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SSRN eLibrary Search Results
JEL Code: C53
600,489 Total downloads
Showing Papers 151 - 200 of 3,203
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Incl. Electronic Paper Focused Shrinkage Estimators for the Global Minimum Variance Portfolio
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: June 26, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Forecasting Electricity Price Spikes Using Support Vector Machines
Efthymios Stathakis, Theophilos Papadimitriou and Periklis Gogas
Democritus University of Thrace - Department of Ecnomics, Democritus University of Thrace and Democritus University of Thrace - Department of Economics
Date Posted: June 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate: A Nonlinear Approach
Periklis Gogas, Theophilos Papadimitriou, Vasilios Plakandaras and Rangan Gupta
Democritus University of Thrace - Department of Economics, Democritus University of Thrace, Democritus University of Thrace and University of Pretoria - Department of Economics
Date Posted: June 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Accounting Based Valuation: A Simultaneous Equations Model for Forecasting Earnings to Proxy for ‘Other Information’
Iris Bergmann and Wolfgang Schultze
University of Augsburg and University of Augsburg
Date Posted: June 22, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper The (Mis)Behavior of Hedge Fund Strategies: A Network-Based Analysis
Eduard Baitinger and Thomas Maier
FERI Trust GmbH and FERI Trust GmbH
Date Posted: June 22, 2017
Working Paper Series
57 downloads

Incl. Electronic Paper Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded Funds
Ahmed Abdou
Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students
Date Posted: June 19, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecast as an Instrument
Vipul Bhatt, Narayan K. Kishor and Hardik Marfatia
James Madison University - College of Business, University of Wisconsin - Milwaukee and Northeastern Illinois University - Economics
Date Posted: June 19, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Managing Pension Plan in an Aging Population - The Dynamic Profit-Share Pension Model
Koutronas, E., Goh, K. L., & Yew, S. Y. (2017). “Managing pension plan in an aging population: The dynamic profit-share pension model” International Journal of Management Studies, 23(2), 45-64.,
Evangelos Koutronas, Siew-Yong Yew and Kim-Leng Goh
Social Security Research Centre, University of Malaya (UM) and University of Malaya
Date Posted: June 14, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Forecasting Multidimensional Tail Risk at Short and Long Horizons
Bank of England Working Paper No. 660
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Date Posted: June 12, 2017
Working Paper Series
5 downloads

Fear Estimation–Evidence from BRICS and UK
International Journal of Applied Business and Economic Research Volume 15 • Number 4 • 2017 ISSN 0972-7302,
Bikramaditya Ghosh, Corlise Le Roux and Rodica Ianole
IMCU, Christ University, University of Johannesburg and University of Bucharest
Date Posted: June 08, 2017
Accepted Paper Series

Incl. Electronic Paper Is it Better to Elicit Quantile or Probability Judgments? A Comparison of Direct and Calibrated Procedures for Estimating a Continuous Distribution
Saurabh Bansal and Asa B. Palley
Pennsylvania State University - Smeal College of Business and Indiana University - Kelley School of Business
Date Posted: June 08, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper An Important Predictor of Market Bubbles, Crashes and Corrections
Jacques Saint-Pierre
Laval University
Date Posted: June 07, 2017
Working Paper Series
233 downloads

Incl. Electronic Paper Mortality Effects of Economic Fluctuations in the Selected Eurozone Countries
Malgorzata Seklecka, Norazliani Md Lazam, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, UK, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and Monash University - Department of Econometrics & Business Statistics
Date Posted: June 06, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Counterfactual Estimation in Semiparametric Discrete-Choice Models
Khai Xiang Chiong, Yu-Wei Hsieh and Matthew Shum
USC Dornsife Institute for New Economic Thinking, University of Southern California - Department of Economics and California Institute of Technology
Date Posted: June 04, 2017
Last Revised: June 08, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Hidden Markov Model for Financial Time Series and Its Application to S&P 500 Index
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: June 04, 2017
Accepted Paper Series
187 downloads

Incl. Electronic Paper Order Flow, Volatility and Fuzzy Logic: Technical Analyses for Currency Trading
Vincent Kleinbrod and Xiaoming Li
Massey University, College of Business, School of Economics and Finance, Students and Massey University - School of Economics and Finance (Albany)
Date Posted: June 04, 2017
Working Paper Series
95 downloads

Incl. Electronic Paper Multi-Horizon Forecast Comparison
Rogier Quaedvlieg
Erasmus University Rotterdam (EUR) - Department of Business Economics
Date Posted: June 03, 2017
Last Revised: June 10, 2017
Working Paper Series
37 downloads

