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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal
331,062 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,905
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1 2 3 4 ... 59 | Next >
   

Incl. Electronic Paper Understanding Financialization: Standing on the Shoulders of Minsky
Levy Economics Institute, Working Papers Series No. 892
Charles J. Whalen
Cornell University
Date Posted: June 23, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Do Financial Crises Alter the Dynamics of Corporate Capital Structure? Evidence from GCC Countries
Quarterly Review of Economics and Finance, Vol. 63, 2017
Rami Zeitun, Akram Temimi and Karim Mimouni
Qatar University - Department of Finance and Economics, Qatar University - Department of Economics and Qatar University
Date Posted: June 23, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Subprime Mortgages and Banking in a DSGE Model
University of Milan Bicocca Department of Economics, Management and Statistics Working Paper No. 366
Martino N. Ricci and Patrizio Tirelli
European Central Bank (ECB) and Università degli Studi di Milano-Bicocca - Center for Interdisciplinary Studies in Economics, Psychology & Social Sciences (CISEPS)
Date Posted: June 23, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper How Aggregate Volatility-of-Volatility Affects Stock Returns
Review of Asset Pricing Studies, Forthcoming
Fabian Hollstein and Marcel Prokopczuk
Leibniz Universität Hannover - Faculty of Economics and Management and Leibniz Universität Hannover - Faculty of Economics and Management
Date Posted: June 23, 2017
Accepted Paper Series
40 downloads

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
44 downloads

Incl. Electronic Paper Uniform Integrability of a Single Jump Local Martingale with State-Dependent Characteristics
Swiss Finance Institute Research Paper No. 17-21
Michael Schatz and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 23, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Credit Market Freezes
Efraim Benmelech and Nittai Bergman
Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: June 22, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Optimism, Volatility and Decision-Making in Stock Markets
Francesco Rocciolo, Andrea Gheno and Chris Brooks
University of Rome III - Department of Business Studies, University of Rome III - Department of Business Studies and University of Reading - ICMA Centre
Date Posted: June 22, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Nature of Volatility in Indian Stock Market – An Empirical Analysis
Mohammad Irshad VK and George Varghese
Pondicherry University - Department of Commerce, Students and Pondicherry University, Students
Date Posted: June 21, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Rational or Irrational? A Comprehensive Studies on Stock Market Crashes
Tai Ma, Kuo Hsi Lee, Chien Huei Lai and Yang Shen Lee
National Sun Yat-sen University, National Sun Yat-sen University, National Sun Yat-sen University and National Sun Yat-sen University
Date Posted: June 21, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Supply- and Demand-Side Factors in Global Banking
FRB of NY Staff Report No. 818
Mary Amiti, Patrick McGuire and David E. Weinstein
Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Date Posted: June 21, 2017
Working Paper Series

Incl. Electronic Paper Bank Asset Concentration Not Necessarily Cause for Worry
Economic Letter, Vol. 12, Issue 7, pp. 1-4, 2017
Ricardo T. Fernholz and Christoffer Koch
Claremont McKenna College - Robert Day School of Economics and Finance and Federal Reserve Bank of Dallas
Date Posted: June 21, 2017
Accepted Paper Series
1 downloads

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
4 downloads

Incl. Electronic Paper Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?
Kingsley Y. L. Fong, Craig W. Holden and Ondrej Tobek
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and University of Cambridge - Faculty of Economics
Date Posted: June 20, 2017
Working Paper Series
12 downloads

Incl. Fee Electronic Paper Supply- and Demand-Side Factors in Global Banking
CEPR Discussion Paper No. DP12091
Mary Amiti, Patrick McGuire and David E. Weinstein
Federal Reserve Bank of New York, Bank for International Settlements (BIS) and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Date Posted: June 19, 2017
Working Paper Series

Incl. Electronic Paper A Price-Differentiation Model of the Interbank Market and its Application to a Financial Crisis
FEDS Working Paper No. 2017-065
Kyungmin Kim
Board of Governors of the Federal Reserve System
Date Posted: June 19, 2017
Working Paper Series

Are Investors Compensated for the Unit Shocks of Idiosyncratic Volatility
Haoxi Yang, Yuecheng Jia and Hongrui Feng
Nankai University, Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development and Independent
Date Posted: June 19, 2017
Working Paper Series

