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1,465,621 Total downloads
Showing Papers 1,081 - 1,130 of 4,475
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Dynamic Optimal Portfolio Selection in a VaR Framework CORE Discussion Paper No. 2004/57
Erick Williams Rengifo
and
J. V. K. Rombouts
Date Posted: February 19, 2006351 downloads
ROE, Market Value Added and Shareholder Value Creation [ROE, Market Value Added e Creazione di Valore] Presented at the EAA Annual Congress, Rome, April 20-22, 2011
Carlo Alberto Magni
Date Posted: September 18, 2010Last Revised: November 08, 2012351 downloads
The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns
Haitao Li ,
Weina Zhang
and
Gi Hyun Kim
Date Posted: March 16, 2010Last Revised: November 29, 2011351 downloads
Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model CORE Discussion Paper No. 2004/58, EFA 2005 Moscow Meetings Paper
Joachim Grammig ,
Andréas Heinen
and
Erick Williams Rengifo
Date Posted: March 06, 2005351 downloads
Corporate and Government Bond Funds: An Analysis of Investment Style, Performance, and Cash Flows
George Comer III
and
Javier Rodriguez
Date Posted: September 13, 2006350 downloads
Incomplete Information Equilibria: Separation Theorems and Other Myths Annals of Operations Research, Special Issue on Financial Modeling, Vol. 151, pp. 119-149, 2007
David Feldman
Date Posted: February 14, 2005350 downloads
Liquidity Across Developed and Emerging Markets
Christof W. Stahel
Date Posted: March 15, 2006350 downloads
Momentum Loses Its Momentum: Implications for Market Efficiency
Debarati Bhattacharya
,
Raman Kumar and
Gokhan Sonaer
Date Posted: February 16, 2011Last Revised: November 08, 2012350 downloads
Systematic Risk and the Cross-Section of Hedge Fund Returns
Turan G. Bali ,
Stephen J. Brown and
Mustafa O. Caglayan
Date Posted: March 09, 2011Last Revised: February 27, 2012350 downloads
The Economics of Offshore Financial Services and the Choice of Tax, Currency, and Exchange-Rate Regimes
George M. von Furstenberg
Date Posted: August 23, 2006350 downloads
The S&P 500 Index Effect in Continuous Time: Evidence from Overnight, Intraday and Tick-By-Tick Stock Price Performance
Konstantina Kappou
,
Chris Brooks
and
Charles W.R. Ward
Date Posted: June 11, 2007350 downloads
The Size of the Equity Premium
Fabio Fornari
Date Posted: February 12, 2002350 downloads
Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature Federal Reserve Bank of St. Louis Working Paper No. 2010-028A
Massimo Guidolin and
Francesca Rinaldi
Date Posted: September 09, 2010349 downloads
An Empirical Investigation of the VaR of Hedge Funds
Jerome Teiletche
and
FLORENT POCHON
affiliation not provided to SSRN
Date Posted: March 25, 2008349 downloads
Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps U of London Queen Mary Economics Working Paper No. 464
Kyriakos Chourdakis
Date Posted: January 10, 2003349 downloads
Efficient Estimation of Stochastic Volatility Using Noisy Observations: A Multi-Scale Approach
Lan Zhang
Date Posted: November 21, 2004349 downloads
Unfair 'Fair Value' in an Opaque Credit Default Swap Market: How Marking-to-Market Pushed the International Credit Crunch
Alex Dontoh ,
Fayez A. Elayan ,
Joshua Ronen and
Tavy Ronen
Date Posted: January 17, 2012Last Revised: March 05, 2012349 downloads
A Class of Term Structures for SVI Implied Volatility
Sebastien Gurrieri
Date Posted: March 08, 2011348 downloads
Asymmetric and Crash Effects in Stock Volatility for the S&P 100 Index and its Constituents Lancaster University, Management School Working Paper 98/003
Ser-Huang Poon ,
Stephen J. Taylor and
Bevan Blair
Date Posted: September 11, 2001348 downloads
Downward Sloping Demand Curves, the Supply of Shares, and the Collapse of Internet Stock Prices AFA 2007 Chicago Meetings Paper
Paul H. Schultz
Date Posted: March 15, 2006348 downloads
The BP Oil Spill: Shareholder Wealth Effects and Environmental Disclosures
Frank Heflin and
Dana Wallace
Date Posted: September 26, 2011Last Revised: March 26, 2013347 downloads
Backtesting Value-at-Risk Based on Tail Losses
Woon K. Wong
Date Posted: December 05, 2007Last Revised: November 10, 2008346 downloads
Portfolio Considerations in Trading
Andrew Brzezinski and
Venk Kidambi
Date Posted: June 17, 2010345 downloads
Has There Always Been Underpricing and Long-Run Underperformance? - IPOs in Germany Before World War I EFA 0469; Center for Financial Studies WP No. 2000/12
Anja Wodrich and
Christian Schlag
Date Posted: January 15, 2001344 downloads
