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SSRN eLibrary Search Results
JEL Code: C58
134,480 Total downloads
Showing Papers 1 - 50 of 947
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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 Time Series Experiments and Causal Estimands: Exact Randomization Tests and Trading
Iavor Bojinov and Neil Shephard
Harvard University, Department of Statistics, Students and Harvard University
Date Posted: June 26, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Focused Shrinkage Estimators for the Global Minimum Variance Portfolio
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: June 26, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil
SAFE Working Paper No. 172
Ahmed A.A. Khalifa, Massimiliano Caporin, Michele Costola and Shawkat M. Hammoudeh
King Fahd University of Petroleum & Minerals (KFUPM), University of Padua - Department of Statistical Sciences, Goethe University Frankfurt - Research Center SAFE and Drexel University - Lebow College of Business
Date Posted: June 14, 2017
Last Revised: June 22, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Networks of Volatility Spillovers Among Stock Markets
CESifo Working Paper Series No. 6476
Eduard Baumohl, Evzen Kocenda, Stefan Lyocsa and Tomas Vyrost
University of Economics in Bratislava, Charles University in Prague - Institute of Economic Studies, University of Economics in Bratislava - Faculty of Business Economics and University of Economics in Bratislava
Date Posted: June 13, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape Approach
Joseph H. Davis, Roger A Aliaga-Diaz, Harshdeep Ahluwalia and Ravi Tolani
The Vanguard Group, The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group, Inc.
Date Posted: June 10, 2017
Working Paper Series
232 downloads

Incl. Electronic Paper High-Frequency Jump Analysis of the Bitcoin Market
Swiss Finance Institute Research Paper No. 17-19
O. Scaillet, Adrien Treccani and Christopher Trevisan
University of Geneva GSEM and GFRI, University of Zurich and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 10, 2017
Last Revised: June 26, 2017
Working Paper Series
90 downloads

Incl. Electronic Paper Feedback Between Credit and Liquidity Risk in the US Corporate Bond Market
Rob C. Sperna Weiland, Roger J. A. Laeven and Frank De Jong
University of Amsterdam Business School, University of Amsterdam - Amsterdam School of Economics and Tilburg University - Department of Finance
Date Posted: June 08, 2017
Working Paper Series
39 downloads

Fear Estimation–Evidence from BRICS and UK
International Journal of Applied Business and Economic Research Volume 15 • Number 4 • 2017 ISSN 0972-7302,
Bikramaditya Ghosh, Corlise Le Roux and Rodica Ianole
IMCU, Christ University, University of Johannesburg and University of Bucharest
Date Posted: June 08, 2017
Accepted Paper Series

Incl. Electronic Paper M&A Announcements in Australia and Their Impact on Competitors
Fabio Parlapiano and Vitali Alexeev
Bank of Italy and University of Tasmania
Date Posted: June 05, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Multi-Horizon Forecast Comparison
Rogier Quaedvlieg
Erasmus University Rotterdam (EUR) - Department of Business Economics
Date Posted: June 03, 2017
Last Revised: June 10, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Target Volatility: Are There Benefits for Domestic and International Investors?
Claus Huber
Rodex Risk Advisers LLC
Date Posted: June 01, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Effects of Diversification and Capital Buffers on the EU Sovereign-Bank Network
Margherita Giuzio, Ben R. Craig and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Federal Reserve Bank of Cleveland and EBS Universität für Wirtschaft und Recht
Date Posted: May 31, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Extracting Latent States from High Frequency Option Prices
Diego Amaya, Jean-François Bégin and Geneviève Gauthier
Wilfrid Laurier University, Simon Fraser University and HEC Montreal - Department of Decision Sciences
Date Posted: May 30, 2017
Working Paper Series
62 downloads

