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JEL Code: C5
1,185,935 Total downloads
Showing Papers 321 - 370 of 6,015
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Estimating Firm-specific Long-term Growth Rate and Cost of Capital
Rong Huang
,
Ramachandra (Ram) Natarajan and
Suresh Radhakrishnan
Date Posted: May 17, 2005638 downloads
Leverage and Volatility Feedback Effects in High-Frequency Data
Tim Bollerslev ,
Julia Litvinova
and
George Tauchen
Date Posted: August 18, 2005636 downloads
A Supervisory Perspective on Insider Trading: Estimating the Value of the Information CONSOB, Quaderni di Finanza n. 2000-45
Marcello Minenna
Date Posted: April 03, 2001634 downloads
Application of Garch Models in Forecasting the Volatility of Agricultural Commodities
Olivier Matringe
and
Tony Guida
Date Posted: December 27, 2005634 downloads
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? ECB Working Paper No. 195
Atsushi Inoue and
Lutz Kilian
Date Posted: February 27, 2003634 downloads
Product Differentiation and Mergers in the Carbonated Soft Drink Industry University of Chicago GSB Working Paper
Jean-Pierre H. Dube
Date Posted: September 04, 2003634 downloads
An Empirical Evaluation of Non-Linear Trading Rules FEDEA Working Paper No. 2001-16
Julián Andrada Félix ,
Fernando Fernández Rodríguez ,
María Dolores García Artiles and
Simón Sosvilla Rivero
Date Posted: October 12, 2001633 downloads
Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions
Roman Liesenfeld and
Robert Jung
Date Posted: December 30, 1997633 downloads
The Behaviour of Implied Volatility Surface: Evidence from Crude Oil Futures Options
Amine Bouden
Date Posted: September 15, 2006632 downloads
Identification Of Standard Auction Models MIT Dept. of Economics Working Paper No. 00-18
Susan Athey and
Philip A. Haile
Date Posted: August 21, 2000631 downloads
Is the Value Premium Predictable in Real Time?
Rob Bauer and
R. Molenaar
Date Posted: September 18, 2002630 downloads
Interest Rate Modelling Framework in Discrete Rolling Spot Measure
Alexandre Antonov
and
Han Lee
Date Posted: March 25, 2004627 downloads
Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities
Kangwhee Kim
affiliation not provided to SSRN
Date Posted: August 21, 2011627 downloads
A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives
Michael Jacobs Jr.
Date Posted: June 25, 2007625 downloads
A Monthly Indicator of Brazilian GDP UCR Department of Economics Working Paper
Marcelle Chauvet
Date Posted: January 23, 2001622 downloads
A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel AFA New Orleans 2001
Mikhail Chernov
Date Posted: September 30, 2000621 downloads
Estimation of Continuous Time Models for Stock Returns and Interest Rates
A. Ronald Gallant and
George Tauchen
Date Posted: May 12, 1997621 downloads
International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord
Michael McAleer ,
Juan-Angel Jiménez-Martin
and
Teodosio Perez Amaral
Date Posted: January 16, 2011619 downloads
A User’s Guide to the Cornish Fisher Expansion
Didier Maillard
Date Posted: February 02, 2012Last Revised: February 08, 2012618 downloads
Implied Volatility of Interest Rate Options: An Empirical Application of the Market Model
Charlotte Christiansen and
Charlotte Strunk Hansen
Date Posted: December 09, 1999617 downloads
The Alpha Factor Asset Pricing Model: A Parable
Wayne E. Ferson ,
Sergei Sarkissian and
Timothy T. Simin
Date Posted: June 29, 2005616 downloads
Inference on Quantile Regression Process, An Alternative MIT Department of Economics Working Paper No. 02-12
Victor Chernozhukov
Date Posted: March 19, 2002614 downloads
Does the Yield Spread Predict Recessions in the Euro Area? International Finance, Vol. 8, No. 2, pp. 263-301, Summer 2005, ECB Working Paper No. 294
Fabio Moneta
Date Posted: April 16, 2004613 downloads
Forecasting the Equity Risk Premium: The Role of Technical Indicators Federal Reserve Bank of St.ouis Working Paper No. 2010-008G
Christopher J. Neely ,
David E. Rapach ,
Jun Tu
and
Guofu Zhou
Date Posted: March 11, 2010Last Revised: May 15, 2013612 downloads
New Evidence on the Green Building Rent and Price Premium
Franz Fuerst
and
Patrick M. McAllister
Date Posted: April 05, 2009Last Revised: June 22, 2012612 downloads
A Front Office and Risk Management Tool for Pricing OTC
Derivatives
