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SSRN eLibrary Search Results
JEL Code: C15
561,698 Total downloads
Showing Papers 701 - 750 of 2,405
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Incl. Electronic Paper Maximum Likelihood Estimation of Latent Variable Models by SMC with Marginalization and Data Cloning
Jin-Chuan Duan, Andras Fulop and Yu-Wei Hsieh
National University of Singapore (NUS) - Business School and Risk Management Institute, ESSEC Business School and University of Southern California - Department of Economics
Date Posted: June 23, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Are Volatility Over Volume Liquidity Proxies Useful For Global Or US Research?
Kingsley Y. L. Fong, Craig W. Holden and Ondrej Tobek
University of New South Wales - School of Banking and Finance, Indiana University - Kelley School of Business - Department of Finance and University of Cambridge - Faculty of Economics
Date Posted: June 20, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Valuation of Carbon Emission Allowances and Related Derivatives Under a Closed Trading Phase
Mingyu Fang, Ken Seng Tan and Tony S. Wirjanto
Department of Statistics and Actuarial Science, University of Waterloo, University of Waterloo and Department of Statistics & Actuarial Science and School of Accounting & Finance, University of Waterloo,
Date Posted: June 19, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper Do Steph Curry and Klay Thompson Have Hot Hands?
Alon Daks, Nishant Desai and Lisa R. Goldberg
University of California, Berkeley, University of California, Berkeley and University of California, Berkeley
Date Posted: June 13, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Probability of Default and Risk Indicators from a Bank Regulatory Approach: The Spanish Case
Pilar Gómez-Fernández-Aguado, Purificación Parrado-Martínez and Antonio Partal-Ureña
University of Jaén, Department of Financial Economics & Accounting. University of Jaén (Spain) and University of Jaén
Date Posted: June 07, 2017
Working Paper Series
13 downloads

Incl. Electronic Paper Rational Bubble Testing: An In-Depth Study on CNX Nifty
Asian Journal of Research in Banking and Finance Vol. 6, No. 6, June 2016, pp. 10-16 ISSN 2249-7323 DOI : 10.5958/2249-7323.2016.00028.6
Bikramaditya Ghosh
IMCU, Christ University
Date Posted: June 05, 2017
Accepted Paper Series
3 downloads

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
6 downloads

Incl. Electronic Paper Big Data and Graph Theoretic Models: Simulating the Impact of Collateralization on a Financial System
Sharyn O'Halloran, Nikolai Nowaczyk and Donal A. Gallagher
Columbia University - School of International & Public Affairs, Quaternion Risk Management and Quaternion Risk Management
Date Posted: June 01, 2017
Working Paper Series
33 downloads

Incl. Electronic Paper Calibration of Discrete Time Short Rate Term Structure Models from Coupon Bond Prices
Erika Gomes-Gonçalves, Henryk Gzyl and Silvia Mayoral Blaya
Independent, Instituto de Estudios Superiores de Administración (IESA) and Universidad Carlos III de Madrid
Date Posted: May 31, 2017
Last Revised: June 11, 2017
Working Paper Series
34 downloads

Incl. Electronic Paper Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing
Mario Giuricich and Krzysztof Burnecki
University of Cape Town (UCT), Faculty of Commerce, Graduate School of Business, Students and Hugo Steinhaus Center
Date Posted: May 30, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Backtesting Distributional Forecasts in Counterparty Risk II: Empirical Results for Long Horizon Testing
Hany Farag and Minyao Zhou
CIBC and McMaster University, Faculty of Science, Department of Mathematics and Statistics, Students
Date Posted: May 28, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Pricing Catastrophe Bonds Based on a Left-Truncated Loss Index
Mario Giuricich and Krzysztof Burnecki
University of Cape Town (UCT), Faculty of Commerce, Graduate School of Business, Students and Hugo Steinhaus Center
Date Posted: May 25, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
CESifo Working Paper Series No. 6432
M. Hashem Pesaran and Takashi Yamagata
USC Dornsife Institute for New Economic Thinking and University of York - Department of Economics and Related Studies
Date Posted: May 24, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Возможность Устанавливать Объем Правомочий Участника Непубличного Общества Непропорционально Его Доле в Уставном Капитале (The Ability to Set the Scope of Authorities of Party Non-Public Companies Is Not in Proportion to Its Share in the Authorized Capital)
Pravo i Economica, «Право и экономика», №5, 2017,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Акция и Доля в Уставном Капитале ООО — Особенности Оборота и Фиксации Правa (Akcija, and Share Capitale, OOO — Peculiarities of Circulation and Fixing the Rights)
Hozyaistvo i Pravo, Хозяйство и право, №4. 2017 ,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Преимущественное Право Покупки Доли в Уставном Капитале Ооо — Варианты Реализации (The Pre-Emptive Right to Purchase Shares of the Charter Capital of the Embodiments of)
Pravo i Economica №4. 2017.,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Открытые и Закрытые Корпорации (Open and Closed Corporations)
Hozyaistvo i Pravo, 2017, №3,
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper Образование Органов Общества в Ситуациях, Не Урегулированных Законом (The Formation of Bodies in Situations that are Not Regulated by Law)
Actsionernoe obschestvo: voprosy corporativnogo upravleniya № 05 (156),
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Цена и Порядок Приобретения Обществом С Ограниченной Ответственностью Доли Участника (Price and Procedure for Acquiring a Limited Liability Company of the Member's Share)
Actsionernoe obschestvo: voprosy corporativnogo upravleniya 2016, № 12 (151),
Andrei Glushetskiy
Russian Presidential Academy of National Economy and Public Administration (RANEPA)
Date Posted: May 22, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Simulation Optimization Through Regression or Kriging Metamodels
CentER Discussion Paper Series No. 2017-026
Jack P. C. Kleijnen
Tilburg University, CentER
Date Posted: May 18, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Testing for Convexity Relevance: An IFRS 9 Benchmark Cashflow Test Proposal
Luigi A. Cefis
Intesa SanPaolo SpA
Date Posted: May 17, 2017
Last Revised: May 24, 2017
Working Paper Series
80 downloads

