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SSRN eLibrary Search Results
JEL Code: C15
536,959 Total downloads
Showing Papers 1 - 50 of 2,320
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Incl. Electronic Paper Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
Tinbergen Institute Discussion Paper 16-099/III
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Date Posted: November 22, 2016
Working Paper Series
87 downloads

Incl. Electronic Paper Спорные Вопросы Определения Публичного Статуса Акционерного Общества (Controversial Issues of Definition of the Public Status of Joint-Stock Company)
Pravo i Ekonomika
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: November 17, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Единоличный Исполнительный Орган Общества и Руководитель Организации (Individual Executive Body of Society and Head of the Organization)
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: November 16, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper The Global Innovation Index: Measurement and Implications
Panagiotis Tziogkidis and Dionisis Philippas
Plymouth University and ESSCA School of Management
Date Posted: November 14, 2016
Working Paper Series
15 downloads

Incl. Electronic Paper Arrangement of Inventory Policies across Echelons of the Supply Chain for Minimization of Cost and Variance of Inventory
Venkata Vijay Kumar Pasupuleti
Independent
Date Posted: November 07, 2016
Working Paper Series
8 downloads

Incl. Electronic Paper Time-Varying Information Rigidities and Fluctuations in Professional Forecasters' Disagreement
Joonyoung Hur
The Bank of Korea
Date Posted: November 04, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Testing for Symmetry in Weakly Dependent Time Series
UNSW Business School Research Paper No. 2016-18
Luke Hartigan
University of New South Wales (UNSW), UNSW Business School, School of Economics
Date Posted: November 01, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper Tempered Particle Filtering
PIER Working Paper No. 16-017
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Date Posted: October 27, 2016
Working Paper Series
12 downloads

Incl. Electronic Paper Mean-Variance Portfolio with Generalized EMA and Anomaly Detector
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: October 25, 2016
Working Paper Series
69 downloads

Incl. Fee Electronic Paper The Career Costs of Children
CEPR Discussion Paper No. DP11586
Jerome Adda, Christian Dustmann and Katrien Stevens
University College London - Department of Economics, University College London and University of Sydney
Date Posted: October 24, 2016
Working Paper Series

Incl. Electronic Paper Fast, Accurate, Straightforward Extreme Quantiles of Compound Loss Distributions
J.D. Opdyke and Kirill Mayorov
DataMineit, LLC; GE Capital and McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students
Date Posted: October 13, 2016
Last Revised: October 17, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Correcting for Misreporting of Government Benefits
IZA Discussion Paper No. 10266
Nikolas Mittag
University of Chicago - Irving B. Harris Graduate School of Public Policy Studies
Date Posted: October 10, 2016
Working Paper Series
1 downloads

Incl. Electronic Paper Comparing Performance of Methods to Deal with Differential Attrition in Lottery Based Evaluations
EDRE Working Paper No. 2016-15
Gema Zamarro, Kaitlin P. Anderson, Jennifer L. Steele and Trey Miller
University of Arkansas - Department of Education Reform, University of Arkansas, American University and RAND Corporation
Date Posted: October 07, 2016
Accepted Paper Series
11 downloads

Incl. Electronic Paper Macroeconomic Disasters and the Equity Premium Puzzle in High-Income and Developing Countries
Jaroslav Horvath
University of New Hampshire - Department of Economics
Date Posted: October 07, 2016
Working Paper Series
16 downloads

Incl. Electronic Paper Statistical Indicator System for Forestry and Forest Exploitation
Analele ICAS, vol. 46 (1), 2003. ISSN 1583-2023, revistă de silvicultură și științele mediului, editată de Institutul de Cercetări și Amenajări Silvice, pag. 241-246,
Ioan Seceleanu, Filimon Carcea, Ovidiu Badea, Victor Giurgiu, Gheorghita Ionascu and Bruno Stefan
Romsilva - Regia Nationala a Padurilor, Forest Research and Management Institute, Forest Research and Management Institute, Stefan cel Mare University, Transilvania University of Brasov and Universitatea Politehnica din Bucuresti, Departamentul de Formare pentru Cariera Didactica si Stiinte Socio-Umane
Date Posted: October 06, 2016
Accepted Paper Series
2 downloads

Incl. Electronic Paper International Spill-Overs of Uncertainty Shocks: Evidence from a FAVAR
CAMA Working Paper No. 61/2016
Gunes Kamber, Özer Karagedikli, Michael Ryan and Tugru l Vehbi
Reserve Bank of New Zealand, Reserve Bank of New Zealand, Sapere Research Group and Reserve Bank of New Zealand
Date Posted: October 06, 2016
Working Paper Series
6 downloads

