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SSRN eLibrary Search Results
JEL Code: C53
577,370 Total downloads
Showing Papers 1 - 50 of 3,101
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Incl. Electronic Paper Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts
Christopher G. Gibbs and Andrey L. Vasnev
UNSW Business School and University of Sydney
Date Posted: February 21, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Macroeconomic Forecasting in Times of Crises
FEDS Working Paper No. 2017-018
Pablo Guerrón-Quintana and Molin Zhong
Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Board of Governors of the Federal Reserve System
Date Posted: February 21, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study
David Ardia, Keven Bluteau, Kris Boudt and Leopoldo Catania
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance
Date Posted: February 16, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper Quantifying the Link between Art and Property Prices in Urban Neighbourhoods
R. Soc. open sci. 3: 160146. (2016) DOI/10.1098/rsos.160146
Chanuki Seresinhe, Tobias Preis and Helen Susannah Moat
University of Warwick - Warwick Business School, Data Science Lab, Behavioural Science, Warwick Business School and University College London - Department of Civil, Environmental and Geomatic Engineering
Date Posted: February 16, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Modelling and Forecasting Rig Rates on the Norwegian Continental Shelf
USAEE Working Paper No. 17-292
Terje Skjerpen, Halvor Briseid Storrosten, Knut Einar Rosendahl and Petter Osmundsen
Statistics Norway, Statistics Norway, Norwegian University of Life Sciences and University of Stavanger
Date Posted: February 16, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Estimating Unbiassed Expected Loss, with Application to Consumer Credit
Anthony Bellotti
Imperial College London
Date Posted: February 13, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Equity Factor Predictability
Ulrich Carl
Finreon
Date Posted: February 13, 2017
Working Paper Series
85 downloads

Incl. Electronic Paper A Better Understanding of Granger Causality Analysis: A Big Data Environment
Xiaojun Song and Abderrahim Taamouti
Peking University - Guanghua School of Management and Durham University
Date Posted: February 11, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Determining Risk Model Confidence Sets
Finance Research Letters, Forthcoming
Mark Cummins, Michael M. Dowling and Francesco Paolo Esposito
Dublin City University Business School, ESC Rennes School of Business and Dublin City University Business School
Date Posted: February 10, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Estimating Suicide Occurrence Statistics Using Google Trends
EPJ Data Science, Vol. 5(32), DOI 10.1140/epjds/s13688-016-0094-0, 2016
Ladislav Kristoufek, Helen Susannah Moat and Tobias Preis
Charles University, University College London - Department of Civil, Environmental and Geomatic Engineering and Data Science Lab, Behavioural Science, Warwick Business School
Date Posted: February 09, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers
FEEM Working Paper No. 6.2017
Andrea Bastianin, Marzio Galeotti and Matteo Manera
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS)
Date Posted: February 08, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Forecasting Euro Area Inflation Using Targeted Predictors: Is Money Coming Back?
ECB Working Paper No. 2015
Matteo Falagiarda and João Sousa
European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: February 07, 2017
Working Paper Series
3 downloads

RiskPortfolios: Computation of Risk-based Portfolios in R
Journal of Open Source Software, Vol 10, No. 2, 2017
David Ardia, Kris Boudt and Jean-Philippe Gagnon Fleury
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Laval University - Département de Finance et Assurance
Date Posted: February 04, 2017
Last Revised: February 06, 2017
Accepted Paper Series

Incl. Electronic Paper Fear Connectedness Among Asset Classes
Research Institute of Applied Economics Working Paper 2017/03
Julián Andrada Félix, Adrian Fernandez-Perez and Simón Sosvilla Rivero
University of Las Palmas de Gran Canaria - Faculty of Economic Science, Auckland University of Technology and Complutense University of Madrid
Date Posted: February 03, 2017
Working Paper Series
69 downloads