Incl. Electronic Paper The Amiti-Weinstein Estimator: An Equivalence Result
Economics Letters, Vol. 151, 2017
Joris Tielens and Jan Van Hove
KU Leuven - Faculty of Business and Economics (FEB) and KU Leuven - Center for Economic Studies
Date Posted: May 29, 2017
Accepted Paper Series
4 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 Disentangling the Role of Variance and Covariance Information in Portfolio Selection Problems
Andre A. P. Santos
Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Date Posted: May 28, 2017
Last Revised: May 29, 2017
Working Paper Series
53 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 Co-Movements and Systematic Risk of Asian Securitized Real Estate Markets: A Wavelet Analysis
Kim Hiang Liow, Xiaoxiao Zhou, Li Qiang and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) - Department of Real Estate, National University of Singapore (NUS) and National University of Singapore (NUS) - Department of Real Estate
Date Posted: May 22, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Local Currency Systemic Risk
Nicola Borri
LUISS University - Department of Economics and Finance
Date Posted: May 19, 2017
Last Revised: May 30, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Does Commercial Microfinance Belong to the Financial Sector? Lessons from the Stock Market
World Development, Volume 67, Pages 110–125, March 2015,
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: May 19, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk
Carlos Trucíos, Luiz Koodi Hotta and Esther Ruiz
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Date Posted: May 17, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Predicting Movement of Stock of Apple Inc. Using Sutte Indicator
Proceedings The 3rd AISTSSE Trends in Science and Science Education, 2016
Ansari Saleh Ahmar
Departement of Statistics, Universitas Negeri Makassar
Date Posted: May 15, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper Do Financial Analysts Generate Value-Relevant Interpretive Information from 10-K Filings?
Jamie Diaz, Kenneth Njoroge and Philip B. Shane
College of William and Mary, College of William and Mary - Mason School of Business and College of William & Mary
Date Posted: May 15, 2017
Working Paper Series
64 downloads

Incl. Electronic Paper Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems
IMF Working Paper No. 17/102
Andreas (Andy) Jobst, Li Lian Ong and Christian Schmieder
World Bank Group, GIC and Bank for International Settlements (BIS) - Financial Stability Board (FSB)
Date Posted: May 12, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Bayesian Analysis of Moving Average Stochastic Volatility Models: Modelling in Mean Effects and Leverage for Financial Time Series
Stefanos Dimitrakopoulos and Michalis Kolossiatis
Oxford Brookes University and University of Cyprus
Date Posted: May 12, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper Sparse Precision Matrices for Minimum Variance Portfolios
Gabriele Torri, Rosella Giacometti and Sandra Paterlini
University of Bergamo, University of Bergamo and EBS Universität für Wirtschaft und Recht
Date Posted: May 10, 2017
Working Paper Series
61 downloads

Incl. Electronic Paper Forecasting Comparison of Long Term Component Dynamic Models for Realized Covariance Matrices
Annales d'Economie et de Statistique, 123-124,103-134, December, 2016
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and University of Salerno - Department of Economics
Date Posted: May 10, 2017
Accepted Paper Series
6 downloads

Incl. Electronic Paper Factors vs. Sectors in Asset Allocation: Stronger Together?
Marie Briere and Ariane Szafarz
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Date Posted: May 10, 2017
Working Paper Series
475 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures: Online Appendix
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 10, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Date Posted: May 10, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Multiple Regression Model Averaging and the Focused Information Criterion with an Application to Portfolio Choice
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: May 10, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Focused Shrinkage with an Application to Portfolio Choice
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: May 10, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures
Journal of Applied Econometrics, 28/5, 743-761, 2013
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 09, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Bayesian Method of Change-Point Estimation with Recurrent Regimes: Application to GARCH Models
Luc Bauwens, Bruno De Backer and Arnaud Dufays
Université catholique de Louvain, National Bank of Belgium and Université catholique de Louvain, CORE
Date Posted: May 09, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Modeling the Dependence of Conditional Correlations on Market Volatility
Journal of Business and Economic Statistics, 34/2, 254-268, 2016
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Date Posted: May 09, 2017
Accepted Paper Series
19 downloads

