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JEL Code: C01

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Viewing: 1 - 50 of 541 papers

1.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,637
2.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,323
3.

Common Errors: How to (and Not to) Control for Unobserved Heterogeneity

Review of Financial Studies, 2014, 27(2), 617-61, AFA 2013 San Diego Meetings Paper
Number of pages: 58 Posted: 17 Mar 2012 Last Revised: 17 Jun 2014
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads 2,528
4.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,501
5.

Testing for Weak Instruments in Linear IV Regression

IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG, 2005
Number of pages: 48 Posted: 07 Jan 2011 Last Revised: 31 Jul 2013
Accepted Paper Series
Harvard University - Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,100
6.

Managing Risks in a Risk-On/Risk-Off Environment

Number of pages: 50 Posted: 23 Sep 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 1,771
7.

Beyond Chance? The Persistence of Performance in Online Poker

PLoS ONE 10(3): e0115479, March 2015
Number of pages: 35 Posted: 15 Aug 2012 Last Revised: 03 Mar 2015
Accepted Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), VU Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 1,649
8.

NETS: Network Estimation for Time Series

Number of pages: 50 Posted: 14 Apr 2013 Last Revised: 15 Jan 2017
Working Paper Series
London School of Economics and Political Science and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 1,643
9.

Perspective on Economic Growth of BRIC Countries: A Case of Brazil and India

Number of pages: 13 Posted: 25 Feb 2009
Working Paper Series
CSIR - New Delhi - National Institute of Science, Technology & Development Studies (NISTADS) and affiliation not provided to SSRN
Downloads 1,572
10.

The Profitability of Five Popular Variations of Moving Averages on Indian Market Index S&P CNX Nifty 50 During January 2004-December 2014

Advances in Economics and Business Management, Feb. 2015
Number of pages: 7 Posted: 30 Jan 2015 Last Revised: 24 Mar 2015
Accepted Paper Series
Noida International University
Downloads 1,505
11.

Tractable and Consistent Random Graph Models

Number of pages: 61 Posted: 25 Oct 2012 Last Revised: 25 Jun 2014
Working Paper Series
Stanford University - Department of Economics and Stanford University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,149
12.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 34 Posted: 02 Oct 2016 Last Revised: 18 Nov 2017
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB), University of Aarhus - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 1,135
13.

Causality between Tax Revenue and Government Spending in Malaysia

The International Journal of Business and Finance Research, Vol. 2, No. 2, pp. 63-73, 2008
Number of pages: 11 Posted: 17 Feb 2010
Accepted Paper Series
Monash University-Gippsland Campus and University Sultan Zainal Abidin
Downloads 1,086
14.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Guggenheim Partners, LLC
Downloads 959
15.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008
Working Paper Series
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and Harvard University
Downloads 812
16.

Carbon Price Drivers: An Updated Literature Review

Number of pages: 9 Posted: 17 Apr 2011
Working Paper Series
University of Paris 8 Vincennes-Saint Denis
Downloads 745
17.

When Do Covariates Matter? And Which Ones, and How Much?

Journal of Labor Economics, Forthcoming
Number of pages: 40 Posted: 26 Jun 2009 Last Revised: 16 Sep 2014
Accepted Paper Series
University of Pennsylvania Law School
Downloads 737
18.

Generalized Autoregressive Score Models in R: The GAS Package

Number of pages: 26 Posted: 21 Aug 2016 Last Revised: 19 Nov 2017
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 689
19.

The Impact of Crisis and Macroeconomic Variables Towards Islamic Banking Deposits

American Journal of Applied Sciences, Vol. 8, No. 12, pp.1413-1418, 2011
Number of pages: 6 Posted: 28 Feb 2012
Accepted Paper Series
International Islamic University of Malaysia (IIUM), Islamic Research and Training Institute and International Islamic University of Malaysia (IIUM) - Faculty of Economic and Management Sciences
Downloads 647
20.

A Network Formation Model Based on Subgraphs

Number of pages: 93 Posted: 09 Oct 2015 Last Revised: 23 Nov 2016
Working Paper Series
Stanford University - Department of Economics and Stanford University - Department of Economics
Downloads 568
21.

