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SSRN eLibrary Search Results
Efficient Estimation of Integrated Volatility Functionals via Multiscale Jacknife
Chicago Booth Research Paper No. 17-05
Jia Li, Yunxiao Liu and Dacheng Xiu
Duke University, University of North Carolina (UNC) at Chapel Hill and University of Chicago - Booth School of Business
Date Posted: March 28, 2017
Last Revised: April 05, 2017
Working Paper Series
21 downloads
Inference on Risk Premia in the Presence of Omitted Factors
Chicago Booth Research Paper No. 16-21
Stefano Giglio and Dacheng Xiu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Date Posted: November 08, 2016
Last Revised: May 20, 2017
Working Paper Series
228 downloads
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
Chicago Booth Research Paper No. 13-77
Jing Cynthia Wu and Fan Dora Xia
University of Chicago - Booth School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Date Posted: September 08, 2013
Last Revised: May 19, 2015
Working Paper Series
2389 downloads
Effects of Index-Fund Investing on Commodity Futures Prices
Chicago Booth Research Paper No. 13-73
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Date Posted: September 06, 2013
Last Revised: July 22, 2014
Working Paper Series
173 downloads
Comment on 'Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset'
American Economic Review, Forthcoming, Chicago Booth Research Paper No. 13-74
Michael D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Chicago - Booth School of Business
Date Posted: September 06, 2013
Last Revised: September 27, 2013
Accepted Paper Series
69 downloads
Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility
Chicago Booth Research Paper No. 13-72
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Date Posted: August 15, 2013
Last Revised: April 09, 2017
Working Paper Series
220 downloads
Strategy-Proofness in the Large
Chicago Booth Research Paper No. 13-35
Eduardo M. Azevedo and Eric B. Budish
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
Date Posted: March 23, 2013
Working Paper Series
108 downloads
Primary-Market Auctions for Event Tickets: Eliminating the Rents of 'Bob the Broker'
Chicago Booth Research Paper No. 13-36
Aditya Bhave and Eric B. Budish
University of Chicago and University of Chicago - Booth School of Business
Date Posted: March 23, 2013
Last Revised: March 17, 2015
Working Paper Series
125 downloads
Trickle-Down Consumption
Chicago Booth Research Paper No. 13-37
Marianne Bertrand and Adair Morse
University of Chicago - Booth School of Business and University of California, Berkeley - Haas School of Business
Date Posted: March 23, 2013
Working Paper Series
196 downloads
Spot Variance Regressions
Chicago Booth Research Paper No. 13-07
Jia Li and Dacheng Xiu
Duke University and University of Chicago - Booth School of Business
Date Posted: February 12, 2013
Working Paper Series
147 downloads
Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading
Chicago Booth Research Paper No. 12-14
Neil Shephard and Dacheng Xiu
Harvard University and University of Chicago - Booth School of Business
Date Posted: April 26, 2012
Last Revised: December 05, 2016
Working Paper Series
281 downloads
Identification and Estimation of Gaussian Affine Term Structure Models
Journal of Econometrics, Vol. 168 , No. 2, 2012, Chicago Booth Research Paper No. 13-71
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Date Posted: August 10, 2011
Last Revised: September 25, 2013
Accepted Paper Series
146 downloads
Empirical Data Analysis of HIV/AIDS in Sudan with Reference to Khartoum State
Econometrics, Data Collection and Data Estimation Methodology Journal, Vol. 4, Issue 45, June 27, 2011
Issam A.W. Mohamed
Al-Neelain University - Department of Economics
Date Posted: June 20, 2011
Last Revised: July 02, 2011
Accepted Paper Series
75 downloads
Testable Implications of Affine Term Structure Models
Journal of Econometrics, Forthcoming, Chicago Booth Research Paper No. 13-69
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Date Posted: May 12, 2011
Last Revised: September 25, 2013
Accepted Paper Series
45 downloads
Inference with Dependent Data Using Cluster Covariance Estimators
Alan Bester, Timothy G. Conley and Christian Hansen
University of Chicago Graduate School of Business, University of Chicago - Booth School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: November 14, 2010
Working Paper Series
Hermite Polynomial Based Expansion of European Option Prices
Chicago Booth Research Paper No. 11-40
Dacheng Xiu
University of Chicago - Booth School of Business
Date Posted: November 08, 2010
Last Revised: December 20, 2013
Working Paper Series
585 downloads
Do Unexpected Land Auction Outcomes Bring New Information to the Real Estate Market?
