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JEL Code: C52
289,017 Total downloads
Showing Papers 51 - 100 of 1,707
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Assessing Validity of the Basel II Model in Measuring Risk of Credit Portfolios
Leonid V. Philosophov
Date Posted: January 26, 2006911 downloads
Improving Garch Volatility Forecasts CentER Discussion Paper Series No. 1998-52
Franc J. G. M. Klaassen
Date Posted: December 01, 1998894 downloads
What Data Should Be Used To Price Options?
Mikhail Chernov and
Eric Ghysels
Date Posted: August 29, 1998882 downloads
Tactical Asset Allocation Using Relative Strength
John Lewis
Date Posted: March 19, 2012Last Revised: March 22, 2012880 downloads
Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach EFMA 2003, Helsinki, Finland
Lorenzo Cappiello ,
Olli Castren
and
Jarkko P. Jääskelä
Date Posted: May 02, 2003879 downloads
Backtesting VaR Models: An Expected Shortfall Approach
Timotheos Angelidis
and
Stavros Antonios Degiannakis
Date Posted: April 26, 2006854 downloads
Are Credit Scoring Models Sensitive With Respect to Default Definitions? Evidence from the Austrian Market EFMA 2003 Helsinki Meetings
Evelyn Hayden
Date Posted: June 25, 2003852 downloads
Calibration of Multifactor Models in Electricity Markets International Journal of Theoretical and Applied Finance, Vol. 7, No. 2, pp. 101-120, March 2004
Martin T. Barlow
,
Yuri Gusev
and
Manpo Lai
Date Posted: November 02, 2004850 downloads
A Model to Measure Portfolio Risks in Venture Capital
Andreas Kemmerer
affiliation not provided to SSRN
Date Posted: November 13, 2005831 downloads
Stock Index Futures Trading and Spot Market Volatility
George Karathanassis
and
Vasilios I. Sogiakas
Date Posted: March 24, 2006830 downloads
Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
Ahmed BenSaïda
Date Posted: March 15, 2007829 downloads
Operators on Inhomogeneous Time Series Olsen & Associates Working Paper No. 324
Gilles O. Zumbach and
Ulrich A. Müller
affiliation not provided to SSRN
and
Olsen & Associates
Date Posted: March 21, 2000799 downloads
Support Vector Machines Approach to Predict the S&P CNX NIFTY Index Returns 10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Manish Kumar
and
Thenmozhi M.
Date Posted: February 13, 2007797 downloads
A Comparison of Mixed GARCH-Jump Models with Skewed t-Distribution for Asset Returns
Jung-Suk Yu
and
Elton Daal
Date Posted: February 22, 2005784 downloads
Predicting Stock Price Movements: An Ordered Probit Analysis on the ASX
Jerry T. Parwada and
Joey Wenling Yang
Date Posted: July 12, 2006778 downloads
Forecasting Spot Interest Rate Volatility EFA 2000 Meetings Paper No. 0095
Miguel A. Ferreira
Date Posted: March 27, 2000775 downloads
Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR
Turan G. Bali ,
Henry Mo
and
Yi Tang
Date Posted: September 06, 2006773 downloads
Some Statistical Pitfalls in Copula Modeling for Financial Applications FAME Working Paper No. 108
Jean-David Fermanian
and
O. Scaillet
Date Posted: June 28, 2004772 downloads
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Lisa R. Goldberg ,
Guy Miller
and
Jared Weinstein
Date Posted: October 22, 2007758 downloads
Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates London Economics Financial Markets Group Working Paper No. 483
Xiaohong Chen ,
Yanqin Fan
and
Andrew J. Patton
Date Posted: March 06, 2004757 downloads
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling ISMA Centre Finance Discussion Paper No. 2004-06
Carol Alexander and
Emese Lazar
Date Posted: June 23, 2004752 downloads
The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited Federal Reserve Bank of Atlanta WP 97-13a
Robert R. Bliss and
David C. Smith
Date Posted: September 02, 1998744 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, 2012724 downloads
Day of the Week Effects in NSE Stock Returns: An Empirical Study
Varun Arora
and
Sromon Das
Date Posted: March 27, 2008719 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, 2006702 downloads
An Econometric Model of the Brazilian Stock Market
Date Posted: April 20, 2005699 downloads
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?
Ekkehart Boehmer ,
Joachim Grammig and
Erik Theissen
Date Posted: March 03, 2006697 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, 2010694 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, 2008692 downloads
Price Models and the Value Relevance of Accounting Information
Jianming Ye
Date Posted: July 26, 2007692 downloads
Dynamic Conditional Correlation: On Properties and Estimation
Gian Piero Aielli
affiliation not provided to SSRN
Date Posted: November 18, 2009Last Revised: July 14, 2011679 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
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, 2011668 downloads
Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study
Chiara Monfardini and
Rosalba Radice
Date Posted: February 28, 2006666 downloads
On the Expected Performance of Market Timing Strategies
Winfried G. Hallerbach
Date Posted: July 16, 2011Last Revised: August 11, 2011664 downloads
A Statistical Arbitrage FX Trading System Based on Short Term FX Volatility Swings Forecasting with Institutional Data on JPY Based Investment Flows Into US Markets
Pavan Gadiraju
affiliation not provided to SSRN
Date Posted: July 20, 2009Last Revised: October 01, 2009657 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, 2009653 downloads
Financial Market Liquidity and the Distribution of Prices
Ian Domowitz and
Mahmoud El-Gamal
Date Posted: November 01, 1999648 downloads
An Evaluation Framework for Alternative VaR Models EFA 2002 Berlin Meetings Discussion Paper
Dennis Bams ,
Thorsten Lehnert and
Christian C. P. Wolff
Date Posted: January 21, 2002640 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
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
A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel AFA New Orleans 2001
Mikhail Chernov
Date Posted: September 30, 2000621 downloads
Unobserved Heterogeneity in Models of Competing Mortgage Termination
John M. Clapp ,
Xudong An
and
Yongheng Deng
Date Posted: March 05, 2004610 downloads
Testing for Structural Breaks in GARCH Models
Daniel R. Smith
Date Posted: May 22, 2006605 downloads
Pairs Trading in the Land Down Under Finance and Corporate Governance Conference 2011 Paper
Tim Bogomolov
Date Posted: December 01, 2010602 downloads
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