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JEL Code: C5
1,169,759 Total downloads
Showing Papers 261 - 310 of 5,952
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Robust Conditional Variance Estimation and Value-at-Risk
Richard D. F. Harris and
Cherif Guermat
Date Posted: February 01, 2001730 downloads
A Comprehensive Look at Financial Volatility Prediction by Economic Variables
Charlotte Christiansen ,
Maik Schmeling
and
Andreas Schrimpf
Date Posted: January 10, 2011Last Revised: March 06, 2012725 downloads
Minimax: Portfolio Choice Based on Pessimistic Decision Making
Steffen Schaarschmidt
and
Peter Schanbacher
Date Posted: June 06, 2012725 downloads
GFC-Robust Risk Management Strategies under the Basel Accord
Michael McAleer ,
Juan-Angel Jiménez-Martin
and
Teodosio Perez Amaral
Date Posted: October 09, 2010724 downloads
Bayesian Applications in Marketing Chicago Booth Research Paper No. 09-15
Greg M. Allenby and
Peter E. Rossi
Date Posted: March 10, 2009Last Revised: May 19, 2010720 downloads
Why Do Absolute Returns Predict Volatility So Well?
Lars Forsberg
and
Eric Ghysels
Date Posted: September 13, 2006714 downloads
It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management? Finance and Corporate Governance Conference 2010 Paper
Michael McAleer
Date Posted: January 12, 2010Last Revised: September 14, 2010713 downloads
Stock Prices, Inflation and Stock Returns Predictability
Christophe Boucher
Date Posted: January 18, 2005713 downloads
Model Selection Using Database Characteristics: Classification Methods and an Application to the 'HMM and Its Children'
Eric M. Schwartz
,
Eric Bradlow
and
Peter Fader
Date Posted: June 18, 2012712 downloads
Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models
Peter Honore
Date Posted: August 21, 1996711 downloads
Day of the Week Effects in NSE Stock Returns: An Empirical Study
Varun Arora
and
Sromon Das
Date Posted: March 27, 2008710 downloads
Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets PIER Working Paper No. 04-028; Simon School Working Paper No. FR 04-13
Torben G. Andersen ,
Clara Vega
,
Tim Bollerslev and
Francis X. Diebold
Date Posted: June 30, 2004709 downloads
Conditional Dependency of Financial Series: An Application of Copulas HEC Department of Finance Working Paper No. 723
Michael Rockinger and
Eric Jondeau
Date Posted: April 05, 2001708 downloads
A Bootstrap Evaluation of the Effect of Data Splitting on Financial Time Series
Blake LeBaron and
Andreas Weigend
Date Posted: January 22, 1997703 downloads
An Econometric Model of a Firm's Financial Statements
Date Posted: April 04, 2005702 downloads
Parameterizing Credit Risk Models Journal of Credit Risk, Vol. 2, No. 4, 2006
Alfred Hamerle
and
Daniel Roesch
Date Posted: May 13, 2004Last Revised: February 21, 2009701 downloads
Econometric Analysis of the Market Share Attraction Model ERIM Report Series Reference No. ERS-2001-25-MKT
D. Fok ,
Philip Hans Franses and
Richard Paap
Date Posted: August 26, 2006700 downloads
Optimisation of Technical Rules by Genetic Algorithms: Evidence from the Madrid Stock Market FEDEA Working Paper No. 2001-14
Fernando Fernández Rodríguez ,
Christian González Martel and
Simón Sosvilla Rivero
Date Posted: September 14, 2001700 downloads
Asset Price Trend Theory: Reframing Portfolio Theory from the Ground Up
Robert Dubois
Date Posted: March 31, 2013Last Revised: May 11, 2013698 downloads
An Econometric Model of the Brazilian Stock Market
Date Posted: April 20, 2005697 downloads
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?
