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JEL Code: C15
550,019 Total downloads
Showing Papers 241 - 290 of 2,365
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Incl. Electronic Paper Modeling of Bank Capital Adequacy Ratios Via a Lévy Process-Driven Model
Fatma Chakroun
University of Sfax-Faculty of Economics and Management (FSEGS)
Date Posted: March 29, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper A Gentle Introduction to Value at Risk
Laura Ballotta and Gianluca Fusai
Sir John Cass Business School - City, University of London and Università del Piemonte Orientale Dipartimento di Studi per l'Economia e l'Impresa
Date Posted: March 28, 2017
Working Paper Series
129 downloads

Incl. Electronic Paper Design and Analysis of Simulation Experiments: Tutorial
CentER Discussion Paper Series No. 2017-018
Jack P. C. Kleijnen
Tilburg University, CentER
Date Posted: March 27, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Elliptical Black-Litterman Portfolio Optimization
Andrzej Palczewski and Jan Palczewski
University of Warsaw - Faculty of Mathematics, Informatics, and Mechanics and University of Leeds - School of Mathematics
Date Posted: March 27, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Evaluating the Size of the Bootstrap Method for Fund Performance Evaluation
Economics Letters, Forthcoming
Tingting Cheng and Cheng Yan
Monash University and Durham University - Department of Economics and Finance
Date Posted: March 25, 2017
Accepted Paper Series
10 downloads

Incl. Electronic Paper A Likelihood-Based Comparison of Macro Asset Pricing Models
FEDS Working Paper No. 2017-024
Andrew Y. Chen, Rebecca Wasyk and Fabian Winkler
Federal Reserve Board, Board of Governors of the Federal Reserve System and Federal Reserve Board
Date Posted: March 24, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Overestimated Effective Spreads: Implications for Investors
Björn Hagströmer
Stockholm University - Stockholm Business School
Date Posted: March 23, 2017
Working Paper Series
28 downloads

Incl. Electronic Paper Insurance Pricing and Reserving with the Temperature-Related Mortality Model
Malgorzata Seklecka, Athanasios A. Pantelous and Colin O'Hare
University of Liverpool - Institute of Financial and Actuarial Mathematics, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty and Monash University - Department of Econometrics & Business Statistics
Date Posted: March 18, 2017
Last Revised: March 19, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Large Deviations of Factor Models with Regularyly-Varying Tails: Asymptotics and Efficient Estimation
Farzad Pourbabaee
University of California, Berkeley - Department of Economics
Date Posted: March 14, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Approaches to Calculate Tail Quantiles of Compound Distributions
Azamat Abdymomunov, Filippo Curti and Hayden Kane
Federal Reserve Banks - Federal Reserve Bank of Richmond, Federal Reserve Banks - Federal Reserve Bank of Richmond and Federal Reserve Banks - Federal Reserve Bank of Richmond
Date Posted: March 13, 2017
Working Paper Series
10 downloads

The Effects of Advertised Quality Emphasis and Objective Quality on Sales
Journal of Marketing, Vol. 81(2), p. 114-26, 2017, Tuck School of Business Working Paper No. 2929012, University of Alberta School of Business Research Paper No. 2929012
Praveen K. Kopalle, Robert Fisher, Bharat Sud and Kersi Antia
Tuck School of Business at Dartmouth, University of Alberta - Department of Marketing, Business Economics & Law, University of Waterloo and University of Western Ontario - Richard Ivey School of Business
Date Posted: March 09, 2017
Accepted Paper Series

Incl. Electronic Paper Finite-Sample Generalized Confidence Distributions and Sign-Based Robust Estimators In Median Regressions with Heterogeneous Dependent Errors
Elise Coudin and Jean-Marie Dufour
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and McGill University
Date Posted: February 22, 2017
Last Revised: February 24, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Network Formation with Local Complements and Global Substitutes: The Case of R&D Networks
University of Zurich, Department of Economics, Working Paper No. 217
Chih-Sheng Hsieh, Michael König and Xiaodong Liu
The Chinese University of Hong Kong (CUHK), University of Zurich - Department of Economics and University of Colorado at Boulder - Department of Economics
Date Posted: February 16, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Решение О Распределении Прибыли и Выплате Дивидендов: Варианты Оформления (The Decision on Profit Distribution and Dividend Payment: Design Options)
Actsionernoe obschestvo: voprosy corporativnogo upravleniya, 2017. №1 (152). С.36-42,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: February 15, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Народное Предприятие — Акционерное Общество Или Производственный Кооператив? (National Enterprise Is a Joint Stock Company or a Production Cooperative?)
Hozyaistvo i Pravo, Хозяйство и право. 2016 №12. С.32-37. ,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: February 15, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper The Global Role of the U.S. Economy: Linkages, Policies and Spillovers
CAMA Working Paper No. 13/2017
M. Ayhan Kose, Csilla Lakatos, Franziska Ohnsorge and Marc Stocker
Development Prospects Group at the World Bank, World Bank, World Bank and World Bank
Date Posted: February 10, 2017
Working Paper Series
21 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 Risk Minimization and Portfolio Diversification
Quantitative Finance 16.9 (2016): 1325-1332
Farzad Pourbabaee, Minsuk Kwak and Traian A. Pirvu
University of California, Berkeley - Department of Economics, Department of Mathematics, Hankuk University of Foreign Studies and McMaster University
Date Posted: February 03, 2017
Last Revised: February 04, 2017
Working Paper Series
65 downloads

