Search Results
JEL Code: C22

1,020,763 Total downloads

Viewing: 1 - 50 of 5,310 papers

1.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 26,881
2.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 19,714
3.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 16,310
4.

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 - Miami Herbert Business School and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,110
5.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 11,564
6.

Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site

Robert H. Smith School Research Paper No. RHS 06-065
Number of pages: 49 Posted: 08 May 2008 Last Revised: 19 Jun 2014
Working Paper Series
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Downloads 10,864
7.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 10,373
8.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,997
9.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 6,904
10.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 6,742
11.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Working Paper Series
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 6,288
12.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 5,804
13.

Bitcoin Spreads Like a Virus

Number of pages: 20 Posted: 23 Apr 2019 Last Revised: 23 Dec 2019
Working Paper Series
Cane Island Alternative Advisors
Downloads 5,684
14.

Lucky Factors

Number of pages: 90 Posted: 22 Nov 2014 Last Revised: 17 Oct 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 5,572
15.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 4,946
16.

Machine Learning in Asset Management

Number of pages: 53 Posted: 18 Jul 2019 Last Revised: 09 Aug 2019
Working Paper Series
FirmAI, UoA, NYU FRE
Downloads 3,902
17.

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Journal of the Operational Research Society (2015) 66, 1352–1362,
Number of pages: 25 Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads 3,504
18.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,478
19.

Energy Shocks and Financial Markets

Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38 Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales, Sydney and Vanderbilt University - Finance
Downloads 3,459
20.

LIBOR Manipulation?

Number of pages: 49 Posted: 05 Aug 2008 Last Revised: 11 Aug 2008
Working Paper Series
Global Economics Group, LLC, affiliation not provided to SSRN, Moody's Investors Service and Milgard School of Business, UWT
Downloads 3,278
21.

Testing Weak-Form Efficiency of the Russian Stock Market

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Mar 2002
Working Paper Series
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Downloads 3,113
22.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,110
23.

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 3,099
24.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,049
25.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Working Paper Series
Duke University - Finance
Downloads 2,933
26.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 2,923
27.

Testing the Fama and French Three-Factor Model and its Variants for the Indian Stock Returns

Number of pages: 35 Posted: 11 Dec 2006
Working Paper Series
affiliation not provided to SSRN
Downloads 2,910
28.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,888
29.

Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 12 Oct 2009 Last Revised: 18 Dec 2010
Accepted Paper Series
Smurfit Graduate Business School, University College Dublin, University of Technology Sydney (UTS) and Sociovestix Labs - a DFKI spin-off
Downloads 2,842
30.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 2,806
31.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads 2,784
32.

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 2,782
33.

Multifractality of Deutschemark / Us Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,739
34.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
University of Pisa - Department of Economics
Downloads 2,716
35.

Brexit and Foreign Investment in the UK

Number of pages: 27 Posted: 07 May 2016
Working Paper Series
University of Warwick - Warwick Business School and Aston University
Downloads 2,706
36.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Working Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,662
37.

Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

EFMA 2004 Basel Meetings Paper
Number of pages: 29 Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads 2,571
38.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999
Working Paper Series
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,484
39.

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Number of pages: 53 Posted: 30 Aug 2006 Last Revised: 02 Sep 2011
Working Paper Series
Imperial College Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,417
40.

The Impact of Fii Regulations in India: A Time-Series Intervention Analysis of Equity Flows

Money & Finance Money & Finance, ICRA Bulletin,Vol. 2, No. 18, pp 54-83, July-December 2004
Number of pages: 30 Posted: 14 Jul 2005
Accepted Paper Series
ICRA Ltd and Indian Statistical Institute, New Delhi - Economic Research Unit
Downloads 2,371
41.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,337
42.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 2,324
43.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 2,319
44.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,199
45.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 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 2,129
46.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266
Number of pages: 50 Posted: 13 May 2000 Last Revised: 26 Aug 2019
Accepted Paper Series
Cyprus University of Technology
Downloads 2,125
47.

Macroeconomic Factors and Stock Market Movement: Evidence from Ghana

Number of pages: 26 Posted: 26 Oct 2008 Last Revised: 16 Mar 2009
Working Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads 2,116
48.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
Working Paper Series
Saint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,108
49.

The Contribution of Tourism to Economic Growth: An Empirical Analysis for the Case of Chile

European Journal of Tourism Research, Vol. 2, No. 2, pp. 178-185, 2009
Number of pages: 5 Posted: 10 Nov 2008 Last Revised: 16 Jun 2011
Accepted Paper Series
University of Siena - Department of Economics and Universidad de la República
Downloads 2,060
50.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6 Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies
Downloads 2,012