Incl. Electronic Paper A Dynamic Component Model for Forecasting High-Dimensional Realized Covariance Matrices
Econometrics and Statistics, 1, 40-61, 2017
Luc Bauwens, Manuela Braione and Giuseppe Storti
Université catholique de Louvain, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and University of Salerno - Department of Economics
Date Posted: May 09, 2017
Accepted Paper Series
11 downloads

Incl. Electronic Paper The Components of Private Debt Performance
Margherita Giuzio, Andreas Gintschel and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Prime Capital AG and EBS Universität für Wirtschaft und Recht
Date Posted: May 06, 2017
Last Revised: May 24, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Industry Interdependency Dynamics in a Network Context
SFB 649 Discussion Paper 2017-010
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 02, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Volatility Prediction Using a Realized-Measure-Based Component Model
Diaa Noureldin
American University in Cairo - Department of Economics
Date Posted: May 02, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper An Analysis on the Structural Breaks in Dynamic Conditional Correlations Among Equity Markets Based on the ICSS Algorithm: The Case from 2015-2016 Chinese Stock Market Turmoil
Pengxiang Zhai and Rufei Ma
School of Business, Macau University of Science and Technology and School of Business, Macau University of Science and Technology
Date Posted: April 28, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Correlation of Democracy Indicators and Markets Returns
V-Dem Working Paper 2016:04
Scott Axelrod and James Leitner
Falcon Management Corporation and Falcon Management Corporation
Date Posted: April 27, 2017
Working Paper Series
43 downloads

Incl. Electronic Paper The Volatility of Capital Flows in Emerging Markets: Measures and Determinants
IMF Working Paper No. 17/41
Maria Sole Pagliari and Swarnali Ahmed
Rutgers, The State University of New Jersey and International Monetary Fund (IMF)
Date Posted: April 25, 2017
Working Paper Series
50 downloads

Incl. Electronic Paper Sentiment Spillover Effects for US and European Companies
Francesco Audrino and Anastasija Tetereva
University of St. Gallen and University of St. Gallen
Date Posted: April 24, 2017
Working Paper Series
50 downloads

Incl. Electronic Paper Dynamic Copula Toolbox
Manthos Vogiatzoglou
University of Macedonia - Department of Business Administration
Date Posted: April 24, 2017
Working Paper Series
59 downloads

Incl. Electronic Paper Measuring and Analyzing Liquidity and Volatility Dynamics in the Euro-Area Government Bond Market
Handbook of Global Financial Markets: Transformations, Dependence, and Risk Spillovers, World Scientific Publishing, 2017, Forthcoming
Conall O'Sullivan and Vassilios G. Papavassiliou
University College Dublin (UCD) - Michael Smurfit Graduate School of Business and University College Dublin (UCD) - Michael Smurfit Graduate School of Business
Date Posted: April 19, 2017
Accepted Paper Series
11 downloads

Incl. Electronic Paper Do Announcements of WTO Dispute Resolution Cases Matter? Evidence from the Rare Earth Elements Market
Juliane Proelss, Denis Schweizer and Volker Seiler
Concordia University, Quebec, Concordia University and University of Paderborn
Date Posted: April 17, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 6391
Joachim Freyberger, Andreas Neuhierl and Michael Weber
University of Wisconsin - Madison, University of Notre Dame - Department of Finance and University of Chicago - Finance
Date Posted: April 12, 2017
Working Paper Series
95 downloads

Incl. Electronic Paper SenSR: A Sentiment-Based Systemic Risk Indicator
De Nederlandsche Bank Working Paper No. 553
Svetlana Borovkova, Evgeny Garmaev, Philipp Lammers and Jordi Rustige
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration, VU University Amsterdam - Finance, VU University Amsterdam, Finance and VU University Amsterdam, Faculty of Economics and Business Administration
Date Posted: April 11, 2017
Working Paper Series
91 downloads

Incl. Electronic Paper Bitcoin Market Microstructure
Thomas Dimpfl
University of Tuebingen - Department of Statistics and Econometrics
Date Posted: April 11, 2017
Working Paper Series
125 downloads


 

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