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Econometric Modeling: Capital Markets - Risk eJournal
856,524 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 4,935
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Incl. Electronic Paper Shorting Fees, Private Information, and Equity Mispricing
Brian J. Henderson, Gergana Jostova and Alexander Philipov
George Washington University - Department of Finance, George Washington University - Department of Finance and George Mason University - Finance Area
Date Posted: May 20, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Efectos de mecanismos institucionales en el precio de la vivienda nueva en Medellín (Effects of Institutional Mechanisms on the Price of New Housing in Medellin)
Center for Research in Economics and Finance (CIEF), Working Papers, No. 17-07
John J. García, Daniel Mateo Cossio and Ricardo Mesa
Universidad EAFIT, Universidad EAFIT and Universidad EAFIT
Date Posted: May 20, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Forecasting Bankruptcy: An European Analysis
Daniela Arzu, Sarah Di Gloria and Guido Max Mantovani
Ca Foscari University of Venice - Department of Management, Ca Foscari University of Venice and Ca' Foscari University in Venice – Department of Management
Date Posted: May 20, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Reckless Trading: Good and Bad Risk-Taking in Irish Companies
Commercial Law Practitioner 2017, 24(1), 7-13
Irene Lynch Fannon
University College Cork - School of Law
Date Posted: May 20, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Un Modelo De Creación De Mercado Con Trading De Alta Frecuencia (A Model of Market Creation with High Frequency Trading)
ODEON, No. 11, Julio-Diciembre 2016
Daniel Hernandez-Hernandez and Katherine Sánchez Casas
Independent and National University of Colombia
Date Posted: May 20, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Para Entender La Macrogestión De Liquidez: Comentario Sobre Inside and Outside Liquidity De Holmström Y Tirole (To Understand the Macro-Management of Liquidity: A Comment About Inside and Outside Liquidity by Holmström and Tirole)
ODEON, No. 11, Julio-Diciembre 2016
Orlando Guedez Calderín
Center for the Dissemination of Economic Knowledge (CEDICE)
Date Posted: May 20, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Equity Concentration, Agency Costs and Performance of Non-Financial Firms Listed on the Saudi Stock Market (Tadawul)
Nobanee, H., Ellili, N., Abraham, J. (2017). The Impacts of Equity Concentration and Agency Costs on Performance of Non-Financial Firms Listed On the Saudi Stock Market (Tadawul). Global Business Review, 18(1), pp 1-9
Haitham Nobanee, Nejla Ellili and Jaya Abraham
Abu Dhabi University, Abu Dhabi University and Abu Dhabi University
Date Posted: May 20, 2017
Working Paper Series
5 downloads

Pricing and Hedging Options with Rollover Parameters
Journal of Risk, Forthcoming
Sol Kim
Hankuk University of Foreign Studies
Date Posted: May 19, 2017
Accepted Paper Series

Incl. Electronic Paper Local Currency Systemic Risk
Nicola Borri
LUISS Guido Carli University - Department of Economics
Date Posted: May 19, 2017
Last Revised: May 21, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Assessing the Structural Fundamentals of Realized Risk Premiums
Ling-Ni Boon and Florian Ielpo
Tilburg University and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Date Posted: May 18, 2017
Working Paper Series
9 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
11 downloads

Incl. Electronic Paper Group Lending with Heterogeneous Types
Li Gan, Manuel A. Hernandez and Yanyan Liu
Texas A&M University - Department of Economics, International Food Policy Research Institute (IFPRI) and International Food Policy Research Institute (IFPRI)
Date Posted: May 18, 2017
Working Paper Series
3 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
2 downloads

Incl. Electronic Paper Squaring Venture Capital Valuations with Reality: Online Appendix
Will Gornall and Ilya A. Strebulaev
University of British Columbia (UBC) - Sauder School of Business and Stanford University - Graduate School of Business
Date Posted: May 17, 2017
Last Revised: May 19, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Ranking Analysis for Expectation of Binary Outcomes: A Bayesian Approach
Yang Liu
HSBC Bank (Canada)
Date Posted: May 16, 2017
Working Paper Series
6 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
10 downloads

