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JEL Code: C50
205,604 Total downloads
Showing Papers 1 - 50 of 408
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A Quantitative Approach to Tactical Asset Allocation Journal of Wealth Management, Spring 2007
Mebane T. Faber
Date Posted: February 11, 2007Last Revised: July 15, 2009108517 downloads
Relative Strength Strategies for Investing
Mebane T. Faber
Date Posted: April 06, 2010Last Revised: April 20, 201026918 downloads
Financial Econometrics International Library of Financial Econometrics, Forthcoming
Andrew W. Lo
Date Posted: June 14, 20073465 downloads
Forecasting Financial Market Volatility: A Review
Clive W. J. Granger and
Ser-Huang Poon
Date Posted: June 15, 20013172 downloads
Forecasting Volatility in Financial Markets: A Review (revised edition)
Clive W. J. Granger and
Ser-Huang Poon
Date Posted: December 04, 20023073 downloads
Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models FEEM Working Paper No. 98.2002
Matteo Manera and
Gianfranco Forte
Date Posted: November 22, 20022111 downloads
An Improved Moving Average Technical Trading Rule
Fotis Papailias and
Dimitrios D. Thomakos
Date Posted: September 13, 2011Last Revised: October 16, 20111743 downloads
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Alessandro Paolo Luigi Cipollini
and
Antonio Manzini
Date Posted: June 27, 20071481 downloads
Paired-Switching for Tactical Portfolio Allocation
Akhilesh Maewal
and
Joel R. Bock
Date Posted: August 26, 2011Last Revised: September 21, 20111419 downloads
The Term Structure of Real Rates and Expected Inflation EFA 2004 Maastricht Meetings Paper No. 1220; AFA 2004 San Diego Meetings
Geert Bekaert and
Andrew Ang
Date Posted: July 16, 20031313 downloads
Tactical Asset Allocation on Market Neutral Hedge Fund
Juan Ledesma Padilla and
Martin Zebad
Date Posted: April 24, 20091288 downloads
A Simple Long Memory Model of Realized Volatility
Date Posted: December 07, 20041272 downloads
Identifying Bull and Bear Markets in Stock Returns
John M. Maheu and
Thomas H. McCurdy
Date Posted: February 19, 19991079 downloads
Optimal Momentum: A Global Cross Asset Approach
Gary Antonacci
Date Posted: May 10, 2011Last Revised: April 03, 2013956 downloads
An Improved Moving Average Technical Trading Rule II - Can We Obtain Performance Improvements with Short Sales?
Fotis Papailias and
Dimitrios D. Thomakos
Date Posted: November 14, 2011917 downloads
The Impact of Trades on Daily Volatility AFA 2005 Philadelphia Meetings
Doron Avramov ,
Tarun Chordia and
Amit Goyal
Date Posted: March 21, 2004798 downloads
Asset Price Trend Theory: Reframing Portfolio Theory from the Ground Up
Robert Dubois
Date Posted: March 31, 2013Last Revised: May 22, 2013703 downloads
An Econometric Model of the Brazilian Stock Market
Date Posted: April 20, 2005697 downloads
The Effect of Endogenous Right-to-Work Laws on Business and Economic Conditions in the United States: A Multivariate Approach Review of Law and Economics, Vol. 5, No. 1, pp. 595-614, 2009
Lonnie K. Stevans
Date Posted: November 07, 2007Last Revised: February 23, 2011667 downloads
A Monthly Indicator of Brazilian GDP UCR Department of Economics Working Paper
Marcelle Chauvet
Date Posted: January 23, 2001620 downloads
Stochastic Processes in Credit Risk Modelling
Roberto Casarin
Date Posted: March 09, 2006600 downloads
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics Journal of Energy Markets, Vol. 2, No. 3, 2009
Raphael Paschke
and
Marcel Prokopczuk
Date Posted: March 06, 2008Last Revised: April 24, 2012584 downloads
Growth Regressions and What the Textbooks Don't Tell You
Jonathan R.W. Temple
Date Posted: July 26, 1999579 downloads
Dragon-Kings, Black Swans and the Prediction of Crises Swiss Finance Institute Research Paper No. 09-36
Didier Sornette
Date Posted: September 08, 2009574 downloads
Decisionmetrics: A Decision-Based Approach to Econometric Modelling SFI Working Paper No. 01-10-64
Spyros Skouras
Date Posted: November 28, 2001561 downloads
An Exploratory Study of the Impact of e-Service Process on Online Customer Satisfaction
Sulin Ba and
Wayne Johansson
Date Posted: December 14, 2006556 downloads
A Note on the Black-Scholes Implied Volatility with Default Risk Wilmott Journal, Vol. 2, No. 3, 2010
Shuichi Ohsaki
,
Takaaki Ozeki
,
Yuji Umezawa
and
Akira Yamazaki
Date Posted: November 12, 2008Last Revised: August 17, 2010555 downloads
Exogeneity, Cointegration, and Economic Policy Analysis FRB International Finance Discussion Paper No. 616
