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SSRN eLibrary Search Results
JEL Code: C13
541,055 Total downloads
Showing Papers 1,451 - 1,500 of 2,899
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Incl. Electronic Paper Two New Risk Metrics LAPVaR(TM) and LAPSF(TM)To Liquidation Based on Asian Put Option and Tail Volatilities & Correlations 'The Need for New Valuation, Risk and Policy Making Models'
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: February 21, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper The Local Power of the IPS Test with Both Initial Conditions and Incidental Trends
CESifo Working Paper Series No. 6313
Kajal Lahiri, Zhongwen Liang and Huaming Peng
State University of New York (SUNY) at Albany, College of Arts and Sciences, Economics, University at Albany and State University of New York (SUNY) at Albany - Department of Economics
Date Posted: February 21, 2017
Working Paper Series
1 downloads

Upgrade: VaR and Expected Shortfall to Liquidation Based on Asian Put Option Formula and Tail Volatilities & Correlations
Cesar Oreste Crousillat
Universidad del Pacifico
Date Posted: February 17, 2017
Working Paper Series

Incl. Electronic Paper Probabilistic Topic Model for Hybrid Recommender Systems: A Stochastic Variational Bayesian Approach
Asim Ansari, Yang Li and Jonathan Z. Zhang
Columbia Business School - Marketing, Cheung Kong Graduate School of Business and University of Washington - Michael G. Foster School of Business
Date Posted: February 15, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Optimal Sup-Norm Rates and Uniform Inference on Nonlinear Functionals of Nonparametric IV Regression
Cowles Foundation Discussion Paper No. 1923R2
Xiaohong Chen and Timothy Christensen
Yale University - Cowles Foundation and New York University (NYU) - Department of Economics
Date Posted: February 15, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper 국면전환 확산과정모형을 이용한 콜금리행태 분석 (Analysis of Call Rate Behaviour Using Regime-switching Diffusion Process Model)
Bank of Korea WP 2017-7
Seungmoon Choi and Byungkuk Kim
School of Economics, University of Seoul and Economic Research Institute, The Bank of Korea
Date Posted: February 14, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper The Economics of Replication
DIW Berlin Discussion Paper No. 1640
Frank Mueller-Langer, Benedikt Fecher, Dietmar Harhoff and Gert G. Wagner
European Commission, Joint Research Center, German Institute for Economic Research (DIW Berlin), Max Planck Institute for Innovation and Competition and German Institute for Economic Research (DIW Berlin)
Date Posted: February 09, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Comparative Advantage and Biased Gravity
UNSW Business School Research Paper No. 2017-03
Scott French
UNSW Australia Business School, School of Economics
Date Posted: February 09, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Event Study Analysis with Time-Varying Alphas, Betas and Variances: The Case of M&As
Mohammad Irani
University of South Carolina - Darla Moore School of Business
Date Posted: February 07, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper The Economics of Replication
IZA Discussion Paper No. 10533
Frank Mueller-Langer, Benedikt Fecher, Dietmar Harhoff and Gert G. Wagner
European Commission, Joint Research Center, German Institute for Economic Research (DIW Berlin), Max Planck Institute for Innovation and Competition and German Institute for Economic Research (DIW Berlin)
Date Posted: February 05, 2017
Working Paper Series
4 downloads

RiskPortfolios: Computation of Risk-based Portfolios in R
Journal of Open Source Software, Vol 10, No. 2, 2017
David Ardia, Kris Boudt and Jean-Philippe Gagnon Fleury
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and Laval University - Département de Finance et Assurance
Date Posted: February 04, 2017
Last Revised: February 06, 2017
Accepted Paper Series

Incl. Electronic Paper Pricing of Bonds and Equity when the Zero Lower Bound is Relevant
ECB Working Paper No. 1992
Heinrich Kick
European Central Bank (ECB)
Date Posted: February 03, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Voluntary Turnover: What We Measure and What it (Really) Means
Matthias Georg Will
University of Wittenberg - Faculty of Economics and Business Administration
Date Posted: February 02, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper The Decomposition of Jump Risks in Individual Stock Returns
Xiao Xiao and Chen Zhou
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Date Posted: February 02, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Approximate Variational Estimation for a Model of Network Formation
Angelo Mele and Lingjiong Zhu
Johns Hopkins University - Carey Business School (JHU) and University of Minnesota
Date Posted: February 02, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Economics of Replication
Max Planck Institute for Innovation & Competition Research Paper No. 17-03
Frank Mueller-Langer, Benedikt Fecher, Dietmar Harhoff and Gert G. Wagner
European Commission, Joint Research Center, German Institute for Economic Research (DIW Berlin), Max Planck Institute for Innovation and Competition and German Institute for Economic Research (DIW Berlin)
Date Posted: January 31, 2017
Working Paper Series
83 downloads

