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1,904,483 Total downloads
Showing Papers 561 - 610 of 8,651
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Measuring Marginal Risk Contributions in Credit Portfolios FDIC Center For Financial Research Working Paper No. 2005-01
Paul Glasserman
Date Posted: April 01, 2005602 downloads
Pairs Trading in the Land Down Under Finance and Corporate Governance Conference 2011 Paper
Tim Bogomolov
Date Posted: December 01, 2010602 downloads
Tests of Technical Trading Rules in the Asian-Pacific Equity Markets: A Bootstrap Approach Academy of Financial and Accounting Studies Journal, Vol. 11, No. 2, 2007
Camillo Lento
Date Posted: March 26, 2008Last Revised: November 09, 2009602 downloads
The Market Timing Ability of UK Equity Mutual Funds
Keith Cuthbertson
,
Dirk Nitzsche
and
Niall O'Sullivan
Date Posted: January 19, 2007601 downloads
Forecasting the Interest-rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands
Pierre Rostan
,
Raymond Théoret
and
Abdeljalil El Moussadek
Date Posted: March 12, 2005600 downloads
A Comprehensive Analysis of the Short-Term Interest Rate Dynamics
Turan G. Bali and
Liuren Wu
Date Posted: April 15, 2005599 downloads
Multi-Factor Cross Currency Libor Market Models: Implementation, Calibration and Examples
Ahsan Amin
Date Posted: August 10, 2008599 downloads
Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation
Francesco Paolo Natale
Date Posted: November 05, 2006599 downloads
Information Acquisition in Financial Markets
Gadi Barlevy and
Pietro Veronesi
Date Posted: February 09, 1999598 downloads
Asymmetric Momentum Strategies on Growth Markets Financial Technology Working Paper No. 99/6
Olaf Stotz and
Joachim Coche
Date Posted: October 29, 1999595 downloads
Default Predictors and Credit Scoring Models for Retail Banking CESifo Working Paper Series No. 2862
Evzen Kocenda and
Martin Vojtek
Date Posted: December 07, 2009595 downloads
Efficient Control Variates for Monte-Carlo Valuation of American Options
Nicki Søndergaard Rasmussen
Date Posted: October 10, 2002595 downloads
Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility PIER Working Paper No. 03-025
Torben G. Andersen ,
Tim Bollerslev and
Francis X. Diebold
Date Posted: November 06, 2003595 downloads
Valuation of Cancelable Cross Currency Bermudan Swaps
Milind Sharma and
Jonathan Stein
Date Posted: February 13, 2004594 downloads
Building Trust in eCommerce - Quantitative Analysis
Pawel Kossecki
Date Posted: December 23, 2004592 downloads
Plausibly Exogenous
Timothy G. Conley
,
Christian Hansen and
Peter E. Rossi
Date Posted: May 18, 2007Last Revised: August 04, 2008591 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, 2011591 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
Correlated Default Processes: A Criterion-Based Copula Approach
Sanjiv Ranjan Das and
Gary Geng
Date Posted: March 07, 2004588 downloads
Localized Proxy Simulation Schemes for Generic and Robust Monte-Carlo Greeks
Christian P. Fries
Date Posted: May 08, 2007588 downloads
Cash Settlement and Price Discovery in Futures Markets
Leo H. Chan and
Donald D. Lien
Date Posted: August 18, 2001587 downloads
Heterogeneous Learning and the Targeting of Marketing Communication for New Products
Sridhar Narayanan and
Puneet Manchanda
Date Posted: October 12, 2006587 downloads
Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Jim E. Griffin
and
Roel C. A. Oomen
Date Posted: July 07, 2006Last Revised: December 15, 2010586 downloads
Equity Correlations Implied by Index Options: Estimation and Model Uncertainty Analysis
Rama Cont and
Romain Deguest
Date Posted: April 19, 2010586 downloads
An Empirical Test of the Hull-White Option Pricing Model: A Correction
Sofiane Aboura
Date Posted: November 04, 2003585 downloads
Merger Announcements and Insider Trading Activity in India: An Empirical Investigation Investment Management and Financial Innovations, Vol. 3, pp. 140-154, 2006
Manish Agarwal
and
Harminder Singh
Date Posted: January 09, 2007583 downloads
A Top-Down Approach to Multi-Name Credit Operations Research, Forthcoming
Kay Giesecke ,
Lisa R. Goldberg and
Xiaowei Ding
Date Posted: March 15, 2005Last Revised: March 04, 2010582 downloads
Money and Prices in the Early Roman Empire MIT Department of Economics Working Paper No. 05-11
David Kessler
and
Peter Temin
Date Posted: April 20, 2005580 downloads
Efficient Estimation in Semiparametric GARCH Models
Feike C. Drost and
Chris A. J. Klaassen
Date Posted: January 21, 1997579 downloads
A Simple Bayesian Method for the Analysis of Diffusion Processes
Christopher S. Jones
Date Posted: September 04, 1998578 downloads
Business Cycle and Stock Market Volatility: Are They Related?