Incl. Electronic Paper Identifying Contagion in a Banking Network
Saïd Business School WP 2016-37,
Alan D. Morrison, Michalis Vasios, Mungo Ivor Wilson and Filip Zikes
University of Oxford - Said Business School, Bank of England, University of Oxford - Said Business School and Board of Governors of the Federal Reserve System
Date Posted: June 16, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Effects of Volatility of the Exchange Rate on Volatility of Inflation: Expectations and Growth Prospects in Mexico (2002-2014)
Ensayos Revista de Economía. Vol. XXXIV, num. 2 pp. 63-78,
Guillermo Benavides, Isela Elizabeth Téllez-León and Francisco Venegas-Martinez
Banco de Mexico, Instituto Politécnico Nacional (México) and Instituto Politécnico Nacional
Date Posted: June 16, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Factor Analysis for Volatility
Ross Askanazi and Jacob Warren
University of Pennsylvania, School of Arts & Sciences, Department of Economics and University of Pennsylvania, School of Arts & Sciences, Department of Economics
Date Posted: June 15, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Stock Market Reactions to Presidential Social Media Usage: Evidence from Company-Specific Tweets
Qi Ge, Alexander Kurov and Marketa Halova Wolfe
Skidmore College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Date Posted: June 15, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper When Enough Is Not Enough: Bank Capital and the Too-Big-To-Fail Premium
Michael B. Imerman
Lehigh University
Date Posted: June 15, 2017
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Explicit Implied Volatilities for Multifactor Local‐Stochastic Volatility Models
Mathematical Finance, Vol. 27, Issue 3, pp. 926-960, 2017
Matthew Lorig, Stefano Pagliarani and Andrea Pascucci
University of Washington - Applied Mathematics, DEAMS, Università di Trieste and University of Bologna - Department of Mathematics
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Fee Electronic Paper The Impact of the GFC on Sectoral Market Efficiency: Non‐Linear Testing for the Case of Australia
Economic Record, Vol. 93, pp. 38-56, 2017
Neha Deo, Heath Spong and Maria Estela Varua
Western Sydney University, Western Sydney University and Western Sydney University
Date Posted: June 15, 2017
Accepted Paper Series

Incl. Electronic Paper Доходите на домакинствата – структура и динамика в условията на финансова криза (The Household Income – The Structure and Dynamic in Terms of Financial Crisis)
Rumiana Lilova and Aneliya Radulova
D. A. Tsenov Academy of Economics and D. A. Tsenov Academy of Economics
Date Posted: June 15, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Back to the Future: Backtesting Systemic Risk Measures During Historical Bank Runs and the Great Depression
Christian T. Brownlees, Benjamin Remy Chabot, Eric Ghysels and Christopher Johann Kurz
Universitat Pompeu Fabra - Department of Economics and Business, Federal Reserve Bank of Chicago, University of North Carolina Kenan-Flagler Business School and Board of Governors of the Federal Reserve System
Date Posted: June 14, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Foreclosures and the Labor Market: Evidence from Millions of Households across the United States, 2000-2014
Christos Andreas Makridis and Michael Ohlrogge
Stanford University, Department of Economics, Students and Stanford University - Management Science & Engineering, Students
Date Posted: June 14, 2017
Last Revised: June 21, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Credit Constraints and Job Destruction: Evidence from Denmark
Thomas Poulsen and Niels Westergaard-Nielsen
Department of International Economics and Management and Copenhagen Business School
Date Posted: June 14, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Financial Globalization and Market Volatility: An Empirical Appraisal
World Bank Policy Research Working Paper No. 8091
Tito Cordella and Anderson Ospino Rojas
World Bank and University of California, Davis - Departments of Economics and Agricultural Resource Economics
Date Posted: June 13, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper The Labor Market Effects of Financial Crises: The Role of Temporary Contracts in Central and Western Europe
World Bank Policy Research Working Paper No. 8085
Siddharth Sharma and Hernan Jorge Winkler
The World Bank and World Bank - International Finance Corporation (IFC)
Date Posted: June 13, 2017
Working Paper Series
13 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
32 downloads

