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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal
319,762 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 2,824
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1 2 3 4 ... 57 | Next >
   

Incl. Electronic Paper Foreign Exchange Market Efficiency: Different Tales from Developed and Developing Markets during the Recent Financial Crisis
Ehab Abdel-Tawab Yamani
Jackson State University - Economics and Finance
Date Posted: May 24, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper J-REIT Market Quality: Impact of High Frequency Trading and the Financial Crisis
Pawan Jain
University of Wyoming - College of Business - Department of Economics and Finance
Date Posted: May 24, 2017
Working Paper Series
4 downloads

Performance of Dividend ETFs During Bull and Bear Markets
Journal of Index Investing Summer 2017
Srinidhi Kanuri, Robert W. McLeod and Davinder K. Malhotra
University of Southern Mississippi, University of Alabama and Philadelphia University
Date Posted: May 24, 2017
Accepted Paper Series

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
4 downloads

Incl. Electronic Paper The Informational Content of Infinite Maturity Bonds
Oana Floroiu and Antoon Pelsser
Maastricht University and Maastricht University
Date Posted: May 23, 2017
Working Paper Series
3 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
31 downloads

Incl. Electronic Paper The Extended SSVI Volatility Surface
Sebas Hendriks and Claude Martini
Delft University of Technology and Zeliade Systems
Date Posted: May 22, 2017
Working Paper Series
11 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
2 downloads

Incl. Electronic Paper Still on China's Exchange Regime: The Euro and its Role as an Anchor Currency
Asian Journal of Finance & Accounting ISSN 1946-052X 2012, Vol. 4, No. 1
Marco Mele Sr. and Paola Allegra Baistrocchi
Luspio University - School of Political Sciences and Independent
Date Posted: May 20, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns
Swiss Finance Institute Research Paper No. 17-15
Philippe Bacchetta and Eric van Wincoop
University of Lausanne and University of Virginia - Department of Economics
Date Posted: May 20, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Adjusting Option Pricing Models for Informative Starting Points
Hammad Siddiqi
University of Queensland
Date Posted: May 20, 2017
Last Revised: May 22, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper Interconnectedness and Contagion in International Real Estate Investment Trusts
Kim Hiang Liow and Yuting Huang
National University of Singapore (NUS) - Department of Real Estate and National University of Singapore (NUS) - Department of Real Estate
Date Posted: May 18, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Does Efficiency Help Banks Survive and Thrive during Financial Crises?
Albert Assaf, Allen N. Berger, Raluca A. Roman and Efthymios G. Tsionas
University of Massachusetts Amherst, University of South Carolina - Darla Moore School of Business, Federal Reserve Bank of Kansas City and Lancaster University
Date Posted: May 18, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Supply and Shorting in Speculative Markets
Marcel Nutz and Jose A. Scheinkman
Columbia University and Columbia University
Date Posted: May 18, 2017
Working Paper Series
26 downloads

Incl. Electronic Paper A New Way to Quantify the Effect of Uncertainty
FRB of Dallas Working Paper No. 1705
Alexander W. Richter and Nathaniel A. Throckmorton
Federal Reserve Bank of Dallas and College of William and Mary
Date Posted: May 18, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper A Factor Structure for Implied Volatility
Ohad Kadan, Fang Liu and Xiaoxiao Tang
Washington University in St. Louis - John M. Olin Business School, Cornell University and Washington University in St. Louis - John M. Olin Business School
Date Posted: May 17, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Un Modelo de Predicción de Crisis Financieras en los Mercados Emergentes: 1970-2009 (A Model of Prediction of Financial Crises in Emerging Markets: 1970-2009)
Documento de Trabajo Omega Beta Gamma No. 03-2013
Alfonso Ayala
Universidad Nacional Mayor de San Marcos
Date Posted: May 17, 2017
Working Paper Series
4 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
11 downloads

