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Econometrics: Mathematical Methods & Programming eJournal
765,125 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 5,234
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1 2 3 4 ... 105 | Next >
   

Incl. Electronic Paper Robust Repositioning for Vehicle Sharing
Long He, Zhenyu Hu and Meilin Zhang
NUS Business School, National University of Singapore, National University of Singapore (NUS) - Department of Decision Sciences and National University of Singapore (NUS) - NUS Business School
Date Posted: May 26, 2017
Working Paper Series
6 downloads

Managing Downside Risk for Portfolio Optimization
Management Accounting and Business Finance 1 (1), 10-21
Hemlata - Chelawat and I.V. Trivedi
ML Sukhadia University and ML Sukhadia University
Date Posted: May 26, 2017
Accepted Paper Series

Optimal Oil Production Under Mean-Reverting Lévy Models with Regime Switching
Journal of Energy Markets, Forthcoming
Moustapha Pemy
Towson University
Date Posted: May 26, 2017
Accepted Paper Series

Incl. Electronic Paper Portfolio Rho-presentativity
Tristan Froidure, Khalid Jalalzai and Yves Choueifaty
TOBAM, Independent and TOBAM
Date Posted: May 25, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Let the Data Do the Talking: Empirical Modelling of Survey-Based Expectations by Means of Genetic Programming
Research Institute of Applied Economics Working Paper No. 2017/11, Regional Quantitative Analysis Research Group Working Paper No. 2017/06
Oscar Claveria, Enric Monte and Salvador Torra
University of Barcelona - Regional Quantitative Analysis Group (AQR-IREA), Polytechnic University of Catalunya and University of Barcelona - Riskcenter-IREA
Date Posted: May 25, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Personalized Dynamic Pricing with Machine Learning
Gah‐Yi Ban and N. Bora Keskin
London Business School and Duke University - Fuqua School of Business
Date Posted: May 25, 2017
Last Revised: May 26, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques (Presentation Slides)
Zhongmin Luo and Raymond Brummelhuis
Standard Chartered Bank, London and University of Reims Champagne-Ardenne
Date Posted: May 24, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper The Cost of Being Different: Peer Firm Costs of Cash Holdings
Einar C. Kjenstad
University of Rochester - Simon Business School
Date Posted: May 24, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Optimal Dynamic Relative Performance Evaluation
Thomas Hemmer
Rice University - Jesse H. Jones Graduate School of Business
Date Posted: May 23, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper General Optimization Concept in Designing Supply Chain Network for a Manufacturer
Nilaish Nilaish
BML Munjal University
Date Posted: May 19, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Continuous Time Macro-Finance, Financial Transactions and Waves
Victor Olkhov
TVEL Fuel Company
Date Posted: May 19, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper David vs Goliath (You Against the Markets), A Dynamic Programming Approach to Separate the Impact and Timing of Trading Costs (Presentation Slides)
Ravi Kashyap
Gain Knowledge Group
Date Posted: May 18, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Lifetime Investment and Consumption with Recursive Preferences and Small Transaction Costs
Yaroslav Melnyk, Johannes Muhle‐Karbe and Frank Thomas Seifried
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Michigan at Ann Arbor and University of Trier
Date Posted: May 18, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Standard Error Correction in Two-Stage Optimization Models: A Quasi-Maximum Likelihood Estimation Approach
Center for Research in Economics and Finance (CIEF), Working Papers, No. 17-08
Fernando Rios Avila and Gustavo Javier Canavire-Bacarreza
Levy Economics Institute of Bard College and Universidad EAFIT
Date Posted: May 18, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Quantitative Wave Model of Macro-Finance
International Review of Financial Analysis, Vol. 50, 143-150, 2017
Victor Olkhov
TVEL Fuel Company
Date Posted: May 18, 2017
Accepted Paper Series
21 downloads

Incl. Electronic Paper Simulation Optimization Through Regression or Kriging Metamodels
CentER Discussion Paper Series No. 2017-026
Jack P. C. Kleijnen
Tilburg University, CentER
Date Posted: May 18, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Computationally Assisted Regulatory Participation
Notre Dame Law Review, Vol. 93, Forthcoming, Virginia Public Law and Legal Theory Research Paper No. 2017-30
Michael A. Livermore, Vladimir Eidelman and Brian Grom
University of Virginia School of Law, FiscalNote and FiscalNote
Date Posted: May 18, 2017
Last Revised: May 25, 2017
Accepted Paper Series
28 downloads

