1.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads
7,159
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
University of Oxford and University of Toronto - Department of Statistics
Downloads
5,491
3.
Estimating Lifetime Expected Credit Losses Under IFRS 9
Number of pages: 22
Posted: 04 Apr 2016
Last Revised: 05 Mar 2017
Working Paper Series
Unisys Machine Learning and Advanced Analytics Services
Downloads
5,046
4.
Enhancing Trading Strategies with Order Book Signals
Number of pages: 38
Posted: 03 Oct 2015
Last Revised: 14 Oct 2015
Working Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads
4,365
5.
Bankruptcy Prediction With Industry Effects
Number of pages: 49
Posted: 20 Oct 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
4,283
6.
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
Valparaiso University
Downloads
4,029
7.
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
University of Washington - Department of Applied Math and Columbia University
Downloads
4,000
8.
Assessing the Probability of Bankruptcy
Number of pages: 47
Posted: 03 May 2002
Working Paper Series
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 affiliation not provided to SSRN
There are 2 versions of this paper
Downloads
3,849
9.
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
Stanford University, Stanford University and Stanford University - Graduate School of Business (Deceased)
Downloads
3,819
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
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads
2,947
11.
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
Number of pages: 47
Posted: 22 Mar 1999
Working Paper Series
University of California, Berkeley, College of Letters & Science, Department of Economics (Deceased), Wisconsin School of Business, University of Wisconsin-Madison and Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research
There are 2 versions of this paper
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
Number of pages: 47
Posted: 22 Mar 1999
Downloads
2,577
Downloads
2,577
12.
Momentum with Volatility Timing
Number of pages: 18
Posted: 10 Jul 2019
Working Paper Series
VKY Analytics, LLC
Downloads
2,445
13.
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Number of pages: 21
Posted: 13 Apr 2001
Working Paper Series
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney
There are 2 versions of this paper
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Number of pages: 21
Posted: 13 Apr 2001
Downloads
1,468
The Duration Derby: A Comparison of Duration-Based Strategies in Asset Liability Management
Journal of Bond Trading & Management, Vol. 1, No. 4, pp. 371-80, April 2003
Posted: 17 Sep 2003
Downloads
1,468
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
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads
1,346
15.
Survival, Growth, and Interfirm Collaboration of Start-Up Companies in High-Technology Industries: A Case Study of Upper Bavaria
Number of pages: 36
Posted: 03 Sep 2001
Working Paper Series
Ludwig Maximilian University of Munich (LMU) and Munich University of Technology (TU München) - Department of Business and Economics
Downloads
1,301
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
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads
1,202
17.
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
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads
1,094
18.
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
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads
1,066
19.
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
University of Pennsylvania - Accounting Department, Stanford University - Graduate School of BusinessUniversity of Colorado - Leeds School of BusinessUniversity of Cambridge Judge Business School and Stanford University - Graduate School of Business
Downloads
1,013
20.
Optimal Trading with a Trailing Stop
Applied Mathematics and Optimization, to appear, 2019
Number of pages: 26
Posted: 10 Jan 2017
Last Revised: 21 Feb 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads
1,002
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
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
999
22.
Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp
Number of pages: 98
Posted: 31 Jan 2018
Last Revised: 30 Nov 2021
Working Paper Series
University of Southern California and University of Southern California
Downloads
973
23.
Corporate Credit Risk Modelling and the Macroeconomy
Journal of Banking and Finance, Forthcoming
Number of pages: 29
Posted: 09 Dec 2004
Working Paper Series
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads
967
24.
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
Dalhousie University - Rowe School of Business
Downloads
953
25.
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
936
26.
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
University of Amsterdam - Department of EconomicsCopenhagen Business School
Downloads
916
27.
Exploring the Sources of Default Clustering
Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73
Posted: 05 May 2008
Last Revised: 31 Jul 2018
Accepted Paper Series
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads
900
28.
Determinants of Unemployment Duration for Men and Women in Turkey
Number of pages: 41
Posted: 04 Mar 2004
Working Paper Series
Middle East Technical University (METU) - Department of Economics and Balikesir University - Department of Econometrics
Downloads
869
29.
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
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads
840
30.
Bank Failure Prediction: A Two-Step Survival Time Approach
Number of pages: 33
Posted: 24 May 2006
Working Paper Series
University of Luxembourg and Raiffeisen Bank International
Downloads
828
31.
