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JEL Code: C14

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1.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 11,708
2.

Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers

IGIER Working Paper No. 552
Number of pages: 64 Posted: 07 Jul 2015 Last Revised: 21 Oct 2017
Working Paper Series
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Downloads 11,597
3.

Mutual Fund Performance

Number of pages: 86 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 6,371
4.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,773
5.

The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Number of pages: 74 Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads 3,437
6.

The Omega Measure: Hedge Fund Portfolio Optimization

Number of pages: 45 Posted: 05 Feb 2003
Working Paper Series
University of Lausanne and Universite de Lausanne
Downloads 3,423
7.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 2,988
8.

A New Look at Minimum Variance Investing

Number of pages: 23 Posted: 24 Sep 2010
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads 2,823
9.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 2,822
10.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,819
11.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
Working Paper Series
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah and New York University
Downloads 2,792
12.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads 2,737
13.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,725
14.

Credit Risk Versus Capital Requirements Under Basel Ii: Are SME Loans and Retail Credit Really Different?

Journal of Financial Services Research, Forthcoming
Number of pages: 29 Posted: 18 Feb 2004
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank
Downloads 2,341
15.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,302
16.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,029
17.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Number of pages: 146 Posted: 29 Feb 2016 Last Revised: 13 Feb 2017
Working Paper Series
Stanford University - Department of Political Science, Princeton University and University of California, San Diego
Downloads 2,021
18.

Recovering Risk-Neutral Densities: A New Nonparametric Approach

EFA 2000
Number of pages: 61 Posted: 19 Oct 2000
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 1,925
19.

The Real Effects of Financial Markets: The Impact of Prices on Takeovers

Journal of Finance 67(3), 933-971, June 2012
Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 04 Jun 2014
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics
Downloads 1,859
20.

The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach

Number of pages: 69 Posted: 29 Apr 2008 Last Revised: 31 Jan 2010
Working Paper Series
Nova School of Business and Economics, Nova School of Business and Economics and Pennsylvania State University - Department of Economics
Downloads 1,841
21.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Working Paper Series
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,806
22.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,756
23.

Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions

Number of pages: 40 Posted: 04 Feb 2010
Working Paper Series
De Nederlandsche Bank
Downloads 1,687
24.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 1,614
25.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,579
26.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Downloads 1,569
27.

Riding Bubbles

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 80 Posted: 17 Mar 2008 Last Revised: 18 Mar 2010
Working Paper Series
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society

Multiple version iconThere are 2 versions of this paper

Downloads 1,561
28.

Economic Characteristics, Corporate Governance, and the Influence of Compensation Consultants on Executive Pay Levels

Rock Center for Corporate Governance Working Paper No. 15, Review of Accounting Studies, Vol. 17, No. 2, June 2012
Number of pages: 62 Posted: 15 Jun 2008 Last Revised: 12 Sep 2013
Accepted Paper Series
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and Stanford University - Graduate School of Business
Downloads 1,534
29.

Robust Standard Error Estimation in Fixed-Effects Panel Models

Number of pages: 30 Posted: 30 Sep 2004
Working Paper Series
Central European University (CEU) - Department of Economics
Downloads 1,524
30.

Bank Relationships: A Review

Number of pages: 37 Posted: 11 Dec 1998
Working Paper Series
University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,454
31.

A Study on the Association between Brand Awareness and Consumer/Brand Loyalty for the Packaged Milk Industry in Pakistan

South Asian Journal of Management Sciences (SAJMS), Vol.5, No.1.
Number of pages: 11 Posted: 22 Oct 2010 Last Revised: 17 Feb 2011
Accepted Paper Series
Office of Research, Innovation & Commercialization - ORIC and Iqra University Research Centre - IURC
Downloads 1,451
32.

Robust and Practical Estimation for Measures of Tail Risk

Number of pages: 50 Posted: 02 Jun 2014
Working Paper Series
Independent
Downloads 1,426
33.

A Survey of the Literature on Hedge Fund Performance

Number of pages: 58 Posted: 04 Dec 2004
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads 1,425
34.

Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches

African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584 ,
Number of pages: 13 Posted: 26 Apr 2013
Accepted Paper Series
Istanbul Commerce University and Kırklareli University
Downloads 1,407
35.

Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation

Number of pages: 70 Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads 1,401
36.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
Independent and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 1,399
37.

Estimating Probabilities of Default for Low Default Portfolios

Number of pages: 24 Posted: 27 Dec 2004
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Downloads 1,392
38.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,381
39.

A Cold Shower for the Hot Hand Fallacy

IGIER Working Paper No. 518
Number of pages: 70 Posted: 15 Jun 2014 Last Revised: 07 Jul 2015
Working Paper Series
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Downloads 1,336
40.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
Working Paper Series
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,226
41.

Improving the Comparability of Insolvency Predictions (Verbesserung Der Vergleichbarkeit Von Schaetzgueteergebnissen Von Insolvenzprognosestudien) (German Version)

Dresden Economics Discussion Paper Series No. 08/05
Number of pages: 149 Posted: 08 Jun 2005
Working Paper Series
affiliation not provided to SSRN
Downloads 1,172
42.

Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,171
43.

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

Centre for Research in Financial Services Working Paper No. 99-01
Number of pages: 30 Posted: 11 Feb 1999
Working Paper Series
University of California at Irvine - The Paul Merage School of Business
Downloads 1,170
44.

Testing and Detecting Jumps Based on a Discretely Observed Process

Number of pages: 39 Posted: 06 Jan 2009 Last Revised: 06 Jan 2009
Working Paper Series
University of Southern California - Marshall school of Business and Princeton University - Bendheim Center for Finance
Downloads 1,154
45.

Multivariate and Propensity Score Matching Software with Automated Balance Optimization: The Matching Package for R

Journal of Statistical Software, Forthcoming
Number of pages: 47 Posted: 29 May 2008
Accepted Paper Series
UC Berkeley
Downloads 1,146
46.

Total Factor Productivity Estimation: A Practical Review

LICOS Discussion Paper No. 182/2007
Number of pages: 45 Posted: 02 Aug 2007 Last Revised: 16 Feb 2009
Working Paper Series
KULeuven, Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,146
47.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
Working Paper Series
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 1,139
48.

Filtered Market Statistics and Technical Trading Rules

Number of pages: 30 Posted: 05 May 2013
Working Paper Series
Flexible Plan Investments, Ltd.
Downloads 1,128
49.

Basic Concepts in Statistics (Spanish Version)

Number of pages: 49 Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,122
50.

Default Predictors and Credit Scoring Models for Retail Banking

CESifo Working Paper Series No. 2862
Number of pages: 53 Posted: 07 Dec 2009
Working Paper Series
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - CERGE-EI (Center for Economic Research and Graduate Education - Economics Institute)
Downloads 1,120