Incl. Electronic Paper Impact of Global Financial Crisis on the Performance of Commercial Banks of Pakistan – A Case Study of MCB Bank Limited
International Journal of Management Sciences and Business Research, Vol. 6, Issue 4 (April 2017)
Munawwar Ali Kartio, Najma, Albeena Mirza and Faiza Shaikh
University of Sindh, Sindh University Jamshoro, University of Sindh - Department of Economics and Shaheed Zulfiqar ALi Bhutto Institute of Science and Technology,Dubai
Date Posted: May 16, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper VIX Futures Calendar Spreads
Ai Jun Hou and Lars L. Norden
Stockholm University, Business School and Stockholm University - Stockholm Business School
Date Posted: May 16, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper The Effect of Cash Injections: Evidence from the 1980s Farm Debt Crisis
Nittai Bergman, Rajkamal Iyer and Richard T. Thakor
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Minnesota - Carlson School of Management
Date Posted: May 16, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper How to Predict Financial Stress? An Assessment of Markov Switching Models
ECB Working Paper No. 2057
Thibaut Duprey and Benjamin Klaus
Bank of Canada and European Central Bank (ECB)
Date Posted: May 16, 2017
Working Paper Series
31 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
22 downloads

Incl. Fee Electronic Paper Beresford's Revenge: British Equity Holdings in Latin America, 1869-1929
CEPR Discussion Paper No. DP12042
Richard S. Grossman
Wesleyan University - Economics Department
Date Posted: May 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Provision
CEPR Discussion Paper No. DP12040
Francesco A. Franzoni and Mariassunta Giannetti
Università della Svizzera italiana (USI), Lugano and Stockholm School of Economics
Date Posted: May 15, 2017
Working Paper Series

Incl. Fee Electronic Paper Lessons Unlearned? Corporate Debt in Emerging Markets
CEPR Discussion Paper No. DP12038
Laura Alfaro, Gonzalo Asis, Anusha Chari and Ugo Panizza
Harvard University - Business, Government and the International Economy Unit, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of North Carolina (UNC) at Chapel Hill - Department of Economics and Graduate Institute of International and Development Studies (IHEID) - Department of Economics
Date Posted: May 15, 2017
Working Paper Series

Loan Loss Provisioning and Income Smoothing in US Banks Pre and Post the Financial Crisis
International Review of Financial Analysis, Volume 25, Pages 64–72, December 2012
DOI: 10.1016/j.irfa.2012.06.007,

Heba Abou-El-Sood
Lancaster University - Management School
Date Posted: May 13, 2017
Accepted Paper Series

Incl. Electronic Paper Does Prolonged Monetary Policy Easing Increase Financial Vulnerability?
IMF Working Paper No. 17/65
Stephen G. Cecchetti, Tommaso Mancini Griffoli and Machiko Narita
Brandeis International Business School, International Monetary Fund (IMF) and International Monetary Fund (IMF)
Date Posted: May 12, 2017
Working Paper Series
44 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
16 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

Volatility Indices: An International Comparison
The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 7-19, September 2016
Maithili S. Naik and Y. V. Reddy
Goa University and Goa University - Faculty of Commerce
Date Posted: May 12, 2017
Accepted Paper Series

Incl. Electronic Paper Financial Crises and Long-Run Growth.
Tom Holden
University of Surrey - School of Economics
Date Posted: May 11, 2017
Working Paper Series
8 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
51 downloads

Incl. Electronic Paper Time-Varying Uncertainty and Jump Intensities: Why Should Variance Jumps Be Different?
Alexander Kraftschik
University of Muenster - Finance Center Muenster
Date Posted: May 09, 2017
Working Paper Series
22 downloads

Incl. Fee Electronic Paper The Effects of Accounting Regulations on Stock Valuation and Volatility: Evidence from the Banking Industry
Journal of International Financial Management & Accounting, Vol. 28, Issue 2, pp. 205-229, 2017
Liang Song
Michigan Technological University
Date Posted: May 09, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Accounting Quality, Information Risk and the Term Structure of Implied Volatility around Earnings Announcements
Research in International Business and Finance, Forthcoming
Seraina C. Anagnostopoulou and Andrianos E. Tsekrekos
ESCP Europe and Athens University of Economics and Business - Department of Accounting and Finance
Date Posted: May 09, 2017
Accepted Paper Series
62 downloads