Incl. Electronic Paper Cohort Effects in Mortality Modelling: A Bayesian State-Space Approach
Man Chung Fung, Gareth William Peters and Pavel V. Shevchenko
CSIRO, University College London - Department of Statistical Science and Applied Finance and Actuarial Studies, Macquarie University
Date Posted: January 31, 2017
Last Revised: March 24, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Online Appendix: Not for Publication
Econometrica, Forthcoming
Angelo Mele
Johns Hopkins University - Carey Business School
Date Posted: January 26, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper Identifying Price Jumps from Daily Data with Bayesian vs. Non-Parametric Methods
Milan Fičura and Jiri Witzany
University of Economics, Prague - Faculty of Finance and Accounting and University of Economics in Prague
Date Posted: January 24, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Estimating Long-Term Volatility Parameters for Market-Consistent Models
South African Actuarial Journal, Vol. 14, 2014
Emlyn James Flint, Edru Ochse and Daniel A. Polakow
Peregrine Securities, Peregrine Securities and University of Cape Town (UCT)
Date Posted: January 17, 2017
Accepted Paper Series
21 downloads

Incl. Electronic Paper A Structural Model of Dense Network Formation (Supplemental Material)
Econometrica, Forthcoming
Angelo Mele
Johns Hopkins University - Carey Business School
Date Posted: January 13, 2017
Accepted Paper Series
4 downloads

Incl. Electronic Paper A Structural Model of Dense Network Formation
Econometrica, Forthcoming
Angelo Mele
Johns Hopkins University - Carey Business School
Date Posted: January 13, 2017
Accepted Paper Series
18 downloads

Incl. Electronic Paper The Contribution of Jumps to Forecasting the Density of Returns
Christophe Chorro, Florian Ielpo and Benoît Sévi
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Nantes
Date Posted: January 12, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Sequential Probability Ratio Tests: Conservative and Robust
CentER Discussion Paper Series No. 2017-001
Jack P. C. Kleijnen and Wen Shi
Tilburg University, CentER and Huazhong University of Science and Technology
Date Posted: January 11, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper A New Effective Spread Estimator Based on Price Range
Yang Gao and Mingjin Wang
Beijing University of Technology and Peking University - Guanghua School of Management
Date Posted: January 10, 2017
Working Paper Series
38 downloads

Incl. Electronic Paper How Computational Statistics Became the Backbone of Modern Data Science
Handbook of Computational Statistics: Concepts and Methods, published in 2004, SFB 649 Discussion Paper 2011-020
James E. Gentle, Wolfgang K. Härdle and Yuichi Mori
George Mason University, Humboldt University of Berlin - Institute for Statistics and Econometrics and Okayama University of Sciences
Date Posted: January 10, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper New Moment Estimators of the Effective Spread Based on Daily High and Low Prices
Yang Gao and Mingjin Wang
Beijing University of Technology and Peking University - Guanghua School of Management
Date Posted: January 10, 2017
Working Paper Series
27 downloads

Incl. Electronic Paper Adjustable Network Reconstruction with Applications to CDS Exposures
Axel Gandy and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Date Posted: January 10, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Portfolio Value at Risk Based on Independent Components Analysis
SFB 649 Discussion Paper 2005-060
Ying Chen, Wolfgang K. Härdle and V. Spokoiny
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Humboldt University of Berlin - Institute for Statistics and Econometrics and Weierstras Institute for Applied Analysis and Stochastics (WIAS)
Date Posted: January 09, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Modeling Asset Prices
SFB 649 Discussion Paper 2010-031
James E. Gentle and Wolfgang K. Härdle
George Mason University and Humboldt University of Berlin - Institute for Statistics and Econometrics
Date Posted: January 09, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Microscopic Understanding of Cross-Responses between Stocks: A Two-Component Price Impact Model
Shanshan Wang and Thomas Guhr
Faculty of Physics, University of Duisburg-Essen and University of Duisburg-Essen
Date Posted: January 05, 2017
Working Paper Series
30 downloads

Incl. Electronic Paper Exogeneity Tests, Incomplete Models, Weak Identification and Non-Gaussian Distributions: Invariance and Finite-Sample Distributional Theory
Firmin Doko Tchatoka and Jean-Marie Dufour
University of Adelaide and McGill University
Date Posted: January 04, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Identification-Robust Moment-Based Tests for Markov-Switching in Autoregressive Models
Jean-Marie Dufour and Richard Luger
McGill University and Université Laval, Département de finance, assurance et immobilier
Date Posted: January 01, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Dynamic Refinement of the Term Structure - Time Homogenous Term Structure Modeling
Christian P. Fries
LMU Munich, Department of Mathematics
Date Posted: December 29, 2016
Last Revised: March 06, 2017
Working Paper Series
55 downloads