Incl. Electronic Paper Efficient Estimation of Distributional Tail Shape and the Extremal Index With Applications to Risk Management
Journal of Mathematical Finance,Vol. 6, pp. 626-659, 2016
Travis Sapp
Iowa State University - Department of Finance
Date Posted: May 16, 2017
Accepted Paper Series
13 downloads

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
41 downloads

Incl. Electronic Paper The Changing Role of Macroprudential Policy in Austria after World War II
Döme, S., S. W. Schmitz, K. Steiner, E. Ubl (2016) "The changing role of macroprudential policy in Austria after World War II", Two hundred years of central banking in Austria: selected topics. Monetary Policy and the Economy Q3-4/16, 163-189,
Sophia Döme, Stefan W. Schmitz, Katharina Steiner and Eva Ubl
Oesterreichische Nationalbank (OeNB), Oesterreichische Nationalbank (OeNB), Oesterreichsiche Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Date Posted: May 16, 2017
Accepted Paper Series
2 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
Date Posted: May 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Parameter Estimation from Overlapping Observations
Michael A. Clayton
Michael A. Clayton Consulting, Inc.
Date Posted: May 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Spillovers Among Sovereign Debt Markets: Identification by Absolute Magnitude Restrictions
ECB Working Paper No. 2055
Roberto A. De Santis and Srecko Zimic
European Central Bank (ECB) - Directorate General Economics and European Central Bank (ECB) - Directorate General Research
Date Posted: May 16, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Should Bank Capital Requirements Be Less Risk-Sensitive Because of Credit Constraints?
Bank of Finland Research Discussion Paper No. 10/2017
Gene Ambrocio and Esa Jokivuolle
Bank of Finland and Bank of Finland - Research
Date Posted: May 16, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Choosing the Appropriate Amount of Mortgage Loan: Risk Based Decision Making
International Journal of Economics and Finance; Vol. 8, No. 11; 2016 ISSN 1916-971X E-ISSN 1916-9728
Suleyman Gokhan Gunay and Kasirga Yildirak
Trakya University and Trakya University
Date Posted: May 16, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Conduct Risk - Distribution Models with Very Thin Tails
Peter Mitic
Santander UK
Date Posted: May 16, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Underwriter Distress and Rollover Risk
Stine Louise Daetz, Jens Dick-Nielsen and Mads Stenbo Nielsen
Copenhagen Business School, Copenhagen Business School - Department of Finance and Copenhagen Business School - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Dynamics of the Expectation and Risk Premium in the OIS Term Structure
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
16 downloads

Incl. Fee Electronic Paper Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance
Journal of Risk and Insurance, Vol. 84, Issue 2, pp. 661-690, 2017
Anne MacKay, Maciej Augustyniak, Carole Bernard and Mary R. Hardy
ETH Zurich - Department of Mathematics, University of Montreal - Department of Mathematics and Statistics, Grenoble Ecole de Management and University of Waterloo
Date Posted: May 15, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Aggregate Index for Measuring the Economic and Technological Performance of Nations
CocciaLab Working Paper 2017 - No. 19, Arizona State University.
Mario Coccia
National Research Council of Italy (CNR)
Date Posted: May 15, 2017
Last Revised: May 20, 2017
Accepted Paper Series
4 downloads

Incl. Fee Electronic Paper Corporate Leverage and Employees' Rights in Bankruptcy
CEPR Discussion Paper No. DP12033
Andrew Ellul and Marco Pagano
Indiana University - Kelley School of Business - Department of Finance and University of Naples Federico II - Department of Economics and Statistics
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 Imperfect Financial Markets and Shareholder Incentives in Partial and General Equilibrium
CEPR Discussion Paper No. DP12045
Elias Albagli, Christian Hellwig and Aleh Tsyvinski
Central Bank of Chile, University of Toulouse 1 - Toulouse School of Economics (TSE) and Yale University - Cowles Foundation
Date Posted: May 15, 2017
Working Paper Series