Luca Cazzulani ,
Vladimiro Ceci and
Luca Lotti
Date Posted: September 18, 2001610 downloads
Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function
José Da Fonseca ,
Martino Grasselli
and
Florian Ielpo
Date Posted: December 06, 2007Last Revised: August 13, 2012610 downloads
Unobserved Heterogeneity in Models of Competing Mortgage Termination
John M. Clapp ,
Xudong An
and
Yongheng Deng
Date Posted: March 05, 2004610 downloads
On the Factors Influencing Return-earnings Relationship
Reza Espahbodi
Date Posted: November 03, 2000609 downloads
Analyzing the Term Structure of Interest Rates Using the Dynamic Nelson-Siegel Model with Time-Varying Parameters Tinbergen Institute Discussion Paper No. 07-095/4, Journal of Business and Economic Statistics, Vol. 28, No. 3, pp. 329-343, 2010
Siem Jan Koopman ,
Max Mallee
and
Michel van der Wel
Date Posted: December 10, 2007Last Revised: August 15, 2011607 downloads
Modelling Correlations in Credit Portfolio Risk
Bernd Rosenow
,
Rafael Weissbach
and
Frank Altrock
Date Posted: February 09, 2007607 downloads
Testing for Structural Breaks in GARCH Models
Daniel R. Smith
Date Posted: May 22, 2006605 downloads
Expectations Hypotheses Tests EFA 0483; AFA 2001 New Orleans
Geert Bekaert and
Robert J. Hodrick
Date Posted: January 03, 2001603 downloads
The Arbitrage Pricing Theory and the Capital Asset Pricing Models and Artificial Neural Networks Modeling with Particle Swarm Optimization (PSO)
Eleftherios Giovanis
Date Posted: March 02, 2009603 downloads
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets UPF, Economics and Business Working Paper No. 578
Olivier Ledoit ,
Pedro Santa-Clara and
Michael Wolf
Date Posted: October 15, 2002602 downloads
Pairs Trading in the Land Down Under Finance and Corporate Governance Conference 2011 Paper
Tim Bogomolov
Date Posted: December 01, 2010602 downloads
Stochastic Processes in Credit Risk Modelling
Roberto Casarin
Date Posted: March 09, 2006601 downloads
Can Exchange Traded Funds be Used to Exploit Country and Industry Momentum? Financial Markets and Portfolio Management, Forthcoming
Laura Andreu
,
Laurens A. P. Swinkels and
Liam Tjong-A-Tjoe
Date Posted: June 24, 2008Last Revised: October 07, 2012600 downloads
International Transmission of Volatility: A Study on the Volatility Indexes VX1, VDAX and VIX
Sofiane Aboura
Date Posted: March 07, 2004600 downloads
FTSE-100 Implied Volatility Index
Nelson Areal
Date Posted: March 17, 2008599 downloads
Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures
Matteo Barigozzi
,
Christian T. Brownlees
,
Giampiero M. Gallo and
David Veredas
Date Posted: May 31, 2010Last Revised: May 12, 2013598 downloads
Dragon-Kings, Black Swans and the Prediction of Crises Swiss Finance Institute Research Paper No. 09-36
Didier Sornette
Date Posted: September 08, 2009595 downloads
Valuation of Cancelable Cross Currency Bermudan Swaps
Milind Sharma and
Jonathan Stein
Date Posted: February 13, 2004594 downloads
Credit Spread Interdependencies of European States and Banks During the Financial Crisis
Adrian Alter
and
Yves Stephan Schüler
Date Posted: May 17, 2011Last Revised: January 16, 2012592 downloads
The Impact of Higher Oil Prices on the Global Economy - A Tale of Two Different Cases
Pingfan Hong ,
Edouard Nsimba
,
Carl Gray
and
Oumar Diallo
Date Posted: December 20, 2004592 downloads
Volatility of Volatility of Financial Markets DRW-98-1-VVFM
Jennifer K. Wilson
Date Posted: April 22, 1998591 downloads
Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding ISMA Centre Working Paper No. DP2003-08
Carol Alexander and
Anca Dimitriu
Date Posted: July 27, 2003590 downloads
Using Misspecified Marginals and Misspecified Copulas to Compute the Value at Risk: When Do We Have to Care? Computational Statistics and Data Analysis, Forthcoming
Date Posted: December 14, 2007Last Revised: December 23, 2011590 downloads
Behavioral Heterogeneity And The Income Effect Harvard Institute of Economic Research No. 1892
Laurent E. Calvet and
Etienne Comon
Date Posted: August 23, 2000589 downloads
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics Journal of Energy Markets, Vol. 2, No. 3, 2009
Raphael Paschke
and
Marcel Prokopczuk
Date Posted: March 06, 2008Last Revised: April 24, 2012589 downloads
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