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JEL Code: C22
533,709 Total downloads
Showing Papers 961 - 1,010 of 3,420
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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
Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries CESifo Working Paper Series No. 1512, HKIMR Working Paper No. 9/2007
Yin-Wong Cheung and
Kon S. Lai
Date Posted: August 09, 2005135 downloads
Quadratic Variation by Markov Chains Univ. of Aarhus Dept. of Economics Research Paper No. 2009-13
Peter Reinhard Hansen and
Guillaume Horel
Date Posted: March 24, 2009Last Revised: August 05, 2009135 downloads
The Economic Value of Distributional Timing Swiss Finance Institute Research Paper No. 06-35
Eric Jondeau and
Michael Rockinger
Date Posted: January 16, 2007135 downloads
The Relative Valuation of US Equities at Bear Market Bottoms: A Perspective on the Equity Risk Premium
Robert A. Weigand and
Robert R. Irons
Date Posted: October 20, 2011135 downloads
Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds
Laurence Copeland
Date Posted: December 12, 2004134 downloads
Modelling Electricity Forward Markets by Ambit Fields
Ole E. Barndorff-Nielsen ,
Fred Espen Benth
and
Almut Veraart
Date Posted: October 05, 2011134 downloads
On Stationarity and Ergodicity of the Bilinear Model with Applications to GARCH Models
Dennis Kristensen
Date Posted: October 13, 2005134 downloads
Optimal Hedging in Discrete and Continuous Time
Bruno Remillard and
Sylvain Rubenthaler
Date Posted: December 14, 2009Last Revised: June 25, 2010134 downloads
Overlaying Time Scales in Financial Volatility Data
Eric T. Hillebrand
Date Posted: January 31, 2005134 downloads
Recursive Estimation in Econometrics U of London Queen Mary Economics Working Paper No. 462
D. S. G. Pollock
Date Posted: June 25, 2002134 downloads
Testing for Neglected Nonlinearity in Long Memory Models U of London Queen Mary Economics Working Paper No. 473
George Kapetanios
Date Posted: January 14, 2003134 downloads
Tests for Unit Roots and the Initial Observation U of St. Gallen, Econ. Discussion Paper No. 2002-02
Graham Elliott and
Ulrich K. Müller
Date Posted: January 30, 2002134 downloads
The Identification of Long Memory Process in the ASEAN-4 Stock Markets by Fractional and Multifractional Brownian Motion The Philippine Statistician, Vol. 55, Nos. 1-2, pp. 65-83, 2006
Rolando Danganan Navarro Jr.
,
Ronald Tamangan
,
Niya Guba-Natan
,
Eleanore V. Ramos
and
Adolfo de Guzman
Date Posted: September 06, 2006134 downloads
Volatility Components, Leverage Effects, and the Return-Volatility Relations Journal of Banking and Finance, Forthcoming
Junye Li
Date Posted: December 24, 2008Last Revised: December 15, 2010134 downloads
Analysis of Economic Depreciation for Multi-Family Property Journal of Real Estate Research, Vol. 27, No. 4, 2006
Jeffrey D. Fisher ,
Brent C. Smith
,
Jerry Stern
and
R. Brian Webb
Date Posted: December 27, 2006133 downloads
Detecting Autoregressive Conditional Heteroskedasticity in Non-Gaussian Time Series EFMA 2004 Basel Meetings Paper
Burkhard Raunig
Date Posted: May 28, 2004133 downloads
Foreign Exchange, Fractional Cointegration and the Implied-Realized Volatility Relation
Neil Kellard
,
Christian Dunis
and
Nicholas Sarantis
Date Posted: March 06, 2007Last Revised: March 26, 2008133 downloads
The Impact of Derivative Markets on Asset Management and the Economy SUERF Studies No. 2008/5
Bernhard Sammer
,
Peter R. Haiss ,
Martin Gartner
,
Otto Loistl
,
Stephan Zellner
,
Robert C. Merton ,
Krzysztof Rybinski and
Urszula Sowa
affiliation not provided to SSRN
,
Vienna University of Economics and Business Administration
,
Vienna University of Economics and Business Administration
,
MIT Sloan School of Management
,
Warsaw University
and
National Bank of Poland
Date Posted: February 10, 2011133 downloads
Are Credit Default Swap Spreads Market Driven? 21st Australasian Finance and Banking Conference 2008 Paper, Forthcoming as follows:
