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JEL Code: C32
451,905 Total downloads
Showing Papers 951 - 1,000 of 3,078
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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, 200810101 downloads
The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies ISMA Finance Discussion Paper No. 2002-08
Carol Alexander and
Anca Dimitriu
Date Posted: August 05, 20026906 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, 20095909 downloads
A Stochastic Model for Order Book Dynamics
Rama Cont ,
Sasha Stoikov
and
Rishi Talreja
Date Posted: September 26, 2008Last Revised: August 31, 20094970 downloads
Discretionary-Accruals Models and Audit Qualifications
Eli Bartov ,
Ferdinand A. Gul and
Judy S.L. Tsui
Date Posted: March 06, 20002976 downloads
An Econometric Analysis of Emission Trading Allowances Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Luca Taschini
and
Marc S. Paolella
Date Posted: November 26, 2006Last Revised: December 21, 20092938 downloads
Deriving Value from Social Commerce Networks Journal of Marketing Research, Forthcoming
Andrew T. Stephen and
Olivier Toubia
Date Posted: June 25, 2008Last Revised: August 30, 20112787 downloads
Predictive Regressions: A Present-Value Approach
Jules H. van Binsbergen
and
Ralph S. J. Koijen
Date Posted: March 04, 2007Last Revised: February 16, 20092724 downloads
How to Time the Commodity Market Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Devraj Basu ,
Roel C. A. Oomen and
Alexander Stremme
Date Posted: June 22, 2006Last Revised: August 20, 20102608 downloads
MS_Regress - The MATLAB Package for Markov Regime Switching Models
Marcelo Perlin
Date Posted: November 26, 2010Last Revised: August 15, 20122546 downloads
Downside Correlation and Expected Stock Returns EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Andrew Ang ,
Joseph Chen and
Yuhang Xing
Date Posted: November 09, 20012506 downloads
An E-ARCH Model for the Term Structure of Implied Volatility of FX Options
Marco Avellaneda and
Yingzi Zhu
Date Posted: April 01, 19972448 downloads
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
David Blitz
and
Pim van Vliet
Date Posted: February 19, 2009Last Revised: July 17, 20092408 downloads
The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Date Posted: November 08, 20052205 downloads
The Good News and the Bad News About Long-Run Stock Market Returns EFA 0305; DAE Working Paper No. 9822
Stephen H. Wright and
Donald Robertson
Date Posted: November 05, 19982103 downloads
International Asset Allocation with Time-Varying Correlations
Geert Bekaert and
Andrew Ang
Date Posted: April 07, 19992042 downloads
Dynamic Volatility Trading Strategies in the Currency Option Market Using Stochastic Volatility Forecasts
Dajiang Guo
Date Posted: June 03, 19992039 downloads
Determinants of Bank Profitability: Macroeconomic Evidence from Nigeria
Toni Uhomoibhi Aburime
Date Posted: August 19, 2008Last Revised: September 03, 20082022 downloads
Stock Market Fluctuations And The Business Cycle
Marcelle Chauvet
Date Posted: September 24, 20011908 downloads
Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
Emel Kahya and
Panayiotis Theodossiou
Date Posted: March 06, 19981595 downloads
Dynamic Copula Modelling for Value at Risk Frontiers in Finance and Economics, Forthcoming
Date Posted: November 11, 20061581 downloads
Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?
Stephen J. Brown ,
Greg N. Gregoriou
and
Razvan C. Pascalau
affiliation not provided to SSRN
and
SUNY College at Plattsburgh - School of Business and Economics
Date Posted: July 22, 2009Last Revised: July 09, 20111577 downloads
Dynamic Analysis of a Competitive Marketing System Yale SOM Working Paper No. MK-04
Csilla Horvath ,
Peter S.H. Leeflang and
Dick R. Wittink
Date Posted: October 02, 20011521 downloads
The Impact of Inflation, GDP, Unemployment, and Money Supply On Stock Prices
Lena Saeed Shiblee IV
Date Posted: December 30, 20091504 downloads
European Union Enlargement. Effects on the Spanish Economy "la Caixa" Economic Studies Series No. 27
Carmela Martín González
,
Jose A. Herce
,
Simón Sosvilla Rivero and
Francisco J. Velázquez
Date Posted: October 28, 20021479 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
Applying Relative Solvency to Working Capital Management - The Break-Even Approach
Enyi Patrick Enyi
Date Posted: August 01, 20051456 downloads
A Test for Superior Predictive Ability Brown Univ. Dept. of Economics Working Paper No. 01-06
Peter Reinhard Hansen
Date Posted: March 01, 20041453 downloads
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity Algorithmic Finance, Vol. 1, No. 1, 2011
Marco Avellaneda ,
Josh Reed
and
Sasha Stoikov
Date Posted: October 14, 2010Last Revised: October 11, 20121386 downloads
The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace Journal of Marketing Research, 49 (October).