Incl. Electronic Paper New Bid-Ask Spread Estimators from Daily High and Low Prices
Zhiyong Li, Brendan John Lambe and Emmanuel Adegbite
De Montfort University, University of Leicester and Durham University
Date Posted: May 13, 2017
Working Paper Series
91 downloads

Incl. Electronic Paper Estimating the Physical Probability for Successful Stock Swap Mergers: An Application of MCMC Methods
Giuseppe Corvasce
Rutgers University - Center for Financial Statistics and Risk Management
Date Posted: May 10, 2017
Working Paper Series
4 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 Valuation of Large Variable Annuity Portfolios: Monte Carlo Simulation and Benchmark Datasets
Guojun Gan and Emiliano A. Valdez
University of Connecticut - Department of Mathematics and University of Connecticut
Date Posted: May 02, 2017
Working Paper Series
16 downloads

A Note on the Nelson Cao Inequality Constraints in the GJR-GARCH Model: Is There a Leverage Effect?
Stavros Stavroyiannis
Technological Educational Institute of Peloponnese - Department of Accounting and Finance
Date Posted: May 01, 2017
Working Paper Series

Incl. Electronic Paper The Time-Varying Garch-in-Mean Model
Gustavo Fruet Dias
University of Aarhus
Date Posted: April 26, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Bringing Hollywood to the Driving School: Dynamic Scenario Generation in Simulations and Games
M. Maybury et al. (Eds.): INTETAIN 2005, LNAI 3814, pp. 288-292, Berlin Heidelberg: Springer-Verlag, 2005
Ingo Wassink, Betsy van Dijk, Job Zwiers, Anton Nijholt, Jorrit Kuipers and Arnd Brugman
Human Media Interaction (HMI), Human Media Interaction (HMI), University of Twente, Human Media Interaction (HMI), Independent and Independent
Date Posted: April 25, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects
Anthony J. Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Peregrine Securities
Date Posted: April 19, 2017
Working Paper Series
31 downloads

Incl. Electronic Paper Measuring Transaction Costs in the Absence of Timestamps
FEDS Working Paper No. 2017-045
Filip Zikes
Board of Governors of the Federal Reserve System
Date Posted: April 18, 2017
Working Paper Series
17 downloads

Incl. Electronic Paper Reply to 'Comment on 'Markowitz Versus Michaud: Portfolio Optimization Strategies Reconsidered''
Franziska Becker, Marc Gürtler and Martin Thomas Hibbeln
NORD/LB, University of Braunschweig - Institute of Technology, Department of Finance and University of Duisburg-Essen - Mercator School of Management
Date Posted: April 14, 2017
Working Paper Series
91 downloads

Incl. Electronic Paper A Probabilistic Approach to the Computation of the Levelized Cost of Electricity
Energy, Volume 124, Pages 372–381, April 2017,
Thomas Geissmann
ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich
Date Posted: April 11, 2017
Working Paper Series
23 downloads

Incl. Electronic Paper Testing the Nuclear Stability-Instability Paradox Using Synthetic Control Method
Francesco Bailo and Benjamin E. Goldsmith
The University of Sydney and The University of Sydney
Date Posted: April 07, 2017
Working Paper Series
7 downloads

Incl. Electronic Paper A Goodness-of-Fit Test for Generalized Error Distribution
Bank of Italy Temi di Discussione (Working Paper) No. 1096
Daniele Coin Sr.
Bank of Italy
Date Posted: April 06, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
USC-INET Research Paper No. 17-13
M. Hashem Pesaran and Takashi Yamagata
USC Dornsife Institute for New Economic Thinking and University of York - Department of Economics and Related Studies
Date Posted: March 31, 2017
Last Revised: April 04, 2017
Working Paper Series
86 downloads

Financial Market Simulation
The Journal of Portfolio Management, Vol. 30, No. 5, 30th Anniversary Issue, pp. 142-152, September 2004
Bruce I. Jacobs, Ph.D., Kenneth N. Levy and Harry Markowitz
Jacobs Levy Equity Management, Jacobs Levy Equity Management and University of California at San Diego
Date Posted: March 31, 2017
Accepted Paper Series

Incl. Electronic Paper Agent-Based Model Calibration Using Machine Learning Surrogates
LEM Working Paper
Francesco Lamperti, Andrea Roventini and Amir Sani
Scuola Superiore Sant'Anna di Pisa - Institute of Economics and LEM, Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM) and Université Paris I Panthéon-Sorbonne
Date Posted: March 30, 2017
Last Revised: April 08, 2017
Working Paper Series
63 downloads

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
22 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
1054 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
29 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
67 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
28 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
33 downloads

Incl. Electronic Paper Overestimated Effective Spreads: Implications for Investors
Björn Hagströmer
Stockholm University - Stockholm Business School
Date Posted: March 23, 2017
Last Revised: June 03, 2017
Working Paper Series
63 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
33 downloads

Incl. Electronic Paper Large Deviations of Factor Models with Regularly-Varying Tails: Asymptotics and Efficient Estimation
Farzad Pourbabaee
University of California, Berkeley - Department of Economics
Date Posted: March 14, 2017
Last Revised: May 20, 2017
Working Paper Series
72 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
13 downloads

Incl. Electronic Paper 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
Last Revised: March 30, 2017
Accepted Paper Series
43 downloads

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
9 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
14 downloads


 

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