“MODEL RISK: CARING ABOUT STYLIZED FEATURES OF ASSET RETURNS! How does equity market influence credit default swap market?”, 2009, In Gregoriou Greg N., Hoppe Christian, Wehn Carsten (Eds), Model Risk Book, McGraw Hill. ,
Hayette Gatfaoui
Date Posted: August 21, 2008Last Revised: July 22, 2009132 downloads
Forward-Looking Interest Rate Rules as a Tool for Central Bank Watching Banca Intesa Risk Management Working Paper No. 9
Luca Lotti
Date Posted: October 05, 2001132 downloads
Indicators and Tests of Fiscal Sustainability: An Integrated Approach CEIS Working Paper No. 111
Giancarlo Marini
and
Alessandro Piergallini
Date Posted: April 03, 2008132 downloads
Monetary Policy and the Slope Factor in Empirical Term Structure Estimations FRB of San Francisco Working Papers No. 2002-07
Tao Wu
Date Posted: April 29, 2005132 downloads
Monitoring and Forecasting Annual Public Deficit. The Case of France
Andrea Silvestrini
,
Laurent Moulin
,
Matteo Salto
and
David Veredas
Date Posted: September 09, 2005132 downloads
Multivariate Markov Switching with Weighted Regime Determination: Giving France More Weight than Finland Federal Reserve Bank of St. Louis Working Paper No. 2008-001A
Michael Dueker and
Martin Sola
Date Posted: January 06, 2008132 downloads
Nonlinear Instrumental Variable Estimation of an Autoregression Cowles Foundation Discussion Paper No. 1331
Peter C. B. Phillips ,
Joon Park and
Yoosoon Chang
Date Posted: October 14, 2001132 downloads
Frequent Turbulence? A Dynamic Copula Approach NHH Dept. of Finance & Management Science Discussion Paper No. 2006/10
Lorán Chollete and
Andréas Heinen
Date Posted: March 07, 2007131 downloads
Investor Rationality: An Analysis of NCREIF Commercial Property Data Journal of Real Estate Research, Vol. 27, No. 4, 2006
Patric H. Hendershott and
Bryan MacGregor
Date Posted: December 27, 2006131 downloads
Measuring Core Inflation in the Euro Area ECB Working Paper No. 36
Claudio Morana
Date Posted: December 12, 2002131 downloads
The Demand for M3 in the Euro Area ECB Working Paper No. 6
Günter Coenen
and
Juan Luis Vega-Croissier
Date Posted: December 11, 2002131 downloads
The Yield Curve Through Time and Across Maturities
Richard Startz and
Kwok Ping Tsang
Date Posted: March 12, 2007131 downloads
Kolmogorov-Wiener Filters for Finite Time Series
Christoph Schleicher
Date Posted: August 05, 2005130 downloads
Multiplicative Error Models
Christian T. Brownlees
,
Fabrizio Cipollini and
Giampiero M. Gallo
Date Posted: May 27, 2011130 downloads
Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models University of Heidelberg, Department of Economics, Discussion Paper No. 473
Christian Conrad
and
Enno Mammen
Date Posted: July 31, 2008130 downloads
Structural Breaks, Cointegration and the Domestic Demand for Chilean Wine FACE Working Paper No. 1
Cristian Troncoso-Valverde
Date Posted: May 12, 2005130 downloads
The Effects of Daylight Saving Time Changes on Stock Market Volatility
Hakan Berument
,
Nukhet Dogan
and
Bahar Onar
Date Posted: May 25, 2008130 downloads
Bayesian Model Selection for Structural Break Models
Andrew T. Levin and
Jeremy Piger
Date Posted: May 15, 2008129 downloads
Estimation and Model Selection Based Inference in Single and Multiple Threshold Models Journal of Econometrics, Vol. 110, No. 2, 2002
Jesús Gonzalo and
Jean-Yves Pitarakis
Date Posted: June 08, 2001Last Revised: February 27, 2011129 downloads
Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts
Guillermo Benavides and
Carlos Capistrán
Date Posted: August 29, 2008Last Revised: January 20, 2009129 downloads
Inflation and Economic Growth in Kuwait: 1985-2005 - Evidence from Co-Integration and Error Correction Model Applied Econometrics and International Development, Vol. 7, No. 1, 2007
Afaf A. Saaed
affiliation not provided to SSRN
Date Posted: August 24, 2008129 downloads
Measuring Conditional Persistence in Time Series U of London Queen Mary Economics Working Paper No. 474
George Kapetanios
Date Posted: February 03, 2003129 downloads
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