1.
Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers
Miller, J. B., & Sanjurjo, A. (2018). Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica, Vol. 86, No.6, pp. 2019–2047,
Number of pages: 42
Posted: 07 Jul 2015
Last Revised: 17 Dec 2018
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
16,851
2.
Modelling Operational Risk
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23
Posted: 11 Dec 2001
Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads
5,494
3.
The Quantification of Operational Risk
Number of pages: 38
Posted: 30 Dec 2003
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Basel
There are 2 versions of this paper
The Quantification of Operational Risk
Journal of Risk, Vol. 8, No. 1, Fall 2005
Posted: 08 Nov 2005
Downloads
3,929
4.
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
3,729
5.
ARCH, GARCH and EGARCH Models: Applications to Financial Series
Cuadernos de Economía, Vol. 27, No. 48, 2008,
Number of pages: 33
Posted: 27 Aug 2008
Accepted Paper Series
Universidad de los Andes, Colombia - Department of Economics and National University of Colombia
Downloads
3,055
6.
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15
Posted: 18 Nov 2002
Last Revised: 15 Feb 2011
Accepted Paper Series
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics
There are 2 versions of this paper
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15
Posted: 18 Nov 2002
Last Revised: 15 Feb 2011
Downloads
2,283
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, Spring 2003
Posted: 18 Jun 2003
Downloads
2,283
7.
A Simple Model of Credit Contagion
EFA 2004 Maastricht Meetings
Number of pages: 55
Posted: 05 Jan 2004
Last Revised: 18 Dec 2008
Working Paper Series
University of Zurich - Department of Banking and Finance, QuantAlea GmbH and University of Basel
Downloads
2,057
8.
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
1,723
9.
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals
Number of pages: 46
Posted: 26 Aug 2009
Last Revised: 27 Feb 2010
Working Paper Series
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
1,690
10.
Quanto Pricing with Copulas
University of Warwick Statistics Department Research Report No. 415
Number of pages: 44
Posted: 25 Jul 2003
Working Paper Series
Merrill Lynch, UK and University of Warwick - Department of Statistics
Downloads
1,666
11.
From Operational Risk to Operational Excellence
Number of pages: 18
Posted: 20 Jul 2003
Working Paper Series
University of Basel, University of Zurich - Department of Banking and Finance and Swiss National Bank, International Monetary Relations
Downloads
1,665
12.
The Model Confidence Set
Number of pages: 41
Posted: 30 Mar 2004
Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads
1,563
13.
Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options
Number of pages: 15
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and University College London
Downloads
1,501
14.
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
1,447
15.
Foreign Direct Investment and Macroeconomic Factors: Evidence From the Indian Economy
Asia-Pacific Journal of Management Research and Innovation, 2015, Vol. 11 No. 01, pp. 46-56
Number of pages: 12
Posted: 19 Nov 2012
Last Revised: 01 May 2015
Accepted Paper Series
University of Delhi India - Delhi School of Economics - Department of Commerce, Hansraj College, University of Delhi and University of Delhi - Department of Commerce
Downloads
1,385
16.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
Bommarito Consulting, LLC, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
1,270
17.
Confidence Intervals for Cronbach's Coefficient Alpha Values
ERIM Report Series Reference No. ERS-2003-041-MKT
Number of pages: 47
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,221
18.
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Number of pages: 43
Posted: 02 Nov 1999
Working Paper Series
State University of New York at Buffalo - Department of Economics and SUNY at Buffalo, College of Arts & Sciences, Department of Economics
There are 2 versions of this paper
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Number of pages: 43
Posted: 02 Nov 1999
Downloads
1,197
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Journal of Law & Economics, Vol. 42, No. 1, pp. 455-87, April 1999
Number of pages: 34
Posted: 07 Feb 2007
Downloads
542
Downloads
1,197
19.
Using Machine Learning to Predict Outcomes in Tax Law
Number of pages: 23
Posted: 20 Oct 2016
Last Revised: 19 Dec 2017
Working Paper Series
University of Toronto - Faculty of Law, University of Toronto - Faculty of Law and University of Toronto - Faculty of Law
Downloads
1,151
20.
The Structure of the Toyota Supply Network: An Empirical Analysis
Saïd Business School WP 2014-3,
Number of pages: 24
Posted: 23 Mar 2014
Last Revised: 18 Feb 2017
Working Paper Series
University of Oxford - Said Business School, Cranfield University, Said Business School and University of Oxford - Said Business School
Downloads
1,129
21.
New and Robust Drift Approximations for the Libor Market Model
Number of pages: 17
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads
1,100
22.
Option Pricing and the Dirichlet Problem
Number of pages: 5
Posted: 20 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
1,037
23.
Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives
Number of pages: 14
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads
1,027
24.
Effective Implementation of Generic Market Models
Number of pages: 16
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and UBM - Financial Risks
Downloads
959
25.
The Rasch Model to Measure Service Quality
UNIMI Economics Working Paper No. 27.2003
Number of pages: 18
Posted: 23 Dec 2004
Working Paper Series
University of Milan - Department of Business Policy and Economics (DEPA), Universita degli Studi di Milano and Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica
Downloads
955
26.
Risk Aversion and Skewness Preference: A Comment
ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19
Posted: 23 Feb 2006
Working Paper Series
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
934
27.
Business and Default Cycles for Credit Risk
Tinbergen Institute Discussion Paper No. 03-062/2
Number of pages: 23
Posted: 29 Sep 2003
Working Paper Series
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads
914
28.
