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JEL Code: C22
534,730 Total downloads
Showing Papers 381 - 430 of 3,423
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Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Gerald S. Martin and
John Puthenpurackal
Date Posted: September 26, 2005Last Revised: May 05, 200810594 downloads
A Simplified Approach to Understanding the Kalman Filter Technique
Tom Arnold ,
Mark Bertus
and
Jonathan M. Godbey
Date Posted: May 07, 2005Last Revised: April 17, 200810094 downloads
The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Stephen J. Brown ,
Alok Kumar and
William N. Goetzmann
Date Posted: February 11, 19989270 downloads
A Multifractal Model of Asset Returns Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Benoit B. Mandelbrot ,
Adlai J. Fisher and
Laurent E. Calvet
Date Posted: April 21, 19986617 downloads
Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site Robert H. Smith School Research Paper No. RHS 06-065
Michael Trusov
,
Randolph E. Bucklin
and
Koen H. Pauwels
Date Posted: May 08, 2008Last Revised: February 20, 20095908 downloads
Volatility, Correlation and Tails for Systemic Risk Measurement
Christian T. Brownlees
and
Robert F. Engle
Date Posted: May 18, 2010Last Revised: October 26, 20124461 downloads
Value at Risk Models in Finance ECB Working Paper No. 75
Simone Manganelli and
Robert F. Engle
Date Posted: February 25, 20034175 downloads
Value at Risk (VaR) in Real Options Analysis
Giuseppe Alesii II
Date Posted: May 20, 20032607 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, 19982587 downloads
A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)? Brown Univ. Economics Working Paper No. 01-04
Peter Reinhard Hansen and
Asger Lunde
Date Posted: April 13, 20012533 downloads
Multifractality of Deutschemark / US Dollar Exchange Rates Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Adlai J. Fisher ,
Laurent E. Calvet and
Benoit B. Mandelbrot
Date Posted: April 21, 19982467 downloads
Expected Stock Returns and Variance Risk Premia AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Tim Bollerslev ,
George Tauchen and
Hao Zhou
Date Posted: September 21, 2006Last Revised: December 14, 20082361 downloads
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer ,
Juan-Angel Jiménez-Martin
and
Teodosio Perez Amaral
Date Posted: April 30, 2009Last Revised: January 27, 20102350 downloads
Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Gary Antonacci
Date Posted: April 04, 2013Last Revised: April 27, 20132340 downloads
Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments EFMA 2004 Basel Meetings Paper
Jean-Francois Bacmann and
Gregor Gawron
Date Posted: May 09, 20042289 downloads
Principal Component Analysis of Volatility Smiles and Skews EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Carol Alexander
Date Posted: December 08, 20002285 downloads
Testing, Comparing, and Combining Value-at-Risk Measures
Peter Christoffersen ,
Jinyong Hahn and
Atsushi Inoue
Date Posted: November 16, 19992277 downloads
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Date Posted: November 08, 20052205 downloads
Testing Weak-Form Efficiency of the Russian Stock Market EFA 2002 Berlin Meetings Presented Paper
Natalia Abrosimova ,
Gishan Dissanaike and
Dirk Linowski
Date Posted: March 11, 20022189 downloads
Realized Variance and Market Microstructure Noise
Peter Reinhard Hansen and
Asger Lunde
Date Posted: February 26, 20041987 downloads
Islamic Mutual Funds’ Financial Performance and International Investment Style:
Evidence from 20 Countries European Journal of Finance, Forthcoming
Andreas G. F. Hoepner
,
Hussain Gulzar Rammal
and
Michael Rezec
Date Posted: October 12, 2009Last Revised: December 18, 20101935 downloads
The Impact of FII Regulations in India: A Time-Series Intervention Analysis of Equity Flows Money & Finance Money & Finance, ICRA Bulletin,Vol. 2, No. 18, pp 54-83, July-December 2004
Suchismita Bose and
Dipankor Coondoo
Date Posted: July 14, 20051827 downloads
Estimation of VaR Using Copula and Extreme Value Theory Cass Business School Research Paper
Luiz Koodi Hotta and
Edimilson C. Lucas
Date Posted: June 15, 20061726 downloads
When Is Time Continuous? MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Dimitris Bertsimas ,
Leonid Kogan and
Andrew W. Lo
Date Posted: September 02, 19981721 downloads
On the Estimation of the Global Minimum Variance Portfolio
Alexander Kempf and
Christoph Memmel
Date Posted: April 09, 20031698 downloads
LIBOR Manipulation?
