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JEL Code: C52
289,149 Total downloads
Showing Papers 1 - 50 of 1,708
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The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications Sauder School of Business Working Paper
Kin Lo and
Thomas Z. Lys
Date Posted: March 16, 20006739 downloads
High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
Purnendu Nath
Date Posted: July 19, 20044650 downloads
Evaluating Credit Risk Models FRBSF Working Paper No. 99-06
Jose A. Lopez and
Marc R. Saidenberg
affiliation not provided to SSRN
Date Posted: July 27, 19993287 downloads
An Econometric Analysis of Emission Trading Allowances Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Luca Taschini
and
Marc S. Paolella
Date Posted: November 26, 2006Last Revised: December 21, 20092948 downloads
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Harvey J. Stein
,
Alexander L. Belikoff ,
Kirill Levin
and
Xusheng Tian
Date Posted: January 07, 2007Last Revised: March 16, 20112735 downloads
FX Market Behavior and Valuation
Harvey J. Stein
Date Posted: January 12, 20072564 downloads
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? Brown Univ. Economics Working Paper No. 01-04
Peter Reinhard Hansen and
Asger Lunde
Date Posted: April 13, 20012539 downloads
Expected Stock Returns and Variance Risk Premia AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Tim Bollerslev ,
George Tauchen and
Hao Zhou
Date Posted: September 21, 2006Last Revised: December 14, 20082374 downloads
The Investment Opportunity Set and its Proxy Variables
Tim Adam and
Vidhan K. Goyal
Date Posted: January 23, 2002Last Revised: September 28, 20082370 downloads
Credit Risk Evaluation: Modeling - Analysis - Management Center for Risk & Evaluation, 2002-2003
Uwe Wehrspohn
Date Posted: June 14, 20052321 downloads
Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market QUT School of Economics and Finance Discussion Paper No. 01-01
John Anderson
Date Posted: May 08, 20012141 downloads
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Fangjian Fu
Date Posted: July 08, 2005Last Revised: February 18, 20092135 downloads
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Mikhail Chernov ,
A. Ronald Gallant ,
Eric Ghysels and
George Tauchen
Date Posted: November 07, 19992129 downloads
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Tim Bollerslev ,
Michael S. Gibson and
Hao Zhou
Date Posted: January 25, 2005Last Revised: March 13, 20092107 downloads
The Good News and the Bad News About Long-Run Stock Market Returns EFA 0305; DAE Working Paper No. 9822
Stephen H. Wright and
Donald Robertson
Date Posted: November 05, 19982104 downloads
Stock Return Predictability: Is It There? AFA 2002 Atlanta Meetings
Geert Bekaert and
Andrew Ang
Date Posted: March 23, 20012081 downloads
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments EFA 2006 Zurich Meetings Paper
Markus Leippold ,
Liuren Wu and
Daniel Egloff
Date Posted: May 24, 2006Last Revised: November 19, 20072026 downloads
Understanding the Fine Structure of Electricity Prices Journal of Business, Vol. 79, No. 3, 2006
Hélyette Geman and
Andrea Roncoroni
Date Posted: December 31, 20042011 downloads
Relative Strength and Portfolio Management Dorsey Wright Money Management, January 2012
John Lewis
Date Posted: February 04, 20121908 downloads
Static Hedging of Standard Options
Peter Carr and
Liuren Wu
Date Posted: September 02, 20041858 downloads
Aggregate Idiosyncratic Volatility AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Geert Bekaert ,
Robert J. Hodrick and
Xiaoyan Zhang
Date Posted: March 25, 2008Last Revised: June 28, 20111610 downloads
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates Olsen and Associates Working Paper No. 319
Ramazan Gencay ,
Michel M. Dacorogna ,
Giuseppe Ballocchi ,
Richard B. Olsen and
Olivier V. Pictet
affiliation not provided to SSRN
,
Olsen & Associates
and
Pictet Asset Management
Date Posted: March 30, 19991578 downloads
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Alessandro Paolo Luigi Cipollini
and
Antonio Manzini
Date Posted: June 27, 20071489 downloads
Applying Relative Solvency to Working Capital Management - The Break-Even Approach
Enyi Patrick Enyi
Date Posted: August 01, 20051462 downloads