Incl. Electronic Paper Now-Casting Building Permits with Google Trends
David Coble and Pablo M. Pincheira
University of Chicago - Department of Economics and Adolfo Ibanez University - School of Business
Date Posted: February 03, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Forecasting with Dynamic Pane Data Models
USC-INET Research Paper No. 17-02
Laura Liu, Hyungsik Roger Moon and Frank Schorfheide
University of Pennsylvania - Department of Economics, University of Southern California - Department of Economics and University of Pennsylvania - Department of Economics
Date Posted: January 31, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Understanding Democratic Transition Using Self-Organizing Maps: A Special Focus on Arab Spring Countries
Houda Haffoudhi, Racem Mehdi and Gam Abdelkader
University of Carthage - Faculty of Economics Sciences and Management of Nabeul, Independent and Independent
Date Posted: January 30, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Combination Forecasting of Energy Demand in the UK
Marco R. Barassi and Yuqian Zhao
University of Birmingham and University of Birmingham - Department of Economics
Date Posted: January 30, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Forecasting the Brent Oil Price: Addressing Time-Variation in Forecast Performance
CESifo Working Paper Series No. 6242
Cristiana Manescu and Ine Van Robays
European Commission and European Central Bank
Date Posted: January 26, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Measuring Firm Size Distribution with Semi-Nonparametric Densities
Center for Research in Economics and Finance (CIEF), Working Papers, No. 17-01
Lina M. Cortes, Andrés Mora-Valencia and Javier Perote
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF), Universidad de los Andes, Colombia - School of Management and University of Salamanca
Date Posted: January 25, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper A Macroeconometric Model of a Developing Economy
Journal of the Asia Pacific Economy, Volume 8, Number 1, February 2003
Kannapiran C. Arjunan
Queensland Government, Australia
Date Posted: January 23, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Predicting the Probability of Recession in Croatia: Is Economic Sentiment the Missing Link?
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 34, No. 2, 2016, pp. 555-579,
Natasa Erjavec V, Petar Sorić and Mirjana Čižmešija
University of Zagreb, University of Zagreb and University of Zagreb
Date Posted: January 23, 2017
Last Revised: January 30, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Targeting Market Neutrality
John B. Lee, Jonathan J. Reeves, Alice C. Tjahja and Xuan Xie
University of Auckland, UNSW Business School, University of New South Wales, UNSW Australia Business School, School of Banking and Finance and Commonwealth Bank of Australia
Date Posted: January 20, 2017
Last Revised: February 01, 2017
Working Paper Series
54 downloads

Incl. Electronic Paper Do Central Banks Respond Timely to Developments in the Global Economy?
Norges Bank Working Paper 19/2016
Hilde C. Bjørnland, Leif Anders Thorsrud and Sepideh Khayati Zahiri
Norwegian School of Management (BI), BI Norwegian Business School and BI Norwegian Business School
Date Posted: January 19, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper A Unified Framework for Dimension Reduction in Forecasting
FEDS Working Paper No. 2017-004
Alessandro Barbarino and Efstathia Bura
Board of Governors of the Federal Reserve System - Division of Research and Statistics and Vienna University of Technology - Institute for Mathematical Methods in Economics
Date Posted: January 19, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper A Sharp Model of Bid-Ask Spread Forecasts
Luca Cattivelli and Davide Pirino
Scuola Normale Superiore and Scuola Normale Superiore
Date Posted: January 17, 2017
Working Paper Series
29 downloads

The Dynamic Black-Litterman Approach to Asset Allocation
European Journal of Operational Research, Forthcoming
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance
Date Posted: January 16, 2017
Accepted Paper Series

Incl. Electronic Paper All Change! The Implications of Non-Stationarity for Empirical Modelling, Forecasting and Policy
Oxford Martin School Policy Paper Series, Forthcoming
David F. Hendry and Felix Pretis
University of Oxford - Department of Economics and University of Oxford
Date Posted: January 16, 2017
Accepted Paper Series
15 downloads