Rosa M. Abrantes-Metz
,
Michael Kraten ,
Albert D. Metz and
Gim Seow
affiliation not provided to SSRN
,
Moody's Investors Service
and
University of Connecticut - School of Business
Date Posted: August 05, 2008Last Revised: August 11, 20081659 downloads
Energy Shocks and Financial Markets Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Roger D. Huang ,
Ronald W. Masulis and
Hans R. Stoll
Date Posted: May 16, 20061625 downloads
Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
Emel Kahya and
Panayiotis Theodossiou
Date Posted: March 06, 19981595 downloads
Skewed Generalized Error Distribution of Financial Assets and Option Pricing
Panayiotis Theodossiou
Date Posted: May 13, 20001559 downloads
Glossary to ARCH (GARCH) CREATES Research Paper 2008-49
Tim Bollerslev
Date Posted: September 04, 20081518 downloads
Modeling Electricity Prices: International Evidence EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Álvaro Escribano ,
Juan Ignacio Peña and
Pablo Villaplana
Date Posted: February 06, 20021504 downloads
Efficient Tests of Stock Return Predictability Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
John Y. Campbell and
Motohiro Yogo
Date Posted: October 23, 2002Last Revised: June 17, 20091486 downloads
Realized Volatility FRB of Chicago Working Paper No. 2008-14
Torben G. Andersen and
Luca Benzoni
Date Posted: February 12, 2008Last Revised: December 05, 20081461 downloads
Testing the Fama and French Three-Factor Model and Its Variants for the Indian Stock Returns
Bhavna Bahl
affiliation not provided to SSRN
Date Posted: December 11, 20061447 downloads
Modeling the Price Dynamics of Co2 Emission Allowances
Eva A. Benz
and
Stefan Trueck
Date Posted: May 19, 2006Last Revised: March 04, 20081442 downloads
Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
Robert Kosowski
Date Posted: August 30, 2006Last Revised: September 02, 20111417 downloads
Empirical Evidence on the Relationship Between EVA and Stock Returns in Brazilian Firms
Date Posted: April 20, 20051335 downloads
Forecasting Stock Market Volatility: Evidence From Fourteen Countries U of Edinburgh, Center for Financial Markets Research Working Paper No. 02.04; EFMA 2003 Helsinki Meetings
Ercan Balaban
,
Asli Bayar
and
Robert W. Faff
affiliation not provided to SSRN
,
Cankaya University - Department of Management
and
University of Queensland
Date Posted: December 03, 20021326 downloads
Commodity Futures Markets in India: Riding the Growth Phase International Conference on Commodity Future: Riding the Growth Phase, January 2008
Alok Kumar Mishra
Date Posted: February 06, 20081323 downloads
The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: The Case of Corn and Wheat EFA 2002 Berlin Meetings Discussion Paper
Guillermo Benavides
Date Posted: February 24, 2002Last Revised: October 05, 20081314 downloads
An EViews Program For ARMA Modeling and Forecasting
Hossein Abbasi-Nejad
and
Shapour Mohammadi
Date Posted: February 22, 20051313 downloads
A Simple Long Memory Model of Realized Volatility
Date Posted: December 07, 20041272 downloads
Empirical Tests of the Mean-semivariance CAPM
Thierry Post and
Pim van Vliet
Date Posted: June 21, 20041272 downloads
Testing the Significance of Calendar Effects Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Peter Reinhard Hansen ,
Asger Lunde and
James M. Nason
Date Posted: May 26, 20031255 downloads
GARCH Processes: Theory, Simulations and Testing with Examples
Nitin Kumar
Date Posted: December 05, 20031239 downloads
Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns Lancaster University Management School, Accounting and Finance Working Paper No. 99/014
Bevan Blair ,
Ser-Huang Poon and
Stephen J. Taylor
Date Posted: October 29, 19991231 downloads
How Relevant is Volatility Forecasting for Financial Risk Management? 97-45
Peter Christoffersen and
Francis X. Diebold
Date Posted: January 18, 19981221 downloads
Measuring Oil Price Volatility
Gerard H. Kuper
Date Posted: July 22, 20021204 downloads
Modelling Short-Term Volatility with GARCH and HARCH Models
Michel M. Dacorogna ,
Ulrich A. Müller ,
Olivier V. Pictet and
Richard B. Olsen
Date Posted: June 25, 19971201 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
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