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JEL Code: C14
280,589 Total downloads
Showing Papers 1,001 - 1,050 of 2,197
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The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Stephen J. Brown ,
Alok Kumar and
William N. Goetzmann
Date Posted: February 11, 19989271 downloads
Mutual Fund Performance
Dirk Nitzsche
,
Keith Cuthbertson
and
Niall O'Sullivan
Date Posted: January 19, 20074539 downloads
Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach Rapport Interne CMAP Working Paper No. 490
Rama Cont and
Peter Tankov
Date Posted: November 22, 20023265 downloads
The Omega Measure: Hedge Fund Portfolio Optimization
Alexandre Favre-Bulle
and
Sebastien Pache
Date Posted: February 05, 20033024 downloads
Large Deviations and the Distribution of Price Changes Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Laurent E. Calvet ,
Adlai J. Fisher and
Benoit B. Mandelbrot
Date Posted: April 22, 19982588 downloads
Conditional Value-at-Risk: Aspects of Modeling and Estimation MIT Dept. of Economics Working Paper No. 01-19
Victor Chernozhukov and
Len Umantsev
Date Posted: June 07, 20012566 downloads
The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
Marco Moscadelli
Date Posted: July 30, 20042301 downloads
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Date Posted: November 08, 20052206 downloads
Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Jens Carsten Jackwerth
Date Posted: October 21, 1999Last Revised: November 20, 20082172 downloads
Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different? Journal of Financial Services Research, Forthcoming
Tor Jacobson ,
Jesper Lindé and
Kasper Roszbach
Date Posted: February 18, 20042129 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, 19992128 downloads
Recovering Risk-Neutral Densities: A New Nonparametric Approach EFA 2000
Oleg Bondarenko
Date Posted: October 19, 20001781 downloads
The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk
Matthew P. Richardson ,
Jacob Boudoukh and
Robert Whitelaw
Date Posted: January 07, 19981699 downloads
Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Benjamin Yi-Bin Zhang
,
Hao Zhou and
Haibin Zhu
Date Posted: February 27, 2006Last Revised: September 25, 20081671 downloads
Event Studies: A Methodology Review
Charles J. Corrado
Date Posted: August 02, 2009Last Revised: August 20, 20101662 downloads
A New Look at Minimum Variance Investing
Bernd Scherer
Date Posted: September 24, 20101607 downloads
Asset Allocation and Long-Term Returns: An Empirical Approach
Stephen Coggeshall and
Guowei Wu
Date Posted: January 02, 20061602 downloads
The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach
Pedro Pires ,
João Pedro Pereira and
Luis F. Martins
Date Posted: April 29, 2008Last Revised: January 31, 20101557 downloads
The Real Effects of Financial Markets: The Impact of Prices on Takeovers AFA 2009 San Francisco Meetings Paper, Journal of Finance, Forthcoming
Alex Edmans
,
Itay Goldstein
and
Wei Jiang
Date Posted: March 19, 2008Last Revised: December 07, 20111367 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, 20081345 downloads
A Survey of the Literature on Hedge Fund Performance
Walter Géhin
Date Posted: December 04, 20041309 downloads
Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis International Journal of Operations Research, Forthcoming
Biresh K. Sahoo
,
Jati Sengupta
and
Anandadeep Mandal
Date Posted: January 12, 20071304 downloads
Bank Relationships: A Review
David C. Smith and
Steven Ongena
Date Posted: December 11, 19981280 downloads
Robust Standard Error Estimation in Fixed-Effects Panel Models
Gabor Kezdi
Date Posted: September 30, 20041132 downloads
Riding Bubbles Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Nadja Guenster
,
Erik Kole
and
Ben Jacobsen
Date Posted: March 17, 2008Last Revised: March 18, 20101118 downloads
Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data Centre for Research in Financial Services Working Paper No. 99-01
Cornelis A. Los
Date Posted: February 11, 19991112 downloads
Accounting for Biases in Black-Scholes
David K. Backus ,
Silverio Foresi and
Liuren Wu
Date Posted: September 03, 20041012 downloads
Flexible Term Structure Estimation: Which Method Is Preferred? Yale ICF Working Paper No. 00-25
Andrew Jeffrey ,
Oliver B. Linton and
Thong Nguyen
affiliation not provided to SSRN
Date Posted: February 08, 20011003 downloads
Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation
João Fernandes
Date Posted: May 17, 2005998 downloads
What Makes Companies Behave? An Analysis of Criminal and Civil Penalties Under Environmental Law
Andrew B. Miller
Date Posted: November 23, 2003989 downloads
A Comparison of Extreme Value Theory Approaches for Determining Value at Risk Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Chris Brooks
,
Andrew Clare ,
John W. Dalle Molle
and
Gita Persand
Date Posted: December 05, 2004967 downloads
Testing and Detecting Jumps Based on a Discretely Observed Process
Yingying Fan
and
Jianqing Fan
Date Posted: January 06, 2009962 downloads
Basic Concepts in Statistics (Spanish Version)
Ignacio Velez-Pareja
Date Posted: February 23, 2006899 downloads
Robust Value at Risk Prediction Swiss Finance Institute Research Paper No. 07-31
Loriano Mancini
and
Fabio Trojani
Date Posted: August 17, 2005Last Revised: September 13, 2010899 downloads
Stochastic Models of Implied Volatility Surfaces Economic Notes, Vol. 31, No. 2, July 2002
Rama Cont ,
Valdo Durrleman
and
José Da Fonseca
Date Posted: April 28, 2003886 downloads
What Data Should Be Used To Price Options?