A Model to Improve the Estimation of Baseline Retail Sales

Journal of CENTRUM Cathedra, Vol. 4, Issue 1, pp. 10-26, 2011
Number of pages: 17 Posted: 11 Apr 2011 Last Revised: 20 Dec 2014
Accepted Paper Series
TABS Group and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Multiple version iconThere are 2 versions of this paper

Downloads 504
22.

Matching Methods in Practice: Three Examples

IZA Discussion Paper No. 8049
Number of pages: 67 Posted: 29 Mar 2014
Working Paper Series
Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 486
23.

The Illusion of Predictability: How Regression Statistics Mislead Experts

International Journal of Forecasting, Forthcoming
Number of pages: 39 Posted: 01 Feb 2012
Accepted Paper Series
Universitat Pompeu Fabra and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 486
24.

Posterior Evaluation of Cross-Border Mergers & Acquisitions: Financial Review of Three Select Cases from Automobile, Energy & IT Sectors

22nd Australasian Finance and Banking Conference 2009
Number of pages: 24 Posted: 31 Aug 2009
Working Paper Series
University of Mysore - Department of Commerce and SDM Institute For Management Development

Multiple version iconThere are 2 versions of this paper

Downloads 481
25.

Technical Analysis of Indian Financial Market with the Help of Technical Indicators

International Journal of Science and Research (IJSR), ISSN (Online): 2319-7064 Index Copernicus Value (2013): 6.14 | Impact Factor (2013): 4.438
Number of pages: 3 Posted: 31 Mar 2015
Accepted Paper Series
Noida International University
Downloads 476
26.

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
Working Paper Series
European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 454
27.

Does the Entry Mode of Foreign Banks Matter for Bank Efficiency? Evidence from Czech Republic, Hungary, and Poland

William Davidson Institute Working Paper No. 925
Number of pages: 42 Posted: 05 Mar 2007
Working Paper Series
Université Paris X Nanterre and Nottingham University Business School
Downloads 452
28.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Accepted Paper Series
Princeton University - Bendheim Center for Finance, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 448
29.

Economic and Financial Risk Factors and Tanker Shipping Stock Returns

Number of pages: 28 Posted: 13 Mar 2007 Last Revised: 14 Sep 2008
Working Paper Series
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, NTNU Business School - Norwegian University of Science and Technology (NTNU), Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology and Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology
Downloads 425
30.

A Diagrammatic Exposition of Regression and Instrumental Variables for the Beginning Student

Number of pages: 25 Posted: 01 Jun 2008
Working Paper Series
University of New South Wales
Downloads 410
31.

A Three Line Proof that OLS is BLUE

Number of pages: 2 Posted: 04 May 2012
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and Yonsei University - Department of Economics
Downloads 394
32.

Longevity Risk and the Econometric Analysis of Mortality Trends and Volatility

UNSW Australian School of Business Research Paper No. 2009ACTL08
Number of pages: 41 Posted: 20 Aug 2009 Last Revised: 12 Apr 2011
Working Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and University of New South Wales (UNSW) - School of Actuarial Studies
Downloads 390
33.

Modeling and Estimating Volatility of Options on Standard & Poor's 500 Index

PIER Working Paper No. 13-015
Number of pages: 21 Posted: 01 Apr 2013
Working Paper Series
Warsaw University of Life Sciences, Department of Econometrics and Statistics, Warsaw University of Life Sciences, Department of Econometrics and Statistics and City University of New York, CUNY City College of New York - Department of Economics
Downloads 385
34.

Multivariate Linear and Non-Linear Causality Tests

Number of pages: 25 Posted: 22 May 2009 Last Revised: 22 Jul 2010
Working Paper Series
Northeast Normal University, Columbia University-Department of BioStatistics and Asia University, Department of Finance
Downloads 385
35.

Express Measurement of Market Volatility Using Ergodicity Concept

Number of pages: 15 Posted: 21 Jul 2016 Last Revised: 23 Jul 2016
Working Paper Series
Algostox Trading
Downloads 360
36.

