SSRN JEL Code: C41

1.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999

Working Paper Series

David X. Li

AIG Asset Management

There are 2 versions of this paper

Downloads 6,145

2.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013

Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014

Working Paper Series

Álvaro Cartea and Sebastian Jaimungal

University of Oxford and University of Toronto - Department of Statistics

Downloads 4,509

3.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999

Working Paper Series

Marc J. LeClere

Valparaiso University

Downloads 3,841

4.

Have Financial Statements Become Less Informative? Evidence from the Ability of Financial Ratios to Predict Bankruptcy

Number of pages: 55 Posted: 02 Feb 2005

Working Paper Series

William H. Beaver, Maureen F. McNichols and Jung-Wu Rhie

Stanford University, Stanford University and Stanford University - Graduate School of Business (Deceased)

Downloads 3,528

5.

Assessing the Probability of Bankruptcy

Number of pages: 47 Posted: 03 May 2002

Working Paper Series

Stephen A. Hillegeist, Elizabeth K. Keating, Donald P. Cram and Kyle G. Lundstedt

Arizona State University (ASU) - W. P. Carey School of Business, School of Accountancy, Harvard University - John F. Kennedy School of Government, State University of New York, Oswego and VaRisk, Inc.

There are 2 versions of this paper

Downloads 3,486

6.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001

Working Paper Series

Sudheer Chava and Robert A. Jarrow

Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 3,395

7.

Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options

Number of pages: 47 Posted: 22 Mar 1999

Working Paper Series

John M. Quigley, Yongheng Deng and Robert Van Order

University of California, Berkeley, College of Letters & Science, Department of Economics (Deceased), National University of Singapore, Business School and the School of Design and Environment and Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research

There are 2 versions of this paper

Downloads 2,510

8.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015

Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015

Accepted Paper Series

Tim Leung and Xin Li

University of Washington - Department of Applied Math and Columbia University

Downloads 2,450

9.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017

Working Paper Series

Xin Xu

Unisys Machine Learning and Advanced Analytics Services

Downloads 2,274

10.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71

Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015

Working Paper Series

Martin Dudler, Bruno Gmuer and Semyon Malamud

Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne

Downloads 2,121

11.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015

Working Paper Series

Álvaro Cartea, Ryan Francis Donnelly and Sebastian Jaimungal

University of Oxford, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Department of Statistics

Downloads 1,700

12.

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001

Working Paper Series

Harry Zheng, Lyn C. Thomas and David E. Allen

Imperial College London - Mathematical Finance, University of Southampton - School of Management and University of South Australia

There are 2 versions of this paper

Downloads 1,402

13.

Survival, Growth, and Interfirm Collaboration of Start-Up Companies in High-Technology Industries: A Case Study of Upper Bavaria

IZA Discussion Paper No. 345

Number of pages: 36 Posted: 03 Sep 2001

Working Paper Series

Johannes Hampe and Martin Steininger

Ludwig Maximilian University of Munich and Munich University of Technology (TU München) - Department of Business and Economics

Downloads 1,284

14.

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

Victor Chernozhukov and Songzi Du

Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics

Downloads 1,127

15.

Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy

Sveriges Riksbank Working Paper No. 142

Number of pages: 54 Posted: 22 Jan 2004

Working Paper Series

Tor Jacobson, Kenneth Carling, Jesper Lindé and Kasper Roszbach

Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)

Downloads 1,053

16.

Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Number of pages: 39 Posted: 08 Dec 2005

Working Paper Series

Georges Dionne, Pierre Duchesne and Maria Pacurar

HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business

Downloads 972

17.

Timing of Employee Stock Option Exercises and the Cost of Stock Option Grants

Rock Center for Corporate Governance Working Paper No. 34

Number of pages: 49 Posted: 01 Jun 2006 Last Revised: 04 Apr 2012

Working Paper Series

Chris Armstrong, Alan D. Jagolinzer and David F. Larcker

University of Pennsylvania - Accounting Department, University of Colorado - Leeds School of Business and Stanford University - Graduate School of Business

Downloads 946

18.

Corporate Credit Risk Modelling and the Macroeconomy

Journal of Banking and Finance, Forthcoming

Number of pages: 29 Posted: 09 Dec 2004

Working Paper Series

Tor Jacobson, Kenneth Carling, Jesper Lindé and Kasper Roszbach

Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)

Downloads 898

19.

Business Survival and Success of Young Small Business Owners

Small Business Economics, Vol. 21, No. 1, 2003, pp. 1-17

Number of pages: 17 Posted: 04 Nov 2001 Last Revised: 08 Nov 2014

Accepted Paper Series

Mirjam van Praag

University of Amsterdam - Department of Economics

Downloads 834

20.