Öncü Göstergelerin Kanonik Analizi İle Belirlenmesi (The Determination of Leading Indicators by Canonical Analysis)
Murat Akkaya
Independent
Date Posted: May 08, 2017
Working Paper Series

Incl. Electronic Paper Lending Organization and Credit Supply During the 2008-09 Crisis
Bank of Italy Temi di Discussione (Working Paper) No. 1108
Silvia Del Prete, Marcello Pagnini, Paola Rossi and Valerio Paolo Vacca
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Date Posted: May 08, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Unspanned Stochastic Volatility in the Multi-Factor CIR Model
Swiss Finance Institute Research Paper No. 17-13
Damir Filipović, Martin Larsson and Francesco Statti
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 08, 2017
Last Revised: May 20, 2017
Working Paper Series
39 downloads

Incl. Electronic Paper The Decline in Asset Return Predictability and Macroeconomic Volatility
FEDS Working Paper No. 2017-050
Alex C. Hsu, Francisco Palomino and Charles Qian
Georgia Institute of Technology - Scheller College of Business, Board of Governors of the Federal Reserve System and Citigroup
Date Posted: May 08, 2017
Working Paper Series
55 downloads

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 Global Commodity Prices and Global Stock Volatility Shocks: Effects Across Countries
CAMA Working Paper No. 36/2017
Wensheng Kang, Ronald A. Ratti and Joaquin L. Vespignani
Kent State University - Department of Economics, Western Sydney University - Department of Economics & Finance and University of Tasmania - School of Economics and Finance
Date Posted: May 05, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Global Commodity Prices and Global Stock Volatility Shocks: Effects Across Countries
Globalization and Monetary Policy Institute Working Paper No. 311
Wensheng Kang, Ronald A. Ratti and Joaquin L. Vespignani
Kent State University - Department of Economics, Western Sydney University - Department of Economics & Finance and University of Tasmania - School of Economics and Finance
Date Posted: May 05, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Oil, Volatility and Institutions: Cross-Country Evidence from Major Oil Producers
Globalization and Monetary Policy Institute Working Paper No. 310
Amany El-Anshasy, Kamiar Mohaddes and Jeffrey B. Nugent
United Arab Emirates University, University of Cambridge - Faculty of Economics and Politics and University of Southern California - Department of Economics
Date Posted: May 05, 2017
Working Paper Series
14 downloads

Incl. Fee Electronic Paper Aggregate and Firm‐Level Volatility in the Japanese Economy
The Japanese Economic Review, Vol. 68, Issue 2, pp. 158-172, 2017
Young Gak Kim and Hyeog Ug Kwon
Senshu University and Nihon University
Date Posted: May 05, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper [Investir em tempos de crise (Investing in Times of Crisis)
André Freitas
Atlântico Business School, Students
Date Posted: May 04, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper A Solution to the Time-Scale Fractional Puzzle in the Implied Volatility with Rough Market Price of Volatility Risk
Hideharu Funahashi and Masaaki Kijima
Mizuho Securities Co. Ltd and Tokyo Metropolitan University
Date Posted: May 04, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Predicting Currency Crises: How Do Indicators Differ According to Crisis Definition?
Çankırı Karatekin University Journal of The Faculty of Economics and Administrative Sciences Y. 2016, Volume 6, Issue 2, pp. 85-102 ,
Dogus Emin and Ayşegül Aytaç
Social Sciences University of Ankara and Economic Policy Research Foundation of Turkey (TEPAV)
Date Posted: May 03, 2017
Last Revised: May 09, 2017
Accepted Paper Series
24 downloads

Incl. Electronic Paper Multinational Firms and the International Transmission of Crises: The Real Economy Channel
Fisher College of Business Working Paper No. 2017-03-011, Charles A. Dice Center Working Paper No. 2017-11
Jan Bena, Serdar Dinc and Isil Erel
University of British Columbia - Sauder School of Business, Rutgers University and Ohio State University (OSU) - Department of Finance
Date Posted: May 03, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model
Vavrinec Cermak
Skidmore College - Department of Economics
Date Posted: May 02, 2017
Last Revised: May 14, 2017
Working Paper Series
249 downloads


 

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