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JEL Code: C5
1,170,174 Total downloads
Showing Papers 751 - 800 of 5,952
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Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns
Liuren Wu
Date Posted: September 02, 2004350 downloads
Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate Garch Model Tilburg University, CentER Discussion Paper Series No. 1999-10
Franc J. G. M. Klaassen
Date Posted: July 16, 1999350 downloads
On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities FAME Research Paper No. 83
Olivier Renault and
O. Scaillet
Date Posted: June 10, 2003350 downloads
Temperature Models for Pricing Weather Derivatives Quantitative Finance, Vol.12, No. 3, March 2012, 489-500
Frank Schiller
,
Gerold Seidler
and
Maximilian Wimmer
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
University of Regensburg
Date Posted: October 11, 2008Last Revised: May 18, 2012350 downloads
Towards Formal Ontologies for Technology Risk Measurement in the Banking Industry Formal Ontologies Meet Industry (FOMI) 2005 Proceedings
Christian Cuske
,
Axel Korthaus
,
Stefan Seedorf
and
Peter Tomczyk
Date Posted: June 20, 2005350 downloads
A Practical Model-Based Approach to Monetary Policy Analysis - Overview IMF Working Paper No. 06/80
Andrew Berg ,
Philippe D. Karam and
Douglas Laxton
Date Posted: May 17, 2006349 downloads
Generalized Transform Analysis of Affine Processes and Applications in Finance
Hui Chen
and
Scott Joslin
Date Posted: February 17, 2009Last Revised: September 22, 2011349 downloads
Market Timing Using Exchange Traded Funds
Lewis A. Glenn
Date Posted: May 31, 2010349 downloads
Resampling vs. Shrinkage for Benchmarked Managers
Michael Wolf
Date Posted: September 08, 2004349 downloads
Forecasting Private Consumption: Survey-Based Indicators vs. Google Trends Ruhr Economic Paper No. 155
Torsten Schmidt and
Simeon Vosen
Date Posted: November 30, 2009348 downloads
Liquidity Risk, Market Valuation, and Bank Failures
Deming Wu
and
Han Hong
Date Posted: November 19, 2012348 downloads
Practical Model-Based Monetary Policy Analysis: A How-To Guide IMF Working Paper No. 06/81
Andrew Berg ,
Philippe D. Karam and
Douglas Laxton
Date Posted: May 17, 2006348 downloads
The Dog that did not Bark: A Defense of Return Predictability
John H. Cochrane
Date Posted: February 06, 2006348 downloads
A Markov Switching Regime Model of the Brazilian Business Cycle
Yves Dumaresq Sobral
Date Posted: March 13, 2007347 downloads
Omitted Mobility Characteristics and Property Market Dynamics:
Application to Mortgage Termination
Xudong An
,
Yongheng Deng and
John M. Clapp
Date Posted: September 22, 2005347 downloads
A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction
Stefano Colucci
Date Posted: September 03, 2012Last Revised: February 20, 2013346 downloads
An Empirical Investigation of the VaR of Hedge Funds
Jerome Teiletche
and
FLORENT POCHON
affiliation not provided to SSRN
Date Posted: March 25, 2008346 downloads
Equity Duration - Updated Duration of the S&P 500
David M. Blitzer
,
Srikant Dash
and
Philip Murphy
Date Posted: January 04, 2009346 downloads
A Classification Study of Carbon Assets into Commodities
Takashi Kanamura
Date Posted: January 25, 2009345 downloads
Asset Pricing with Observable Discount Factors U of York, Economics Discussion Paper No. 2002/03
Peter N. Smith and
Michael R. Wickens
Date Posted: March 27, 2002345 downloads
Efficiencies and Unobserved Heterogeneity in Turkish Banking: 1990-2000 Rice University Working Paper
Mahmoud El-Gamal and
Hulusi Inanoglu
Date Posted: November 24, 2003345 downloads
Forecasting Exchange Rates: A Robust Regression Approach CORE Discussion Paper No. 2005/25
Arie Preminger
and
Raphael Franck
Date Posted: January 27, 2006344 downloads
Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News Swiss Finance Institute Research Paper No. 11-36
Pierre Bajgrowicz
and
O. Scaillet
Date Posted: February 15, 2009Last Revised: September 21, 2011344 downloads
The Relationship between the Volatility of Returns and the Number of Jumps in Financial Markets
Álvaro Cartea and
Dimitris Karyampas
Date Posted: November 18, 2009Last Revised: May 14, 2011344 downloads
Reverse Engineering Financial Markets with Majority and Minority Games Using Genetic Algorithms Swiss Finance Institute Research Paper No. 10-08
Judith Wiesinger
,
Didier Sornette and
Jeffrey Satinover
affiliation not provided to SSRN
Date Posted: February 20, 2010343 downloads
The Information Value of Basel III Liquidity Risk Measures