Andrew T. Stephen and
Jeff Galak
Date Posted: September 29, 2009Last Revised: April 06, 20121380 downloads
Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
R. Glen Donaldson and
Mark J. Kamstra
Date Posted: February 21, 20011353 downloads
Speculation, Futures Prices, and the U.S. Real Price of Crude Oil American Journal of Social and Management Science, Vol. 1, No., pp. 13-23, September 2010
Lonnie K. Stevans and
David N. Sessions
Date Posted: July 04, 2008Last Revised: February 23, 20111274 downloads
Empirical Tests of the Mean-semivariance CAPM
Thierry Post and
Pim van Vliet
Date Posted: June 21, 20041272 downloads
GARCH Processes: Theory, Simulations and Testing with Examples
Nitin Kumar
Date Posted: December 05, 20031239 downloads
European Securitization: A Garch Model of CDO, MBS and Pfandbrief Spreads Journal of Structured Finance, Vol. 12, No. 1, pp. 55-80, J.W. Goethe Universitaet Frankfurt am Main Finance Working Paper No. 121
Andreas A. Jobst
Date Posted: April 13, 20051210 downloads
Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds
Roy P. M. M. Hoevenaars
,
R. Molenaar ,
Peter C. Schotman and
Tom Steenkamp
Date Posted: February 28, 20051208 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
Dynamic Linkages Among the Emerging Middle Eastern and the United States Stock Markets International Journal of Business, Vol. 10, No. 1, 2005
Yochanan Shachmurove
Date Posted: April 01, 20051180 downloads
Value at Risk Using the Factor-ARCH Model
Charlotte Christiansen
Date Posted: August 16, 19981159 downloads
Interaction of European Carbon Trading and Energy Prices FEEM Working Paper No. 63.2007
Derek W. Bunn and
Carlo Fezzi
Date Posted: June 15, 2007Last Revised: June 15, 20111129 downloads
One-Factor-GARCH Models for German Stocks - Estimation and Forecasting Tuebinger Diskussionsbeitraege No. 87
Thomas Kaiser
Date Posted: February 01, 19971120 downloads
Downside Risk AFA 2005 Philadelphia Meetings
Andrew Ang ,
Joseph Chen and
Yuhang Xing
Date Posted: December 30, 20041090 downloads
Oil Price Uncertainty Journal of Money, Credit, and Banking, Forthcoming
John Elder and
A. Serletis
Date Posted: June 14, 2006Last Revised: March 03, 20101080 downloads
Regime Switches in Interest Rates
Geert Bekaert and
Andrew Ang
Date Posted: June 01, 19981067 downloads
Modelling Time-Varying Exchange Rate Dependence using the Conditional Copula UCSD Discussion Paper No. 01-09
Andrew J. Patton
Date Posted: July 24, 20011058 downloads
Volatility in the Gold Futures Market
Jonathan A. Batten and
Brian M. Lucey
Date Posted: June 25, 20071057 downloads
ARCH, GARCH and EGARCH Models: Applications to Financial Series Cuadernos de Economía, Vol. 27, No. 48, 2008,
Marta Casas
and
Edilberto Cepeda
Date Posted: August 27, 20081047 downloads
Is Indian Stock Market Related with Exchange Rate and Inflation? An Empirical Test Using Time Series
Paritosh Kumar
Date Posted: October 15, 20081042 downloads
Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets
Chia-Lin Chang
,
Michael McAleer and
Roengchai Tansuchat
Date Posted: May 12, 20091031 downloads
Business Applications of Emulative Neural Networks International Journal of Business, Vol. 10, No. 4, 2005
Yochanan Shachmurove
Date Posted: November 02, 20051025 downloads
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