1.
The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies
ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55
Posted: 05 Aug 2002
Working Paper Series
University of Sussex Business School and University of Reading - ISMA Centre
Downloads
10,159
2.
A Generalized Earnings Model of Stock Valuation
Number of pages: 37
Posted: 18 Jul 1998
Working Paper Series
BlackRock, Inc and University of California, San Diego (UCSD) - Rady School of Management
Downloads
9,641
3.
Bitcoin Spreads Like a Virus
Number of pages: 19
Posted: 23 Apr 2019
Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads
8,783
4.
A Stochastic Model for Order Book Dynamics
Number of pages: 23
Posted: 26 Sep 2008
Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads
7,988
5.
The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011; https://doi.org/10.3905/jot.2011.6.2.008. , Johnson School Research Paper Series No. 10-2011
Number of pages: 12
Posted: 17 Jul 2019
Last Revised: 17 Jul 2019
Working Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
6,878
6.
Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors
University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010
Number of pages: 57
Posted: 23 Nov 2011
Last Revised: 28 Feb 2021
Working Paper Series
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads
5,415
7.
A Survey of Systemic Risk Analytics
U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165
Posted: 11 Jan 2012
Last Revised: 16 Mar 2016
Working Paper Series
Massachusetts Institute of Technology (MIT), R. H. Smith School of Business, U. of Maryland, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT)
There are 2 versions of this paper
A Survey of Systemic Risk Analytics
U.S. Department of Treasury, Office of Financial Research No. 0001
Number of pages: 165
Posted: 11 Jan 2012
Last Revised: 16 Mar 2016
Downloads
5,025
A Survey of Systemic Risk Analytics
Annual Review of Financial Economics, Vol. 4, pp. 255-296, 2012
Posted: 04 Nov 2012
Downloads
5,025
8.
The Micro-Price: A High Frequency Estimator of Future Prices
Number of pages: 14
Posted: 19 May 2017
Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads
4,696
9.
Variance Risk Premia
AFA 2005 Philadelphia Meetings
Number of pages: 44
Posted: 17 Aug 2004
Last Revised: 25 Oct 2007
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads
4,679
10.
Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory
NYU Tandon Research Paper No. 1701685
Number of pages: 56
Posted: 03 Nov 2010
Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
4,660
11.
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
4,558
12.
Effects of Brand Preference, Product Attributes, and Marketing Mix Variables in Technology Product Markets
Marketing Science, Forthcoming
Number of pages: 38
Posted: 04 Nov 2005
Accepted Paper Series
The Stephen M. Ross School of Business at the University of Michigan, University of Chicago and Amrita University - Amrita School of Business
Downloads
4,105
13.
Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero
Journal of Economics and Financial Analysis, 2(2), 1-27
Number of pages: 27
Posted: 26 Feb 2018
Last Revised: 12 Jan 2021
Accepted Paper Series
London School of Commerce
Downloads
4,067
14.
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42
Posted: 07 Jan 2007
Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,784
15.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads
3,761
16.
A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50
Posted: 27 Feb 2007
Last Revised: 13 Jan 2015
Accepted Paper Series
Tilburg University - Tilburg University School of Economics and Management, The University of Hong Kong - Faculty of Business and Economics and University of Oxford - Said Business School
There are 3 versions of this paper
A New Method to Estimate Risk and Return of Non-traded Assets from Cash Flows: The Case of Private Equity Funds
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming, EFA 2007 Ljubljana Meetings Paper, AFA 2008 New Orleans Meetings Paper, Swedish Institute for Financial Research Conference on The Economics of the Private Equity Market
Number of pages: 50
Posted: 27 Feb 2007
Last Revised: 13 Jan 2015
Downloads
3,747
A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds
Netspar Discussion Paper No. 02/2011-121
Number of pages: 51
Posted: 25 May 2012
Downloads
262
A New Method to Estimate Risk and Return of Non-Traded Assets from Cash Flows: The Case of Private Equity Funds
NBER Working Paper No. w14144
Number of pages: 53
Posted: 30 Jun 2008
Last Revised: 26 Aug 2021
Downloads
109
Downloads
3,747
17.
