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JEL Code: C1
1,880,500 Total downloads
Showing Papers 201 - 250 of 8,578
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Investing In Equity Mutual Funds CRSP Working Paper No. 532
Lubos Pastor and
Robert F. Stambaugh
Date Posted: September 20, 20011248 downloads
GARCH Processes: Theory, Simulations and Testing with Examples
Nitin Kumar
Date Posted: December 05, 20031237 downloads
Using Comparable Companies to Estimate the Betas of Private Companies Journal of Applied Finance, Forthcoming
Robert G. Bowman and
Susan R. Bush
Date Posted: February 14, 20071236 downloads
The Estimation of Time-Invariant Variables in Panel Analyses with Unit Fixed Effects
Thomas Plümper
and
Vera E. Troeger
Date Posted: August 09, 20041230 downloads
Choosing Between Promising and Crowded Industries: How Does the Venture Capital Industry Fare in Each? PIER Working Paper No. 04-044
Yochanan Shachmurove
and
Amir Shachmurove
Date Posted: December 17, 20041229 downloads
Regulation Fair Disclosure and Information Asymmetry
Vesna Straser
Date Posted: May 28, 20021212 downloads
Fully Integrated Liquidity and Market Risk Model Financial Analysts Journal, Forthcoming
Attilio Meucci
Date Posted: May 13, 2011Last Revised: February 20, 20131211 downloads
European Securitization: A Garch Model of CDO, MBS and Pfandbrief Spreads Journal of Structured Finance, Vol. 12, No. 1, pp. 55-80, J.W. Goethe Universitaet Frankfurt am Main Finance Working Paper No. 121
Andreas A. Jobst
Date Posted: April 13, 20051209 downloads
Stress-Testing with Fully Flexible Causal Inputs Risk, 25, 4, p. 61-65 (2012)
Attilio Meucci
Date Posted: December 07, 2010Last Revised: October 11, 20121205 downloads
Estimation of Default Probabilities - Part 5: Integrated Models - the Credit Risk Evaluation Model RiskNEWS, January 2003
Uwe Wehrspohn
Date Posted: March 20, 20031204 downloads
Estimation of Default Probabilities - Part 2: Market Factor Based Techniques RiskNEWS, July 2002
Uwe Wehrspohn
Date Posted: March 20, 20031201 downloads
Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options
Mark S. Joshi and
Terence Leung
Date Posted: June 12, 20061201 downloads
Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise
Ole E. Barndorff-Nielsen ,
Peter Reinhard Hansen ,
Asger Lunde and
Neil Shephard
Date Posted: November 18, 2004Last Revised: April 06, 20081200 downloads
Stock Return Predictability and Asset Pricing Models EFA 2001 Barcelona Meetings
Doron Avramov
Date Posted: February 19, 20011195 downloads
Implied Volatility Surface: Construction Methodologies and Characteristics
Cristian Homescu
affiliation not provided to SSRN
Date Posted: July 10, 20111193 downloads
The Model Confidence Set
Peter Reinhard Hansen ,
Asger Lunde and
James M. Nason
Date Posted: March 30, 2004Last Revised: March 23, 20101188 downloads
A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?
Turan G. Bali ,
Susan Hume
and
Terrence F. Martell
Date Posted: October 11, 20061184 downloads
Fully Flexible Extreme Views Journal of Risk, Vol. 14, No. 2, pp. 39-49, Winter 2011/2012
Attilio Meucci
,
David Ardia and
Simon Keel
Date Posted: January 25, 2010Last Revised: January 12, 20121176 downloads
The Factor Tau in the Black-Litterman Model
Jay Walters
Date Posted: November 02, 2010Last Revised: April 26, 20111174 downloads
A Risk Based Approach to Tactical Asset Allocation
Stefano Colucci
and
Dario Brandolini
Date Posted: November 28, 2011Last Revised: December 08, 20111167 downloads
Sensitivity Analyses Of The Deterrence Hypothesis: Let's Keep The Econ In Econometrics
Isaac Ehrlich and
Zhiqiang Liu
Date Posted: November 02, 19991167 downloads
An Improved Estimator for Black-Scholes-Merton Implied Volatility ERIM Report Series No. ERS-2004-054-F&A
Winfried G. Hallerbach
Date Posted: July 23, 20041159 downloads
An Empirical Study of Exposure at Default
Michael Jacobs Jr.
