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JEL Code: C32
703,357 Total downloads
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Incl. Electronic Paper Local Fluctuations of the Signed Traded Volumes and the Dependencies of Demands: A Copula Analysis
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: June 28, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Financial Crises and the Dynamic Linkages between Stock and Bond Returns
Bundesbank Discussion Paper No. 17/2017
Sercan Eraslan and Faek Menla Ali
Deutsche Bundesbank and Brunel University London
Date Posted: June 27, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Measuring International Uncertainty: The Case of Korea
FEDS Working Paper No. 2017-066
Minchul Shin, Boyuan Zhang, Molin Zhong and Dong Jin Lee
University of Pennsylvania - Department of Economics, University of Illinois at Urbana-Champaign, Board of Governors of the Federal Reserve System and The Bank of Korea
Date Posted: June 26, 2017
Working Paper Series

Incl. Electronic Paper Predicting Financial Market Crashes Using Ghost Singularities
Swiss Finance Institute Research Paper No. 17-23
Damian Smug, Peter Ashwin and Didier Sornette
University of Exeter, University of Exeter and Swiss Finance Institute
Date Posted: June 23, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper High-Frequency Price Discovery of Gold
Joerg Picard
Grand Valley State University
Date Posted: June 21, 2017
Working Paper Series
58 downloads

Incl. Electronic Paper Estimating the Natural Rate of Interest in an Open Economy
Globalization and Monetary Policy Institute Working Paper No. 316
Mark Wynne and Ren Zhang
Federal Reserve Bank of Dallas and Bowling Green State University
Date Posted: June 21, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Measuring the World Natural Rate of Interest
Globalization and Monetary Policy Institute Working Paper No. 315
Mark Wynne and Ren Zhang
Federal Reserve Bank of Dallas and Bowling Green State University
Date Posted: June 21, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Understanding the Aggregate Effects of Credit Frictions and Uncertainty
Globalization and Monetary Policy Institute Working Paper No. 317
Nathan S. Balke, Enrique Martínez-García and Zheng Zeng
Southern Methodist University (SMU) - Department of Economics, Federal Reserve Bank of Dallas - Research Department and Bowling Green State University, Department of Economics
Date Posted: June 21, 2017
Working Paper Series

Incl. Electronic Paper Estimating the Impact of Shocks to Bank Capital in the Euro Area
ECB Working Paper No. 2077
Derrick Kanngiesser, Reiner Martin, Laurent Maurin and Diego Moccero
Universitat Pompeu Fabra - Department of Economics and Business, European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB)
Date Posted: June 20, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
CESifo Working Paper Series No. 6494
Guglielmo Maria Caporale and Kefei You
Brunel University London - Department of Economics and Finance and University of Greenwich
Date Posted: June 20, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Dynamic Relationship Among Oil Price, Gold Price and Stock Price in Vietnam
Anh Quoc Ho
Foreign Investment Agency, Ministry of Planning and Investment, Vietnam
Date Posted: June 20, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
CESifo Working Paper Series No. 6482
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance and University of Navarra - Department of Economics
Date Posted: June 19, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Dynamic Responses of Real Output to Financial Spreads
Yu-Fan Huang
Capital University of Economics and Business, ISEM
Date Posted: June 19, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Understanding the Aggregate Effects of Credit Frictions and Uncertainty: Additional Results
Nathan S. Balke, Enrique Martínez-García and Zheng Zeng
Southern Methodist University (SMU) - Department of Economics, Federal Reserve Bank of Dallas - Research Department and Bowling Green State University, Department of Economics
Date Posted: June 15, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Understanding the Aggregate Effects of Credit Frictions and Uncertainty
Nathan S. Balke, Enrique Martínez-García and Zheng Zeng
Southern Methodist University (SMU) - Department of Economics, Federal Reserve Bank of Dallas - Research Department and Bowling Green State University, Department of Economics
Date Posted: June 15, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Exploring Style Herding by Mutual Funds
Caterina Santi and Remco C. J. Zwinkels
Scuola Superiore Sant'Anna di Pisa and Vrije Universiteit Amsterdam
Date Posted: June 15, 2017
Working Paper Series
28 downloads

Propagation of Trade and Growth Shocks from Russia and Western European Countries to CEE-Baltic Countries: A Comparative Analysis
Nazmus S. Khan
University of Muenster
Date Posted: June 15, 2017
Working Paper Series

