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Last month |
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20th Symposium on Monetary and Financial Economics |
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14 |
A Comment on The Dynamic Macroeconomic Effects of Public Capital |
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A DARE for VaR |
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A Theoretical and Empirical Assessment of the Bank Lending Channel and Loan Market Disequilibrium in Poland |
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114 |
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411 |
A Theoretical and Empirical Comparison of Systemic Risk Measures |
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251 |
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45 |
601 |
A Theoretical and Empirical Comparison of Systemic Risk Measures |
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35 |
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A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR |
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19 |
64 |
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
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49 |
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65 |
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
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16 |
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures |
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Backtesting VaR Accuracy: A New Simple Test |
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215 |
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606 |
Backtesting VaR Accuracy: A Simple and Powerful Test |
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15 |
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47 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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14 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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18 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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14 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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23 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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25 |
Backtesting Value at Risk Accuracy: A New Simple Test |
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Backtesting Value-at-Risk Accuracy: A New Simple Test |
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23 |
Backtesting Value-at-Risk Accuracy: A New Simple Test |
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18 |
Backtesting Value-at-Risk: A GMM Duration-Based Test |
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22 |
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99 |
Backtesting Value-at-Risk: A GMM Duration-Based Test |
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18 |
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76 |
Backtesting Value-at-Risk: A GMM Duration-Based Test |
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156 |
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337 |
Backtesting Value-at-Risk: A GMM Duration-Based Test |
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Backtesting Value-at-Risk: A GMM Duration-Based Test |
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Backtesting Value-at-Risk: A GMM Duration-Based-Test |
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35 |
Backtesting Value-at-Risk: A GMM Duration-based Test |
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Backtesting Value-at-Risk: A GMM Duration-based Test |
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Backtesting Value-at-Risk: A GMM Duration-based Test |
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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests |
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Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests |
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248 |
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15 |
576 |
Backtesting value-at-risk: a GMM duration-based test |
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9 |
Bactesting Var Accuracy: A New Simple Test |
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26 |
Certify reproducibility with confidential data |
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3 |
CoMargin |
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CoMargin |
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158 |
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13 |
441 |
Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the ???Min???Condition |
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151 |
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9 |
472 |
Credit Market Disequilibrium in Poland: Can we find what we expect? Non Stationarity and the Min Condition |
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0 |
0 |
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1 |
31 |
Credit Market Disequilibrium in Poland: Can we find what we expect? Non stationarity and the Short Side Rule |
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1 |
20 |
Cross-country-heterogeneous and Time-varying Effects of Unconventional Monetary Policies in AEs on Portfolio Inflows to EMEs |
