SSRN JEL Code: C01

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

Marcos Lopez de Prado and David Leinweber

Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory

Downloads 4,541

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

Marcos Lopez de Prado and Matthew Foreman

Guggenheim Partners, LLC and University of California, Irvine

Downloads 3,197

3.

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

David H. Bailey and Marcos Lopez de Prado

Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC

Downloads 2,406

4.

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

Todd A. Gormley and David A. Matsa

Washington University in St. Louis and Northwestern University - Kellogg School of Management

Downloads 2,403

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

James H. Stock and Motohiro Yogo

Harvard University - Department of Economics and Princeton University - Department of Economics

There are 2 versions of this paper

Downloads 2,048

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

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 1,693

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

Rogier J.D. Potter van Loon, Martijn J. van den Assem and Dennie van Dolder

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), VU University Amsterdam - Faculty of Economics and Business Administration and Nottingham School of Economics - University of Nottingham

Downloads 1,634

8.

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

Number of pages: 13 Posted: 25 Feb 2009

Working Paper Series

Naresh Kumar and Alina Fodea

CSIR - New Delhi - National Institute of Science, Technology & Development Studies (NISTADS) and affiliation not provided to SSRN

Downloads 1,565

9.

NETS: Network Estimation for Time Series

Number of pages: 50 Posted: 14 Apr 2013 Last Revised: 15 Jan 2017

Working Paper Series

Matteo Barigozzi and Christian T. Brownlees

London School of Economics and Political Science and Universitat Pompeu Fabra - Department of Economics and Business

Downloads 1,521

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

Mohd Naved

Noida International University

Downloads 1,501

11.

Tractable and Consistent Random Graph Models

Number of pages: 61 Posted: 25 Oct 2012 Last Revised: 25 Jun 2014

Working Paper Series

Arun G. Chandrasekhar and Matthew O. Jackson

Stanford University - Department of Economics and Stanford University - Department of Economics

There are 2 versions of this paper

Downloads 1,129

12.

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

Roshaiza Taha and Nanthakumar Loganathan

Monash University-Gippsland Campus and University Sultan Zainal Abidin

Downloads 1,054

13.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014

Working Paper Series

Marcos Lopez de Prado

Guggenheim Partners, LLC

Downloads 935

14.

Realised Kernels in Practice: Trades and Quotes

Number of pages: 32 Posted: 28 May 2008

Working Paper Series

Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, Asger Lunde and Neil Shephard

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 804

15.

Carbon Price Drivers: An Updated Literature Review

Number of pages: 9 Posted: 17 Apr 2011

Working Paper Series

Julien Chevallier

University of Paris 8 Vincennes-Saint Denis

Downloads 726

16.

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

Jonah B. Gelbach

University of Pennsylvania Law School

Downloads 714

17.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 29 Posted: 02 Oct 2016 Last Revised: 23 Jan 2017

Working Paper Series

David Ardia, Keven Bluteau, Kris Boudt and Denis-Alexandre Trottier

University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and Laval University

Downloads 638

18.

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

Muhamad Abduh, Mohd Azmi Omar and Jarita Duasa

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 603

19.

Generalized Autoregressive Score Models in R: The GAS Package

Number of pages: 26 Posted: 21 Aug 2016 Last Revised: 09 Sep 2016

Working Paper Series

David Ardia, Kris Boudt and Leopoldo Catania

University of Neuchatel - Institute of Financial Analysis, Vrije Universiteit Brussel (VUB) and University of Rome, Tor Vergata - Department of Economics and Finance

Downloads 550

20.

A Network Formation Model Based on Subgraphs

Number of pages: 93 Posted: 09 Oct 2015 Last Revised: 23 Nov 2016

Working Paper Series

Arun G. Chandrasekhar and Matthew O. Jackson

Stanford University - Department of Economics and Stanford University - Department of Economics

Downloads 520

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

Kurt Jetta and Erick W. Rengifo

TABS Group and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

There are 2 versions of this paper

Downloads 484

22.

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

M. R. Suryanarayana Murthy and Ullas Rao

University of Mysore - Department of Commerce and SDM Institute For Management Development

There are 2 versions of this paper

Downloads 480

23.

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

Mohd Naved

Noida International University

Downloads 473

24.

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

Emre Soyer and Robin M. Hogarth

Universitat Pompeu Fabra and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Downloads 472

25.

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

Ngoc Anh Vo Thi and Dev V. Vencappa

Université Paris X Nanterre and Nottingham University Business School

Downloads 450

26.