Incl. Electronic Paper On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data
SAFE Working Paper No. 148
Sven Thorsten Jakusch
Goethe University Frankfurt - Department of Finance
Date Posted: October 01, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Volatility Risk
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: September 26, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Proxy Svars: Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States
FRB of Cleveland Working Paper No. 16-19
Carsten Jentsch and Kurt Graden Lunsford
University of Mannheim and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: September 18, 2016
Accepted Paper Series
3 downloads

Incl. Electronic Paper Estimating Fundamental Sharpe Ratios: A Kalman Filter Approach
Hayette Gatfaoui
IESEG School of Management (Paris campus)
Date Posted: September 15, 2016
Working Paper Series
110 downloads

Incl. Electronic Paper The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets
Daniel Buncic and Katja I. M. Gisler
University of St. Gallen and University of St. Gallen
Date Posted: September 09, 2016
Last Revised: September 13, 2016
Working Paper Series
49 downloads

Shrinkage Estimation in the Random Parameters Logit Model
Open Journal of Statistics, 2016, 6, 667-674
Tong Zeng and R. Carter Hill
University of La Verne-Department of Applied Business Sciences and Economics and Louisiana State University, Baton Rouge - Department of Economics
Date Posted: September 09, 2016
Accepted Paper Series

Incl. Electronic Paper Tempered Particle Filtering
FEDS Working Paper No. 2016-072
Edward Herbst and Frank Schorfheide
Board of Governors of the Federal Reserve System and University of Pennsylvania - Department of Economics
Date Posted: September 08, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Риски Взаимоотношений Государства и Дотируемых Компаний: Агентская Проблема (Risks of Relations of the State and the Subsidized Companies: Agency Problem)
Management accounting and finance
Vigen Babkenovich Minasyan
Russian Presidential Academy of National Economy and Public Administration
Date Posted: September 06, 2016
Working Paper Series
66 downloads

Incl. Electronic Paper Generalized Exponential Moving Average (EMA) Model with Particle Filtering and Anomaly Detection
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: September 02, 2016
Last Revised: November 21, 2016
Working Paper Series
160 downloads

Incl. Electronic Paper A Network Framework of Investigating Systemic Risk in Zonal Energy Markets
Emmanuel Senyo Fianu, Daniel Felix Ahelegbey and Luigi Grossi
Leuphana University of Lueneburg, Boston University - Department of Mathematics and Statistics and University of Verona - Department of Economics
Date Posted: September 02, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Simulation in the Real World
Russell Colm Barker, Andrew Samuel Dickinson and Alex Lipton
Independent, Bank of America and Bank of America Merrill Lynch
Date Posted: August 31, 2016
Working Paper Series
111 downloads

Incl. Electronic Paper Performance of Technical Trading Rules: Evidence from the Crude Oil Market
Ioannis Psaradellis, Jason Laws, Athanasios A. Pantelous and Georgios Sermpinis
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, University of Liverpool, Management School (ULMS), Students, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and University of Glasgow
Date Posted: August 31, 2016
Working Paper Series
133 downloads

Incl. Electronic Paper An Empirical Comparison of Some Experimental Designs for the Valuation of Large Variable Annuity Portfolios
Guojun Gan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut
Date Posted: August 29, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-Ratio Test Statistics
Barbora Pestova and Michal Pesta
The Czech Academy of Sciences, Institute of Computer Science and Charles University in Prague, Faculty of Mathematics and Physics
Date Posted: August 21, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Rom Simulation with Exact Means, Covariances, and Multivariate Skewness
Michael Hanke, Spiridon Penev, Wolfgang Schief and Alex Weissensteiner
University of Liechtenstein, University of New South Wales (UNSW) - School of Mathematics, University of New South Wales (UNSW) - School of Mathematics and Statistics and Free University of Bolzano/Bozen
Date Posted: August 11, 2016
Working Paper Series
21 downloads

Statistical Considerations in Computer Simulation: The State of the Art
Journal of Statistical Computation and Simulation, Vol. 19(3), pp. 237-263, 1984
Linda Weiser Friedman and Hershey H. Friedman
Baruch College, CUNY - Zicklin School of Business and City University of New York (CUNY) - Department of Business Management
Date Posted: August 10, 2016
Accepted Paper Series

Incl. Electronic Paper Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem
Emlyn James Flint and Eben Mare
Peregrine Securities and Independent
Date Posted: August 04, 2016
Working Paper Series
99 downloads

Incl. Electronic Paper A Gentle Introduction to Default Risk and Counterparty Credit Modelling
Laura Ballotta, Gianluca Fusai and Marina Marena
Sir John Cass Business School - City, University of London, Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa and University of Eastern Piedmont
Date Posted: August 01, 2016
Working Paper Series
660 downloads