Incl. Electronic Paper The Macroeconomic Impact of the ECB's Expanded Asset Purchase Programme (APP)
ECB Working Paper No. 2075
Luca Gambetti and Alberto Musso
Universitat Autonoma de Barcelona and European Central Bank (ECB)
Date Posted: June 14, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper A Comparative Analysis of Stock Return Behavior Using a Markov Switching Model (Case Study: Zimbabwe Stock Exchange)
Tawanda Dakwa II and Isabel Linda Moyo
National University of Science and Technology and National University of Science and Technology
Date Posted: June 13, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
CESifo Working Paper Series No. 6477
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and University of Greenwich
Date Posted: June 13, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area
Melbourne Institute Working Paper No. 15/17
Giovanni Pellegrino
University of Melbourne - Melbourne Institute of Applied Economic and Social Research
Date Posted: June 13, 2017
Working Paper Series
7 downloads

Incl. Fee Electronic Paper Uncertainty and the Great Recession
CEPR Discussion Paper No. DP12083
Benjamin Born, Sebastian Breuer and Steffen Elstner
University of Mannheim - School of Economics (VWL), German Council of Economic Experts and Rhine-Westphalia Institute for Economic Research (RWI-Essen)
Date Posted: June 13, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper The Effectiveness of Unconventional Monetary Policy on Risk Aversion and Uncertainty
Bank of Greece, Working Paper Series
Leonidas Rompolis
Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: June 06, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Which Matters: Demand of Bond or Supply of Bond?
Wenzhi Wang
Boston College, Department of Finance
Date Posted: June 05, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Macroeconomic Implications of Oil Price Fluctuations: A Regime-Switching Framework for the Euro Area
FEDS Working Paper No. 2017-063
Fédéric Holm-Hadulla and Kirstin Hubrich
European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Date Posted: June 05, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Measuring the Natural Rate of Interest: Alternative Specifications
FEDS Working Paper No. 2017-059
Kurt F. Lewis and Francisco Vazquez-Grande
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: June 05, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Terrorist Use of the 1/N Heuristic in Attack Method Choice
Peter J. Phillips and Sarah Carberry
University of Southern Queensland - Faculty of Business and University of New England (Australia)
Date Posted: June 04, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Hidden Markov Model for Financial Time Series and Its Application to S&P 500 Index
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: June 04, 2017
Accepted Paper Series
187 downloads

Incl. Electronic Paper Time Varying Volatility in the Indian Stock Market
 Business Perspectives, 16(1), 21-38,
Gurmeet Singh
Unitedworld School of Business, Karnavati University
Date Posted: June 04, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper Efficiency of Indian Commodities Market: A Study of Agricultural Commodities
Gitam Journal of Management, 15(2), 68-84
Gurmeet Singh
Unitedworld School of Business, Karnavati University
Date Posted: June 04, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Testing Random Walk Hypothesis: An Empirical Analysis of National Stock Exchange Indices
International Journal of Management Research, 7(1&2), 19-32
Gurmeet Singh
Unitedworld School of Business, Karnavati University
Date Posted: June 04, 2017
Accepted Paper Series
23 downloads

Incl. Electronic Paper Monitoring Financial Stability in Emerging and Frontier Markets
David Bicchetti and David Neto
United Nations - Conference on Trade and Development (UNCTAD) and Independent
Date Posted: June 02, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Asymmetric Arbitrage Trading on Offshore and Onshore Renminbi Markets
Bundesbank Discussion Paper No. 13/2017
Sercan Eraslan
Deutsche Bundesbank
Date Posted: June 02, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper The Zero Lower Bound and Market Spillovers: Evidence from the G7 and Norway
NHH Dept. of Business and Management Science Discussion Paper No. 2017/7
Evangelos Kyritsis and Apostolos Serletis
Norwegian School of Economics (NHH) - Department of Business and Management Science and University of Calgary - Department of Economics
Date Posted: June 01, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Aggregating the Panel of Daily Textual Sentiment for Sparse Forecasting of Economic Growth
David Ardia, Keven Bluteau and Kris Boudt
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students and Vrije Universiteit Brussel (VUB)
Date Posted: May 30, 2017
Working Paper Series
78 downloads