States, Markets, and Gatekeepers: Public-Private Regulatory Regimes in an Era of Economic Globalization Michigan Journal of International Law, Vol. 30, No. 1, 2008, Society of International Economic Law (SIEL) Inaugural Conference Paper
Christopher M. Bruner
Date Posted: June 30, 2008Last Revised: January 29, 2009344 downloads
The Negative News Threshold - An Explanation for Negative Skewness in Stock Returns Swedish School of Economics & Business Administration Working Paper No. 465
Anders G. Ekholm and
Daniel Pasternack
Date Posted: February 27, 2002344 downloads
Volatility Estimation and Option Pricing with Fractional Brownian Motion
Daniel O. Cajueiro Sr. and
José Fajardo
Date Posted: November 06, 2005343 downloads
Europe's 'New' Stock Markets EFA 2003 Annual Conference Paper; IGIER Working Paper No. 218
Laura Bottazzi and
Marco Da Rin
Date Posted: October 04, 2002342 downloads
Firm Age and Fluctuations in Idiosyncratic Risk
Jason Fink
,
Gustavo Grullon ,
Kristin Fink
and
James Weston
Date Posted: March 16, 2006342 downloads
Basis Assets AFA 2004 San Diego Meetings, Fifteenth Annual Utah Winter Finance Conference
Dong-Hyun Ahn ,
Jennifer S. Conrad and
Robert F. Dittmar
Date Posted: November 29, 2003341 downloads
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Michael Neumann
and
George S. Skiadopoulos
Date Posted: December 31, 2010Last Revised: March 12, 2012341 downloads
Short Term Predictability, Volume and Microstructure Effects in Stock Prices
Kevin Keasey
,
Robert Hudson
and
Shima Amini
Date Posted: July 11, 2008341 downloads
A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility EFMA 2004 Basel Meetings Paper
Bogdan Negrea
Date Posted: July 20, 2004340 downloads
Hedging and Taking Risk: On the Role of Derivatives and Stock Options Investment Research & Analysis Journal, Vol. 1, No. 2, Fall 2006
Mikiharu Noma
Date Posted: April 04, 2007340 downloads
Returns and Risks to Private Equity
Mara Faccio ,
Maria-Teresa Marchica ,
John J. McConnell and
Roberto Mura
Date Posted: March 09, 2011Last Revised: March 17, 2012340 downloads
Evolving Corporate Governance and Equity Prices: The Recent Evidence
Daniel Cheng and
Yi-Yen Wu
Date Posted: February 22, 2006339 downloads
Lévy Jump Risk: Evidence from Options and Returns EFA 2009 Bergen Meetings
Chayawat Ornthanalai
Date Posted: September 13, 2008Last Revised: December 13, 2011339 downloads
The Credit Rating Announcement Effect in Japan
Michael Mollemans
Date Posted: August 19, 2004339 downloads
The Equity Volume Puzzle
Jayanta Sen
Date Posted: February 27, 2002339 downloads
A Scientific Classification of Volatility Models
Massimiliano Caporin and
Michael McAleer
Date Posted: December 10, 2008Last Revised: March 24, 2009337 downloads
Volatility Computed by Time Series Operators at High Frequency Olsen & Associates Working Paper No. 323
Ulrich A. Müller
Date Posted: March 21, 2000337 downloads
Go Big or Go Home: The Case for an Evolution in Risk Taking
Mike Sebastian
Date Posted: July 21, 2012336 downloads
Limited Arbitrage between Equity and Credit Markets Journal of Financial Economics (JFE), Forthcoming
Nikunj Kapadia and
Xiaoling Pu
Date Posted: March 17, 2009Last Revised: February 22, 2012336 downloads
Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange
Eric F. Oteng-Abayie
and
Joseph Frimpong Magnus
Date Posted: October 02, 2006336 downloads
Introducing Linear Regression: An Example Using Basketball Statistics
Tom Arnold and
Jonathan M. Godbey
Date Posted: January 09, 2011335 downloads
Optimal Parameters to Pairs Trading
Kirill V. Temlyakov
affiliation not provided to SSRN
Date Posted: September 07, 2012335 downloads
Risk Measurement with Equivalent Utility Principles
Michel Denuit
,
Jan Dhaene ,
Marc Goovaerts
,
Rob Kaas
and
Roger J. A. Laeven
Date Posted: February 02, 2006335 downloads
True Overconfidence: The Inability of Rational Information Processing to Account for Apparent Overconfidence Organizational Behavior and Human Decision Processes, Vol. 116, No. 2, pp. 262-271
Christoph Merkle and
Martin Weber
Date Posted: April 06, 2009Last Revised: February 08, 2012335 downloads
Investment Shocks and Asset Prices
Dimitris Papanikolaou
Date Posted: November 21, 2006Last Revised: July 11, 2011334 downloads
Splitting Orders in Overlapping Markets: A Study of Cross-Listed Stocks Journal of Financial Intermediation, Vol. 17, 2008
Albert J. Menkveld
Date Posted: February 22, 2002Last Revised: June 14, 2008333 downloads
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