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Abstracts: 582,084
Full Text Papers: 482,740
Authors: 269,503
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SSRN eLibrary Search Results
JEL Code: C22
630,146 Total downloads
Showing Papers 761 - 810 of 3,934
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1 2 3 4 ... 79 | Next >
   


Incl. Electronic Paper A Simplified Approach to Understanding the Kalman Filter Technique
Tom Arnold , Mark Bertus and Jonathan M. Godbey
University of Richmond - E. Claiborne Robins School of Business , Auburn University and Georgia State University - Department of Finance
Date Posted: May 07, 2005
Last Revised: April 17, 2008
Working Paper Series
12277 downloads

Incl. Electronic Paper Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Gerald S. Martin and John Puthenpurackal
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Date Posted: September 26, 2005
Last Revised: May 05, 2008
Working Paper Series
12217 downloads

Incl. Electronic Paper The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Stephen J. Brown , Alok Kumar and William N. Goetzmann
New York University - Stern School of Business , University of Miami - School of Business Administration and Yale School of Management - International Center for Finance
Date Posted: February 11, 1998
Working Paper Series
10086 downloads

Incl. Electronic Paper 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
University of Maryland - Robert H. Smith School of Business , UCLA Anderson School of Management and Ozyegin University
Date Posted: May 08, 2008
Last Revised: June 19, 2014
Working Paper Series
8866 downloads

Incl. Electronic Paper Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Gary Antonacci
Portfolio Management Consultants
Date Posted: April 04, 2013
Last Revised: September 12, 2014
Working Paper Series
8589 downloads

Incl. Electronic Paper 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
Yale University - International Center for Finance , University of British Columbia (UBC) - Sauder School of Business and HEC Paris (Groupe HEC) - Finance Department
Date Posted: April 21, 1998
Working Paper Series
7092 downloads

Incl. Electronic Paper Volatility, Correlation and Tails for Systemic Risk Measurement
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: May 18, 2010
Last Revised: November 15, 2013
Working Paper Series
6507 downloads

Incl. Electronic Paper Value at Risk Models in Finance
ECB Working Paper No. 75
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: February 25, 2003
Working Paper Series
4700 downloads

Incl. Electronic Paper Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
Akindynos-Nikolaos (Nick) Baltas and Robert Kosowski
UBS Investment Bank and Imperial College Business School
Date Posted: September 02, 2012
Last Revised: June 03, 2014
Working Paper Series
3819 downloads

Incl. Electronic Paper Value at Risk (VaR) in Real Options Analysis
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Date Posted: May 20, 2003
Working Paper Series
2762 downloads

Incl. Electronic Paper 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
HEC Paris (Groupe HEC) - Finance Department , University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Date Posted: April 22, 1998
Working Paper Series
2638 downloads

Incl. Electronic Paper 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
European University Institute - Economics Department (ECO) and University of Aarhus - School of Economics and Management
Date Posted: April 13, 2001
Working Paper Series
2632 downloads

Incl. Electronic Paper 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
University of British Columbia (UBC) - Sauder School of Business , HEC Paris (Groupe HEC) - Finance Department and Yale University - International Center for Finance
Date Posted: April 21, 1998
Working Paper Series
2548 downloads

Incl. Electronic Paper 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
Duke University - Finance , Duke University - Economics Group and Tsinghua University
Date Posted: September 21, 2006
Last Revised: December 14, 2008
Working Paper Series
2534 downloads

Incl. Electronic Paper Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer , Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute , Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Date Posted: April 30, 2009
Last Revised: January 27, 2010
Working Paper Series
2472 downloads

Incl. Electronic Paper Testing Weak-Form Efficiency of the Russian Stock Market
EFA 2002 Berlin Meetings Presented Paper
Natalia Abrosimova , Gishan Dissanaike and Dirk Linowski
Deloitte & Touche, LLP , University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Date Posted: March 11, 2002
Working Paper Series
2444 downloads