Incl. Electronic Paper Supplementary Appendix to: A Coskewness Shrinkage Approach for Estimating the Skewness of Linear Combinations of Random Variables
Kris Boudt, Dries Cornilly and Tim Verdonck
Vrije Universiteit Brussel (VUB), Vrije Universiteit Brussel (VUB) and Department of Mathematics, KU Leuven
Date Posted: May 18, 2017
Working Paper Series
16 downloads

A Hybrid Approach to Well Economics
Oil and Gas Financial Journal, Vol 13, No. 7, July 2016
Patrick Ng and Tyler Chessman
Real Core Energy and Microsoft Corporation
Date Posted: May 17, 2017
Accepted Paper Series

Incl. Electronic Paper Optimal Rényi Entropy Portfolios
Nathan Lassance and Frédéric D. Vrins
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Louvain School of Management, Université catholique de Louvain
Date Posted: May 16, 2017
Last Revised: May 19, 2017
Working Paper Series
45 downloads

Stochastic Revealed Preferences with Measurement Error: Testing for Exponential Discounting in Survey Data
Victor Aguiar and Nail Kashaev
Western University (University of Western Ontario) and University of Western Ontario
Date Posted: May 16, 2017
Working Paper Series

Incl. Electronic Paper A Quantitative Optimization Framework for Market-Driven Academic Program Portfolios
CentER Discussion Paper Series No. 2017-025
Joshua Burgher and Herbert Hamers
Tilburg University - TIAS School for Business and Society and Tilburg University - Center for Economic Research (CentER)
Date Posted: May 16, 2017
Last Revised: May 17, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Routing Heterogeneous Jobs to Heterogeneous Servers: A Global Optimization-Based Approach
Vahid Nourbakhsh and John Turner
University of California, Irvine - Paul Merage School of Business and University of California, Irvine - Paul Merage School of Business
Date Posted: May 15, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper CDS Rate Construction Methods by Machine Learning Techniques
Raymond Brummelhuis and Zhongmin Luo
University of Reims Champagne-Ardenne and Standard Chartered Bank, London
Date Posted: May 15, 2017
Working Paper Series
353 downloads

Incl. Electronic Paper Dynamic Matching in Overloaded Waiting Lists
Jacob D. Leshno
Columbia University
Date Posted: May 13, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Numerical Methods for Valuing Advanced Option Contracts
Dimitrios V. Siskos
ThinkingFinance
Date Posted: May 13, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Stochastic Debt Sustainability Analysis for Sovereigns and the Scope for Optimization Modeling
Optimization and Engineering special issue on Financial Engineering, Forthcoming, Working Paper 17-07, The Wharton Financial Institutions Center, The Wharton School, University of Pennsylvania, PA.
Andrea Consiglio and Stavros A. Zenios
Università degli Studi della Calabria and University of Cyprus
Date Posted: May 12, 2017
Accepted Paper Series
8 downloads

Incl. Electronic Paper The Importance of Transnational Impacts of Climate Change in a Power Market
Mikael Hildén, Hannu Huuki, Visa Kivisaari and Maria Kopsakangas-Savolainen
Government of the Republic of Finland - Finnish Environment Institute, University of Oulu - Department of Economics, Government of the Republic of Finland - Finnish Environment Institute and Finnish Environment Institute
Date Posted: May 11, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Estimation of Dynamic Models with Occasionally Binding Constraints.
Tom Holden
University of Surrey - School of Economics
Date Posted: May 11, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper On the Estimation and Inference of Global Categorical Effects in General Parametric Models: With a Logit Regression Application
Paulo Saraiva and Somdutta Basu
Econ One Research and Econ One Research, Inc.
Date Posted: May 11, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Integration and Efficiency Convergence in European Life Insurance Markets
J David Cummins and María Rubio-Misas
Temple University - Risk Management & Insurance & Actuarial Science and University of Malaga - Finance & Accounting
Date Posted: May 11, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper LSM Reloaded - Differentiate xVA on your iPad Mini
Brian Norsk Huge and Antoine Savine
Danske Bank and Danske Bank
Date Posted: May 10, 2017
Last Revised: May 25, 2017
Working Paper Series
93 downloads

Incl. Electronic Paper Оценка Эффектов Интеграции ЕАЭС (Evaluation of the Effects of Integration of Eurasian Economic Union)
V. V. Sedalishchev, Bekhan Chokaev and Alexander Knobel
Russian Presidential Academy of National Economy and Public Administration (RANEPA) - Institute of Applied Economic Research, Russian Presidential Academy of National Economy and Public Administration (RANEPA) and Gaidar Institute for Economic Policy
Date Posted: May 10, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper GMM and ML Estimation of Dynamic Panel Data Models with Heterogeneous Time Trends
Kazuhiko Hayakawa and Bei Ge
Hiroshima University and Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models
Kazuhiko Hayakawa and Meng Qi
Hiroshima University and Hiroshima University
Date Posted: May 10, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Decoding Stock Market with Quant Alphas
Zura Kakushadze and Willie Yu
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Date Posted: May 10, 2017
Working Paper Series
528 downloads