A Test for Superior Predictive Ability Brown Univ. Dept. of Economics Working Paper No. 01-06
Peter Reinhard Hansen
Date Posted: March 01, 20041458 downloads
How Well Do Financial and Macroeconomic Variables Predict Stock Returns: Time-Series and Cross-Sectional Evidence
Anne-Sofie Reng Rasmussen
Date Posted: November 02, 20061454 downloads
Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management
John Anderson
Date Posted: May 01, 20001412 downloads
Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
R. Glen Donaldson and
Mark J. Kamstra
Date Posted: February 21, 20011357 downloads
Stochastic Skew in Currency Options EFA 2004 Maastricht Meetings Paper No. 1426
Liuren Wu and
Peter Carr
Date Posted: June 30, 20041356 downloads
Development and Validation of Credit Scoring Models Journal of Credit Risk, Forthcoming
Dennis Glennon ,
Nicholas M. Kiefer
,
C. Erik Larson and
Hwan-sik Choi
Date Posted: July 30, 20081355 downloads
Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates
Cetin Ciner
,
Constantin Gurdgiev
and
Brian M. Lucey
Date Posted: September 19, 2010Last Revised: January 27, 20131352 downloads
Accounting Accruals and Tests of Earnings Management
Jianming Ye
Date Posted: July 26, 20071306 downloads
Real Estate and its Role in Asset Pricing Sauder School of Business Working Paper
Cornelia Kullmann
Date Posted: November 30, 20011304 downloads
International Stock Return Comovements ECB Working Paper No. 931
Geert Bekaert ,
Robert J. Hodrick and
Xiaoyan Zhang
Date Posted: March 19, 2008Last Revised: June 28, 20111217 downloads
The Model Confidence Set
Peter Reinhard Hansen ,
Asger Lunde and
James M. Nason
Date Posted: March 30, 2004Last Revised: March 23, 20101195 downloads
Evaluating Credit Risk Models: A Critique And A Proposal (New Version) EFMA 2001 Lugano Meetings
Hergen Frerichs and
Gunter Löffler
affiliation not provided to SSRN
and
University of Ulm - Department of Mathematics and Economics
Date Posted: May 10, 20011167 downloads
Specification Analysis of Affine Term Structure Models
Qiang Dai
and
Kenneth J. Singleton
Date Posted: November 26, 19981164 downloads
An Empirical Study of Exposure at Default
Michael Jacobs Jr.
Date Posted: June 23, 2008Last Revised: February 15, 20101161 downloads
How Efficient are Credit Default Swap Markets? An Empirical Study of Capital Structure Arbitrage Based on Structural Pricing Models 21st Australasian Finance and Banking Conference 2008 Paper
Björn Imbierowicz
and
Balazs Cserna
Date Posted: March 13, 2008Last Revised: August 06, 20081138 downloads
An Evaluation of the Base Correlation Framework for Synthetic CDOs
Date Posted: December 31, 20041068 downloads
Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula UCSD Discussion Paper No. 01-09
Andrew J. Patton
Date Posted: July 24, 20011061 downloads
Beyond Correlation: Extreme Co-movements Between Financial Assets
Assaf Zeevi and
Roy Mashal
Date Posted: July 15, 20021049 downloads
Empirical Study of Value-at-Risk and Expected Shortfall Models
with Heavy Tails
Fotios Harmantzis
,
Linyan Miao
and
YiFan Chien
Date Posted: August 29, 20051043 downloads
Mortgage Backed Valuation
Harvey J. Stein
Date Posted: January 10, 20071008 downloads
A Critical Examination of Orthogonal Regression
Gishan Dissanaike and
Shiyun Wang
Date Posted: July 16, 20031004 downloads
Pricing CDX Credit Default Swaps Using the Hull-White Model
Bastian Hofberger
and
Niklas Wagner
affiliation not provided to SSRN
and
Passau University
Date Posted: July 21, 20081001 downloads
Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance European Univ., Economics Discussion Paper No. 2001/6
Roel C. A. Oomen
Date Posted: May 01, 2001997 downloads
Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures
Aldo Letizia
Date Posted: January 31, 2008Last Revised: April 02, 2011958 downloads
Comparing the Performance of Market-Based and Accounting-Based Bankruptcy Prediction Models
Vineet Agarwal
and
Richard Taffler
Date Posted: March 05, 2007954 downloads
Bankruptcy Prediction Models and the Cost of Debt Journal of Fixed Income, Forthcoming
Sattar Mansi ,
William F. Maxwell and
Andrew (Jianzhong) Zhang
Date Posted: June 09, 2010Last Revised: February 28, 2012923 downloads
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