Portfolio Optimization with Respect to Risk Diversification
Number of pages: 7
Posted: 16 Nov 2008
Working Paper Series
HQ Trust GmbH
Downloads
877
29.
The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box
Number of pages: 61
Posted: 24 Nov 2006
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads
839
30.
Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs
Number of pages: 10
Posted: 13 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
834
31.
Sell in May and Go Away in the Equity Index Futures Markets
Number of pages: 8
Posted: 24 Jan 2016
Working Paper Series
Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business
Downloads
815
32.
Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy
Number of pages: 15
Posted: 24 Jan 2017
Working Paper Series
The Open University of Hong Kong
Downloads
779
33.
Value-at-Risk Model Risk
Number of pages: 24
Posted: 09 Feb 2011
Working Paper Series
University of Sussex Business School and University of Cantabria - Department of Economics
Downloads
768
34.
An Intuitive Guide to Wavelets for Economists
Bank of Finland Research Discussion Paper No. 1/2005
Number of pages: 71
Posted: 30 Aug 2005
Working Paper Series
Texas A&M University - Corpus Christi
Downloads
767
35.
Building Trust in Ecommerce - Quantitative Analysis
Number of pages: 27
Posted: 23 Dec 2004
Working Paper Series
The Polish National Film, Television and Theatre School
Downloads
765
36.
A Formative Model for Measuring Customer Satisfaction with a Degree Course
UNIMI Economics Working Paper No. 23.2003
Number of pages: 16
Posted: 14 Jan 2005
Working Paper Series
Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica and Universita degli Studi di Milano
Downloads
733
37.
Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments
IMF Working Paper No. 06/283
Number of pages: 52
Posted: 12 Jan 2007
Working Paper Series
International Monetary Fund (IMF) - Monetary and Financial Systems Department and Universidad Nacional Autónoma de México (UNAM)
Downloads
733
38.
Implied Volatility from Asian Options Via Monte Carlo Methods
Number of pages: 33
Posted: 19 Jan 2007
Last Revised: 03 Jan 2008
Working Paper Series
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
There are 2 versions of this paper
Implied Volatility from Asian Options Via Monte Carlo Methods
Number of pages: 33
Posted: 19 Jan 2007
Last Revised: 03 Jan 2008
Downloads
720
Implied Volatility from Asian Options Via Monte Carlo Methods
International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 153-178, 2009
Posted: 02 Dec 2009
Downloads
720
39.
Optimal Credit Limit Management Under Different Information Regimes
Number of pages: 29
Posted: 12 Oct 2003
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Basel and Zurich Cantonal Bank
Downloads
711
40.
A Mathematical Approach to the Study of the United States Code
Physica A, Vol. 389, 2010
Number of pages: 6
Posted: 29 Mar 2010
Last Revised: 02 Aug 2012
Accepted Paper Series
Bommarito Consulting, LLC and Illinois Tech - Chicago Kent College of Law
Downloads
683
41.
Concept and Mathematics of Islamic Financial Engineering
8th International Conference on Islamic Economics and Finance,
20 December 2011, Doha, Qatar
Number of pages: 21
Posted: 06 Aug 2012
Last Revised: 08 Aug 2012
Working Paper Series
Institute of Applied Mathematics, Middle East Technical University and ENAMEC Institute
Downloads
680
42.
Choosing the Best Volatility Models: The Model Confidence Set Approach
Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Number of pages: 26
Posted: 22 May 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Economics and Management and North Carolina State University - Department of Economics
Downloads
663
43.
Determinants of Islamic Bond (Sukuk): Evidence in Malaysia
Number of pages: 23
Posted: 18 Aug 2013
Last Revised: 19 Aug 2013
Working Paper Series
Universiti Putra Malaysia, Universiti Sains Islam Malaysia (USIM) and Universiti Sains Islam Malaysia (USIM)
Downloads
623
44.
Visualization of Chaos for Finance Majors
Adelaide University Working Paper No. 00-7
Number of pages: 31
Posted: 07 Jan 2001
Working Paper Series
University of California at Irvine - The Paul Merage School of Business
Downloads
622
45.
Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure
Bank of Italy Economic Research Paper No. 602
Number of pages: 55
Posted: 06 Oct 2006
Working Paper Series
Bank of Italy and Bank of Italy
Downloads
594
46.
Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation
EFA 2003 Annual Conference Paper No. 211; Vrije University Finance Working Paper
Number of pages: 31
Posted: 27 Jul 2003
Working Paper Series
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and UBS AG
Downloads
575
47.
Beyond ‘Bayesian vs. VaR’ Dilemma to Empirical Model Risk Management: How to Manage Risk (After Risk Management Has Failed) for Hedge Funds
Number of pages: 50
Posted: 16 Dec 2014
Last Revised: 17 Apr 2015
Working Paper Series
Global Risk Management Network, LLC
Downloads
523
48.
Exploring the CDS-Bond Basis
National Bank of Belgium Working Paper No. 104
Number of pages: 41
Posted: 07 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
518
49.
Who and How Should Build the Trust in Ecommerce? Research of Polish Internet Shops
Number of pages: 12
Posted: 16 Feb 2005
Working Paper Series
The Polish National Film, Television and Theatre School
Downloads
515
50.
Do U.S. Financial Regulators Listen to the Public? Testing the Regulatory Process with the RegRank Algorithm
Robert H. Smith School Research Paper
Number of pages: 20
Posted: 12 Jan 2014
Last Revised: 30 Jun 2014
Working Paper Series
University of Cambridge - Finance, Cornell University and University of Michigan at Ann Arbor
Downloads
511
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