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JEL Code: E47
69,610 Total downloads
Showing Papers 1 - 50 of 358
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Forecasting Volatility
Louis H. Ederington and
Wei Guan
Date Posted: July 13, 19998485 downloads
High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
Purnendu Nath
Date Posted: July 19, 20044622 downloads
A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes
Ignacio Velez-Pareja
Date Posted: May 28, 2008Last Revised: November 02, 20083736 downloads
Modeling Term Structure Dynamics: An Infinite Dimensional Approach CMAPX Internal Report No. 402
Rama Cont
Date Posted: February 25, 19992140 downloads
Forecasting Financial Statements with No Plugs and No Circularity The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, 2011
Ignacio Velez-Pareja
Date Posted: November 21, 2007Last Revised: May 23, 20121881 downloads
The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective Bank of England Working Paper No. 339
Mathias Drehmann
,
Steffen Sorensen
and
Marco Stringa
Date Posted: March 02, 20071844 downloads
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Michael Simkovic
and
Benjamin Kaminetzky
Date Posted: July 17, 2010Last Revised: April 25, 20111309 downloads
Constructing Consistent Financial Planning Models for Valuation IIMS Journal of Management of Science, Vol. 1, January-June 2010 (Inaugural Issue)
Ignacio Velez-Pareja
Date Posted: August 19, 2009Last Revised: June 24, 20121142 downloads
VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis
Edward Szado
Date Posted: May 18, 2009Last Revised: September 10, 20091105 downloads
Systemic Risk and the Refinancing Ratchet Effect MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Amir Khandani ,
Andrew W. Lo and
Robert C. Merton
Date Posted: September 15, 2009Last Revised: February 05, 20121072 downloads
To Plug or Not to Plug, That is the Question: No Plugs, No Circularity: A Better Way to Forecast Financial Statements (Proyección de Estados Financieros sin Cuentas de Cuadre (Plugs)) Escritos Contables, Vol 1, No. 1, 2010, Bahía Blanca, Argentina,
Ignacio Velez-Pareja
Date Posted: August 07, 2008Last Revised: June 24, 20121067 downloads
An Evaluation of the Base Correlation Framework for Synthetic CDOs
Date Posted: December 31, 20041065 downloads
Forecasting Methods (Spanish Version)
Ignacio Velez-Pareja
Date Posted: February 23, 2006987 downloads
Measuring the Reaction of Monetary Policy to the Stock Market FEDS Working Paper No. 2001-14
Roberto Rigobon and
Brian P. Sack
Date Posted: June 11, 2001945 downloads
The Comparative Forecast Performance of Univariate and Multivariate Models
Prasad V. Bidarkota
Date Posted: December 16, 1996940 downloads
An Introduction to the Cost of Capital
Ignacio Velez-Pareja and
Joseph Tham
Date Posted: March 22, 2010Last Revised: February 01, 2012829 downloads
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics? EFA 2009 Bergen Meetings Paper
Albert Lee Chun
Date Posted: November 22, 2006Last Revised: February 03, 2013779 downloads
Estimating Cash Flows for Project Appraisal and Firm Valuation
Ignacio Velez-Pareja and
Joseph Tham
Date Posted: February 23, 2010Last Revised: February 06, 2012671 downloads
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Michiel De Pooter ,
Francesco Ravazzolo and
Dick J. C. van Dijk
Date Posted: March 04, 2007Last Revised: May 04, 2010638 downloads
A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives
Michael Jacobs Jr.
Date Posted: June 25, 2007619 downloads
Use of Inflation as the Basis to Estimate Nominal Increases in Prices Working Paper No. 15
Ignacio Velez-Pareja
Date Posted: August 12, 2002552 downloads
Bond Variance Risk Premia
Philippe Mueller
,
Andrea Vedolin and
Yu-Min Yen
Date Posted: January 02, 2012Last Revised: January 25, 2012526 downloads
The Impact of Monetary Policy on Asset Prices FEDS Working Paper No. 2002-04
Brian P. Sack and
Roberto Rigobon
Date Posted: January 31, 2002523 downloads
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
Laurent E. Calvet ,
Adlai J. Fisher and
Liuren Wu
Date Posted: March 17, 2010Last Revised: April 16, 2013485 downloads
Investment Forecasting With Multivariate Linear Regression
James R. Fuller
Date Posted: July 01, 2004Last Revised: March 30, 2010477 downloads
Credit Spreads and Real Activity EFA 2008 Athens Meetings Paper
Philippe Mueller
Date Posted: March 24, 2008Last Revised: March 15, 2011471 downloads
Taylor’s Rule versus Taylor Rules
Alex Nikolsko-Rzhevskyy
and
David H. Papell
Date Posted: May 02, 2011Last Revised: September 24, 2012457 downloads
Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk AFA 2007 Chicago Meetings Paper