Incl. Electronic Paper Optimal Trading Strategies within the Hamilton-Jacobi-Bellman Equation - An Application to Statistical Arbitrage
Atsunari Konishi
KEK Theory Center
Date Posted: May 09, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Time-Consistent Investment Strategy with Only Risky Assets and Its Link with Myopic Strategy in High Dimensions
Chi Seng Pun
Division of Mathematical Sciences, School of Physical and Mathematical Sciences, Nanyang Technological University
Date Posted: May 09, 2017
Working Paper Series
11 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
10 downloads

Incl. Electronic Paper Distributed Markov Chain Monte Carlo for Bayesian Hierarchical Models
Federico Bumbaca, Sanjog Misra and Peter E. Rossi
University of California, Irvine - Paul Merage School of Business, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: May 09, 2017
Working Paper Series
26 downloads

Incl. Fee Electronic Paper Is Europe an Optimal Political Area?
CEPR Discussion Paper No. DP12017
Alberto F. Alesina, Guido Tabellini and Francesco Trebbi
Harvard University - Department of Economics, Bocconi University - Department of Economics and Vancouver School of Economics
Date Posted: May 08, 2017
Working Paper Series

Incl. Fee Electronic Paper Monetary-Fiscal Interactions and the Euro Area's Malaise
CEPR Discussion Paper No. DP12020
Marek Jarocinski and Bartosz Maćkowiak
European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: May 08, 2017
Working Paper Series

Incl. Electronic Paper Solving the DMP Model Accurately
Forthcoming, Quantitative Economics
Nicolas Petrosky-Nadeau and Lu Zhang
Federal Reserve Banks - Federal Reserve Bank of San Francisco and Ohio State University - Fisher College of Business
Date Posted: May 05, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Strategi Pengembangan Perikanan Dalam Pembangunan Ekonomi Wilayah Di Jawa Timur (Fisheries Development Strategy to Develop Regional Economic in East Java)
Ekuitas: Jurnal Ekonomi dan Keuangan, Volume 18, No. 3, p. 387–407, September 2014,
Hakim Miftakhul Huda
Fisheries Socio Economic Research Center
Date Posted: May 04, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Population Monotonicity in Newsvendor Games
Xin Chen, Xiangyu Gao, Zhenyu Hu and Qiong Wang
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign, National University of Singapore (NUS) - Department of Decision Sciences and University of Illinois at Urbana-Champaign
Date Posted: May 02, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper The Future of Korea's Trade and Business Portfolio in North Africa: A Deep Horizon Political Economy Scan of Algeria, Morocco and Tunisia
KIEP Research Paper. Studies in Comprehensive Regional Strategies 16-11
Mark Abdollahian, Jaehoon Lee, Zining Yang and Khaled Eid
Claremont Colleges - Claremont Graduate University, SGI Consulting Company, Claremont Colleges - Claremont Graduate University and Claremont Colleges - Claremont Graduate University
Date Posted: May 02, 2017
Working Paper Series
2 downloads

Optimization of Pool Contracts Using Intelligent Techniques and Calculation of Transmission Prices for Bilateral Contracts
S.K. Gupta and H.D. Sharma
D.C.R University of Science and Technology and Independent
Date Posted: May 02, 2017
Working Paper Series

Incl. Electronic Paper Duality in Mathematical Finance
Paul McCloud
University College London - Department of Mathematics
Date Posted: May 02, 2017
Last Revised: May 05, 2017
Working Paper Series
70 downloads

Incl. Electronic Paper The Expected Hitting Time Approach to Optimal Price Adjustment Problems
Stevens Institute of Technology School of Business Research Paper
Yiying Cheng, Hamed Ghoddusi, Yaozhong Hu and Chihoon Lee
University of Kansas, Stevens Institute of Technology - School of Business, University of Kansas and Stevens Institute of Technology
Date Posted: May 02, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper Redistributive Policy and Endogenous TFP Disparity Across Countries with a Special Focus on the Us, Japan and Australia
Debasis Bandyopadhyay, Ian Paul King and Xueli Tang
University of Auckland, University of Queensland and Deakin University
Date Posted: May 01, 2017
Working Paper Series
2 downloads


 

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