An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45
Posted: 26 Nov 2006
Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads
3,518
18.
Optimal Portfolio Strategy to Control Maximum Drawdown - The Case of Risk Based Dynamic Asset Allocation
Number of pages: 35
Posted: 07 May 2012
Working Paper Series
Flexible Plan Investments, Ltd. and University of Delaware
Downloads
3,504
19.
A Novel Simple but Empirically Consistent Model for Stock Price and Option Pricing
Number of pages: 21
Posted: 10 Apr 2009
Last Revised: 15 Jul 2009
Working Paper Series
J.P. Morgan Chase & Co., Quantitative Research
Downloads
3,319
20.
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 SUSTech Business School
There are 2 versions of this paper
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
Downloads
3,302
Expected Stock Returns and Variance Risk Premia
Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33
Posted: 17 Sep 2009
Downloads
317
Downloads
3,302
21.
Crises and Hedge Fund Risk
UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61
Posted: 20 May 2008
Last Revised: 25 Apr 2012
Working Paper Series
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration
There are 2 versions of this paper
Crises and Hedge Fund Risk
UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08
Number of pages: 61
Posted: 20 May 2008
Last Revised: 25 Apr 2012
Downloads
3,301
Downloads
3,301
22.
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
There are 2 versions of this paper
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 54
Posted: 28 Jan 2016
Last Revised: 22 Mar 2017
Downloads
3,256
Risk Everywhere: Modeling and Managing Volatility
Number of pages: 57
Posted: 14 Feb 2018
Downloads
3
Downloads
3,256
23.
Market Timing & Trading Strategies Using Asset Rotation
Number of pages: 31
Posted: 18 Jan 2010
Last Revised: 19 Feb 2010
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Athens, Department of Business Administration
Downloads
3,244
24.
CAPM Over the Long-Run: 1926-2001
AFA 2004 San Diego Meetings
Number of pages: 41
Posted: 23 Nov 2003
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads
3,170
25.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,128
26.
Principal Component Analysis of Volatility Smiles and Skews
Number of pages: 16
Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads
3,100
27.
Private Equity Performance and Liquidity Risk
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80
Posted: 04 Dec 2009
Last Revised: 13 Sep 2012
Accepted Paper Series
Universita della Svizzera italiana (USI Lugano), Swiss Finance Institute and University of Oxford - Said Business School
There are 2 versions of this paper
Private Equity Performance and Liquidity Risk
Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 09-43
Number of pages: 80
Posted: 04 Dec 2009
Last Revised: 13 Sep 2012
Downloads
3,013
Private Equity Performance and Liquidity Risk
Netspar Discussion Paper No. 06/2010-024, Journal of Finance, Forthcoming
Number of pages: 65
Posted: 05 Aug 2010
Last Revised: 13 Sep 2012
Downloads
523
Downloads
3,013
28.
Honey, I Shrunk the Sample Covariance Matrix
UPF Economics and Business Working Paper No. 691
Number of pages: 21
Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads
2,977
29.
Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask
European Journal of Finance, Forthcoming
Number of pages: 35
Posted: 01 Feb 2011
Accepted Paper Series
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads
2,939
30.
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10
Posted: 14 Oct 2010
Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads
2,883
31.
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 BusinessUniversity of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
2,789
32.
Deep Order Flow Imbalance: Extracting Alpha at Multiple Horizons from the Limit Order Book
Number of pages: 43
Posted: 09 Aug 2021
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, University College London and Courant Institute of Mathematical Sciences
Downloads
2,765
33.
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Number of pages: 43
Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads
2,633
34.
Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach
International Review of Economics & Finance, Forthcoming
Number of pages: 44
Posted: 08 May 2012
Last Revised: 16 Feb 2015
Accepted Paper Series
University of Antwerp Department of Accounting & Finance, University of Antwerp, Faculty of Applied Economics - City CampusUniversité Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads
2,578
35.