Roberto Casarin and
Carmine Trecroci
Date Posted: March 07, 2006Last Revised: March 22, 2008576 downloads
Event Studies for Merger Analysis: An Evaluation of the Effects of Non-Normality on Hypothesis Testing
George S. Ford and
Audrey D. Kline
Date Posted: August 23, 2006576 downloads
The Impact of the EC Financial Instruments Markets Directive on the Trading Volume of EU Equity Markets Athens University of Economics and Business, Statistics Technical Report No. 219
Emilios Avgouleas and
Stavros Antonios Degiannakis
Date Posted: November 01, 2005576 downloads
Costs of Equity from Factor-Based Models Rodney L. White Center Working Paper Series #8-97
Robert F. Stambaugh and
Lubos Pastor
Date Posted: October 20, 1997574 downloads
Efficiency Analysis of Supply Chain Processes International Journal of Production Research, Vol. 44, No. 23, pp. 5065-5087, December 2006
Gerald Reiner
and
Paul Hofmann
Date Posted: December 27, 2007574 downloads
Quantile Regression Analysis of Hedge Fund Strategies
Loukia Meligkotsidou
,
Ioannis D. Vrontos
and
Spyridon D. Vrontos
Date Posted: February 15, 2008573 downloads
Choosing the Best Volatility Models: The Model Confidence Set Approach Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Peter Reinhard Hansen ,
Asger Lunde and
James M. Nason
Date Posted: May 22, 2003572 downloads
Dispersion, Equity Returns Correlations and Market Integration AFA 2007 Chicago Meetings Paper, EFA 2007 Ljubljana Meetings Paper
Esther Eiling and
Bruno Gerard
Date Posted: March 15, 2006Last Revised: February 11, 2011572 downloads
Local and Spillover Shocks in Implied Market Volatility: Evidence for the U.S. and Germany EFMA 2001 Lugano Meetings
Alexander Szimayer and
Niklas Wagner
Date Posted: March 08, 2004571 downloads
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
Damiano Brigo ,
Kyriakos Chourdakis and
Imane Bakkar
Date Posted: June 24, 2008570 downloads
Equities Market Level
Andrew Ang
Date Posted: July 26, 2012570 downloads
An Econometric Model of Credit Spreads with Rebalancing, ARCH and Jump Effects EFA 2003 Annual Conference Paper No. 719; Stern School of Business Working Paper No. FIN-03-012
Herman J. Bierens
,
Jing-Zhi Huang and
Weipeng Kong
Date Posted: May 23, 2003569 downloads
Geometric Mean Reversion: Formulas for the Equilibrium Density and Analytic Moment Matching
Christian-Oliver Ewald
and
Zhaojun Yang
Date Posted: July 11, 2007569 downloads
Is Regime Switching in Stock Returns Important in Portfolio Decisions? Working Paper, Singapore Management University
Jun Tu
Date Posted: November 08, 2007Last Revised: March 05, 2010569 downloads
Structural Models in Consumer Credit
Fabio W. M. de Andrade
and
Lyn C. Thomas
Date Posted: July 21, 2004569 downloads
Efficient Use of Conditioning Information: A Sharpe Ratio Based Test of Return Predictability Cass Business School Research Paper
Abhay Abhyankar ,
Devraj Basu and
Alexander Stremme
Date Posted: March 26, 2002567 downloads
Least Squares Percentage Regression Journal of Modern Applied Statistical Methods, 2009
Chris Tofallis
Date Posted: May 22, 2009565 downloads
Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Daniel Egloff
,
Markus Leippold ,
Stephan Joehri
and
Curdin Dalbert
Date Posted: April 07, 2005563 downloads
Testing Efficiency of the Latvian Stock Market: An Evolutionary Perspective
Timur Mihailov
and
Dirk Linowski
Date Posted: March 11, 2002563 downloads
Sparse High Dimensional Models in Economics
Jianqing Fan
,
Jinchi Lv
and
Lei Qi
Date Posted: August 16, 2010562 downloads
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