Incl. Electronic Paper Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle
CESifo Working Paper Series No. 6457
Kai Carstensen, Markus Heinrich, Magnus Reif and Maik H. Wolters
University of Kiel - Institute of Statistics and Econometrics, University of Kiel, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and University of Jena
Date Posted: June 02, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Chow-Lin X N: How Adding a Panel Dimension Can Improve Accuracy
Bundesbank Discussion Paper No. 12/2017
Timo Bettendorf and Dirk Bursian
Deutsche Bundesbank and Goethe University Frankfurt
Date Posted: June 02, 2017
Working Paper Series

Incl. Electronic Paper Forecasting with Many Predictors Using Message Passing Algorithms
Dimitris Korobilis
University of Essex - Essex Business School
Date Posted: June 01, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Forecasting the Real Price of Oil - Time-Variation and Forecast Combination
Christoph Funk
University of Giessen - Department of Economics
Date Posted: May 27, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Forecasting GDP Growth with NIPA Aggregates
FRB of Cleveland Working Paper No. 17-08
Christian Garciga and Edward S. Knotek II
Federal Reserve Banks - Federal Reserve Bank of Cleveland and Federal Reserve Banks - Federal Reserve Bank of Cleveland
Date Posted: May 25, 2017
Working Paper Series
9 downloads

Incl. Electronic Paper The Macroeconomic Effects of Official Debt Restructuring: Evidence from the Paris Club
European Stability Mechanism Working Paper No. 21
Gong Cheng, Javier Díaz-Cassou and Aitor Erce
European Stability Mechanism, Banco de España and European Stability Mechanism
Date Posted: May 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Anticipating Critical Transitions of Chinese Housing Markets
Swiss Finance Institute Research Paper No. 17-18
Zhang Qun, Didier Sornette and Hao Zhang
Guangdong University of Foreign Studies, Swiss Finance Institute and Guangdong University of Foreign Studies
Date Posted: May 20, 2017
Working Paper Series
51 downloads

Incl. Electronic Paper Reading between the Lines: Using Media to Improve German Inflation Forecasts
DIW Berlin Discussion Paper No. 1665
Benjamin Beckers, Konstantin A. Kholodilin and Dirk Ulbricht
German Institute for Economic Research (DIW Berlin), German Institute for Economic Research (DIW Berlin) and German Institute for Economic Research (DIW)
Date Posted: May 19, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Separating Accuracy from Forecast Certainty: A Modified Miscalibration Measure
Doron Sonsino, Yaron Lahav and Amir Levkowitz
College of Management Academic Studies (COMAS), Ben-Gurion University of the Negev and College of Management Academic Studies
Date Posted: May 19, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper An Extreme Value Approach to Test the Effect of Price Limits on Volatility
Nobanee, H. , K. Hilu. (2013). An Extreme Value Approach to Test the Effect of Price Limits on Volatility. Journal of Modern Accounting and Auditing, 9(10), 1382-1391
Haitham Nobanee and Khalil Al-Hilu
Abu Dhabi University and Abu Dhabi University
Date Posted: May 18, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Robust Bootstrap Densities for Dynamic Conditional Correlations: Implications for Portfolio Selection and Value-at-Risk
Carlos Trucíos, Luiz Koodi Hotta and Esther Ruiz
Sao Paulo School of Economics, FGV., University of Campinas (UNICAMP) - Department of Statistics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Date Posted: May 17, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Forecasting Inflation Under Uncertainty: The Forgotten Dog & the Frisbee
Muhammad Ali Nasir
Economics, Analytics & International Business GroupLeeds Beckett University
Date Posted: May 16, 2017
Last Revised: May 24, 2017
Working Paper Series
12 downloads