The Term Structure of Variance Swaps and Risk Premia
Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64
Posted: 27 Aug 2012
Last Revised: 14 May 2018
Working Paper Series
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads
2,573
36.
Option Profit and Loss Attribution and Pricing: A New Framework
Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63
Posted: 25 Mar 2018
Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
2,537
37.
Stock Return Predictability: Is it There?
Number of pages: 53
Posted: 23 Mar 2001
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc
There are 2 versions of this paper
Stock Return Predictability: Is it There?
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 06 Jun 2021
Downloads
501
Downloads
2,450
38.
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School
There are 2 versions of this paper
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Downloads
2,434
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
CREATES Research Paper 2007-16
Number of pages: 48
Posted: 23 Jun 2008
Last Revised: 25 Sep 2009
Downloads
356
Downloads
2,434
39.
From Dissonance to Resonance: Cognitive Interdependence in Quantitative Finance
Number of pages: 59
Posted: 16 Oct 2008
Last Revised: 29 Jul 2011
Working Paper Series
Cass Business School and Columbia University
Downloads
2,430
40.
Interest Rates Benchmark Reform and Options Markets
Number of pages: 22
Posted: 09 Mar 2020
Last Revised: 15 Jul 2020
Working Paper Series
NatWest Marketsaffiliation not provided to SSRN
Downloads
2,402
41.
Understanding the Fine Structure of Electricity Prices
Number of pages: 74
Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads
2,367
42.
A User’s Guide to the Cornish Fisher Expansion
Number of pages: 20
Posted: 02 Feb 2012
Last Revised: 08 Jun 2018
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads
2,339
43.
An Empirical Analysis of Search Engine Advertising: Sponsored Search in Electronic Markets
NET Institute Working Paper
Number of pages: 47
Posted: 25 Oct 2007
Last Revised: 19 Jun 2014
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and University of Southern California - Marshall School of Business
Downloads
2,328
44.
Use of R-Squared in Accounting Research: Measuring Changes in Value Relevance Over the Last Four Decades
Sauder School of Business Working Paper
Number of pages: 45
Posted: 08 Dec 1998
Working Paper Series
University of Maryland - Department of Accounting & Information Assurance, University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management
There are 2 versions of this paper
Use of R-Squared in Accounting Research: Measuring Changes in Value Relevance Over the Last Four Decades
Sauder School of Business Working Paper
Number of pages: 45
Posted: 08 Dec 1998
Downloads
2,224
Use of R-Squared in Accounting Research: Measuring Changes in Value Relevance Over the Last Four Decades
Journal of Accounting & Economics, Vol 28, No 2, January 2000
Posted: 24 Jan 2000
Downloads
2,224
45.
Shedding Light on the Shadow Economy: A Global Database and the Interaction with the Official One
Number of pages: 54
Posted: 12 Dec 2019
Working Paper Series
George Washington University - Department of Economics and Johannes Kepler University Linz - Department of Economics
Downloads
2,149
46.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,106
47.
Optimal Trading Stops and Algorithmic Trading
Number of pages: 20
Posted: 21 Jan 2014
Working Paper Series
Deutsche Bank AG
Downloads
2,039
48.
Predicting Default Rates: A Forecasting Model for Moody's Issuer-Based Default Rates
Number of pages: 20
Posted: 10 Oct 2007
Working Paper Series
GE Commercial Finance, affiliation not provided to SSRN and Moody's Analytics
Downloads
1,871
49.
Ex Ante Construction Costs in the European Road Sector: A Comparison of Public-Private Partnerships and Traditional Public Procurement
EIB Economic and Finance Report No. 2006/1
Number of pages: 49
Posted: 19 Mar 2008
Working Paper Series
EDHEC Infrastructure Institute, EIB and International Monetary Fund (IMF) - Policy Development and Review Department
Downloads
1,824
50.
A Two-Sided, Empirical Model of Television Advertising and Viewing Markets
Number of pages: 46
Posted: 24 Feb 2020
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,822
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