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SSRN eLibrary Search Results
JEL Code: C51
360,119 Total downloads
Showing Papers 951 - 1,000 of 1,827
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Volatility Jumps Economic Research Initiatives at Duke (ERID) Working Paper No. 3
Viktor Todorov
and
George Tauchen
Date Posted: July 31, 2008279 downloads
Copulas and Long Memory Harvard Institute of Economic Research Discussion Paper No. 2160
Rustam Ibragimov and
George Lentzas
Date Posted: July 30, 2008279 downloads
Modeling Stock Order Flows and Learning Market-Making from Data Technical Report CBCL Paper No. 217 / AI Memo No. 2002-009, M.I.T., Cambridge, MA
Adlar J. Kim
,
Christian R. Shelton
and
Tomaso Poggio
Date Posted: July 28, 2008451 downloads
Robust Two-Stage Least Squares: Some Monte Carlo Experiments
Sudhanshu K. Mishra
Date Posted: July 26, 2008Last Revised: August 07, 200879 downloads
A Semiparametric Factor Model for Electricity Forward Curve Dynamics Journal of Energy Markets, Vol. 1, No. 3, pp. 3-16
Szymon Borak
and
Rafal Weron
Date Posted: July 22, 2008Last Revised: February 20, 2010
Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
Robert Jung ,
Roman Liesenfeld and
Jean-Francois Richard
Date Posted: July 22, 2008Last Revised: July 27, 2008185 downloads
Estimating the Causal Effect of Gun Prevalence on Homicide Rates: A Local Average Treatment Effect Approach IZA Discussion Paper No. 3589
Tomislav Victor Kovandzic
,
Mark E. Schaffer and
Gary Kleck
Date Posted: July 14, 200853 downloads
Nonparametric Stochastic Volatility
Federico M. Bandi and
Roberto Renò
Date Posted: July 12, 2008Last Revised: June 14, 2010340 downloads
A Note on Multivariate Asset Models Using Levy Processes
Laura Ballotta
Date Posted: July 06, 2008Last Revised: January 17, 2010474 downloads
Supply Response and Price Volatility in the Greek Pork Industry Proc. International Conference of Applied Economics, pp. 775-782, ICOAE 2008
Anthony N. Rezitis and
Konstantinos S. Stavropoulos
affiliation not provided to SSRN
Date Posted: July 04, 200868 downloads
The Limiting Properties of the QMLE in a General Class of Asymmetric Volatility Models
Christian Dahl
and
Emma M. Iglesias
affiliation not provided to SSRN
and
Michigan State University
Date Posted: July 04, 200832 downloads
Technical Efficiency Analysis of Micro-Enterprises: Theoretical and Methodological Approach of the Stochastic Frontier Production Functions Applied to Nigerian Data Journal of African Economies, Vol. 17, Issue 2, pp. 161-206, 2008
Igbekele Amos Ajibefun
Date Posted: June 30, 2008
Is Nonlinear Drift Implied by the Short End of the Term Structure? The Review of Financial Studies, Vol. 21, Issue 1, pp. 311-346, 2008
Hideyuki Takamizawa
Date Posted: June 26, 2008
Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure CREATES Research Paper No. 2008-8
Christina Amado
and
Timo Terasvirta
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: June 25, 200866 downloads
Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH Model CREATES Research Paper No. 2008-5
Annastiina Silvennoinen
and
Timo Terasvirta
affiliation not provided to SSRN
Date Posted: June 25, 200878 downloads
Multivariate GARCH Models CREATES Research Paper 2008-6
Annastiina Silvennoinen
and
Timo Terasvirta
affiliation not provided to SSRN
Date Posted: June 25, 2008378 downloads
Selecting a Regression Saturated by Indicators CREATES Research Paper 2007-36
Soren Johansen
,
David F. Hendry and
Carlos Santos
affiliation not provided to SSRN
Date Posted: June 24, 200818 downloads
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities CREATES Research Paper 2007-16
Tim Bollerslev ,
Michael S. Gibson and
Hao Zhou
Date Posted: June 23, 2008Last Revised: September 25, 2009262 downloads
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form CREATES Research Paper 2008-19
Anne Peguin-Feissolle
,
Birgit Strikholm
and
Timo Terasvirta
affiliation not provided to SSRN
,
Bank of Estonia
and
affiliation not provided to SSRN
Date Posted: June 23, 200837 downloads
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
Michael Sorensen ,
Julie Lyng Forman
and
Margit Sommer
affiliation not provided to SSRN
and
School of Economics and Management, University of Aarhus
Date Posted: June 23, 200886 downloads
On Determining the Importance of a Regressor with Small and Undersized Samples University of Aarhus Department of Economics Working Paper No. 2006-8
Peter S. Jensen
and
Allan Wurtz
Date Posted: June 18, 20089 downloads
Estimating Large-Scale Factor Models for Economic Activity in
Germany: Do They Outperform Simpler Models? Jahrbücherfür Nationalökonomie und Statistik (Journal of Economics and Statistics), Vol. 224, pp. 732-750, 2004,
Christian Schumacher
and
Christian Dreger
Date Posted: June 16, 2008
Heavy-Tails and Regime-Switching in Electricity Prices Mathematical Methods of Operations Research, Vol. 69, No. 3, pp. 457-473
Rafal Weron
Date Posted: June 03, 2008Last Revised: February 21, 2010
The Dynamics of Economic Functions: Modelling and Forecasting the Yield Curve Journal of the American Statistical Association, Forthcoming
