. Electronic Paper Analysts' Forecast Error: A Robust Short Term Prediction Model and Its Trading Profitability
 Kris Boudt , Peter de Goeij , James Thewissen and Geert Van Campenhout
KU Leuven - Faculty of Business and Economics (FBE) , CentER, Tilburg Law and Economics Center (TILEC), Tilburg University , KU Leuven - Faculty of Business and Economics (FBE) and Hogeschool-Universiteit Brussel (HUBrussel)
Date Posted: March 18, 2012
Last Revised: April 01, 2013
Working Paper Series
204 downloads

Incl. Electronic Paper Common Drifting Volatility in Large Bayesian VARs
FRB of Cleveland Working Paper No. 12-06
 Andrea Carriero , Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research , Federal Reserve Bank of Cleveland and European University Institute
Date Posted: March 18, 2012
Accepted Paper Series
7 downloads

Incl. Electronic Paper Determinants of U.S. Corn and Soybean Yields: Impact of Climate Change and Crop Prices
 Haixiao Huang and Madhu Khanna
University of Illinois - Energy Biosciences Institute and University of Illinois at Urbana-Champaign - Department of Agricultural and Consumer Economics
Date Posted: March 18, 2012
Working Paper Series
114 downloads

Incl. Electronic Paper Large Time-Varying Parameter VARs
 Dimitris Korobilis and Gary Koop
University of Glasgow and University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics
Date Posted: March 18, 2012
Working Paper Series
27 downloads

Incl. Electronic Paper Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model
 Nima Nooshi , Young Shin Kim , Svetlozar Rachev and Frank J. Fabozzi
Karlsruhe Institute of Technology , University of Karlsruhe , University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie and EDHEC Business School
Date Posted: March 18, 2012
Working Paper Series
134 downloads

Incl. Electronic Paper Empirical Policy Functions as Benchmarks for Evaluation of Dynamic Capital Structure Models
 Santiago Bazdresch
University of Minnesota - Finance Department
Date Posted: March 17, 2012
Working Paper Series
27 downloads

Incl. Electronic Paper Economic Links and Counterparty Risk
 Daniele Signori and Ramazan Gencay
Simon Fraser University (SFU) and Simon Fraser University
Date Posted: March 16, 2012
Last Revised: March 22, 2012
Working Paper Series
76 downloads

Incl. Electronic Paper Liquidity, Risk and the Global Transmission of the 2007-08 Financial Crisis and the 2010-11 Sovereign Debt Crisis
 Marcel Fratzscher and Alexander Chudik
DIW Berlin and European Central Bank (ECB)
Date Posted: March 16, 2012
Working Paper Series
68 downloads

Ambiguity and the Cross-Section of Stock Returns
 Antoine Giannetti and Ariel M. Viale
Florida Atlantic University and Florida Atlantic University
Date Posted: March 15, 2012
Working Paper Series

Incl. Electronic Paper An Empirical Assessment of Empirical Corporate Finance
 Zhichuan Frank Li and Jeffrey L. Coles
Ivey School of Business, University of Western Ontario and Arizona State University (ASU) - Finance Department
Date Posted: March 15, 2012
Working Paper Series
160 downloads

Incl. Electronic Paper Can Investors Benefit from Market Transparency? - An Asset Allocation Perspective
 Michalis Vasios , Ingmar Nolte and Richard Payne
University of Warwick , Warwick Business School - Finance Group - Financial Econometrics Research Centre and City University London - Sir John Cass Business School
Date Posted: March 15, 2012
Last Revised: September 23, 2012
Working Paper Series
36 downloads

Incl. Electronic Paper Market Integration and Small Stock Returns: A Co-Movement Analysis
 Markus Glaser and Steffen Schaarschmidt
Ludwig Maximilians University of Munich - Faculty of Business Administration (Munich School of Management) and University of Konstanz - Department of Economics
Date Posted: March 15, 2012
Last Revised: October 30, 2012
Working Paper Series
230 downloads