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3 |
0 |
0 |
3 |
27 |
Currency Crises Early Warning Systems: Why They Should Be Dynamic |
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0 |
0 |
1 |
2 |
2 |
29 |
Currency Crises Early Warning Systems: why they should be Dynamic |
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1 |
2 |
27 |
3 |
3 |
8 |
80 |
Currency Crisis Early Warning Systems: Why They should be Dynamic |
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1 |
1 |
91 |
2 |
4 |
7 |
156 |
Currency crises early warning systems: why they should be dynamic |
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2 |
317 |
2 |
3 |
18 |
698 |
Do We Need High Frequency Data to Forecast Variances? |
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2 |
5 |
11 |
70 |
Do We Need Ultra-High Frequency Data to Forecast Variances? |
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1 |
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33 |
1 |
3 |
20 |
105 |
Does soft information matter for financial analysts' forecasts? A gravity model approach |
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1 |
6 |
0 |
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4 |
39 |
Does the firm-analyst relationship matter in explaining analysts' earnings forecast errors? |
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0 |
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32 |
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3 |
15 |
84 |
Does the firm-analyst relationship matter in explaining analysts' earnings forecast errors? |
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5 |
1 |
1 |
4 |
55 |
Downgrading in the First Job: Who and Why |
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16 |
Economic Development and Energy Intensity: a Panel Data Analysis |
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6 |
24 |
Economic Development and Energy Intensity: a Panel Data Analysis |
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32 |
Energy Demand Models: A Threshold Panel Specification of the "Kuznets Curve" |
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29 |
Energy demand models: a threshold panel specification of the 'Kuznets curve' |
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27 |
Estimates of Government Net Capital Stocks for 26 Developing Countries |
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32 |
Estimates of Government Net Capital Stocks for 26 Developing Countries, 1970-2002 |
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2 |
30 |
Estimates of government net capital stocks for 26 developing countries, 1970-2002 |
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2 |
213 |
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10 |
453 |
Extreme Financial Cycles |
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0 |
2 |
136 |
1 |
1 |
8 |
210 |
Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test |
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0 |
4 |
626 |
1 |
1 |
18 |
1,048 |
Forecasting High-Frequency Risk Measures |
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0 |
0 |
0 |
0 |
0 |
0 |
High-Frequency Risk Measures |
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4 |
231 |
0 |
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22 |
613 |
How did the Japanese Employment System Change?Investigating the Heterogeneity of Downsizing Practices across Firms |
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1 |
71 |
0 |
0 |
6 |
210 |
How to Estimate Public Capital Productivity? |
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0 |
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74 |
0 |
0 |
1 |
151 |
How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods |
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0 |
0 |
0 |
0 |
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6 |
38 |
How to evaluate an Early Warning System ? |
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1 |
4 |
427 |
0 |
2 |
13 |
767 |
How to evaluate an early warning system? Towards a united statistical framework for assessing financial crises forecasting methods |
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0 |
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180 |
0 |
0 |
4 |
371 |
Implied Risk Exposures |
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0 |
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177 |
0 |
0 |
7 |
372 |
Implied Risk Exposures |
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0 |
0 |
0 |
0 |
0 |
3 |
18 |
Irregularly Spaced Intraday Value at Risk (ISIVaR) Models Forecasting and Predictive Abilities |
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0 |
0 |
0 |
0 |
0 |
0 |
13 |
Irregularly Spaced Intraday Value at Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
0 |
1 |
1 |
1 |
16 |
Irregularly Spaced Intraday Value at Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
73 |
1 |
3 |
8 |
195 |
Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
0 |
0 |
1 |
1 |
19 |
Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
0 |
0 |
0 |
0 |
17 |
Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
0 |
3 |
35 |
Irregularly Spaces Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities |
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0 |
0 |
0 |
0 |
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2 |
16 |
