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JEL Code: C01

94,962 Total downloads

Viewing: 1 - 50 of 659 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
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,211
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
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads 3,774
3.

Markov-Switching GARCH Models in R: The MSGARCH Package

Journal of Statistical Software, Forthcoming
Number of pages: 39 Posted: 02 Oct 2016 Last Revised: 14 Apr 2019
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Ghent University, Aarhus University - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 3,147
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 Cornell University - Operations Research & Industrial Engineering
Downloads 3,073
5.

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 2,915
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
Cornell University - Operations Research & Industrial Engineering
Downloads 2,259
7.

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 2,242
8.

NETS: Network Estimation for Time Series

Number of pages: 35 Posted: 14 Apr 2013 Last Revised: 19 Oct 2018
Working Paper Series
London School of Economics and Political Science and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,186
9.

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
Independent, VU Amsterdam - School of Business and Economics and VU Amsterdam - School of Business and Economics
Downloads 1,738
10.

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 1,591
11.

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 1,528
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
Monash University-Gippsland Campus and University Sultan Zainal Abidin
Downloads 1,240
13.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,224
14.

A Value-Added Ranking of Law Schools

AccessLex Institute Research Paper No. 18-05
Number of pages: 23 Posted: 28 Jun 2015 Last Revised: 18 Sep 2018
Accepted Paper Series
Roger Williams University School of Law
Downloads 1,188
15.

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 1,188
16.

Portfolio Oversight: An Evolutionary Approach

Number of pages: 50 Posted: 08 Nov 2012 Last Revised: 26 May 2014
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,081
17.

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, Aarhus University - School of Economics and Management and Harvard University
Downloads 849
18.

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 829
19.

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 794
20.

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 755
21.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 01 Jun 2018
Working Paper Series
National University of Singapore (NUS) - Department of Mathematics, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 746
22.

A Network Formation Model Based on Subgraphs

Number of pages: 101 Posted: 09 Oct 2015 Last Revised: 10 Jul 2018
Working Paper Series
Stanford University - Department of Economics and Stanford University - Department of Economics
Downloads 731
23.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering and New York University (NYU) - NYU Tandon School of Engineering
Downloads 679
24.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
Accepted Paper Series
University of Neuchatel - Institute of Financial Analysis, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 669
25.

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 626
26.

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 558
27.

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 548
28.

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 526
29.

Express Measurement of Market Volatility Using Ergodicity Concept

Number of pages: 14 Posted: 21 Jul 2016 Last Revised: 10 Jun 2018
Working Paper Series
Algostox Trading
Downloads 521
30.

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 518
31.

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 516
32.

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 505
33.

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 499
34.

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 469
35.

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 455
36.

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

Number of pages: 25 Posted: 01 Jun 2008
Working Paper Series
UNSW Australia Business School, School of Economics
Downloads 447
37.

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 446
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 441
39.

Indian Stock Market: Functions and Importance

Journal of Social Reality, Vol. 4, No. 4, ISSN - 0976-3422
Number of pages: 5 Posted: 05 May 2015
Accepted Paper Series
Noida International University
Downloads 438
40.

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 434
41.

The Impact of Tether Grants on Bitcoin

Number of pages: 11 Posted: 14 Jun 2018
Working Paper Series
University of Queensland - Faculty of Business, Economics and Law
Downloads 426
42.

The Distribution of Returns

Number of pages: 40 Posted: 27 Aug 2016 Last Revised: 15 Aug 2017
Working Paper Series
University of Providence
Downloads 416
43.

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 411
44.

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 399
45.

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 393
46.

Note-Taking Mode and Academic Performance in Two Law School Courses

Number of pages: 24 Posted: 09 Mar 2018 Last Revised: 24 Apr 2018
Working Paper Series
Roger Williams University School of Law, Roger Williams University School of Law and Roger Williams University - Department of Mathematics
Downloads 377
47.

Dynamic Heterogeneity

Number of pages: 52 Posted: 13 Feb 2017 Last Revised: 20 Jan 2019
Working Paper Series
University of Pennsylvania - Marketing Department, Columbia Business School - Marketing and Cheung Kong Graduate School of Business
Downloads 363
48.

Machine Learning in Energy Economics and Finance: A Review

Number of pages: 57 Posted: 15 Nov 2018
Working Paper Series
Stevens Institute of Technology, School of Business, Stevens Institute of Technology - School of Business and Sharif University of Technology - Graduate School of Management and Economics
Downloads 363
49.

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 354
50.

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 353