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JEL Code: C22
794,845 Total downloads
Showing Papers 2,701 - 2,750 of 4,573
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Incl. Electronic Paper Jump-Preserving Varying-Coefficient Models for Nonlinear Time Series
CentER Discussion Paper Series No. 2017-017
Pavel Čížek and Chao Hui Koo
Tilburg University and Tilburg University
Date Posted: March 22, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Macroeconomic Effects of Rental Housing Regulations: The Case of Germany in 1950-2015
DIW Berlin Discussion Paper No. 1649
Konstantin A. Kholodilin and Julien Licheron
German Institute for Economic Research (DIW Berlin) and Luxembourg Institute of Socio-Economic Research (LISER)
Date Posted: March 17, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Central Bank Policy Rates: Are They Cointegrated?
DIW Berlin Discussion Paper No. 1648
Guglielmo Maria Caporale, Hector Carcel and Luis A. Gil-Alana
Brunel University London - Department of Economics and Finance, University of Navarra - School of Economics and University of Navarra - Department of Economics
Date Posted: March 17, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Role of Cointegration for Optimal Hedging with Heteroscedastic Error Term
Lukasz Gatarek and Soren Johansen
European Central Bank (ECB) - Directorate General Statistics and University of Copenhagen - Department of Economics
Date Posted: March 15, 2017
Working Paper Series
20 downloads

Incl. Electronic Paper Dynamic Quantile Models of Rational Behavior
Luciano I. de Castro and Antonio F Galvao
Tippie College of Business and University of Iowa
Date Posted: March 15, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Long Memory and Data Frequency in Financial Markets
DIW Berlin Discussion Paper No. 1647
Guglielmo Maria Caporale, Luis A. Gil-Alana and Alex Plastun
Brunel University London - Department of Economics and Finance, University of Navarra - Department of Economics and Sumy State University
Date Posted: March 10, 2017
Working Paper Series
89 downloads

Incl. Electronic Paper Dissecting US Recoveries
Banco de Espana Working Paper No. 1708
Maria Dolores Gadea Rivas, Ana Gómez-Loscos and Gabriel Pérez-Quirós
University of Zaragoza, Banco de España and Banco de España
Date Posted: March 09, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Stochastic Modelling of Photovoltaic Power Generation and Electricity Prices
Fred Espen Benth and Noor 'Adilah Ibrahim
University of Oslo and Islamic Science University of Malaysia
Date Posted: March 07, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper The World Price of Skewness Risk
Jian Chen, Fuwei Jiang, Shuyu Xue and Jiaquan Yao
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University and Xiamen University - Wang Yanan Institute for Studies in Economics (WISE)
Date Posted: March 07, 2017
Working Paper Series
56 downloads

Incl. Electronic Paper Efficient Parameter Estimation for Multivariate Jump-Diffusions
Francois Guay and Gustavo Schwenkler
Boston University and Boston University - Department of Finance & Economics
Date Posted: March 03, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Bond Spreads, Market Integration and Contagion in the 2007-2008 Crisis
Seoul Journal of Economics, Vol. 30, No. 1, p. 1-18, 2017
Jae-Young Kim, Dong-Hyun Ahn and Eun-Young Ko
Seoul National University - Department of Economics, Seoul National University - School of Economics and Seoul National University
Date Posted: March 01, 2017
Last Revised: March 03, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper Do Liquidity Variables Improve Out-of-Sample Prediction of Sovereign Spreads during Crisis Periods?
Finance Research Letters, Forthcoming
Harald Kinateder, Benedikt Hofstetter and Niklas Wagner
Passau University, University of Passau and Passau University
Date Posted: February 28, 2017
Accepted Paper Series
9 downloads

Incl. Electronic Paper Volatility and Value-at-Risk Forecasting: Does Wavelet De-Noising Help?
Abdel Al Rababa'A, Dimos S Kambouroudis and David G. McMillan
University of Stirling - Department of Accounting and Finance, University of Stirling - Department of Accounting and Finance and University of Stirling
Date Posted: February 27, 2017
Working Paper Series
32 downloads

Incl. Electronic Paper Stock Return Predictability: The Role of Inflation and Threshold Dynamics
David G. McMillan
University of Stirling
Date Posted: February 27, 2017
Working Paper Series
44 downloads

Incl. Electronic Paper More Power for Out-Of-Sample Tests of Predictability
Pablo M. Pincheira
Adolfo Ibanez University - School of Business
Date Posted: February 24, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper U.S. Corporate Pension Expense and the 2007-2009 Financial Crisis: An Interrupted Time Series Analysis
The International Journal of Business and Finance Research, v. 10 (3) p. 29-38
Benjamin B. Boozer, Julie A. Staples, S. Keith Lowe and Robert J. Landry III
Jacksonville State University, Alabama, Jacksonville State University, Alabama, Jacksonville State University, Alabama and Jacksonville State University - College of Commerce and Business Administration
Date Posted: February 23, 2017
Accepted Paper Series
9 downloads