Is Public Capital Really Productive? A Methodological Reappraisal |
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171 |
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5 |
333 |
Is public capital really productive? A methodological reappraisal |
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0 |
0 |
0 |
0 |
1 |
26 |
La methode d'estimation des moindres carres modifies ou fully modified |
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0 |
0 |
1 |
4 |
5 |
26 |
3,659 |
La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ? |
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0 |
0 |
0 |
2 |
2 |
7 |
38 |
Loss Functions for LGD Models Comparison |
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0 |
0 |
0 |
0 |
0 |
11 |
74 |
Loss functions for LGD model comparison |
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0 |
6 |
143 |
0 |
2 |
24 |
326 |
Machine Learning et nouvelles sources de données pour le scoring de crédit |
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0 |
0 |
0 |
1 |
1 |
8 |
29 |
Machine Learning et nouvelles sources de données pour le scoring de crédit |
0 |
0 |
2 |
48 |
1 |
1 |
7 |
32 |
Machine Learning for Credit Scoring: Improving Logistic Regression with Non-Linear Decision-Tree Effects |
1 |
51 |
51 |
51 |
5 |
24 |
41 |
41 |
Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds |
0 |
2 |
17 |
114 |
3 |
13 |
65 |
185 |
Machine Learning or Econometrics for Credit Scoring: Let’s Get the Best of Both Worlds |
0 |
1 |
5 |
26 |
1 |
8 |
18 |
69 |
Machine learning et nouvelles sources de données pour le scoring de crédit |
0 |
0 |
0 |
0 |
1 |
2 |
2 |
2 |
Margin Backtesting |
0 |
0 |
0 |
113 |
0 |
1 |
5 |
202 |
Modelling Financial Crises Mutation |
0 |
0 |
0 |
11 |
0 |
0 |
2 |
65 |
Modèles Non Linéaires et Prévisions |
0 |
0 |
0 |
131 |
0 |
0 |
4 |
341 |
Modèles non linéaires et prévisions |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
15 |
Modèles non linéaires et prévisions |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
14 |
Modèles à Changement de Régimes et Macro-économiques |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
Modèles à changement de régimes et macro-économiques |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation |
0 |
2 |
5 |
387 |
2 |
5 |
16 |
772 |
Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
36 |
Network Effects and Infrastructure Productivity in Developing Countries |
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0 |
0 |
5 |
1 |
1 |
6 |
33 |
Network effects and infrastructure productivity in developing countries |
0 |
0 |
0 |
207 |
0 |
0 |
5 |
414 |
Network effects of the productivity of infrastructure in developing countries |
0 |
0 |
4 |
915 |
1 |
3 |
19 |
1,815 |
Networks Effects in the Productivity of Infrastructures in Developing Countries |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
16 |
Non-Standard Errors |
2 |
4 |
28 |
28 |
23 |
50 |
149 |
149 |
Non-Standard Errors |
1 |
4 |
20 |
20 |
6 |
28 |
121 |
121 |
Pitfalls in Systemic-Risk Scoring |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
63 |
Pitfalls in systemic-risk scoring |
0 |
0 |
0 |
0 |
2 |
3 |
6 |
30 |
Public Spending Efficiency: an Empirical Analysis for Seven Fast Growing Countries |
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0 |
0 |
0 |
0 |
0 |
1 |
24 |
Reproducibility Certification in Economics Research |
0 |
0 |
0 |
0 |
0 |
2 |
8 |
15 |
Risk Measure Inference |
0 |
0 |
1 |
180 |
0 |
2 |
10 |
361 |
Risk Measure Inference |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
35 |
RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results |
0 |
0 |
0 |
78 |
2 |
2 |
14 |
318 |
Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios |
0 |
0 |
0 |
0 |
2 |
2 |
3 |
18 |
Sampling error and double shrinkage estimation of minimum variance portfolios |
0 |
0 |
0 |
101 |
0 |
0 |
10 |
301 |
Second Generation Panel Unit Root Tests |
2 |
6 |
31 |
440 |
9 |
34 |
153 |
1,254 |
Statistique et probabilités en économie-gestion |
0 |
0 |
0 |
0 |
1 |
3 |
10 |
47 |
Systemic Risk Score: A Suggestion |
0 |
0 |
0 |
30 |
0 |
0 |
1 |
56 |
Systemic Risk Score: A Suggestion |
0 |
0 |
1 |
41 |
0 |
1 |
3 |
76 |
Systemic Risk Score: A Suggestion |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
15 |
Taux d'actualisation public, distorsions fiscales et croissance |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
999 |
Testing Convergence: A Panel Data Approach |
0 |
0 |
0 |
0 |
1 |
1 |
5 |
5 |
Testing Granger Causality in Heterogeneous Panel Data Model with Fixed Coefficients |
0 |
0 |
0 |
0 |
0 |
2 |
6 |
37 |
Testing Granger Non-Causality in Heterogeneous Panel Data Models |
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0 |
0 |
0 |
1 |
1 |
3 |
37 |
Testing Granger Non-Causality in Heterogeneous Panel Data Models with Fixed Coefficients |
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0 |
0 |
0 |
1 |
1 |
7 |
84 |
Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
41 |
Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
37 |
Testing Granger causality in Heterogeneous panel data models with fixed coefficients |
0 |
0 |
0 |
0 |
0 |
1 |
7 |
66 |
Testing Interval Forecasts: A New GMM-based Test |
0 |
0 |
1 |
2 |
0 |
0 |
2 |
33 |
Testing Interval Forecasts: a GMM-Based Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
18 |
Testing for Granger Non-causality in Heterogeneous Panels |
0 |
5 |
43 |
1,621 |
3 |
20 |
171 |