Incl. Electronic Paper The Influence of the Year of the Dragon on Fertility of Chinese Malaysians: Cointegration and Variance Decomposition Analysis
 Thirunaukarasu Subramaniam , Evelyn Shyamala Devadason and Ahmad Zubaidi Baharumshah
University of Malaya , University of Malaya (UM) and University Putra Malaysia - Faculty of Economics and Management
Date Posted: March 15, 2012
Working Paper Series
35 downloads

Incl. Electronic Paper Can the Information Content of Share Repurchases Improve the Accuracy of Equity Premium Predictions?
 Dimitris Andriosopoulos , Dimitris K. Chronopoulos and Fotios I. Papadimitriou
Swansea University , University of St. Andrews and University of Southampton - School of Management
Date Posted: March 14, 2012
Last Revised: April 01, 2013
Working Paper Series
156 downloads

Incl. Electronic Paper On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation
University of Heidelberg, Department of Economics Discussion Paper No. 525
 Christian Conrad , Karin Loch and Daniel Rittler
University of Heidelberg - Faculty of Economics and Social Studies , University of Heidelberg - Faculty of Economics and Social Studies and University of Heidelberg - Alfred Weber Institute for Economics
Date Posted: March 14, 2012
Working Paper Series
121 downloads

Incl. Electronic Paper A Markov-Switching Range-Based Volatility Model with Applications in Volatility Adjusted VAR Estimation
 Chun-Chou Wu , Yi-Kai Su and Daniel Wei-Chung Miao
affiliation not provided to SSRN , affiliation not provided to SSRN and affiliation not provided to SSRN
Date Posted: March 13, 2012
Working Paper Series
61 downloads

Incl. Electronic Paper Forecasting Macroeconomic Variables Using Disaggregate Survey Data
 Kjetil Martinsen , Francesco Ravazzolo and Fredrik Wulfsberg
Norges Bank , Norges Bank and Norges Bank
Date Posted: March 13, 2012
Working Paper Series
32 downloads

Incl. Electronic Paper Models of Foreign Direct Investments Influence on Economic Growth: Evidence from Romania
International Journal of Trade, Economics and Finance, Vol. 3, No. 1, pp. 25-29, February 2012
 Mihai Daniel Roman and Andrei Padureanu
Bucharest Academy of Economic Studies and Bucharest Academy of Economic Studies
Date Posted: March 12, 2012
Accepted Paper Series
49 downloads

Nonlinear Forecasting Using a Large Number of Predictors
Rivista Italiana degli Economisti, Vol. 1, April 2012
 Alessandro Giovannelli
University of Rome II
Date Posted: March 12, 2012
Accepted Paper Series

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options
Journal of Financial and Quantitative Analysis, Forthcoming
 Michael Neumann and George S. Skiadopoulos
Queen Mary, University of London - School of Economics and Finance and University of Piraeus
Date Posted: March 12, 2012
Accepted Paper Series

Smiling for the Delayed Volatility Swap
 Anatoliy V. Swishchuk and Nelson Vadori
University of Calgary and University of Calgary - Department of Mathematics and Statistics
Date Posted: March 10, 2012
Last Revised: October 03, 2012
Working Paper Series

Incl. Electronic Paper Cointegrated VARMA Models and Forecasting US Interest Rates
 Christian Kascha and Carsten Trenkler
affiliation not provided to SSRN and University of Mannheim
Date Posted: March 09, 2012
Working Paper Series
32 downloads

Incl. Electronic Paper Do Political Institutions Yield Multiple Growth Regimes?
Economics Bulletin, Vol. 32 No. 2 pp. 1442-1454
 David Coyne and Chih Ming Tan
Federal Reserve Bank of Boston and University of North Dakota
Date Posted: March 09, 2012
Last Revised: July 04, 2012
Accepted Paper Series
42 downloads

Incl. Electronic Paper DSGE Model-Based Forecasting
FRB of New York Staff Report No. 554
 Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Date Posted: March 09, 2012
Working Paper Series
81 downloads

