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
6,778
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
5,175
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
4,367
4.
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
3,922
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
3,921
6.
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
Assessing the Probability of Bankruptcy
Review of Accounting Studies, Vol. 9, No. 1, March 2004
Posted: 04 Dec 2003
Downloads
3,715
7.
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
3,714
8.
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
3,223
9.
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
2,913
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
2,643
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
2,549
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
Econometrica
Posted: 30 Mar 1999
Downloads
2,549
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
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
1,440
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
1,440
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
Ludwig Maximilian University of Munich (LMU) and Munich University of Technology (TU München) - Department of Business and Economics
Downloads
1,292
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
1,268
15.
Momentum with Volatility Timing
Number of pages: 18
Posted: 10 Jul 2019
Working Paper Series
VKY Analytics, LLC
Downloads
1,259
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
1,121
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
1,075
18.
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, University of Cambridge Judge Business School and Stanford University - Graduate School of Business
Downloads
983
19.
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
945
20.
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 Economics
Downloads
882
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
864
22.
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 - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads
845
23.
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
833
24.
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
817
25.
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
785
26.
What Determines the Number of Bank Relationships? Cross-Country Evidence
Number of pages: 51
Posted: 01 May 1998
Working Paper Series
University of Zurich - Department of Banking and Finance 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
744
What Determines the Number of Bank Relationships? Cross-Country Evidence
Journal of Financial Intermediation, Vol. 9, No. 1
Posted: 28 Mar 2000
Downloads
744
27.
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
735
28.
Bank Failure Prediction: A Two-Step Survival Time Approach
Number of pages: 33
Posted: 24 May 2006
Working Paper Series
Stockholm School of Economics & Swedish House of Finance and Raiffeisen Bank International
Downloads
716
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
713
30.
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
692
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 2010
Downloads
71
Downloads
692
31.
Bank Relationships and Firm Profitability
Number of pages: 37
Posted: 13 Apr 1999
Working Paper Series
KU Leuven, Department Accounting, Finance and Insurance and University of Zurich - Department of Banking and Finance
Downloads
688
32.
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
683
33.
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
683
Downloads
683
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
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads
682
35.
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
Middle East Technical University (METU) - Department of Economics and Balikesir University - Department of Econometrics
Downloads
678
36.
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
670
Liquidity Supply and Demand in Limit Order Markets
CEPR Discussion Paper No. 3676
Number of pages: 55
Posted: 17 Jan 2003
Downloads
39
Downloads
670
37.
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, University of Zurich - Department of Banking and Finance, Lancaster University Management School and Cass Business School, City University of London
Downloads
667
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
665
39.
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
626
40.
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
620
41.
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
611
42.
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
610
43.
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
University of Southampton - School of Management, University of Bristol and International Monetary Fund (IMF)
Downloads
603
44.
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
598
45.
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
595
46.
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
University of California at San Diego and University of California, Davis - Department of Economics
There are 2 versions of this paper
A Model for the Federal Funds Rate Target
UC Davis Working Paper No. 99-07
Number of pages: 44
Posted: 09 Nov 1999
Downloads
584
A Model for the Federal Funds Rate Target
NBER Working Paper No. w7847
Number of pages: 50
Posted: 15 Aug 2000
Last Revised: 23 Sep 2002
Downloads
56
Downloads
584
47.
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
579
48.
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
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
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
CoFE Working Paper No. 01/05
Number of pages: 25
Posted: 09 Nov 2001
Downloads
573
Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities
Allgemeines Statistisches Archiv, Vol. 86, pp. 5-30, 2002
Posted: 19 Nov 2001
Downloads
573
49.
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
Imperial College Business School and University of Warwick - Marketing & Strategic Management (MSM) Subject Group
Downloads
557
50.
Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads
Number of pages: 40
Posted: 09 Nov 2007
Working Paper Series
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
Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads
Number of pages: 40
Posted: 09 Nov 2007
Downloads
547
Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads
Journal of Banking and Finance, Vol. 33, No. 4, 2009
Posted: 30 Aug 2010
Downloads
547
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