Incl. Electronic Paper A General Framework for Modelling Mortality to Better Estimate Its Relationship with Interest Rate Risks
SCOR Paper no39 - Dynamics of Interest Rates and Mortality Indices
Michel M. Dacorogna and Giovanna Apicella
DEAR-Consulting and La Sapienza University of Rome
Date Posted: December 22, 2016
Working Paper Series
45 downloads

Inference with Hamiltonian Sequential Monte Carlo Simulators
Remi Daviet
University of Toronto - Department of Economics
Date Posted: December 22, 2016
Working Paper Series

Incl. Electronic Paper Creating Investment Scheme with State Space Modeling
Forthcoming, Expert Systems with Applications
Masafumi Nakano, Akihiko Takahashi and Soichiro Takahashi
University of Tokyo - Graduate School of Economics, University of Tokyo - Faculty of Economics and University of Tokyo - Graduate School of Economics
Date Posted: December 21, 2016
Last Revised: March 22, 2017
Accepted Paper Series
145 downloads

Evaluating the Performance of Bootstrap DEA Using an Economics-Based Simulation Design
Panagiotis Tziogkidis and Dionisis Philippas
Plymouth University and ESSCA School of Management
Date Posted: December 19, 2016
Working Paper Series

Incl. Electronic Paper U.S. Monetary Policy Normalization and Global Interest Rates
IMF Working Paper No. 16/195
Carlos Caceres, Yan Carriere-Swallow, Ishak Demir and Bertrand Gruss
International Monetary Fund (IMF), International Monetary Fund (IMF), Birkbeck, University of London - Department of Economics and International Monetary Fund (IMF)
Date Posted: December 09, 2016
Working Paper Series
43 downloads

Incl. Electronic Paper Global Financial Conditions and Monetary Policy Autonomy
IMF Working Paper No. 16/108
Carlos Caceres, Yan Carriere-Swallow and Bertrand Gruss
International Monetary Fund (IMF), International Monetary Fund (IMF) and International Monetary Fund (IMF)
Date Posted: December 09, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Causal Change Detection in Possibly Integrated Systems: Revisiting the Money-Income Relationship
Cowles Foundation Discussion Paper No. 2059
Shu-Ping Shi, Stan Hurn and Peter C. B. Phillips
Macquarie University, Queensland University of Technology - School of Economics and Finance and Yale University - Cowles Foundation
Date Posted: December 08, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Change Detection and the Causal Impact of the Yield Curve
Cowles Foundation Discussion Paper No. 2058
Stan Hurn, Peter C. B. Phillips and Shu-Ping Shi
Queensland University of Technology - School of Economics and Finance, Yale University - Cowles Foundation and Macquarie University
Date Posted: December 08, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper When Past Is Not Prologue: The Weakness of the Economic Evidence against Health Insurance Mergers
ICLE Antitrust & Consumer Protection Research Program White Paper 2016-4
Geoffrey A. Manne and Ben Sperry
International Center for Law & Economics (ICLE) and International Center for Law & Economics (ICLE)
Date Posted: December 08, 2016
Working Paper Series
67 downloads

Incl. Electronic Paper Testing the Marshall-Lerner Condition and the J-Curve Phenomenon for Pakistan: Some New Insights
International Journal of Economics and Empirical Research, Vol. 4(6), p. 307-319, 2016
Nazeef Ishtiaq, Hafiz Muhammad Qasim and Adeel Ahmad Dar
Forman Christian College University, University of the Punjab (PU) and Forman Christian College University
Date Posted: December 06, 2016
Accepted Paper Series
15 downloads

Incl. Electronic Paper Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
Tinbergen Institute Discussion Paper 16-099/III
Nalan Basturk, Stefano Grassi, Lennart F. Hoogerheide and H. K. van Dijk
Maastricht University - Department of Quantitative Economics, University of Kent, Canterbury, Vrije Universiteit Amsterdam - Dept. of Econometrics and Tinbergen Institute
Date Posted: November 22, 2016
Working Paper Series
148 downloads

Incl. Electronic Paper Спорные Вопросы Определения Публичного Статуса Акционерного Общества (Controversial Issues of Definition of the Public Status of Joint-Stock Company)
Pravo i Ekonomika
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: November 17, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Единоличный Исполнительный Орган Общества и Руководитель Организации (Individual Executive Body of Society and Head of the Organization)
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: November 16, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper The Global Innovation Index: Measurement and Implications
Panagiotis Tziogkidis and Dionisis Philippas
Plymouth University and ESSCA School of Management
Date Posted: November 14, 2016
Working Paper Series
35 downloads


 

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