CEO Tenure, Board Composition and Regulation

Number of pages: 32 Posted: 11 Dec 1998

Working Paper Series

Rick Geddes and Hrishikesh D. Vinod

Cornell University - Department of Policy Analysis & Management (PAM) and Fordham University - Department of Economics

Downloads 759

21.

On the Profitability of Optimal Mean Reversion Trading Strategies

Number of pages: 18 Posted: 22 Jan 2016 Last Revised: 19 Feb 2016

Working Paper Series

Peng Huang and Tianxiang Wang

Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students

Downloads 719

22.

What Determines the Number of Bank Relationships? Cross-Country Evidence

Number of pages: 51 Posted: 01 May 1998

Working Paper Series

Steven Ongena and David C. Smith

University of Zurich - Department of Banking and Finance and University of Virginia - McIntire School of Commerce

There are 2 versions of this paper

Downloads 716

23.

Unobserved Heterogeneity in Models of Competing Mortgage Termination

Number of pages: 41 Posted: 05 Mar 2004

Working Paper Series

John M. Clapp, Xudong An and Yongheng Deng

University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and National University of Singapore, Business School and the School of Design and Environment

Downloads 715

24.

Exploring the Sources of Default Clustering

Journal of Financial Economics (JFE), Forthcoming

Number of pages: 72 Posted: 05 May 2008 Last Revised: 07 Jul 2017

Accepted Paper Series

Shahriar Azizpour, Kay Giesecke and Gustavo Schwenkler

Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Department of Finance & Economics

Downloads 697

25.

Sell in May and Go Away in the Equity Index Futures Markets

Number of pages: 8 Posted: 24 Jan 2016

Working Paper Series

Constantine S. Dzhabarov and William T. Ziemba

Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business

Downloads 672

26.

Bank Relationships and Firm Profitability

Number of pages: 37 Posted: 13 Apr 1999

Working Paper Series

Hans Degryse and Steven Ongena

KU Leuven, Department Accounting, Finance and Insurance and University of Zurich - Department of Banking and Finance

Downloads 664

27.

Multi-Period Corporate Default Prediction with Stochastic Covariates

FDIC Center For Financial Research Working Paper No. 2006-05

Number of pages: 44 Posted: 23 May 2006

Working Paper Series

Darrell Duffie, Leandro Saita and Ke Wang

Stanford University - Graduate School of Business, Independent and University of Tokyo - Faculty of Economics

There are 2 versions of this paper

Downloads 644

28.

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 53 Posted: 27 Jan 2003

Working Paper Series

Burton Hollifield, Robert A. Miller, Patrik Sandas and Joshua Slive

Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada

There are 2 versions of this paper

Downloads 638

29.

Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04

Number of pages: 31 Posted: 14 Jun 2005

Working Paper Series

Nikolaus Hautsch and Tony Hall

University of Vienna - Department of Statistics and Operations Research and University of Technology Sydney (UTS) - Faculty of Business

There are 2 versions of this paper

Downloads 634

30.

Bank Failure Prediction: A Two-Step Survival Time Approach

Number of pages: 33 Posted: 24 May 2006

Working Paper Series

Michael Halling and Evelyn Hayden

Swedish House of Finance and Raiffeisen Bank International

Downloads 626

31.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03

Number of pages: 38 Posted: 14 Jun 2005

Working Paper Series

Nikolaus Hautsch and Tony Hall

University of Vienna - Department of Statistics and Operations Research and University of Technology Sydney (UTS) - Faculty of Business

Downloads 608

32.

A Survival Analysis of Islamic and Conventional Banks

Journal of Financial Services Research, Forthcoming

Number of pages: 38 Posted: 31 May 2012 Last Revised: 04 Jan 2016

Working Paper Series

Vasileios Pappas, Steven Ongena, Marwan Izzeldin and Ana-Maria Fuertes

University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and Cass Business School, City, University of London

Downloads 605

33.

Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics

Journal of Banking and Finance, Vol. 33, No. 2, 2009

Number of pages: 39 Posted: 27 Feb 2007 Last Revised: 13 Jan 2009

Working Paper Series

Diana Bonfim

Banco de Portugal

Downloads 603

34.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016

Working Paper Series

Eric M. Aldrich, Indra Heckenbach and Gregory Laughlin

University of California, Santa Cruz, University of California, Santa Cruz and Yale University

Downloads 602

35.