Incl. Electronic Paper Industry Interdependency Dynamics in a Network Context
SFB 649 Discussion Paper 2017-012
Ya Qian, Wolfgang K. Härdle and Cathy Yi-Hsuan Chen
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: May 29, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Forecasting GDP Growth with NIPA Aggregates
FRB of Cleveland Working Paper No. 17-08
Christian Garciga and Edward S. Knotek II
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: May 25, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Economic Policy Uncertainty Spillovers in Booms and Busts
Melbourne Institute Working Paper No. 13/17
Giovanni Caggiano, Efrem Castelnuovo and Juan Manuel Figueres
Department of Economics, Monash University, Melbourne Institute and Department of Economics and University of Padua - Department of Economics and Management
Date Posted: May 24, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Research of the Causalities US Stock Market Returns and G-7 Countries’ Stock Market Volatilities from Pre-Crisis to Post-Crisis of 2008
Advances in Management & Applied Economics, 7(4), 2017, 33-42
Ihsan Erdem Kayral and Semra Karacaer
The Scientific and Technological Research Council of Turkey (TUBITAK) and Hacettepe University
Date Posted: May 24, 2017
Accepted Paper Series
27 downloads

Incl. Electronic Paper Determinants of Price Discovery in the VIX Futures Market
Journal of Empirical Finance, Forthcoming
Yu-Lun Chen and Wei-Che Tsai
Chung Yuan Christian University - Department of Finance and National Sun Yat-sen University - Department of Finance
Date Posted: May 23, 2017
Accepted Paper Series
121 downloads

Incl. Electronic Paper Stock Market Integration in Asia: Global or Regional? Evidence from Industry Level Panel Convergence Tests
DIW Berlin Discussion Paper No. 1669
Guglielmo Maria Caporale and Kefei You
Brunel University - Centre for Empirical Finance and University of Greenwich
Date Posted: May 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Global and Regional Financial Integration in Emerging Asia: Evidence from Stock Markets
DIW Berlin Discussion Paper No. 1668
Guglielmo Maria Caporale, Luis A. Gil-Alana and Kefei You
Brunel University - Centre for Empirical Finance, University of Navarra - Department of Economics and University of Greenwich
Date Posted: May 22, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
DIW Berlin Discussion Paper No. 1667
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Date Posted: May 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Micro-Price: A High Frequency Estimator of Future Prices
Sasha Stoikov
Cornell Financial Engineering Manhattan
Date Posted: May 19, 2017
Last Revised: June 10, 2017
Working Paper Series
293 downloads

Incl. Electronic Paper Seeking Price and Macroeconomic Stabilisation in the Euro Area: The Role of House Prices and Stock Prices
Imran Hussain Shah and Simón Sosvilla Rivero
University of Bath and Complutense University of Madrid
Date Posted: May 18, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Impact of Relative Seniority between Bank Debt and Deposit on Bank Credit Spreads under Stressful Conditions
James Chen
Research137 LLC
Date Posted: May 16, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Effect of Monetary Policies on the Relationship between Advertising and Mutual Fund Flows
Ming-Hung Wu, Wei-Che Tsai and Miao-Ling Chen
National Sun Yat-sen University, Department of Finance, Students, National Sun Yat-sen University - Department of Finance and National Sun Yat-sen University - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Random Geometric Analysis in the Stochastic Volatility: Financial Markets States Degeneracy
Analysis and Computations Journal, Forthcoming
Siyabonga Goodwill Chule
Mathematical Sciences (MS) centre, the African Institute for MS
Date Posted: May 15, 2017
Last Revised: May 22, 2017
Accepted Paper Series
32 downloads

Incl. Electronic Paper Dangerous Flexibility – Retirement Reforms Reconsidered
MEA Discussion Paper No. 03-2017
Axel H. Börsch-Supan, Tabea Bucher-Koenen, Vesile Kutlu-Koc and Nicolas Goll
Max Planck Society for the Advancement of the Sciences - Munich Center for the Economics of Aging (MEA), Max Planck Society for the Advancement of the Sciences - Munich Center for the Economics of Aging (MEA), Max Planck Society for the Advancement of the Sciences - Munich Center for the Economics of Aging (MEA) and Max Planck Society for the Advancement of the Sciences - Munich Center for the Economics of Aging (MEA)
Date Posted: May 13, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The Natural Rate of Interest in a Nonlinear DSGE Model
CAMA Working Paper No. 38/2017
Yasuo Hirose and Takeki Sunakawa
Faculty of Economics, Keio University and University of Tokyo - Graduate School of Public Policy
Date Posted: May 12, 2017
Working Paper Series
15 downloads


 

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