CEO Tenure, Board Composition and Regulation
Number of pages: 32
Posted: 11 Dec 1998
Working Paper Series
Cornell University - Department of Policy Analysis & Management (PAM) and Fordham University - Department of Economics
Downloads
797
32.
Modeling Bankruptcy Prediction Using Cox Regression Model with Time-Varying Covariates
Number of pages: 37
Posted: 09 Mar 2008
Working Paper Series
University of Sydney - School of Business - Finance Discipline and University of Sydney Business School
Downloads
776
33.
What Determines the Number of Bank Relationships? Cross-Country Evidence
Number of pages: 51
Posted: 01 May 1998
Working Paper Series
NTNU Business School and University of Virginia - McIntire School of Commerce
There are 2 versions of this paper
What Determines the Number of Bank Relationships? Cross-Country Evidence
Number of pages: 51
Posted: 01 May 1998
Downloads
766
Downloads
766
34.
Unobserved Heterogeneity in Models of Competing Mortgage Termination
Number of pages: 41
Posted: 05 Mar 2004
Working Paper Series
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Wisconsin School of Business, University of Wisconsin-Madison
Downloads
746
35.
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
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads
729
36.
A Survival Analysis of Islamic and Conventional Banks
Journal of Financial Services Research, Forthcoming
Number of pages: 38
Posted: 31 May 2012
Last Revised: 11 Sep 2019
Working Paper Series
University of Bath, NTNU Business School, Lancaster University Management School and Cass Business School, City University of London
Downloads
724
37.
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
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
There are 2 versions of this paper
Order Aggressiveness and Order Book Dynamics
University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31
Posted: 14 Jun 2005
Downloads
719
Downloads
719
38.
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
Banco de Portugal
Downloads
715
39.
Liquidity Supply and Demand in Limit Order Markets
Number of pages: 53
Posted: 27 Jan 2003
Working Paper Series
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
713
Liquidity Supply and Demand in Limit Order Markets
Number of pages: 55
Posted: 17 Jan 2003
Downloads
39
Downloads
713
40.
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
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads
712
41.
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
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System
There are 2 versions of this paper
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
Downloads
705
Multi-Period Corporate Default Prediction with Stochastic Covariates
NBER Working Paper No. w11962
Number of pages: 46
Posted: 24 Apr 2006
Last Revised: 09 Sep 2021
Downloads
77
Downloads
705
42.
Multiperiod Corporate Default Prediction - A Forward Intensity Approach
Number of pages: 48
Posted: 26 Mar 2011
Last Revised: 18 May 2012
Working Paper Series
National University of Singapore (NUS) - Business School and Risk Management Institute, Oversea-Chinese Banking Corporation Limited and National University of Singapore (NUS) - Department of Finance
Downloads
701
43.
Bank Relationships and Firm Profitability
Number of pages: 37
Posted: 13 Apr 1999
Working Paper Series
KU Leuven - Faculty of Business and Economics (FEB) and NTNU Business School
Downloads
694
44.
Modelling Intraday Trading Activity Using Box-Cox Acd Models
Number of pages: 25
Posted: 08 Nov 2001
Working Paper Series
University of Vienna - Department of Statistics and Operations Research
Downloads
683
45.
Timing and Holding Periods for Common Stocks: A Duration-Based Analysis
Number of pages: 47
Posted: 26 Oct 2004
Working Paper Series
European Central Bank (ECB) and Nova School of Business and Economics
Downloads
634
46.
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
Johns Hopkins University - Carey Business School, New York University (NYU) - Leonard N. Stern School of Business and Arizona State University (ASU) - Economics Department
Downloads
630
47.
Are More Competitive Banking Systems More Stable?
Number of pages: 37
Posted: 19 Jul 2006
Accepted Paper Series
University of Southampton - Southampton Business School, University of Bristol and World BankInternational Monetary Fund (IMF)
Downloads
629
48.
Flexible Work Hours and Dynamic Labor Supply: Evidence from Taxi Drivers
Number of pages: 36
Posted: 01 Jan 2018
Last Revised: 29 Apr 2019
Working Paper Series
Princeton University Department of Economics, California Institute of Technology and Department of Economics, University of Texas at Austin
Downloads
625
49.
Binary Logistic Regression Using Survival Analysis
Number of pages: 9
Posted: 06 Sep 2010
Working Paper Series
IIT Kanpur and Indian Institute of Technology
Downloads
621
50.
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
University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG
Downloads
613
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