Incl. Electronic Paper Half-Panel Jackknife Fixed Effects Estimation of Panels with Weakly Exogenous Regressors
USC-INET Research Paper No. 17-01
Alexander Chudik, M. Hashem Pesaran and Jui-Chung Yang
Federal Reserve Banks - Federal Reserve Bank of Dallas, USC Dornsife Institute for New Economic Thinking and USC Dornsife Institute for New Economic Thinking
Date Posted: January 31, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper A Reassessment of the Finance & Growth Nexus Using Monte Carlo Evidence
Thorsten Franz
Goethe University Frankfurt
Date Posted: January 27, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Business Cycle Estimation with High-Pass and Band-Pass Local Polynomial Regression
Banco de Espana Working Paper No. 1702
Luis J. Álvarez
Bank of Spain
Date Posted: January 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper The Value of Trading Relationships and Networks in the CDS Market
Diana Iercosan and Alexander Alberto Jiron
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Date Posted: January 20, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Bias-Variance Trade-Off in Portfolio Optimization under Expected Shortfall with ℓ2 Regularization
Gabor Papp, Fabio Caccioli and Imre Kondor
Eötvös Loránd University, University College London - Financial Computing and Analytics Group, Department of Computer Science and Parmenides Foundation
Date Posted: January 17, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper Analytic Solution to Variance Optimization with No Short-Selling
Imre Kondor, Gabor Papp and Fabio Caccioli
Parmenides Foundation, Eötvös Loránd University and University College London - Financial Computing and Analytics Group, Department of Computer Science
Date Posted: January 17, 2017
Last Revised: January 30, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Simple Estimators for GARCH Models: Supplemental Appendix
Todd Prono
Federal Reserve Board
Date Posted: January 13, 2017
Last Revised: January 19, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Risk Measure Estimates in Quiet and Turbulent Times: An Empirical Study
ESSEC WORKING PAPER 1618
Rosnan Chotard, Michel M. Dacorogna and Marie Kratz
ESSEC Business School, DEAR-Consulting and ESSEC Business School
Date Posted: January 13, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Simple Estimators for GARCH Models
Todd Prono
Federal Reserve Board
Date Posted: January 13, 2017
Last Revised: January 27, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Nonparametric Estimation of Risk-Neutral Densities
SFB 649 Discussion Paper 2010-021
Maria Grith, Wolfgang K. Härdle and Melanie Schienle
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Karlsruhe Institute of Technology (KIT)
Date Posted: January 10, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Price Dependence between Different Beef Cuts and Quality Grades: A Copula Approach at the Retail Level for the U.S. Beef Industry
Dimitrios Panagiotou and Athanassios Stavrakoudis
University of Ioannina - Department of Economics and University of Ioannina - Department of Economics
Date Posted: January 10, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Independent Component Analysis Via Copula Techniques
SFB 649 Discussion Paper 2008-004
Ray-Bing Chen, MH Guo, Wolfgang K. Härdle and Shih-Feng Huan
National Cheng Kung University, National Sun Yat-sen University, Humboldt University of Berlin - Institute for Statistics and Econometrics and National Sun Yat-sen University
Date Posted: January 09, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper Common Functional Implied Volatility Analysis
SFB 649 Discussion Paper 2005-012
Michal Benko and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Numerics of Implied Binomial Trees
SFB 649 Discussion Paper 2008-044
Wolfgang K. Härdle and Alena Mysickova
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 09, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Dynamics of State Price Densities
SFB 649 Discussion Paper 2005-021
Wolfgang K. Härdle and Zdeněk Hlávka
Humboldt University of Berlin - Institute for Statistics and Econometrics and Charles University in Prague
Date Posted: January 09, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration
SFB 649 Discussion Paper 2005-047
Lijian Yang, Byeong U. Park, Lan Xue and Wolfgang K. Härdle
Michigan State University, Seoul National University, Oregon State University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Calibration Risk for Exotic Options
SFB 649 Discussion Paper 2006-001
Kai Detlefsen and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper De Copulis Non Est Disputandum - Copulae: An Overview
SFB 649 Discussion Paper 2009-031
Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Date Posted: January 09, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper CDO and HAC
SFB 649 Discussion Paper 2009-038
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ostap Okhrin
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - School of Business and Economics
Date Posted: January 09, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Generalized Single-Index Models: The EFM Approach
SFB 649 Discussion Paper 2009-050
Xia Cui, Wolfgang K. Härdle and Lixing Zhu
Sun Yat-sen University, Humboldt University of Berlin - Institute for Statistics and Econometrics and Hong Kong Baptist University (HKBU) - Department of Mathematics
Date Posted: January 09, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Time Dependent Relative Risk Aversion
Enzo Giacomini, Michael Handel and Wolfgang K. Härdle
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Nagler & Company and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Dynamics of Hourly Electricity Prices
SFB 649 Discussion Paper 2010-013
Wolfgang K. Härdle and Stefan Trück
Humboldt University of Berlin - Institute for Statistics and Econometrics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Date Posted: January 09, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Time Varying Hierarchical Archimedean Copulae
SFB 649 Discussion Paper 2010-018
Wolfgang K. Härdle, Ostap Okhrin and Yarema Okhrin
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and University of Augsburg
Date Posted: January 09, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper HMM in Dynamic HAC Models
SFB 649 Discussion Paper 2012-001
Wolfgang K. Härdle, Ostap Okhrin and Weining Wang
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - School of Business and Economics and Humboldt University of Berlin
Date Posted: January 07, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Copula Dynamics in CDOs
SFB 649 Discussion Paper 2012-032
Barbara Choroś-Tomczyka, Wolfgang K. Härdle and Ludger Overbeck
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and University of Giessen
Date Posted: January 07, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Default Risk Calculation Based on Predictor Selection for the Southeast Asian Industry
SFB 649 Discussion Paper 2013-037
Wolfgang K. Härdle and Dedy Dwi Prastyo
Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin
Date Posted: January 05, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Functional Data Analysis of Generalized Quantile Regressions
SFB 649 Discussion Paper 2013-001
Mengmeng Guo, Lhan Zhou, Jianhua Z. Huang and Wolfgang K. Härdle
Southwestern University of Finance and Economics (SWUFE) - Research Institute of Economics & Management, Texas A & M University, Texas A&M University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 05, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper TERES - Tail Event Risk Expectile Based Shortfall
Philipp Gschöpf, Wolfgang K. Härdle and Andrija Mihoci
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Date Posted: January 05, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Maximum Likelihood Estimation of the Markov-Switching GARCH Model
Computational Statistics & Data Analysis (DOI: 10.1016/j.csda.2013.01.026)
Maciej Augustyniak
University of Montreal - Department of Mathematics and Statistics
Date Posted: December 29, 2016
Accepted Paper Series
10 downloads