Deming Wu
and
Han Hong
Date Posted: November 19, 2012343 downloads
The Term Structure of Variance Swaps, Risk Premia and the Expectation Hypothesis
Yacine Ait-Sahalia ,
Mustafa Karaman
and
Loriano Mancini
Date Posted: August 27, 2012343 downloads
Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains U of London Queen Mary Economics Working Paper No. 430
Kyriakos Chourdakis
Date Posted: December 20, 2000342 downloads
Volatility Estimation and Option Pricing with Fractional Brownian Motion
Daniel O. Cajueiro Sr. and
José Fajardo
Date Posted: November 06, 2005342 downloads
Samuelson on Globalization: A Comment Andreas School of Business Working Paper
Robert W. McGee
Date Posted: October 05, 2004341 downloads
Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped-T Copula Approach The VAR IMPLEMENTATION HANDBOOK, McGraw-Hill, pp. 253-282, 2009
Date Posted: September 02, 2009Last Revised: December 23, 2011341 downloads
Estimates of the Magnitude of Financial and Tax Reporting Conflicts
George A. Plesko
Date Posted: July 18, 2007340 downloads
Forecasts of US Short-Term Interest Rates: A Flexible Forecast Combination Approach
Massimo Guidolin and
Allan G. Timmermann
Date Posted: October 13, 2005340 downloads
Kyoto Protocol and Emission Trading: Does the US Make a Difference? FEEM Working Paper No. 90.2001
Alessandro Lanza ,
Umberto Ciorba and
Francesco Pauli
affiliation not provided to SSRN
Date Posted: December 12, 2001340 downloads
Measuring Systematic Risk in Emu Government Yield Spreads Review of Finance, Vol. 8, No. 2, pp. 171-197, 2004
Alois Geyer ,
Stephan Kossmeier and
Stefan Pichler
Date Posted: May 12, 2003Last Revised: September 15, 2011340 downloads
Nonparametric Stochastic Volatility
Federico M. Bandi and
Roberto Renò
Date Posted: July 12, 2008Last Revised: June 14, 2010340 downloads
On the Suboptimality of Single-Factor Exercise Strategies for Bermudan Swaptions EFA 2003 Annual Conference Paper No. 859; Aarhus School of Business Finance Working Paper No. 02-24
Mikkel Svenstrup
Date Posted: April 16, 2003340 downloads
Portfolio Considerations in Trading
Andrew Brzezinski and
Venk Kidambi
Date Posted: June 17, 2010340 downloads
From the 'Econometrics of Capital Punishment' to the 'Capital Punishment' of Econometrics: On the Use and Abuse of Sensitivity Analysis Emory Law and Economics Research Paper No. 07-18, Emory Public Law Research Paper No. 07-21, 3rd Annual Conference on Empirical Legal Studies Papers
Hashem Dezhbakhsh and
Paul H. Rubin
Date Posted: October 03, 2007Last Revised: June 19, 2012339 downloads
Forecasting Volatility States and Active Portfolio Strategies
Mattias Persson and
Birger Nilsson
Date Posted: March 21, 2002338 downloads
Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Michael Neumann
and
George S. Skiadopoulos
Date Posted: December 31, 2010Last Revised: March 12, 2012338 downloads
TailCoR
Lorenzo Ricci and
David Veredas
Date Posted: May 31, 2012Last Revised: May 16, 2013338 downloads
Modelling and Forecasting Noisy Realized Volatility
Manabu Asai ,
Michael McAleer and
Marcelo C. Medeiros
Date Posted: September 21, 2009337 downloads
Volatility Computed by Time Series Operators at High Frequency Olsen & Associates Working Paper No. 323
Ulrich A. Müller
Date Posted: March 21, 2000337 downloads
Currency Hedging Strategies Using Dynamic Multivariate GARCH
Chia-Lin Chang
,
Lydia González Serrano
and
Juan-Angel Jiménez-Martin
Date Posted: November 02, 2011Last Revised: February 14, 2012336 downloads
Foreign Exchange Markets' Perceptions of EMU Participation by Finland, France, Italy, and Portugal EFA 2002 Berlin Meetings Presented Paper
Bernd Wilfling
Date Posted: February 24, 2002336 downloads
Longer-Term Time Series Volatility Forecasts Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Louis H. Ederington and
Wei Guan
Date Posted: March 17, 2009336 downloads
Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates
Massoud Heidari and
Liuren Wu
Date Posted: August 03, 2006336 downloads
Rating Performance and Agency Incentives of Structured Finance Transactions Finlawmetrics 2010 Conference Paper
Daniel Roesch
and
Harald Scheule
Date Posted: August 05, 2009Last Revised: January 31, 2010336 downloads
Risk Minimization and Trading Performance of Dynamic Hedging Models: Time Varying Covariance and Volatility Transmission Effects EFMA 2001 Lugano Meetings
Gerard Gannon and
Michael Chng
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: April 25, 2001336 downloads
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