Incl. Electronic Paper Carry Trade Strategies with Factor Augmented Macro Fundamentals: A Dynamic Markov-Switching Factor Model
The International Journal of Business and Finance Research, v. 10 (3) p. 11-28
Gokcen Ogruk
Texas Wesleyan University
Date Posted: February 23, 2017
Accepted Paper Series
73 downloads

Incl. Electronic Paper Monitoring Structural Stability of Dynamic Factor Models
Yu-Chin Chen and Wen-Jen Tsay
University of Washington - Department of Economics and Academia Sinica - Institute of Economics
Date Posted: February 23, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Modern Phillips Curve Dynamics and the Median Wage
Kostas Vladimirou Kalevras
Athens University of Economics and Business, Department of Economics, Students
Date Posted: February 23, 2017
Working Paper Series
16 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
7 downloads

Incl. Electronic Paper The Impact of Monetary Strategies on Inflation Persistence
CESifo Working Paper Series No. 6306
Evzen Kocenda and Balazs Varga
Charles University in Prague - Institute of Economic Studies and Corvinus University of Budapest
Date Posted: February 21, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Efecto De La Apreciación Cambiaria En La Desindustrialización Mexicana (Effect of Exchange Appreciation in Mexican Deindustrialisation)
Revista Internacional Administracion & Finanzas, v. 9 (4) p. 13-22
Carlos Alberto Flores Sánchez, Martha Ofelia Lobo Rodríguez and Jorge Quiroz Félix
Universidad Autónoma de Baja California, México, Universidad Autónoma de Baja California (UABC) and Universidad Estatal de Sonora
Date Posted: February 18, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Asymmetric Unemployment-Output Tradeoff in the Eurozone
Journal of Policy Modeling, 2017
Bo Tang and Carlos Bethencourt
University of Sheffield - Department of Economics and University of La Laguna - Department of Applied Economics
Date Posted: February 17, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Foreign Aid, Domestic Income and International Shocks: The Case of African Countries
The Empirical Economics Letters, 13(2), 2014
Giscard Assoumou-Ella
Université Omar Bongo-CIREGED Economic and Management Research Center
Date Posted: February 16, 2017
Accepted Paper Series
13 downloads

Incl. Electronic Paper Forecasting Performance of Markov-Switching GARCH Models: A Large-Scale Empirical Study
David Ardia, Keven Bluteau, Kris Boudt and Leopoldo Catania
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance
Date Posted: February 16, 2017
Working Paper Series
94 downloads

Incl. Electronic Paper Asymmetric and Symmetric Volatility Models for Exchange Rates in India – Impact of Net Purchase of US Dollars by Central Bank and Net Inflows by Foreign Institutional Investors
Anand Shah and Anu Bahri
Tata Consultancy Services and Tata Consultancy Services Ltd.
Date Posted: February 16, 2017
Last Revised: February 21, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper A New S.D.E. and Instantaneous Mean Reversion Rate Formula (Presented via a Numerical Empirical Model Comparison)
Yedidya Rabinovitz
Independent
Date Posted: February 15, 2017
Last Revised: March 22, 2017
Working Paper Series
24 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 International Prices, Monetary and Income Shocks: A SVAR Model of the External Trade Channel in African Economies
Review of Economic and Business Studies, Volume 7, Issue 2, pp.85-116, 2014.
Giscard Assoumou-Ella, Cécile Bastidon and Philippe Gilles
Université Omar Bongo-CIREGED Economic and Management Research Center, University of Toulon-Var - Laboratory of Economics Applied to Development (LEAD) and Independent
Date Posted: February 13, 2017
Accepted Paper Series
17 downloads

Incl. Electronic Paper Economic Growth in Ghana: A Vector Error Correction Model (VECM) Approach from 1970-2015
Shuffield Seyram Asafo
University of CassinoShuffield Asafo
Date Posted: February 13, 2017
Working Paper Series
25 downloads

Incl. Electronic Paper Stochastic Efficiency Analysis using Relative Entropy and Empirical Likelihood
Thierry Post and Valerio Potì
Koc University - Graduate School of Business and University College Dublin
Date Posted: February 10, 2017
Working Paper Series
142 downloads

Incl. Electronic Paper Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean
Finance Research Letters, Forthcoming
Christos Alexakis, Guillaume Bagnarosa and Michael M. Dowling
ESC Rennes School of Business, ESC Rennes and ESC Rennes School of Business
Date Posted: February 10, 2017
Working Paper Series
96 downloads

Incl. Electronic Paper Impact of Bank Capital on Non-Performing Loans: New Evidence of Concave Capital from Dynamic Panel-Data and Time Series Analysis in Malaysia
Yaman Hajja, Azlan Ali and Hafezali Iqbal-Hussain
University of Kuala Lumpur - Universiti Kuala Lumpur Business School, University of Kuala Lumpur and University of Hull
Date Posted: February 09, 2017
Working Paper Series
69 downloads

