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JEL Code: C50

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The Divergence of High- and Low-Frequency Estimation: Implications for Performance Measurement

MIT Sloan Research Paper No. 5110-14
Posted: 21 May 2019
Accepted Paper Series
State Street Global Markets, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates

The Divergence of the High and Low Frequency Estimation: Causes and Consequences

MIT Sloan Research Paper No. 5087-14
Posted: 14 May 2014
Working Paper Series
State Street Global Markets, Massachusetts Institute of Technology (MIT) - Sloan School of Management and State Street Associates

The Impact of US News on the German Stock Market - An Event Study Analysis

Quarterly Review of Economics and Finance, Vol. 51, No. 4, pp. 389-398, 2010
Posted: 17 Feb 2009 Last Revised: 18 Oct 2011
Accepted Paper Series
University of Tuebingen - Department of Statistics and Econometrics

The Instability in the Monetary Policy Reaction Function and the Estimation of Monetary Policy Shocks

Contemporary Economic Policy, Vol. 32, Issue 2, pp. 390-402, 2014
Number of pages: 13 Posted: 22 Feb 2014
Accepted Paper Series
University of Wisconsin - Milwaukee and Ludwig Maximilian University of Munich (LMU)

Multiple version iconThere are 2 versions of this paper


The Role of Strategic Pricing by Retailers in the Success of Store Brands

Posted: 24 Jun 2004
Working Paper Series
Yale School of Management and University of Guelph

Time Irreversibility and Business Cycle Asymmetry

Posted: 23 Aug 1998
Accepted Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics and East Carolina University - Department of Economics

Towards Estimating Extremal Serial Dependence Via the Bootstrapped Extremogram

Journal of Econometrics, Vol. 170, No. 1, 2012
Posted: 23 May 2013 Last Revised: 30 May 2013
Accepted Paper Series
Columbia University, University of Copenhagen - Laboratory of Actuarial Mathematics and University of Alberta - Department of Finance and Statistical Analysis

Transformers for Limit Order Books

Posted: 25 Mar 2020
Working Paper Series

Uncertainty in Value-at-Risk Estimates Under Parametric and Non-Parametric Modeling

Financial Markets and Portfolio Management, Vol. 20, No. 3, pp. 243-264, 2006
Posted: 17 Sep 2006
Accepted Paper Series
Vienna University of Technology and Vienna University of Technology

Multiple version iconThere are 2 versions of this paper


Upstream Product Market Regulations, ICT, R&D and Productivity

Review of Income and Wealth, Vol. 63, pp. S68-S89, 2017
Number of pages: 22 Posted: 06 Jun 2020
Accepted Paper Series
Banque de France, LEDi and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

Multiple version iconThere are 3 versions of this paper


Validation of Models: Statistical Techniques and Data Availability

Tilburg University, CentER Working Paper No. 1999-104
Posted: 15 May 2000
Working Paper Series
Tilburg University, CentER

Volatility and Trading Activity in Short Sterling Futures

Applied Economics, Vol. 38, pp. 997-1005, 2006
Posted: 27 Sep 2005
Accepted Paper Series
Cass Business School, City, University of London and City University - Cass Business School

Weighting Methods for Financial Stress Indices - Comparison and Implications for Risk Management

Journal of Financial Management and Analysis, Volume 25, No. 2, July-December, 2012
Posted: 20 Mar 2013
Accepted Paper Series
Baden-Wuerttemberg Cooperative State University Mosbach (DHBW), Federal Reserve Banks - Federal Reserve Bank of Cleveland and Case Western Reserve University - Weatherhead School of Management

What Can We Learn from Simulating a Standard Agency Model?

Economics Letters, Vol. 73, No. 2, November 1, 2001
Posted: 07 Jan 2002
Accepted Paper Series
University of Illinois at Urbana-Champaign