Clive G. Bowsher and
Roland Meeks
Date Posted: June 02, 2008155 downloads
Estimating DSGE Models with Long Memory Dynamics
Gianluca Moretti
and
Giulio Nicoletti
Date Posted: May 28, 200844 downloads
Meta-Analysis of Empirical Evidence on the Labour Market Impacts of Immigration IZA Working Paper No. 3418
Simonetta Longhi
,
Peter Nijkamp and
Jacques Poot
Date Posted: May 23, 2008134 downloads
If Winning Isn't Everything, Why Do They Keep Score? A Structural Empirical Analysis of Dutch Flower Auctions CEPR Discussion Paper No. DP6323
Gerard J. van den Berg and
Bas van der Klaauw
Date Posted: May 23, 20081 downloads
Optimal Bandwidth Choice for Interval Estimation in GMM Regression Cowles Foundation Discussion Paper No. 1661
Yixiao Sun
and
Peter C. B. Phillips
Date Posted: May 23, 200838 downloads
Crises and Hedge Fund Risk UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Monica Billio ,
Mila Getmansky and
Loriana Pelizzon
Date Posted: May 20, 2008Last Revised: April 25, 20122595 downloads
Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data Journal of Alternative Investments (forthcoming)
Monica Billio ,
Mila Getmansky and
Loriana Pelizzon
Date Posted: May 20, 2008Last Revised: April 25, 2012267 downloads
An Economic Analysis of Exclusion Restrictions for Instrumental Variable Estimation CEPR Discussion Paper No. DP6157
Gerard J. van den Berg
Date Posted: May 19, 20083 downloads
Operational Risks in Banks: An Analysis of Empirical Data from a Bank UNSW Australian School of Business Research Paper No. 2008ACTL01
John R. Evans
,
Robert Womersley
,
Danny Wong
and
Greg Woodbury
Date Posted: May 16, 2008Last Revised: May 26, 2008
Risk Management and Optimal Pricing in Online Storage Grids
Sanjukta Das ,
Anna Ye Du
,
Ram D. Gopal
and
Ram Ramesh
Date Posted: May 15, 2008Last Revised: December 15, 2009110 downloads
Threshold Autoregressive Modeling of Bond Series - Japanese Case Journal of Investment Management and Financial Innovations, No. 4, 2006
Jinghong Li
Date Posted: May 15, 2008
A Student-T Full Factor Multivariate GARCH Model
Konstantinos Diamantopoulos
and
Ioannis D. Vrontos
Date Posted: April 29, 2008310 downloads
A Hidden Markov Model of Developer Learning Dynamics in Open Source Software Projects Information Systems Research
Param Vir Singh ,
Nara Youn
and
Yong Tan
Date Posted: April 18, 2008Last Revised: August 28, 2010360 downloads
A Comparison of Two Averaging Techniques with an Application to Growth Empirics CentER Discussion Paper Series No. 2008-39
J.R. Magnus ,
Owen Powell
and
Patricia Pruefer
Date Posted: April 17, 200846 downloads
Investment Choices and Risk-Adjusted Performance Measures
Mark A. Hooker and
George Xiang
Date Posted: April 11, 2008307 downloads
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting Applied Economics, Forthcoming
Maria Elena De Giuli
,
Mario Maggi
,
Carluccio Bianchi
and
Alessandro Carta Sr.
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 08, 2008Last Revised: December 23, 2011545 downloads
The Spatial Probit Model of Interdependent Binary Outcomes: Estimation, Interpretation, and Presentation
Robert J. Franzese Jr.
and
Jude C. Hays
Date Posted: April 07, 2008388 downloads
An Econometric Analysis of Skewed Productivity Outcomes
Praveen Sinha
Date Posted: March 29, 2008Last Revised: June 25, 200946 downloads
A Monthly Volatility Index for the US Real Economy
Cecilia Frale
and
David Veredas
Date Posted: March 25, 2008Last Revised: February 02, 2009179 downloads
Simple Robust Linkages between CDS and Equity Options
Peter Carr and
Liuren Wu
Date Posted: March 25, 2008684 downloads
Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model Econometric Theory, Forthcoming, KOF Working Papers No. 189
Christian Conrad
and
Menelaos Karanasos
Date Posted: March 21, 2008Last Revised: February 10, 2009156 downloads
Ex Ante Construction Costs in the European Road Sector: A Comparison of Public-Private Partnerships and Traditional Public Procurement EIB Economic and Finance Report No. 2006/1
Frederic Blanc-Brude ,
Hugh Goldsmith
and
Timo Valila
Date Posted: March 19, 2008744 downloads
Probabilistic Properties of the Continuous Double Auction
Martin Smid
Date Posted: March 19, 2008Last Revised: July 01, 201093 downloads
The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Paul Schneider ,
Leopold Sögner and
Tanja Veza
Date Posted: March 19, 2008Last Revised: May 21, 2009485 downloads
Dynamic Modelling of the Long-Run Market-Accounting Relationship at the Firm Level: The Case of Abbott Laboratories
Roger J. Willett and
Michael Falta
Date Posted: March 18, 200867 downloads
Estimating the Long-Run Relationship between Market and Accounting Values Using Cross Section Analysis: The Need for Dynamic Firm-Level Modeling in Capital Market Research
Roger J. Willett and
Michael Falta
Date Posted: March 18, 2008100 downloads
Recovering Portfolio Default Intensities Implied by CDO Quotes Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-01
Rama Cont and
Andreea Minca
Date Posted: March 13, 2008Last Revised: October 02, 20101182 downloads
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