3,918 |
Testing for Granger Non-causality in Heterogeneous Panels |
0 |
0 |
0 |
0 |
2 |
11 |
47 |
161 |
Testing interval forecasts: a GMM-based approach |
0 |
1 |
3 |
207 |
1 |
7 |
37 |
420 |
The Collateral Risk of ETFs |
0 |
1 |
2 |
71 |
1 |
2 |
12 |
242 |
The Counterparty Risk Exposure of ETF Investors |
0 |
0 |
1 |
63 |
1 |
2 |
14 |
168 |
The Fairness of Credit Scoring Models |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
3 |
The Fairness of Credit Scoring Models |
0 |
0 |
31 |
31 |
0 |
1 |
15 |
15 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
42 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
30 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
35 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
73 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
30 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
1 |
4 |
51 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
30 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
31 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
26 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
29 |
The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach |
1 |
1 |
2 |
20 |
1 |
3 |
16 |
131 |
The Feldstein-Horioka Puzzle: a Panel SmoothTransition Regression Approach |
0 |
1 |
6 |
536 |
1 |
3 |
14 |
1,086 |
The Heterogeneity of Employment Adjustment Accross Japanese Firms. A study Using Panel Data |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
16 |
The Risk Map: A New Tool for Validating Risk Models |
0 |
0 |
2 |
413 |
1 |
1 |
10 |
610 |
The counterparty risk exposure of ETF investors |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
The heterogeneity of employment adjustment across Japanese firms. A study using panel data |
0 |
0 |
0 |
103 |
1 |
1 |
3 |
410 |
The productivy Effects of Public Capital in Developing Countries |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
31 |
Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
44 |
Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
29 |
Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach |
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0 |
2 |
72 |
0 |
0 |
10 |
246 |
Threshold Effects in the Public Capital Productivity: an International Panel Smooth Transition Approach |
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0 |
0 |
0 |
1 |
1 |
4 |
25 |
Threshold Effects in the Public Capital Productivity: an International Panel Smooth Transition Approach |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
28 |
Threshold Effects of the Public Capital Productivity: An International Panel Smooth Transition Approach |
2 |
7 |
24 |
690 |
9 |
29 |
114 |
1,767 |
Threshold Effects of the Public Capital Productivity: An International Panel Smooth Transition Approach |
0 |
1 |
2 |
51 |
0 |
5 |
25 |
199 |
Threshold Effects of the Public Capital Productivity: an International Panel Smooth Transition Approach |
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0 |
0 |
0 |
0 |
0 |
0 |
32 |
Threshold Effects of the Public Capital Productivity: an International Panel Smooth Transition Approach |
0 |
0 |
0 |
0 |
0 |
2 |
10 |
63 |
Un MEDAF à plusieurs moments réalisés |
0 |
0 |
0 |
29 |
0 |
0 |
2 |
155 |
Un MEDAF à plusieurs moments réalisés |
0 |
0 |
0 |
33 |
0 |
0 |
3 |
159 |
Un MEDAF à plusieurs moments réalisés |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
4 |
Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
27 |
Un Test de Validité de la Value-at-Risk |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
29 |
Un test de Validité de la Value-at-risk |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
18 |
Un test simple de l'hypothèse de non causalité dans un modèle de panel hétérogène |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
12 |
Une Evaluation des Procédures de Backtesting |
0 |
2 |
2 |
167 |
2 |
5 |
7 |
443 |
Une Synthèse des Tests de Cointégration sur Données de Panel |
0 |
0 |
0 |
0 |
0 |
0 |
8 |
47 |
Une Synthèse des Tests de Racine Unitaire en sur Données de Panel |
0 |
0 |
0 |
0 |
0 |
0 |
11 |
38 |
Une Synthèse des Tests de Racine Unitaire sur Données de Panel |
0 |
0 |
0 |
481 |
0 |
1 |
9 |
1,145 |
Une synthèse des tests de co-intégration sur données de panel |
0 |
1 |
3 |
21 |
1 |
2 |
26 |
171 |
Une synthèse des tests de cointégration sur données de panel |
0 |
0 |
1 |
268 |
0 |
1 |
18 |
782 |
Une évaluation des procédures de Backtesting |
1 |
1 |
1 |
5 |
1 |
1 |
3 |
39 |
Une évaluation des procédures de Backtesting: Tout va pour le mieux dans le meilleur des mondes |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
13 |
Une évaluation des procédures de Backtesting: Tout va pour le mieux dans le meilleur des mondes |
0 |
0 |
0 |
0 |
2 |
2 |
2 |
25 |
Une évaluation des procédures de Backtesting: Tout va pour le mieux dans le meilleur des mondes |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
22 |
What would Nelson and Plosser find had they used panel unit root tests? |
0 |
1 |
7 |
161 |
1 |
2 |
18 |
354 |
Where the Risks Lie: A Survey on Systemic Risk |
0 |
0 |
2 |
119 |
0 |
3 |
20 |
349 |
Where the Risks Lie: A Survey on Systemic Risk |
0 |
1 |
3 |
4 |
3 |
10 |
62 |
258 |
Where the Risks Lie: A Survey on Systemic Risk |
0 |
0 |
0 |
0 |
6 |
9 |
33 |
122 |
Why don't banks lend to Egypt's private sector ? |
0 |
0 |
0 |
109 |
0 |
0 |
6 |
239 |
Total Working Papers |
14 |
102 |
364 |
12,643 |
142 |
408 |
2,060 |
37,775 |