Incl. Electronic Paper Why Did Politicians Intervene in the Fair Value Debate? The Role of Ideology and Special Interests
Jannis Bischof, Holger Daske and Christoph J. Sextroh
University of Mannheim - Accounting and Taxation, University of Mannheim - Accounting and Taxation and Tilburg University - Tilburg School of Economics and Management
Date Posted: June 13, 2017
Working Paper Series
44 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. Fee Electronic Paper Cyclical Job Ladders by Firm Size and Firm Wage
NBER Working Paper No. w23485
John Haltiwanger, Henry R. Hyatt, Lisa Kahn and Erika McEntarfer
University of Maryland - Department of Economics, U.S. Census Bureau - Center for Economic Studies, Yale School of Management and U.S. Census Bureau
Date Posted: June 13, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Monetary-Fiscal Interactions and the Euro Area's Malaise
Marek Jarocinski and Bartosz Maćkowiak
European Central Bank (ECB) and European Central Bank (ECB)
Date Posted: June 12, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Uncertainty Shocks as Second-Moment News Shocks
David Berger, Ian Dew-Becker and Stefano Giglio
Northwestern University, Kellogg School of Management - Department of Finance and University of Chicago - Booth School of Business
Date Posted: June 12, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Does Feedback Trading Drive Returns of Cross-Listed Shares?
Journal of International Financial Markets, Institutions and Money, Forthcoming
Jing Chen, Yizhe Dong, Wenxuan Hou and David G. McMillan
Cardiff University - School of Mathematics, University of Aberdeen - Business School, University of Edinburgh - Business School and University of Stirling
Date Posted: June 12, 2017
Accepted Paper Series
13 downloads

Arbitrage Theory: Quantitative Methods
Rossano Giandomenico
Independent
Date Posted: June 10, 2017
Last Revised: June 25, 2017
Working Paper Series

Incl. Electronic Paper How Important Was Contagion Through Banks During the European Sovereign Crisis?
Fisher College of Business Working Paper No. 2017-03-015, Charles A. Dice Center Working Paper No. 2017-15
Andrea Beltratti and René M. Stulz
Bocconi University - Department of Finance and Ohio State University (OSU) - Department of Finance
Date Posted: June 10, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Exponentiation of Conditional Expectations Under Stochastic Volatility
Elisa Alos, Jim Gatheral and Rados Radoicic
University of Pompeu Fabra - Department of Economics, CUNY Baruch College and Baruch College, City University of New York
Date Posted: June 08, 2017
Working Paper Series
36 downloads

Incl. Electronic Paper Better the Devil You Know Than the Devil You Don't — Financial Crises between Ambiguity Aversion and Selective Perception
Peter Scholz, David Großmann and Sinan Krueckeberg
Hamburg School of Business Administration, Andrassy University Budapest, Students and University of the German Federal Armed Forces - Helmut Schmidt Universität
Date Posted: June 08, 2017
Last Revised: June 14, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper The Volatility-of-Volatility Term Structure
Nicole Branger, Hendrik Hülsbusch and Alexander Kraftschik
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Date Posted: June 08, 2017
Last Revised: June 14, 2017
Working Paper Series
143 downloads

Incl. Electronic Paper US Bank Credit Spreads During the Financial Crisis
Journal of Banking and Finance, Vol. 71, No. 2, 2016
Peter Spencer
University of York
Date Posted: June 07, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Smiles & Smirks: A Tale of Factors
Laura Ballotta and Grégory Rayée
Sir John Cass Business School - City, University of London and Université Libre de Bruxelles (ULB)
Date Posted: June 06, 2017
Working Paper Series
74 downloads

Incl. Electronic Paper Rational Bubble Testing: An In-Depth Study on CNX Nifty
Asian Journal of Research in Banking and Finance Vol. 6, No. 6, June 2016, pp. 10-16 ISSN 2249-7323 DOI : 10.5958/2249-7323.2016.00028.6
Bikramaditya Ghosh
IMCU, Christ University
Date Posted: June 05, 2017
Accepted Paper Series
3 downloads

Incl. Fee Electronic Paper Flexibility of Adjustment to Shocks: Economic Growth and Volatility of Middle-Income Countries Before and After the Global Financial Crisis of 2008
NBER Working Paper No. w23467
Joshua Aizenman, Yothin Jinjarak, Gemma Bolotaulo Estrada and Grace Tian
University of Southern California - Department of Economics, Victoria University of Wellington - School of Economics & Finance, Asian Development Bank - Economic Research and Asian Development Bank
Date Posted: June 05, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Resumption of Single Stock Futures (SSFs) with Stringent Regulations and Their Impact on the Risk Characteristics of the Underlying Stocks
Business & Economic Review, Vol. 8, Issue 2, pp. 1-22, 2016
Imran Riaz Malik and Attaullah Shah
IQRA University, Islamabad Campus and Institute of Management Sciences
Date Posted: June 05, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper A Utility-Based Approach to Pricing Hedge Fund Liquidity
Alexander Rudin
State Street Global Advisors
Date Posted: June 04, 2017
Working Paper Series
10 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
185 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
12 downloads


 

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