Incl. Electronic Paper Estimating Matching Affinity Matrix under Low-Rank Constraints
Arnaud Dupuy, Alfred Galichon and Yifei Sun
LISER, NYU, Department of Economics and Courant Institute and New York University (NYU) - Courant Institute of Mathematical Sciences
Date Posted: December 27, 2016
Last Revised: December 31, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper The Effect of Fe y Alegria on School Achievement: Exploiting a School Lottery Selection as a Natural Experiment
IZA Discussion Paper No. 10431
Pablo Lavado, Santiago Cueto, Gustavo Yamada and Micaela Wensjoe
Universidad del Pacifico, Group for the Analysis of Development (GRADE), Universidad del Pacifico, Peru - Department of Economics and Group for the Analysis of Development (GRADE)
Date Posted: December 27, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper The Effect of One Laptop Per Child on Teachers' Pedagogical Practices and Students' Use of Time at Home
IZA Discussion Paper No. 10432
Gustavo Yamada, Pablo Lavado and Guadalupe Montenegro
Universidad del Pacifico, Peru - Department of Economics, Universidad del Pacifico and Group for the Analysis of Development (GRADE)
Date Posted: December 27, 2016
Working Paper Series
53 downloads

Incl. Electronic Paper InfoTrad: An Extensive R Package for Estimating the Probability of Informed Trading
Duygu Celik and Murat Tiniç
Bilkent University, Department of Management and Bilkent University - Department of Management
Date Posted: December 26, 2016
Working Paper Series
145 downloads

Incl. Electronic Paper On Univariate and Multivariate GARCH Models: Oil Price and Stock Market Returns Volatilities
Amine Guerouah, Halim Zeghdoudi Sr. and Fatima Zohra Bouseba
Badji-Mokhtar Annaba University - LAPS Laboratory, Badji-Mokhtar University and Badji-Mokhtar Annaba University - LAPS Laboratory
Date Posted: December 21, 2016
Working Paper Series
60 downloads


 

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