The Price Consideration Model of Brand Choice

Journal of Applied Econometrics, Vol. 24, No. 3, pp. 393-420, April/May 2009

Number of pages: 46 Posted: 10 Apr 2006 Last Revised: 27 Dec 2009

Accepted Paper Series

Andrew T. Ching, Tulin Erdem and Michael P. Keane

University of Toronto - Rotman School of Management, New York University (NYU) - Leonard N. Stern School of Business and Arizona State University (ASU) - Economics Department

Downloads 601

36.

Autoregressive Conditional Duration (ACD) Models in Finance: A Survey of the Theoretical and Empirical Literature

Number of pages: 60 Posted: 28 Sep 2006

Working Paper Series

Maria Pacurar

Dalhousie University - Rowe School of Business

Downloads 597

37.

Metrics for Comparing Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-09

Number of pages: 43 Posted: 09 May 2003

Working Paper Series

Yusuf Jafry and Til Schuermann

Massachusetts Institute of Technology (MIT) and Oliver Wyman

Downloads 580

38.

A Model for the Federal Funds Rate Target

UC Davis Working Paper No. 99-07

Number of pages: 44 Posted: 09 Nov 1999

Working Paper Series

James D. Hamilton and Oscar Jorda

University of California at San Diego and University of California, Davis - Department of Economics

There are 2 versions of this paper

Downloads 577

39.

The Markov Switching ACD Model

Johann Wolfgang Goethe-University, Finance & Accounting Working Paper No. 90

Number of pages: 45 Posted: 08 Nov 2002

Working Paper Series

Reinhard Hujer, Sandra Vuletic and Stefan Kokot

University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG

Downloads 574

40.

Modelling Intraday Trading Activity Using Box-Cox ACD Models

Number of pages: 25 Posted: 08 Nov 2001

Working Paper Series

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research

Downloads 567

41.

An Empirical Model of Merger and Acquisitions Timing

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper

Number of pages: 38 Posted: 13 Dec 2007

Working Paper Series

Zafeira Kastrinaki and Paul Stoneman

Imperial College Business School and University of Warwick - Marketing & Strategic Management (MSM) Subject Group

Downloads 549

42.

Are More Competitive Banking Systems More Stable?

IMF Working Paper No. WP/06/143, Journal of Money, Credit, and Banking, Vol. 41, pp. 711-734

Number of pages: 37 Posted: 19 Jul 2006

Accepted Paper Series

Simon Wolfe, Klaus Schaeck and Martin Čihák

University of Southampton - Southampton Business School, University of Bristol and International Monetary Fund (IMF)

Downloads 538

43.

Determinants of Unemployment Duration for Men and Women in Turkey

IZA Discussion Paper No. 1258

Number of pages: 41 Posted: 04 Mar 2004

Working Paper Series

Aysit Tansel and H. Mehmet Tasci

Middle East Technical University (METU) - Department of Economics and Balikesir University - Department of Econometrics

Downloads 538

44.

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

CoFE Working Paper No. 01/05

Number of pages: 25 Posted: 09 Nov 2001

Working Paper Series

Nikolaus Hautsch and Winfried Pohlmeier

University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

There are 2 versions of this paper

Downloads 533

45.

Duration Modeling in Undergraduate Econometrics Curriculum Via Excel

Number of pages: 23 Posted: 10 Dec 2003

Case and Teaching Paper Series

Ismail H. Genc

American University of Sharjah, School of Business Administration, Department of Economics

Downloads 522

46.

Cartels: The Probability of Getting Caught in the European Union

Number of pages: 27 Posted: 20 Sep 2007 Last Revised: 02 Oct 2008

Working Paper Series

Emmanuel Combe, Constance Monnier and Renaud Legal

Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN

Downloads 515

47.

Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads

Number of pages: 40 Posted: 09 Nov 2007

Working Paper Series

Sanjiv Ranjan Das, Paul Hanouna and Atulya Sarin

Santa Clara University - Leavey School of Business, Villanova University - School of Business and Santa Clara University - Department of Finance

There are 2 versions of this paper

Downloads 511

48.

Empirical Evidence on the Duration of Bank Relationships

BI-DP 1997-3

Number of pages: 31 Posted: 22 Apr 1997

Working Paper Series

David C. Smith and Steven Ongena

University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance

Downloads 494

49.

On the Prediction of Credit Ratings

Number of pages: 24 Posted: 31 Aug 2007

Working Paper Series

Albert D. Metz

Moody's Investors Service

Downloads 494

50.

Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms

LBS Working Paper No. 02-034

Number of pages: 35 Posted: 23 May 2002

Working Paper Series

Arnab Bhattacharjee, Chris Higson, Sean Holly and Paul Kattuman

University of St. Andrews - School of Management, London Business School, University of Cambridge - Department of Applied Economics and University of Cambridge - Judge Business School

Downloads 493

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