Journal of Real Estate Finance and Economics, Vol. 40, No. 4, 2010
K.W. Chau, Siu Kei Wong, Chung Yim Edward Yiu, K. S. Maurice Tse and Frederik Pretorius
The University of Hong Kong - Ronald Coase Centre for Property Rights Research - Economics, University of Hong Kong, Chinese University of Hong Kong - Department of Geography and Resource Management, The University of Hong Kong - School of Economics and Finance and The University of Hong Kong - Department of Real Estate and Construction
Date Posted: February 26, 2010
Last Revised: December 26, 2012
Accepted Paper Series
137 downloads
The Restricted Likelihood Ratio Test at the Boundary in Autoregressive Series
Journal of Time Series Analysis, Vol. 30, Issue 6, pp. 618-630, November 2009
Willa W. Chen and Rohit Deo
Texas A&M University - Department of Statistics and Stern School of Business, New York University
Date Posted: October 20, 2009
Accepted Paper Series
4 downloads
Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation
Chicago Booth School of Business Research Paper No. 11-41
Jean-Pierre Dubé, Jeremy T. Fox and Che-Lin Su
University of Chicago - Booth School of Business, University of Michigan and University of Chicago - Booth School of Business
Date Posted: February 05, 2009
Last Revised: July 11, 2016
Working Paper Series
1591 downloads
Corporate Credit Spreads under Parameter Uncertainty
AFA 2009 San Francisco Meetings Paper
Arthur G. Korteweg and Nick Polson
University of Southern California - Marshall School of Business and University of Chicago - Booth School of Business
Date Posted: March 26, 2008
Last Revised: November 30, 2009
Working Paper Series
1540 downloads
Econometrics of the Basu Asymmetric Timeliness Coefficient and Accounting Conservatism
Chicago Booth Research Paper No. 09-16
Ray Ball, S.P. Kothari and Valeri V. Nikolaev
University of Chicago - Accounting, Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Chicago Booth School of Business
Date Posted: July 13, 2007
Last Revised: February 19, 2013
Working Paper Series
5163 downloads
Bayesian Analysis of Random Coefficient Logit Models Using Aggregate Data
Renna Jiang, Puneet Manchanda and Peter E. Rossi
University of California, Davis - Graduate School of Management, University of Michigan, Stephen M. Ross School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 16, 2007
Last Revised: September 09, 2008
Working Paper Series
624 downloads
Plausibly Exogenous
Timothy G. Conley, Christian Hansen and Peter E. Rossi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: May 18, 2007
Last Revised: August 04, 2008
Working Paper Series
701 downloads
Particle Filtering and Parameter Learning
Michael S. Johannes and Nick Polson
Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Date Posted: May 02, 2007
Working Paper Series
576 downloads
Admissible Invariant Similar Tests for Instrumental Variables Regression
MIT Department of Economics Working Paper No. 07-09
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Date Posted: April 03, 2007
Working Paper Series
142 downloads
Can One Predict Next Year's Winning Percentage using OLS Regression on Baseball Statistics?
David Abuaf, Tony Y. Chen and Alexander Trifunac
University of Chicago - Booth School of Business, University of Chicago GSB and University of Chicago - Booth School of Business
Date Posted: December 11, 2006
Working Paper Series
424 downloads
Bias Reduction for Bayesian and Frequentist Estimators
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: November 06, 2006
Working Paper Series
114 downloads
The Reduced Form: A Simple Approach to Inference with Weak Instruments
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: October 17, 2006
Working Paper Series
477 downloads
A Semi-Parametric Bayesian Approach to the Instrumental Variable Problem
Timothy G. Conley, Christian Hansen, Robert E. McCulloch and Peter E. Rossi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business - Econometrics and Statistics, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: July 19, 2006
Working Paper Series
361 downloads
Instrumental Variable Quantile Regression
MIT Department of Economics Working Paper No. 06-19
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: June 19, 2006
Working Paper Series
289 downloads
Do Switching Costs Make Markets Less Competitive?