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

Jianqing Fan, Michael B. Imerman and Wei Dai

Princeton University - Bendheim Center for Finance, Lehigh University and Princeton University - Department of Operations Research & Financial Engineering (ORFE)

Downloads 438

27.

Matching Methods in Practice: Three Examples

IZA Discussion Paper No. 8049

Number of pages: 67 Posted: 29 Mar 2014

Working Paper Series

Guido W. Imbens

Stanford Graduate School of Business

There are 2 versions of this paper

Downloads 432

28.

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

Sjur Westgaard, Stein Frydenberg, Knut W. Mitter and Erik Folkeson Jensen

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 422

29.

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

Number of pages: 25 Posted: 01 Jun 2008

Working Paper Series

Gigi Foster

University of New South Wales

Downloads 399

30.

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564

Number of pages: 55 Posted: 12 Aug 2013

Working Paper Series

Marta Banbura, Domenico Giannone, Michele Modugno and Lucrezia Reichlin

European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School

There are 2 versions of this paper

Downloads 397

31.

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

Michael Sherris and Carolyn Njenga

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 387

32.

Multivariate Linear and Non-Linear Causality Tests

Number of pages: 25 Posted: 22 May 2009 Last Revised: 22 Jul 2010

Working Paper Series

Zhidong Bai, Bingzhi Zhang and Wing-Keung Wong

Northeast Normal University, Columbia University-Department of BioStatistics and Asia University, Department of Finance

Downloads 382

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

Boleslaw Borkowski, Monika Krawiec and Yochanan Shachmurove

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 369

34.

A Three Line Proof that OLS is BLUE

Number of pages: 2 Posted: 04 May 2012

Working Paper Series

Halbert L. White, Jr. and Jin Seo Cho

University of California, San Diego (UCSD) - Department of Economics and Yonsei University - Department of Economics

Downloads 363

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

Jack Sarkissian

Algostox Trading

Downloads 352

36.

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

Michael Grabner

HealthCore, Inc.

Downloads 334

37.

The US Housing Bubble and the Informational Efficiency

Number of pages: 5 Posted: 27 Aug 2008

Working Paper Series

Wiston Adrián Risso

University of Siena - Department of Economics

Downloads 330

38.

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

Anthony N. Rezitis

affiliation not provided to SSRN

Downloads 327

39.

Asymmetric Dependence Patterns in Financial Time Series

European Journal of Finance, 2008

Number of pages: 31 Posted: 03 Dec 2008

Working Paper Series

Manuel Ammann and Stephan Süss

University of St. Gallen - School of Finance and Independent

Downloads 315

40.

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

Ana-Maria H. Dumitru and Giovanni Urga

University of Surrey, School of Economics and Cass Business School, Faculty of Finance, London, UK and Bergamo University, Italy

Downloads 314

41.

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

Stavros Stavroglou, Athanasios A. Pantelous, Kimmo Soramaki and Konstantin Zuev

Department of Mathematical Sciences and Institute for Risk and Uncertainty, University of Liverpool, UK, University of Liverpool, Department of Mathematical Sciences and Institute for Risk and Uncertainty, Financial Network Analytics Ltd and California Institute of Technology

Downloads 313

42.

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

Christopher J. Adcock, Nelson Areal and Benilde Oliveira

University of Sheffield - School of Management, University of Minho - School of Economics and Management and University of Minho - School of Economics and Management

Downloads 312

43.

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

Barbara Rossi

Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)

Downloads 311

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

Per A. Mykland, Neil Shephard and Kevin Sheppard

University of Chicago - Department of Statistics, Harvard University and University of Oxford - Department of Economics

Downloads 300

45.

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

Truc Le

affiliation not provided to SSRN

Downloads 295

46.

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

Carmen Cotei and Joseph B. Farhat

University of Hartford - Department of Economics, Finance & Insurance and Central Connecticut State University - Department of Finance

Downloads 293

47.

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

Neil Shephard and Dacheng Xiu

Harvard University and University of Chicago - Booth School of Business

Downloads 285

48.

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

Unnati Narang and Venkatesh Shankar

Texas A&M University (TAMU), Mays Business School, Business Administration - Marketing, Students and Texas A&M University - Mays Business School

Downloads 281

49.

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

Xuguang Simon Sheng and Maya Thevenot

American University and Florida Atlantic University

Downloads 277

50.

Synthetic Floating Crude Oil Storage and Optimal Statistical Arbitrage: A Model Specification Analysis

Number of pages: 36 Posted: 24 Sep 2011

Working Paper Series

Andrea Bucca and Mark Cummins

affiliation not provided to SSRN and Dublin City University Business School

Downloads 273

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