Incl. Electronic Paper Transparency and Bank Runs
NYU Working Paper No. 2451/38629
Cecilia Parlatore
New York University (NYU) - Leonard N. Stern School of Business
Date Posted: May 15, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Crony Banking and Local Growth in China
BOFIT Discussion Paper No. 8/2017
Chunyang Wang
University of Minnesota- Department of Economics
Date Posted: May 15, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Monetary Incentives and Mortgage Renegotiation Outcomes
Economic Quarterly, Issue 2Q, pp. 147-168, 2016
Nika Lazaryan and Urvi Neelakantan
Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: May 15, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Corporate Bond Dealers' Inventory Risk and FOMC
Alessio Ruzza and Wojciech Zurowski
Swiss Finance Institute and University of Lugano, Swiss Finance Institute, Students
Date Posted: May 13, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Macroprudential Tools, Transmission and Modelling
Carreras O, Davis E P and Piggott R (2016) “Macroprudential tools, transmission and modelling”, Firstrun Deliverable 4.7, Horizon 2020 and NIESR Discussion Paper 470,
Oriol Carreras, E. Philip Davis and Rebecca Piggott
National Institute of Economic and Social Research (NIESR), National Institute of Economic and Social Research (NIESR) and National Institute of Economic and Social Research (NIESR)
Date Posted: May 13, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Optimal Fiscal and Monetary Policy, Debt Crisis and Management
IMF Working Paper No. 17/78
Cristiano Cantore, Paul Levine, Giovanni Melina and Joseph Pearlman
University of Surrey, University of Surrey - Department of Economics, International Monetary Fund (IMF) and London Metropolitan University - Department of Economics, Finance and International Business (EFIB)
Date Posted: May 12, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Systematic and Unsystematic Risk Determinants of Liquidity Risk between Islamic and Conventional Banks
International Journal of Economics and Financial Issues, 6(4), 1321-1327, 2016
Waeibrorheem Waemustafa and Suriani Sukri
Universiti Utara Malaysia and Universiti Malaysia Perlis - School of Business Innovation & Techno (PPIPT)
Date Posted: May 12, 2017
Accepted Paper Series
8 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
7 downloads

Incl. Electronic Paper Safety, Liquidity, and the Natural Rate of Interest
FRB of NY Staff Report No. 812
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: May 12, 2017
Working Paper Series
4 downloads

Evaluating the Financial Soundness of Banks: An Application of Bankometer on Pakistani Listed Banks
The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 47-63, September 2016
Aasma Ashraf and Yasir Bin Tariq
COMSATS Institute of Information Technology, Abbottabad Campus and COMSATS Institute of Information Technology, Abbottabad Campus
Date Posted: May 12, 2017
Accepted Paper Series

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 Capital Structure Optimization: Theoretical Problems and Empirical Solutions
Andrey Zahariev
D. A. Tsenov Academy of Economics
Date Posted: May 11, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Bank Rating Gaps as Proxies for Systemic Risk
Lu Wang
University of Alberta
Date Posted: May 11, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Independent Analysts’ Estimates of Firm Value
Kristian D. Allee, Devon Erickson, Adam M. Esplin and Stephannie Larocque
University of Arkansas - Department of Accounting, Utah State University - Huntsman School of Business, University of Alberta - Department of Accounting and University of Notre Dame - Mendoza College of Business
Date Posted: May 11, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Did QE Lead to Lax Bank Lending Standards? Evidence from the Federal Reserve's LSAPs
Robert J. Kurtzman, Stephan Luck and Tom Zimmermann
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Board
Date Posted: May 11, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Mandatory IFRS Adoption and Changes in Default Prediction Accuracy
Elizabeth Gutierrez and Maria Vulcheva
Universidad de Chile and Florida International University
Date Posted: May 11, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
Andrea Consiglio and Stavros A. Zenios
University of Palermo and University of Cyprus
Date Posted: May 11, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper CLO Trading and Collateral Manager Bank Affiliation
Stavros Peristiani and João A. C. Santos
Federal Reserve Bank of New York and Federal Reserve Bank of New York
Date Posted: May 11, 2017
Working Paper Series
10 downloads


 

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