Ekkehart Boehmer ,
Joachim Grammig and
Erik Theissen
Date Posted: March 03, 2006696 downloads
M-GARCH Hedge Ratios and Hedging Effectiveness in Australian Futures Markets
Wenling Joey Yang
Date Posted: February 16, 2001693 downloads
Variance Dynamics: Joint Evidence from Options and High-Frequency Returns
Liuren Wu
Date Posted: March 15, 2005693 downloads
An Empirical Evaluation of Structural Credit Risk Models BIS Working Paper No. 179
Nikola A. Tarashev
Date Posted: November 11, 2005692 downloads
Backtesting Parametric Value-at-Risk With Estimation Risk CAEPR Working Paper No. 2007-005
Juan Carlos Escanciano
and
Jose Olmo
Date Posted: March 22, 2007Last Revised: September 05, 2008691 downloads
Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series FEDEA Working Paper No. 2002-01
Oscar Bajo-Rubio
,
Simón Sosvilla Rivero and
Fernando Fernández Rodríguez
Date Posted: February 14, 2002690 downloads
Can Exchange Rates Forecast Commodity Prices? Economic Research Initiatives at Duke (ERID) Working Paper No. 1
Yu-Chin Chen ,
Kenneth Rogoff and
Barbara Rossi
Date Posted: July 28, 2008Last Revised: May 06, 2010686 downloads
A Simple Robust Link between American Puts and Credit Protection Bloomberg Portfolio Research Paper No. 2009-07-FRONTIERS
Peter Carr and
Liuren Wu
Date Posted: November 25, 2008Last Revised: November 06, 2010685 downloads
Autoregressive Conditional Skewness Fuqua School of Business Working Paper No. 9604
Akhtar R. Siddique and
Campbell R. Harvey
Date Posted: May 08, 2000684 downloads
Price Models and the Value Relevance of Accounting Information
Jianming Ye
Date Posted: July 26, 2007684 downloads
Simple Robust Linkages between CDS and Equity Options
Peter Carr and
Liuren Wu
Date Posted: March 25, 2008684 downloads
Advanced Analytics for the SABR Model
Alexandre Antonov
and
Michael Spector
Date Posted: March 26, 2012Last Revised: September 05, 2012680 downloads
Assessing the Factors Behind Oil Price Changes ECB Working Paper No. 855
Stephane Dees
,
Audrey Gasteuil
,
Robert Kaufmann
and
Michael Mann
Date Posted: February 01, 2008680 downloads
The Microstructure of Currency Markets: An Empirical Model of Intra-day Return and Bid-Ask Spread Behavior EFMA 2001 Lugano Meetings; Stern School of Business Working Paper
Paolo Pasquariello
Date Posted: January 29, 2001678 downloads
Statistical Modeling of Credit Default Swap Portfolios
Rama Cont and
Yu Hang (Gabriel) Kan
Date Posted: April 14, 2011Last Revised: April 25, 2011675 downloads
The Volatility of Firm's Assets and the Leverage Effect AFA 2010 Atlanta Meetings Paper
Jaewon Choi
and
Matthew P. Richardson
Date Posted: March 14, 2009Last Revised: May 01, 2013675 downloads
Effects of Primary, Secondary and Tertiary Education on Economic Growth World Bank Policy Research Working Paper No. 3610
Josef Ludger Loening
Date Posted: July 08, 2005674 downloads
Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments IMF Working Paper No. 06/283
Miguel Segoviano Basurto and
Pablo Padilla
Date Posted: January 12, 2007673 downloads
Dynamic Conditional Correlation: On Properties and Estimation
Gian Piero Aielli
affiliation not provided to SSRN
Date Posted: November 18, 2009Last Revised: July 14, 2011667 downloads
Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies Robert H. Smith School Research Paper No. RHS 06-154
Peter Carr ,
Liuren Wu and
Gurdip Bakshi
Date Posted: May 09, 2005Last Revised: February 13, 2011667 downloads
General-to-Specific Modeling: An Overview and Selected Bibliography FRB International Finance Discussion Paper No. 838
Julia Campos ,
Neil R. Ericsson and
David F. Hendry
Date Posted: August 31, 2005666 downloads
Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study
Chiara Monfardini and
Rosalba Radice
Date Posted: February 28, 2006666 downloads
The Effect of Endogenous Right-to-Work Laws on Business and Economic Conditions in the United States: A Multivariate Approach Review of Law and Economics, Vol. 5, No. 1, pp. 595-614, 2009
Lonnie K. Stevans
Date Posted: November 07, 2007Last Revised: February 23, 2011666 downloads
Forecasting Power of Implied Volatility: Evidence from Individual Equities
Jonathan M. Godbey
and
James W. Mahar
Date Posted: August 01, 2005658 downloads
On the Expected Performance of Market Timing Strategies
Winfried G. Hallerbach
Date Posted: July 16, 2011Last Revised: August 11, 2011658 downloads
Private Benefits, Block Transaction Premiums and Ownership Structure
Alessandro Sembenelli and
Giovanna Nicodano
Date Posted: April 03, 2000656 downloads
Estimating the Intertemporal Capital Asset Pricing Model with Cross-Sectional Consistency
Turan G. Bali and
Liuren Wu
Date Posted: March 16, 2005654 downloads
Value at Risk: Issues and Implementation in Forex Market in India
Golaka C. Nath
and
Y. V. Reddy
Date Posted: December 03, 2003654 downloads
The Risk-Adjusted Return Theory
Rocky Roland
and
George Xiang
Date Posted: April 12, 2004651 downloads
Specification Analysis of Structural Credit Risk Models AFA 2009 San Francisco Meetings Paper
Jing-Zhi Huang and
Hao Zhou
Date Posted: March 13, 2008Last Revised: July 22, 2009650 downloads
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