Neil R. Ericsson ,
David F. Hendry and
Grayham E. Mizon
Date Posted: August 14, 1998548 downloads
Cointegration and Threshold Adjustment
Pierre L. Siklos and
Walter Enders
Date Posted: February 24, 1998537 downloads
Altruism, Equity, and Reciprocity in a Gift Exchange Experiment: An Encompassing Approach Universitat Pompeu Fabra, Department of Economics Working Paper No. 368
Gary Charness and
Ernan Haruvy
Date Posted: August 05, 1999536 downloads
Informational Cascades and Software Adoption on the Internet: An Empirical Investigation MIS Quarterly, Vol. 33, No. 1, pp. 23-48, March 2009
Wenjing Duan
,
Bin Gu
and
Andrew B. Whinston
Date Posted: April 07, 2008Last Revised: July 31, 2012501 downloads
Identifying Business Cycle Turning Points in Real Time FRB of Atlanta Working Paper No. 2002-27
Marcelle Chauvet and
Jeremy Piger
Date Posted: February 19, 2003488 downloads
Uncertainty in Value-at-Risk Estimates under Parametric and Non-parametric Modeling
Wolfgang Aussenegg and
Tatiana Miazhynskaia
Date Posted: February 26, 2005487 downloads
A Source of Long Memory in Volatility
Ser-Huang Poon ,
Namwon Hyung and
Clive W. J. Granger
Date Posted: May 26, 2006471 downloads
Are there any Reliable Leading Indicators for U.S. Inflation and GDP Growth? IGIER Working Paper No. 236
Massimiliano Giuseppe Marcellino ,
Anindya Banerjee and
Igor Masten
Date Posted: June 13, 2003468 downloads
The Brazilian Business Cycle and Growth Cycle UC Riverside Economics Working Paper No. 2000
Marcelle Chauvet
Date Posted: December 19, 2000465 downloads
Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia MIT Sloan Working Paper No. 4242-01
Kristin J. Forbes and
Tilak Abeysinghe
Date Posted: April 28, 2002463 downloads
Copula-Based Dependence Characteriztions and Modeling for Time Series Harvard Institute of Economic Research Discussion Paper No. 2094
Rustam Ibragimov
Date Posted: September 21, 2005458 downloads
Technological Change in Economic Models of Environmental Policy: A Survey FEEM Working Paper No. 4.2002; ZEW Discussion Paper No. 01-62
Andreas Löschel
Date Posted: February 09, 2004449 downloads
A Note on the Common Support Problem in Applied Evaluation Studies Univ. of St. Gallen Economics, Disc. Paper 2001-01
Michael Lechner
Date Posted: February 15, 2001437 downloads
Foreign Direct Investment and Stock Market Development: Ghana's Evidence International Research Journal of Finance and Economics, Vol. 26, pp. 178-185, 2009
Anokye M. Adam
and
George Tweneboah
Date Posted: October 26, 2008Last Revised: April 07, 2009426 downloads
Universal Asymptotic Behavior of Mortgage Prepayments California Tech Working Paper No. 68-2307
Mark B. Wise and
Vineer Bhansali
Date Posted: March 20, 2002405 downloads
A Discrete-Time Model for Daily S&P 500 Returns and Realized Variations: Jumps and Leverage Effects
Tim Bollerslev ,
Uta Kretschmer
,
Christian Pigorsch
and
George Tauchen
Date Posted: August 24, 2005402 downloads
Challenges of Trending Time Series Econometrics Cowles Foundation Discussion Paper No. 1472
Peter C. B. Phillips
Date Posted: July 27, 2004394 downloads
Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives UNSW Australian School of Business Research Paper No. 2010ACTL03
Michael Sherris
and
Andrew Ngai
Date Posted: April 12, 2010Last Revised: March 12, 2012394 downloads
Default, Credit Growth, and Asset Prices IMF Working Paper No. 06/223
Miguel Segoviano Basurto ,
Boris Hofmann and
Charles Goodhart
Date Posted: October 31, 2006391 downloads
Forecasting Housing Prices with Google Econometrics GMU School of Public Policy Research Paper No. 2009-10
Rajendra Kulkarni ,
Kingsley E. Haynes
,
Roger R. Stough
and
Jean H. P. Paelinck
Date Posted: July 25, 2009Last Revised: October 27, 2012380 downloads
A Hidden Markov Model of Developer Learning Dynamics in Open Source Software Projects Information Systems Research
Param Vir Singh ,
Nara Youn
and
Yong Tan
Date Posted: April 18, 2008Last Revised: August 28, 2010360 downloads
Timing and Volatility Quantitative Model
Dmitry V. Baryshevsky
Date Posted: June 10, 2009Last Revised: November 21, 2010360 downloads
Commodity Derivatives Valuation with Autoregressive and Moving Average Components in the Price Dynamics Journal of Banking and Finance, Vol. 34, No. 11, 2010
Raphael Paschke
and
Marcel Prokopczuk
Date Posted: July 22, 2009Last Revised: April 26, 2012353 downloads
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