Causality Networks of Financial Assets

Journal of Network Theory in Finance, Volume 3, Issue 2, pp 17-67, June 2017, DOI: 10.21314/JNTF.2017.029
Number of pages: 73 Posted: 22 Dec 2016 Last Revised: 20 Jul 2017
Accepted Paper Series
Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, Monash University - Department of Econometrics & Business Statistics, Financial Network Analytics Ltd and California Institute of Technology
Downloads 351
37.

The Effects of Mobile Apps on Shopper Purchases and Product Returns

Mays Business School Research Paper No. 2878903
Number of pages: 51 Posted: 02 Dec 2016
Working Paper Series
Texas A&M University (TAMU), Mays Business School, Business Administration - Marketing, Students and Texas A&M University - Mays Business School
Downloads 347
38.

The Causal Effect of Education on Obesity: Evidence from Compulsory Schooling Laws

Number of pages: 66 Posted: 14 Nov 2009 Last Revised: 22 Nov 2009
Working Paper Series
HealthCore, Inc.
Downloads 343
39.

The Relationship between Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates: A Panel VAR Approach and Causality Analysis

International Journal of Applied Economics (Forthcoming)
Number of pages: 47 Posted: 16 Dec 2014
Accepted Paper Series
affiliation not provided to SSRN
Downloads 341
40.

The US Housing Bubble and the Informational Efficiency

Number of pages: 5 Posted: 27 Aug 2008
Working Paper Series
University of Siena - Department of Economics
Downloads 330
41.

Advances in Forecasting Under Instability

Economic Research Initiatives at Duke (ERID) Working Paper No. 111
Number of pages: 141 Posted: 28 Sep 2011 Last Revised: 27 Sep 2013
Accepted Paper Series
Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 329
42.

Asymmetric Dependence Patterns in Financial Time Series

European Journal of Finance, 2008
Number of pages: 31 Posted: 03 Dec 2008
Working Paper Series
University of St. Gallen - School of Finance and Independent
Downloads 322
43.

Identifying Jumps in Financial Assets: A Comparison between Nonparametric Jump Tests [Extended Version]

Journal of Business and Economic Statistics, Forthcoming
Number of pages: 44 Posted: 15 Oct 2011
Accepted Paper Series
University of Surrey, School of Economics and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy
Downloads 320
44.

Efficient and Feasible Inference for the Components of Financial Variation Using Blocked Multipower Variation

Number of pages: 44 Posted: 21 Feb 2012
Working Paper Series
University of Chicago - Department of Statistics, Harvard University and University of Oxford - Department of Economics
Downloads 318
45.

Value-at-Risk Forecasting Ability of Filtered Historical Simulation for Non-Normal GARCH Returns

Midwest Finance Association 2013 Annual Meeting Paper
Number of pages: 45 Posted: 22 Aug 2012 Last Revised: 22 Jan 2013
Working Paper Series
University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management
Downloads 317
46.

Value-at-Risk Prediction in R with the GAS Package

Number of pages: 10 Posted: 17 Nov 2016 Last Revised: 06 Dec 2016
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Aarhus - School of Business and Social Sciences
Downloads 305
47.

Efficient Markets Hypothesis: A False Prophecy. Black-Scholes-Merton Formula: A Parlor Trick. Risk-Neutral Pricing Models: Severe Malpractices.

Number of pages: 6 Posted: 14 Feb 2015 Last Revised: 25 Jun 2016
Working Paper Series
affiliation not provided to SSRN
Downloads 298
48.

An Application of the Two-Stage Bivariate Probit-Tobit Model to Corporate Financing Decisions

Number of pages: 32 Posted: 27 Sep 2009
Working Paper Series
University of Hartford - Department of Economics, Finance & Insurance and Central Connecticut State University - Department of Finance
Downloads 297
49.

Econometric Analysis of Multivariate Realised QML: Estimation of the Covariation of Equity Prices under Asynchronous Trading

Chicago Booth Research Paper No. 12-14
Number of pages: 53 Posted: 26 Apr 2012 Last Revised: 05 Dec 2016
Working Paper Series
Harvard University and University of Chicago - Booth School of Business
Downloads 287
50.

A New Measure of Earnings Forecast Uncertainty: Theory and Evidence

Number of pages: 44 Posted: 28 Aug 2010 Last Revised: 22 Oct 2010
Working Paper Series
American University and Florida Atlantic University
Downloads 280