Incl. Electronic Paper Modeling Business Cycles in India: A Markov Switching Approach
The Asian Economic Review, Vol. 52, No. 2, 2010
 Wasim Ahmad and Bandi Kamaiah
Department of Economics, University of Hyderabad and University of Hyderabad - Department of Economics
Date Posted: March 09, 2012
Accepted Paper Series
32 downloads

Incl. Electronic Paper Monetary Policy Analysis Based on Lasso-Assisted Vector Autoregression (Lavar)
 Jiahan Li
University of Notre Dame
Date Posted: March 08, 2012
Working Paper Series
79 downloads

Incl. Electronic Paper On Testing Theories of Financial Intermediary Portfolio Selection
Review of Economic Studies, Vol. 47, No. 5, 1980
 Ernst R. Berndt , Thomas H. McCurdy and David Rose
Massachusetts Institute of Technology (MIT) - Sloan School of Management , University of Toronto - Rotman School of Management and International Monetary Fund (IMF)
Date Posted: March 08, 2012
Last Revised: November 06, 2012
Accepted Paper Series
4 downloads

Incl. Electronic Paper Short-Term Forecasting of International Tourist Arrivals to Sri Lanka: Comparative Evidence Using Exponential Smoothers
6th International Conference on Management and Finance, 2011
 Nisantha Kurukulasooriya and Lelwala E. I.
University of Ruhuna and affiliation not provided to SSRN
Date Posted: March 08, 2012
Accepted Paper Series
13 downloads

Calibrated Forecasting and Merging
Games and Economic Behavior, Vol. 29, 1999
 Ehud Kalai , Ehud Lehrer and Rann Smorodinsky
Northwestern University - Kellogg School of Management , Tel Aviv University - School of Mathematical Sciences and Technion-Israel Institute of Technology - The William Davidson Faculty of Industrial Engineering & Management
Date Posted: March 07, 2012
Accepted Paper Series

Incl. Electronic Paper A Comprehensive Look at Financial Volatility Prediction by Economic Variables
BIS Working Paper No. 374
 Charlotte Christiansen , Maik Schmeling and Andreas Schrimpf
University of Aarhus - School of Economics and Management - CREATES , City University London - Sir John Cass Business School and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: March 06, 2012
Working Paper Series
156 downloads

Incl. Electronic Paper Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
 Siem Jan Koopman , Andre Lucas and Marcel Scharth
VU University Amsterdam , VU University Amsterdam - Faculty of Economics and Business and Australian School of Business, University of New South Wales
Date Posted: March 06, 2012
Working Paper Series
31 downloads

Incl. Electronic Paper The Illusion of Predictability: A Call to Action
International Journal of Forecasting, Forthcoming
 John Keith Ord
Georgetown University, Robert Emmett McDonough School of Business
Date Posted: March 06, 2012
Accepted Paper Series
48 downloads

Incl. Electronic Paper Variance Bounds on the Permanent and Transitory Components Of Stochastic Discount Factors
Journal of Financial Economics, 2012
 Gurdip Bakshi
University of Maryland - Robert H. Smith School of Business
Date Posted: March 06, 2012
Accepted Paper Series
23 downloads

Incl. Electronic Paper Selection Bias in Innovation Studies: A Simple Test
ZEW - Centre for European Economic Research Discussion Paper No. 12-012
 Gaétan de Rassenfosse and Annelies Wastyn
University of Melbourne and KU Leuven - Department of Managerial Economics, Strategy and Innovation
Date Posted: March 05, 2012
Working Paper Series
15 downloads

Incl. Electronic Paper The Discrete-Time Framework of the Arbitrage-Free Nelson-Siegel Class of Term Structure Models
 Linlin Niu and Gengming Zeng
Xiamen University - The Wang Yanan Institute for Studies in Economics (WISE) and affiliation not provided to SSRN
Date Posted: March 05, 2012
Last Revised: March 20, 2012
Working Paper Series
48 downloads


 

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