Mikhail Chernov and
Eric Ghysels
Date Posted: August 29, 1998882 downloads
Public Sector Efficiency: An International Comparison ECB Working Paper Series No. 242
Antonio Afonso ,
Ludger Schuknecht and
Vito Tanzi
Date Posted: September 22, 2003872 downloads
Nonparametric Estimation of Copulas for Time Series FAME Research Paper No. 57
O. Scaillet and
Jean-David Fermanian
Date Posted: March 12, 2003858 downloads
Forecasting Fundamental Stock Price Distributions Simon Fraser University Working Paper No. 96-2, Sauder School of Business Working Paper
R. Glen Donaldson and
Mark J. Kamstra
Date Posted: October 30, 2000850 downloads
Estimating Probabilities of Default for Low Default Portfolios
Dirk Tasche and
Katja Pluto
Date Posted: December 27, 2004847 downloads
Analysis of Financial Time-Series Using Fourier and Wavelet Methods
Philippe Masset
Date Posted: October 27, 2008842 downloads
Economic Characteristics, Corporate Governance, and the Influence of Compensation Consultants on Executive Pay Levels Rock Center for Corporate Governance Working Paper No. 15
Chris Armstrong ,
Christopher D. Ittner and
David F. Larcker
Date Posted: June 15, 2008Last Revised: November 20, 2011838 downloads
Option Pricing with Model-Guided Nonparametric Methods
Jianqing Fan
and
Loriano Mancini
Date Posted: February 20, 2007Last Revised: February 13, 2009826 downloads
A Risk Management Approach for Portfolio Insurance Strategies Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Benjamin Hamidi
,
Bertrand B. Maillet and
Jean-Luc Prigent
Date Posted: October 27, 2008Last Revised: June 10, 2009822 downloads
Affine Point Processes and Portfolio Credit Risk
Eymen Errais
,
Kay Giesecke and
Lisa R. Goldberg
Date Posted: June 14, 2006Last Revised: June 15, 2010795 downloads
Operators on Inhomogeneous Time Series Olsen & Associates Working Paper No. 324
Gilles O. Zumbach and
Ulrich A. Müller
affiliation not provided to SSRN
and
Olsen & Associates
Date Posted: March 21, 2000791 downloads
Total Factor Productivity Estimation: A Practical Review LICOS Discussion Paper No. 182/2007
Ilke Van Beveren
Date Posted: August 02, 2007Last Revised: February 16, 2009777 downloads
Extremal Quantiles and Value-at-Risk MIT Department of Economics Working Paper No. 07-01
Victor Chernozhukov and
Songzi Du
Date Posted: January 12, 2007771 downloads
Some Statistical Pitfalls in Copula Modeling for Financial Applications FAME Working Paper No. 108
Jean-David Fermanian
and
O. Scaillet
Date Posted: June 28, 2004771 downloads
Improving the Comparability of Insolvency Predictions (Verbesserung der Vergleichbarkeit von Schaetzgueteergebnissen von Insolvenzprognosestudien) (German version) Dresden Economics Discussion Paper Series No. 08/05
Martin Bemmann
affiliation not provided to SSRN
Date Posted: June 08, 2005763 downloads
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