Incl. Electronic Paper Regional Strategies and Comparative Case Studies of Industrial Production Dynamics
Monitoring of Russia's Economic Outlook. Moscow, IEP. 2017, No. 8, pp. 15-20
Andrey Kaukin and Evgenia Miller
Gaidar Institute for Economic Policy and Russian Presidential Academy of National economy and public administration
Date Posted: May 13, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Industry Adaptability Index in Q1 2017
Monitoring of Russia's Economic Outlook. Moscow, IEP. 2017, No. 8, pp. 13-14
Sergey Tsukhlo
Gaidar Institute for Economic Policy
Date Posted: May 13, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Density Forecasts in Panel Models: A Semiparametric Bayesian Perspective
PIER Working Paper No. 17-006
Laura Liu
University of Pennsylvania - Department of Economics
Date Posted: May 11, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper The Impact of Economic Globalization on the Shadow Economy in Egypt
CESifo Working Paper Series No. 6424
Mohammad Reza Farzanegan and Mai Hassan
Philipps-University of Marburg - Center for Near and Middle Eastern Studies (CNMS) and University of Marburg - Center for Near and Middle Eastern Studies (CNMS)
Date Posted: May 11, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures: Online Appendix
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 10, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Supplementary Appendix to 'Modeling the Dependence of Conditional Correlations on Market Volatility'
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Date Posted: May 10, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Multiple Regression Model Averaging and the Focused Information Criterion with an Application to Portfolio Choice
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: May 10, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Focused Shrinkage with an Application to Portfolio Choice
Filip Klimenka and James Wolter
University of Oxford and University of Oxford
Date Posted: May 10, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper Multivariate Volatility Modeling of Electricity Futures
Journal of Applied Econometrics, 28/5, 743-761, 2013
Luc Bauwens, Christian M. Hafner and Diane Pierret
Université catholique de Louvain, Catholic University of Louvain - Institute of Statistics and HEC - University of Lausanne
Date Posted: May 09, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper A Bayesian Method of Change-Point Estimation with Recurrent Regimes: Application to GARCH Models
Luc Bauwens, Bruno De Backer and Arnaud Dufays
Université catholique de Louvain, National Bank of Belgium and Université catholique de Louvain, CORE
Date Posted: May 09, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Modeling the Dependence of Conditional Correlations on Market Volatility
Journal of Business and Economic Statistics, 34/2, 254-268, 2016
Luc Bauwens and Edoardo Otranto
Université catholique de Louvain and University of Messina
Date Posted: May 09, 2017
Accepted Paper Series
19 downloads

Incl. Electronic Paper The Future of Long Term Care in Europe. An Investigation Using a Dynamic Microsimulation Model
CEIS Working Paper No. 405
Vincenzo Atella, Federico Belotti, Ludovico Carrino and Andrea Piano Mortari
University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), University of Rome, Tor Vergata - Department of Economics and Finance, King's College London and CEIS Tor Vergata
Date Posted: May 08, 2017
Working Paper Series
47 downloads

Incl. Electronic Paper Calibrating the Predictability of Exchange Rates: A Model-Independent Approach
Chao Wang
University of Warwick - Finance Group, Students
Date Posted: May 08, 2017
Last Revised: May 17, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Exploring the Nexus between Inflation and Globalization Under Inflation Targeting Through the Lens of New Zealand's Experience
Globalization and Monetary Policy Institute Working Paper No. 308
Ayşe Kabukçuoğlu, Enrique Martínez-García and Mehmet A. Soytas
Koç University, Federal Reserve Bank of Dallas - Research Department and Ozyegin University
Date Posted: May 05, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Alternative and New Methods for Measuring Persistence in Fund Performance
Jason Wessels and Emlyn James Flint
Independent and Peregrine Securities
Date Posted: May 05, 2017
Working Paper Series
29 downloads

Incl. Electronic Paper Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach
Bank of Korea WP 2017-14
Hyeongwoo Kim and Kyunghwan Ko
Auburn University and Economic Research Team, Jeju Branch, The Bank ok Korea
Date Posted: May 04, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Volatility Prediction Using a Realized-Measure-Based Component Model
Diaa Noureldin
American University in Cairo - Department of Economics
Date Posted: May 02, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper The Programmable Economy: Envisaging an Entire Planned Economic System as a Single Computer Through Blockchain Networks
Kartik Hegadekatti and Yatish S G
Government of India, Ministry of Railways and Government of India, Ministry of Railways
Date Posted: May 02, 2017
Working Paper Series
60 downloads

Incl. Electronic Paper A Migration Based Theory of the Exchange Rate and the New Zealand's Experience
Debasis Bandyopadhyay and Andrew Binning
University of Auckland and Norges Bank
Date Posted: May 01, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Forecasting the Price of Crude Oil with Multiple Predictors
Siyasal Bilgiler Fakültesi Dergisi (İSMUS), I/1 (2016), s. 133-151 ,
Hüseyin Kaya
İstanbul Medeniyet University
Date Posted: May 01, 2017
Accepted Paper Series
54 downloads

Incl. Electronic Paper Industrial Output Dynamics in 2016: From Stagnation to Recovery - Driven Growth?
Monitoring of Russia's Economic Outlook. Moscow, IEP, No. 3, 2017, pp. 9-13
Andrey Kaukin and Evgenia Miller
Gaidar Institute for Economic Policy and Russian Presidential Academy of National economy and public administration
Date Posted: April 29, 2017
Working Paper Series
2 downloads


 

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