Kilts Center for Marketing at Chicago Booth – Nielsen Dataset Paper Series 20-002,
Jean-Pierre Dubé, Günter J. Hitsch and Peter E. Rossi
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 13, 2006
Last Revised: August 28, 2016
Working Paper Series
885 downloads
Bayesian Model Uncertainty in Smooth Transition Autoregressions
Journal of Time Series Analysis, Vol. 27, No. 1, pp. 99-117, January 2006
Hedibert F. Lopes and Esther Salazar
University of Chicago - Booth School of Business and Duke University
Date Posted: February 21, 2006
Accepted Paper Series
9 downloads
Finite Sample Inference for Quantile Regression Models
MIT Department of Economics Working Paper No. 06-03
Victor Chernozhukov, Christian Hansen and Michael Jansson
Massachusetts Institute of Technology (MIT) - Department of Economics, University of Chicago - Booth School of Business - Econometrics and Statistics and University of California, Berkeley - Department of Economics
Date Posted: February 03, 2006
Working Paper Series
495 downloads
Category Pricing with State Dependent Utility
Jean-Pierre Dubé, Günter J. Hitsch, Peter E. Rossi and Maria Ana Vitorino
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Minnesota - Carlson School of Management
Date Posted: January 14, 2006
Working Paper Series
226 downloads
Inference with "Difference in Differences" with a Small Number of Policy Changes
NBER Working Paper No. t0312
Timothy G. Conley and Christopher Taber
University of Chicago - Booth School of Business and National Bureau of Economic Research (NBER)
Date Posted: August 09, 2005
Working Paper Series
71 downloads
A Penalty Function Approach to Bias Reduction in Non-linear Panel Models with Fixed Effects
Alan Bester and Christian Hansen
University of Chicago Graduate School of Business and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: July 29, 2005
Working Paper Series
115 downloads
A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions
Cowles Foundation Discussion Paper No. 1522
Federico M. Bandi and Peter C. B. Phillips
Johns Hopkins University - Carey Business School and Yale University - Cowles Foundation
Date Posted: July 18, 2005
Working Paper Series
71 downloads
Structural Modeling and Policy Simulation: A Comment
Bart J. Bronnenberg, Peter E. Rossi and Naufel J. Vilcassim
Tilburg University, CentER, University of California, Los Angeles (UCLA) - Anderson School of Management and London Business School
Date Posted: September 14, 2004
Working Paper Series
267 downloads
Volumetric Conjoint Analysis
Jaehwan Kim, Greg M. Allenby and Peter E. Rossi
Korea University Business School (KUBS), Ohio State University (OSU) - Department of Marketing and Logistics and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: June 02, 2004
Working Paper Series
617 downloads
The Role of Retail Competition, Demographics and Account Retail Strategy as Drivers of Promotional Sensitivity
Peter E. Rossi, Sanjay K. Dhar and Peter Boatwright
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Chicago - Marketing Management and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: November 28, 2003
Working Paper Series
697 downloads
The Impact of Jumps in Volatility and Returns
Journal of Finance, Vol. 58, pp. 1269-1300, June 2003
Bjorn Eraker, Michael S. Johannes and Nick Polson
University of Wisconsin - Madison - Department of Finance, Investment and Banking, Columbia Business School - Finance and Economics and University of Chicago - Booth School of Business
Date Posted: August 31, 2003
Accepted Paper Series
A Spatial Analysis of Sectoral Complementarity
Journal of Political Economy, Vol. 111, April 2003
Timothy G. Conley and Bill Dupor
University of Chicago - Booth School of Business and Federal Reserve Banks - Federal Reserve Bank of St. Louis
Date Posted: May 05, 2003
Accepted Paper Series
Omitted Product Attributes in Discrete Choice Models
NBER Working Paper No. w9452
Amil Petrin and Kenneth E. Train
University of Minnesota - Duluth and affiliation not provided to SSRN
Date Posted: January 16, 2003
Working Paper Series
99 downloads
Bayesian Statistics and Marketing
Greg M. Allenby and Peter E. Rossi
Ohio State University (OSU) - Department of Marketing and Logistics and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: September 17, 2002
Working Paper Series
2125 downloads
Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data
Yale SOM Working Paper No. MK-12
Peter E. Rossi, Judith A. Chevalier and Anil K. Kashyap
University of California, Los Angeles (UCLA) - Anderson School of Management, Yale School of Management and University of Chicago, Booth School of Business
Date Posted: September 10, 2002
Working Paper Series
1184 downloads
Inference for Distributional Effects using Instrumental Quantile Regression
MIT Department of Economics Working Paper No. 02-20
Victor Chernozhukov and Christian Hansen
Massachusetts Institute of Technology (MIT) - Department of Economics and University of Chicago - Booth School of Business - Econometrics and Statistics
Date Posted: May 24, 2002
Working Paper Series
296 downloads
Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails
Boston College Finance Dept. Working Paper
Eric Jacquier, Peter E. Rossi and Nick Polson
Boston University School of Management, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Date Posted: July 16, 2001
Working Paper Series
957 downloads
Using the Cost Function to Generate Marshallian Demand Systems
Empirical Economics Vol. 25, No. 2, 2000
Keith R. McLaren, Peter D. Rossiter and Alan A. Powell
Monash University - Department of Econometrics & Business Statistics, Government of the Commonwealth of Australia - Australian Bureau of Statistics and Monash University - Centre of Policy Studies and Impact Project
Date Posted: January 25, 2001
Accepted Paper Series
The Impact of Jumps in Volatility and Returns
Michael S. Johannes, Bjorn Eraker and Nick Polson
Columbia Business School - Finance and Economics, University of Wisconsin - Madison - Department of Finance, Investment and Banking and University of Chicago - Booth School of Business
Date Posted: January 01, 2001
Working Paper Series
890 downloads
Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data
NBER Working Paper No. w7981
Judith A. Chevalier, Anil K. Kashyap and Peter E. Rossi
Yale School of Management, University of Chicago, Booth School of Business and University of California, Los Angeles (UCLA) - Anderson School of Management
Date Posted: October 21, 2000
Working Paper Series
68 downloads