Date Posted: June 23, 2008Last Revised: February 15, 20101142 downloads
An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction
Eleftherios Giovanis
Date Posted: September 21, 2008Last Revised: December 06, 20091137 downloads
Drawdown Measure in Portfolio Optimization
Alexei Chekhlov ,
Stanislav P. Uryasev and
Michael Zabarankin
Date Posted: May 13, 20041137 downloads
DTS (Duration Times Spread) Journal of Portfolio Management, Winter 2007
Arik Ben Dor ,
Lev Dynkin
,
Jay Hyman
,
Patrick Houweling ,
Erik van Leeuwen
and
Olaf Penninga
Date Posted: January 14, 20071137 downloads
Tourism, Environment and Profitability: The Case of the Paphos Holiday Complex
Savvakis C. Savvides ,
Andreas Andreou and
Glenn P. Jenkins
Date Posted: April 16, 20011134 downloads
Mining Fool's Gold
Grant Richard McQueen and
Steven Thorley
Date Posted: April 05, 19991133 downloads
Estimation of Default Probabilities - Part 1: The Mean Value Model RiskNEWS, May 2002
Uwe Wehrspohn
Date Posted: March 20, 20031130 downloads
Robust Standard Error Estimation in Fixed-Effects Panel Models
Gabor Kezdi
Date Posted: September 30, 20041130 downloads
European Stock Market Dynamics Before and After the Introduction of the Euro PIER Working Paper No. 05-028
Joseph Friedman and
Yochanan Shachmurove
Date Posted: November 11, 20051119 downloads
A Combined Signal Approach to Technical Analysis on the S&P 500
Camillo Lento
Date Posted: March 29, 2008Last Revised: May 20, 20081117 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, 20101117 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, 19991111 downloads
Estimating Expected Returns Journal of Investing, Forthcoming
Thomas K. Philips
Date Posted: October 02, 20021104 downloads
Controlling Organized Crime and Corruption in the Public Sector Forum on Crime and Society, Vol. 3, Nos. 1/2, December 2003
Edgardo Buscaglia
Date Posted: September 19, 20061095 downloads
Downside Risk AFA 2005 Philadelphia Meetings
Andrew Ang ,
Joseph Chen and
Yuhang Xing
Date Posted: December 30, 20041088 downloads
Development and Outcomes of Investment Treaty Arbitration Harvard International Law Journal, Vol. 50, No. 2, Summer 2009, Washington & Lee Legal Studies Paper No. 2009-04
Susan D. Franck
Date Posted: June 11, 2009Last Revised: September 01, 20091080 downloads
Efficient Estimation of Volatility using High Frequency Data
Gilles O. Zumbach and
Adrian Trapletti
affiliation not provided to SSRN
and
Independent
Date Posted: April 16, 20021078 downloads
Balance Sheet Information and Future Stock Returns
Richard G. Sloan and
A. Irem Tuna
Date Posted: July 23, 20061072 downloads
Testing the Gaussian Copula Hypothesis for Financial Assets Dependences Quantitative Finance, Vol. 3, pp. 231-250, 2003
Yannick Malevergne and
Didier Sornette
Date Posted: November 21, 2001Last Revised: April 07, 20091072 downloads
When the Peace Ends: The Vulnerability of EC and US Agricultural Subsidies to WTO Legal Challenge UCLA, School of Law Research Paper Series No. 03-10; Stanford Law School, Public Law Research Paper No. 58
Richard H. Steinberg
and
Timothy E. Josling
Date Posted: June 11, 20031071 downloads
The Value of Stop Loss Strategies Financial Services Review, Vol. 18, No. 1, pp. 23-51, 2009
Adam Y.C. Lei and
Huihua Li
Date Posted: August 10, 2008Last Revised: February 04, 20121070 downloads
Idiosyncratic Volatility and the Cross-Section of Expected Returns Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Turan G. Bali and
Nusret Cakici
Date Posted: August 08, 20061063 downloads
The Joint Cross Section of Stocks and Options AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Andrew Ang ,
Turan G. Bali and
Nusret Cakici
Date Posted: January 08, 2010Last Revised: February 27, 20121062 downloads
Counterparty Risk for Credit Default Swaps: Impact of Spread Volatility and Default Correlation
Damiano Brigo and
Kyriakos Chourdakis
Date Posted: May 19, 2008Last Revised: October 05, 20081054 downloads
Supply Chain Management as a Competitive Advantage in the Spanish Grocery Sector UPF Working Paper Series No. 641
Cristina Giménez Thomsen
and
Eva Ventura
Date Posted: January 07, 20041051 downloads
Sentiment and Beta Herding
Soosung Hwang and
Mark Salmon
Date Posted: February 11, 2002Last Revised: March 22, 20091050 downloads
Pricing Convertible Bonds with Monte Carlo Simulation
Christian Wilde and
Axel H. Kind
Date Posted: March 09, 20051047 downloads
ARCH, GARCH and EGARCH Models: Applications to Financial Series Cuadernos de Economía, Vol. 27, No. 48, 2008,
Marta Casas
and
Edilberto Cepeda
Date Posted: August 27, 20081046 downloads
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