Qiang Dai
,
Anh Le and
Kenneth J. Singleton
Date Posted: March 10, 2006448 downloads
Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy Zurich IEER Working Paper No. 50
Albrecht Ritschl and
Ulrich Woitek
Date Posted: October 17, 2000432 downloads
Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks? The Journal of Psychology & Financial Markets, Vol. 3, 2002
Gunduz Caginalp
,
Vladimira A. Ilieva
,
David Porter
and
Vernon L. Smith
Date Posted: June 07, 2002424 downloads
The Performance Evaluation of Hedge Funds: A Comparison of Different Approaches Using European Data
Alessandro Carretta
and
Gianluca Mattarocci
Date Posted: July 15, 2005401 downloads
A Three-Factor Yield Curve Model: Non-Affine Structure,
Systematic Risk Sources, and Generalized Duration PIER Working Paper No. 06-017
Francis X. Diebold ,
Lei Ji
and
Canlin Li
Date Posted: June 21, 2006398 downloads
A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes (Guia Paso a Paso Para Construir Estados Financieros Sin Cuentas De Cuadre 'Plugs' Y Sin Circularidad Para Efectos De Valoracion De La Empresa)
Ignacio Velez-Pareja
Date Posted: June 12, 2008Last Revised: November 02, 2008394 downloads
Inflation Targeting in India: Issues and Prospects ASARC Working Paper No. 2005/04
Raghbendra Jha
Date Posted: December 16, 2005393 downloads
Estimating Yield Curves In Turkey: Factor Analysis Approach Bogazici University ISS/EC-2004-04
C. Emre Alper ,
Aras Akdemir
and
Kazim Kazimov
Date Posted: August 22, 2004388 downloads
Exploring the International Linkages of the Euro Area: A Global VAR Analysis CESifo Working Paper Series No. 1425, ECB Working Paper No. 568, IEPR Working Paper No. 04.6
Stephane Dees
,
Filippo di Mauro
,
M. Hashem Pesaran and
L. Vanessa Smith
Date Posted: January 19, 2005379 downloads
You Pay a Fee for Strong Beliefs: Homogeneity as a Driver of Corporate Governance Failure
Katja Rost and
Margit Osterloh
Date Posted: November 23, 2008Last Revised: November 27, 2008371 downloads
A Teaching Note on Price-Demand Elasticity (Nota sobre la elasticidad precio-demanda)
Ignacio Velez-Pareja
Date Posted: July 23, 2007368 downloads
Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital) Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012,
Ignacio Velez-Pareja and
Joseph Tham
Date Posted: February 02, 2012Last Revised: September 17, 2012362 downloads
A Leading Indicator Model of Banking Distress - Developing an Early Warning System for Hong Hong and Other EMEAP Economies Hong Kong Monetary Authority Working Paper No. 22/2007
Jim Wong
,
T. C. Wong and
Phyllis Leung
Date Posted: December 27, 2007358 downloads
What's Good for GM...? Using Auto Industry Stock Returns to Forecast Business Cycles and Test the Q-Theory of Investment Board of Governors of the Federal Reserve System Finance and Econ. Disc. Series 96-38
Gregory R. Duffee and
Stephen D. Prowse
affiliation not provided to SSRN
Date Posted: October 30, 1996353 downloads
A Practical Model-Based Approach to Monetary Policy Analysis - Overview IMF Working Paper No. 06/80
Andrew Berg ,
Philippe D. Karam and
Douglas Laxton
Date Posted: May 17, 2006349 downloads
Practical Model-Based Monetary Policy Analysis: A How-To Guide IMF Working Paper No. 06/81
Andrew Berg ,
Philippe D. Karam and
Douglas Laxton
Date Posted: May 17, 2006349 downloads
Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach
Massimo Guidolin and
Allan G. Timmermann
Date Posted: October 13, 2005340 downloads
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions EFA 2003 Annual Conference Paper No. 859; Aarhus School of Business Finance Working Paper No. 02-24
Mikkel Svenstrup
Date Posted: April 16, 2003340 downloads
Moment Matching for the Masses
Derek R. White and
John Okunev
Date Posted: August 04, 2006330 downloads
Deconstructing the Subprime Debacle Using New Indices of Underwriting Quality and Economic Conditions: A First Look
Charles D. Anderson
,
Dennis R. Capozza and
Robert Van Order
Date Posted: July 15, 2008321 downloads
Deficit Spending in the Nazi Recovery, 1933-1938: A Critical Reassessment Zurich IEER Working Paper No. 68
Albrecht Ritschl
Date Posted: March 09, 2001320 downloads
Estimating the Term Structure of Government Securities in Turkey Bogazici Univeristy Economics Working Paper No. ISS/EC-2004-03
C. Emre Alper ,
Aras Akdemir
and
Kazim Kazimov
Date Posted: August 22, 2004302 downloads
Term Structure Estimation with Survey Data on Interest Rate Forecasts FEDS Working Paper No. 2005-48, AFA 2007 Chicago Meetings Paper
Athanasios Orphanides
Date Posted: March 20, 2006298 downloads
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