Incl. Electronic Paper Determinants of Ex Post and Ex Ante Credit Risk: A Novel Panel Analysis and Comparative Evidence of Foreign and Local Malaysian Banks
Yaman Hajja, Azlan Ali and Hafezali Iqbal-Hussain
University of Kuala Lumpur - Universiti Kuala Lumpur Business School, University of Kuala Lumpur and University of Hull
Date Posted: February 09, 2017
Working Paper Series
45 downloads

Incl. Electronic Paper Statistical and Economic Evaluation of Time Series Models for Forecasting Arrivals at Call Centers
FEEM Working Paper No. 6.2017
Andrea Bastianin, Marzio Galeotti and Matteo Manera
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS)
Date Posted: February 08, 2017
Working Paper Series
5 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 Now-Casting Building Permits with Google Trends
David Coble and Pablo M. Pincheira
University of Chicago - Department of Economics and Adolfo Ibanez University - School of Business
Date Posted: February 03, 2017
Working Paper Series
48 downloads

Demographics and Inflation
ECB Working Paper
Elena Bobeica, Eliza M. Lis, Christiane Nickel and Yiqiao Sun
European Central Bank (ECB), WHU-Otto Beisheim School of Management, European Central Bank (ECB) and Independent
Date Posted: February 03, 2017
Working Paper Series

Incl. Electronic Paper How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets
UNSW Business School Research Paper No. 2017-01
Glenn Otto and Nigel Stapledon
UNSW Australia Business School, School of Economics and UNSW Australia Business School, School of Economics
Date Posted: February 02, 2017
Working Paper Series
16 downloads

Incl. Electronic Paper Advanced Idiosyncratic Risk and Multi-Factor Models – Short Version
Jan W Dash and Mario Bondioli
Bloomberg LP and Bloomberg L.P.
Date Posted: February 01, 2017
Working Paper Series
24 downloads

Incl. Electronic Paper The Volatility Dynamics Under an Endogenous Markov-Switching Framework: A Cross Market Approach
Wonho Song, Doojin Ryu and Robert I. Webb
Chung-Ang University, Sungkyunkwan University and University of Virginia - McIntire School of Commerce
Date Posted: February 01, 2017
Working Paper Series
22 downloads

Incl. Electronic Paper Fractional Integration v Structural Change: Testing the Convergence of CO2 Emissions
Marco R. Barassi, Nicola Spagnolo and Yuqian Zhao
University of Birmingham, Brunel University and University of Birmingham - Department of Economics
Date Posted: January 30, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper Is Fiscal Policy Effective in Brazil? An Empirical Analysis
Diogo de Prince, Emerson Fernandes Marçal and Márcio Holland
Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics, Sao Paulo School of Economics - FGV and Getulio Vargas Foundation (FGV) - Sao Paulo School of Economics
Date Posted: January 28, 2017
Working Paper Series
13 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 Predicting the Probability of Recession in Croatia: Is Economic Sentiment the Missing Link?
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 34, No. 2, 2016, pp. 555-579,
Natasa Erjavec V, Petar Sorić and Mirjana Čižmešija
University of Zagreb, University of Zagreb and University of Zagreb
Date Posted: January 23, 2017
Last Revised: January 30, 2017
Accepted Paper Series
2 downloads

Incl. Electronic Paper Linear and Nonlinear Causality between Renewable Energy Consumption and Economic Growth in the USA
Zbornik radova Ekonomskog fakulteta u Rijeci, časopis za ekonomsku teoriju i praksu - Proceedings of Rijeka Faculty of Economics, Journal of Economics and Business, Vol. 34, No. 2, 2016, pp. 309-332,
Haiyun Xu Xu
Jiangxi University of Finance and Economics
Date Posted: January 23, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Nexus between Public Health Expenditure and Income: Empirical Evidence from Indian States
Journal of Applied Economic Sciences, Volume XI, Issue 6(44), Fall 2016
Deepak Kumar Behera II and Umakant Dash
Indian Institute of Technology Madras and Indian Institute of Technology (IIT), Madras - Department of Humanities and Social Sciences
Date Posted: January 20, 2017
Accepted Paper Series
14 downloads

The Dynamic Black-Litterman Approach to Asset Allocation
European Journal of Operational Research, Forthcoming
Richard D. F. Harris, Evarist Stoja and Linzhi Tan
University of Exeter - Business School, University of Bristol and Nottingham Trent University - Department of Accounting and Finance
Date Posted: January 16, 2017
Accepted Paper Series

Incl. Electronic Paper All Change! The Implications of Non-Stationarity for Empirical Modelling, Forecasting and Policy
Oxford Martin School Policy Paper Series, Forthcoming
David F. Hendry and Felix Pretis
University of Oxford - Department of Economics and University of Oxford
Date Posted: January 16, 2017
Accepted Paper Series
24 downloads

Incl. Electronic Paper Finance-Theoretic Analysis of a Banking-Firm: Case Study of First Bank of Nigeria PLC
Oluseun A. Paseda
University of Lagos, Faculty of Business Administration
Date Posted: January 16, 2017
Working Paper Series
15 downloads


 

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