Incl. Electronic Paper Where to Hide in Bad Times: Or Should One Still Diversify Internationally?
Rotman School of Management Working Paper No. 2812623
Redouane Elkamhi and Denitsa Stefanova
University of Toronto - Rotman School of Management and Luxembourg School of Finance
Date Posted: July 25, 2016
Last Revised: September 30, 2016
Working Paper Series
49 downloads

Incl. Electronic Paper Smile at Errors: A Discrete-Time Stochastic Volatility Framework for Pricing Options with Realized Measures
Giacomo Bormetti, Roberto Casarin, Fulvio Corsi and Giulia Livieri
University of Bologna - Department of Mathematics, University Ca' Foscari of Venice - Department of Economics, Ca' Foscari University of Venice and Scuola Normale Superiore
Date Posted: July 19, 2016
Last Revised: July 28, 2016
Working Paper Series
115 downloads

Incl. Electronic Paper Mortality Effects of Temperature Changes in the United Kingdom
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and Monash University - Department of Econometrics & Business Statistics
Date Posted: July 18, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Missing Observations on a Variable: When Do the Listwise Deletion and Indicator Approaches Work?
Mahdiyeh Entezarkheir
University of Western Ontario - Huron University College
Date Posted: July 16, 2016
Working Paper Series
4 downloads

Incl. Electronic Paper Volatility Estimation and Jump Testing via Realized Information Variation
Weiyi Liu and Mingjin Wang
Capital University of Economics and Business - School of Finance and Peking University - Guanghua School of Management
Date Posted: July 14, 2016
Working Paper Series
33 downloads

Incl. Electronic Paper Efficient Simulation of High Dimensional Gaussian Vectors
Nabil Kahalé
ESCP Europe
Date Posted: July 14, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper Empirical Validation of Simulated Models through the GSL-div: An Illustrative Application
LEM Working Paper Series, 2016/18
Francesco Lamperti
Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM
Date Posted: July 12, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling
David Ardia, Anas Guerrouaz and Jeanne Rey
University of Neuchatel - Institute of Financial Analysis, Laval University - Département de Finance et Assurance and National Bank of Canada
Date Posted: July 09, 2016
Working Paper Series
41 downloads

Incl. Electronic Paper Credit Exposure in the Presence of Initial Margin
Leif B. G. Andersen, Michael Pykhtin and Alexander Sokol
Bank of America Merrill Lynch, Board of Governors of the Federal Reserve System and CompatibL
Date Posted: July 08, 2016
Last Revised: August 18, 2016
Working Paper Series
288 downloads

Incl. Electronic Paper Estimation and Inference with a (Nearly) Singular Jacobian
Sukjin Han and Adam McCloskey
University of Texas at Austin - Department of Economics and Brown University - Department of Economics
Date Posted: July 08, 2016
Working Paper Series
14 downloads

Testing Identifying Assumptions in Regression Discontinuity Designs
Yu‐Chin Hsu, Ismael Mourifie and Yuanyuan Wan
Academia Sinica, University of Toronto - Department of Economics and University of Toronto - Department of Economics
Date Posted: July 06, 2016
Working Paper Series

Incl. Electronic Paper What is a Complex Innovation System?
Katz JS (2016) What Is a Complex Innovation System? PLoS ONE 11(6): e0156150. doi:10.1371/journal.pone.0156150
Sylvan Katz
University of Sussex - Science and Technology Policy Research Unit (SPRU)
Date Posted: July 02, 2016
Accepted Paper Series
16 downloads

Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap Approach
J. Hambuckers and C. Heuchenne. Estimating the Out-of-Sample Predictive Ability of Technical Trading Rules: A Robust Bootstrap approach. Journal of Forecasting, 34 (4): 347-372, 2016.
Julien Hambuckers and Cedric Heuchenne
HEC-ULg University of Liège and University of Liege - HEC Management School
Date Posted: July 02, 2016
Accepted Paper Series

Incl. Electronic Paper Thirty Years of Conflict and Economic Growth in Turkey: A Synthetic Control Approach
LEQS Paper No. 112
Firat Bilgel and Burhan Can Karahasan
Okan University and Okan University
Date Posted: June 30, 2016
Working Paper Series
35 downloads

Incl. Electronic Paper Taking the One-Year Change from Another Angle
Michel M. Dacorogna, Alessandro Ferriero and David Krief
DEAR-Consulting, SCOR Global P&C SE Reinsurance (Zurich Branch) and Université Paris Diderot - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Date Posted: June 25, 2016
Working Paper Series
58 downloads

Incl. Electronic Paper Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?
Bundesbank Discussion Paper No. 46/2015
Philipp Koziol, Carmen Schell and Meik Eckhardt
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Date Posted: June 21, 2016
Working Paper Series
37 downloads


 

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