Incl. Electronic Paper Forecast Combination for Euro Area Inflation: A Cure in Times of Crisis?
ECB Working Paper No. 1972
Kirstin Hubrich and Frauke Skudelny
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Date Posted: January 16, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper How Biased are U.S. Government Forecasts of the Federal Debt?
FRB International Finance Discussion Paper No. 1189
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Date Posted: January 15, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study
ESSEC WORKING PAPER 1618
Rosnan Chotard, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, DEAR-Consulting and ESSEC Business School
Date Posted: January 13, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper The Contribution of Jumps to Forecasting the Density of Returns
Christophe Chorro, Florian Ielpo and Benoît Sévi
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Nantes
Date Posted: January 12, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Macroeconomic Factors and Model Instability: Implications on Bank Stress Testing
Han Hong and Deming Wu
Stanford University and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Date Posted: January 12, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Predicting Bond Betas Using Macro-Finance Variables
Nektarios Aslanidis, Charlotte Christiansen and Andrea Cipollini
Universitat Rovira Virgili, Aarhus University - CREATES and University of Palermo - Economics, Business and Finance
Date Posted: January 11, 2017
Last Revised: January 13, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper Value-at-Risk and Expected Shortfall When There Is Long Range Dependence
SFB 649 Discussion Paper 2008-006
Wolfgang K. Härdle and Julius Mungo
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 09, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Long Memory Persistence in the Factor of Implied Volatility Dynamics
SFB 649 Discussion Paper 2007-027
Wolfgang K. Härdle and Julius Mungo
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 09, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns
SFB 649 Discussion Paper 2008-014
Shiyi Chen, Kiho Jeong and Wolfgang K. Härdle
Fudan University, Kyungpook National University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
SFB 649 Discussion Paper 2007-022
Wen-Jen Tsay and Wolfgang K. Härdle
Academia Sinica - Institute of Economics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Portfolio Value at Risk Based on Independent Components Analysis
SFB 649 Discussion Paper 2005-060
Ying Chen, Wolfgang K. Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Date Posted: January 09, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Stochastic Population Forecast for Germany and Its Consequence for the German Pension System
SFB 649 Discussion Paper 2009-009
Wolfgang K. Härdle and Alena Mysickova
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 09, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Short-Term Forecasting of Tourist Arrivals to Sri Lanka from Asian Region
Conference Proceedings of the 5th International Conference of the Sri Lankan Forum of University Economists, p39-44. ISSN: 2279 -2406.
Udaya Konarasinghe
Independent
Date Posted: January 09, 2017
Last Revised: January 12, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Quantile Regression in Risk Calibration
SFB 649 Discussion Paper 2012-006
Shih-Kang Chao, Wolfgang K. Härdle and Weining Wang
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 07, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Copula Dynamics in CDOs
SFB 649 Discussion Paper 2012-032
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ludger Overbeck
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Giessen
Date Posted: January 07, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Optimal Selection of Expert Forecasts with Integer Programming
Dmytro Matsypura, Ryan Thompson and Andrey L. Vasnev
University of Sydney, The University of Sydney and University of Sydney
Date Posted: January 06, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper TIPS Liquidity Premium and Quantitative Easing
Laura Coroneo
University of York - Department of Economics and Related Studies
Date Posted: January 05, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Comparing Predictive Accuracy in Small Samples Using Fixed-Smoothing Asymptotics
Laura Coroneo and Fabrizio Iacone
University of York - Department of Economics and Related Studies and University of York - Department of Economics and Related Studies
Date Posted: January 05, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models
SFB 649 Discussion Paper 2014-008
Shuzhuan Zheng, Rong Liu, Lijian Yang and Wolfgang K. Härdle
Soochow University, University of Toledo, Soochow University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 05, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Adaptive Order Flow Forecasting with Multiplicative Error Models
SFB 649 Discussion Paper 2014-035
Wolfgang K. Härdle, Andrija Mihoci and Christopher Hian-Ann Ting
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Singapore Management University
Date Posted: January 05, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper Copula-Based Factor Model for Credit Risk Analysis
SFB 649 Discussion Paper 2015-042
Meng-Jou Lu, Wolfgang K. Härdle and Cathy Yi-Hsuan Chen
National Chiao-Tung University, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 05, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Impulse Response Estimation by Smooth Local Projections
Regis Barnichon and Christian T. Brownlees
Federal Reserve Bank of San Francisco and Universitat Pompeu Fabra - Department of Economics and Business
Date Posted: January 04, 2017
Last Revised: January 29, 2017
Working Paper Series
123 downloads


 

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