Incl. Electronic Paper The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Bates College
Date Posted: November 08, 2005
Working Paper Series
2415 downloads

Incl. Electronic Paper LIBOR Manipulation?
Rosa M. Abrantes-Metz , Michael Kraten , Albert D. Metz and Gim Seow
Global Economics Group, LLC , Providence College , Moody's Investors Service and University of Connecticut - School of Business
Date Posted: August 05, 2008
Last Revised: August 11, 2008
Working Paper Series
2399 downloads

Incl. Electronic Paper Principal Component Analysis of Volatility Smiles and Skews
EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Carol Alexander
University of Sussex - School of Business, Management and Economics
Date Posted: December 08, 2000
Working Paper Series
2389 downloads

Incl. Electronic Paper Testing, Comparing, and Combining Value-at-Risk Measures
Peter Christoffersen , Jinyong Hahn and Atsushi Inoue
University of Toronto - Rotman School of Management , University of California, Los Angeles and Southern Methodist University
Date Posted: November 16, 1999
Working Paper Series
2351 downloads

Incl. Electronic Paper Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments
EFMA 2004 Basel Meetings Paper
Jean-Francois Bacmann and Gregor Gawron
RMF Investment Management and RMF Investment Products
Date Posted: May 09, 2004
Working Paper Series
2336 downloads

Incl. Electronic Paper 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
University of Reading - ICMA Centre , University of South Australia - School of Commerce and University of St. Andrews - School of Management
Date Posted: October 12, 2009
Last Revised: December 18, 2010
Accepted Paper Series
2229 downloads

Incl. Electronic Paper Alpha Generation and Risk Smoothing Using Managed Volatility
Tony Cooper
Double-Digit Numerics
Date Posted: August 24, 2010
Working Paper Series
2043 downloads

Incl. Electronic Paper Realized Variance and Market Microstructure Noise
Peter Reinhard Hansen and Asger Lunde
European University Institute - Economics Department (ECO) and University of Aarhus - School of Economics and Management
Date Posted: February 26, 2004
Working Paper Series
2036 downloads

Incl. Electronic Paper 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
ICRA Ltd and Indian Statistical Institute, New Delhi - Economic Research Unit
Date Posted: July 14, 2005
Accepted Paper Series
2004 downloads

Incl. Electronic Paper 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
University of Notre Dame , University of New South Wales - Australian School of Business and Vanderbilt University - Finance
Date Posted: May 16, 2006
Accepted Paper Series
1993 downloads

Incl. Electronic Paper Glossary to ARCH (GARCH)
CREATES Research Paper 2008-49
Tim Bollerslev
Duke University - Finance
Date Posted: September 04, 2008
Working Paper Series
1870 downloads

Incl. Electronic Paper On the Estimation of the Global Minimum Variance Portfolio
Alexander Kempf and Christoph Memmel
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Date Posted: April 09, 2003
Working Paper Series
1810 downloads

Incl. Electronic Paper 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, 2006
Working Paper Series
1804 downloads

Incl. Electronic Paper When Is Time Continuous?
MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Dimitris Bertsimas , Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management , Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: September 02, 1998
Working Paper Series
1765 downloads

Incl. Electronic Paper Skewed Generalized Error Distribution of Financial Assets and Option Pricing
Panayiotis Theodossiou
Cyprus University of Technology
Date Posted: May 13, 2000
Working Paper Series
1746 downloads

Incl. Electronic Paper Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
Robert Kosowski
Imperial College Business School
Date Posted: August 30, 2006
Last Revised: September 02, 2011
Working Paper Series
1726 downloads

Incl. Electronic Paper Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
Emel Kahya and Panayiotis Theodossiou
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Date Posted: March 06, 1998
Working Paper Series
1672 downloads

Incl. Electronic Paper Modeling Electricity Prices: International Evidence
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Álvaro Escribano , Juan Ignacio Peña and Pablo Villaplana
Universidad Carlos III de Madrid - Department of Economics , Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Date Posted: February 06, 2002
Working Paper Series
1618 downloads

Incl. Electronic Paper Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Date Posted: February 12, 2008
Last Revised: December 05, 2008
Working Paper Series
1573 downloads

Incl. Electronic Paper A Simple Long Memory Model of Realized Volatility


Date Posted: December 07, 2004
Working Paper Series
1564 downloads

Incl. Electronic Paper Efficient Tests of Stock Return Predictability
Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Federal Reserve Bank of Minneapolis
Date Posted: October 23, 2002
Last Revised: June 17, 2009
Accepted Paper Series
1557 downloads

Incl. Electronic Paper Modeling the Price Dynamics of Co2 Emission Allowances
Eva A. Benz and Stefan Trueck
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Date Posted: May 19, 2006
Last Revised: February 17, 2014
Working Paper Series
1551 downloads

Incl. Electronic Paper An EViews Program For ARMA Modeling and Forecasting
Hossein Abbasi-Nejad and Shapour Mohammadi
University of Tehran and University of Tehran
Date Posted: February 22, 2005
Working Paper Series
1458 downloads

Incl. Electronic Paper Empirical Evidence on the Relationship Between EVA and Stock Returns in Brazilian Firms

Date Posted: April 20, 2005
Working Paper Series
1451 downloads

Incl. Electronic Paper Commodity Futures Markets in India: Riding the Growth Phase
International Conference on Commodity Future: Riding the Growth Phase, January 2008
Alok Kumar Mishra
Evalueserve.com Pvt. Ltd.
Date Posted: February 06, 2008
Working Paper Series
1436 downloads

Incl. Electronic Paper 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
University of Aberdeen , Cankaya University - Department of Management and University of Queensland
Date Posted: December 03, 2002
Working Paper Series
1426 downloads

Incl. Electronic Paper 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
Banco de Mexico
Date Posted: February 24, 2002
Last Revised: October 05, 2008
Working Paper Series
1380 downloads

Incl. Electronic Paper 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
European University Institute - Economics Department (ECO) , University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics
Date Posted: May 26, 2003
Working Paper Series
1329 downloads

Incl. Electronic Paper Return-Based Style Analysis with Time-Varying Exposures
Laurentius (Laurens) Adrianus Petrus Swinkels and Pieter Jelle van der Sluis
Erasmus University Rotterdam (EUR) and APG Asset Management, GTAA Fund
Date Posted: November 28, 2001
Working Paper Series
1326 downloads

Incl. Electronic Paper Empirical Tests of the Mean-semivariance CAPM
Thierry Post and Pim van Vliet
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Date Posted: June 21, 2004
Working Paper Series
1318 downloads

Incl. Electronic Paper Modelling Short-Term Volatility with GARCH and HARCH Models
Michel M. Dacorogna , Ulrich A. Müller , Olivier V. Pictet and Richard B. Olsen
SCOR Switzerland , Olsen & Associates , Pictet Asset Management and Olsen & Associates
Date Posted: June 25, 1997
Working Paper Series
1297 downloads

Incl. Electronic Paper 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
University of Aarhus - Thiele Centre, Department of Mathematical Sciences , European University Institute - Economics Department (ECO) , University of Aarhus - School of Economics and Management and Harvard University
Date Posted: November 18, 2004
Last Revised: April 06, 2008
Working Paper Series
1273 downloads

Incl. Electronic Paper Measuring Oil Price Volatility
Gerard H. Kuper
University of Groningen - Faculty of Economics and Business
Date Posted: July 22, 2002
Working Paper Series
1266 downloads

Incl. Electronic Paper 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
Ingenious , University of Manchester - Manchester Business School and Lancaster University - Department of Accounting and Finance
Date Posted: October 29, 1999
Working Paper Series
1262 downloads


 

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