1.
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
9,333
2.
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 - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads
9,037
3.
A Stochastic Model for Order Book Dynamics
Number of pages: 23
Posted: 26 Sep 2008
Last Revised: 31 Aug 2009
Working Paper Series
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads
7,102
4.
The Exchange of Flow Toxicity
The Journal of Trading, Vol. 6, No. 2, pp. 8-13, Spring 2011, Johnson School Research Paper Series No. 10-2011
Number of pages: 12
Posted: 27 Jan 2011
Last Revised: 27 Feb 2012
Accepted Paper Series
Cornell University - Department of Economics, Lawrence Berkeley National Laboratory and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads
6,436
5.
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: 25 Apr 2012
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, 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
4,747
6.
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), Government of the United States of America - Office of Financial Research, Massachusetts Institute of Technology (MIT) - Sloan School of Management 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
4,548
A Survey of Systemic Risk Analytics
Annual Review of Financial Economics, Vol. 4, pp. 255-296, 2012
Posted: 04 Nov 2012
Downloads
4,548
7.
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
4,259
8.
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
3,835
9.
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
3,823
10.
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: 16 Mar 2011
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,489
11.
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 - Center and Faculty of Economics and Business Administration, 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
3,387
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
189
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: 29 Oct 2014
Downloads
63
Downloads
3,387
12.
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
3,340
13.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads
3,322
14.
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
3,204
15.
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
3,079
16.
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
Ca 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
3,072
Downloads
3,072
17.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads
3,011
18.
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 Peloponnese - School of Management and Economics
Downloads
2,919
19.
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
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
2,905
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
283
Downloads
2,905
20.
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
2,730
21.
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 - School of Business, Management and Economics
Downloads
2,637
22.
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
2,532
23.
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
2,529
24.
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
2,504
25.
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, AQR Capital Management, 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
2,486
Risk Everywhere: Modeling and Managing Volatility
CEPR Discussion Paper No. DP12687
Number of pages: 57
Posted: 14 Feb 2018
Downloads
2
Downloads
2,486
26.
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
2,471
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
USI Lugano, University of Lugano 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
2,407
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
424
Downloads
2,407
28.
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
London School of Economics & Political Science (LSE) - Department of Management and Columbia University
Downloads
2,335
29.
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, Federal Reserve Board and Tsinghua University - PBC School of Finance
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
2,312
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
305
Downloads
2,312
30.
Stock Return Predictability: Is it There?
AFA 2002 Atlanta Meetings
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?
AFA 2002 Atlanta Meetings
Number of pages: 53
Posted: 23 Mar 2001
Downloads
2,307
Stock Return Predictability: Is it There?
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 11 Feb 2010
Downloads
411
Downloads
2,307
31.
Understanding the Fine Structure of Electricity Prices
Journal of Business, Vol. 79, No. 3, 2006
Number of pages: 74
Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads
2,250
32.
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
2,209
33.
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
2,205
34.
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
2,105
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
2,105
35.
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
1,933
36.
A User’s Guide to the Cornish Fisher Expansion
Number of pages: 18
Posted: 02 Feb 2012
Last Revised: 02 Dec 2014
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads
1,869
37.
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 University of Lugano - Institute of Finance
Downloads
1,854
38.
Optimal Trading Stops and Algorithmic Trading
Number of pages: 20
Posted: 21 Jan 2014
Working Paper Series
Deutsche Bank AG
Downloads
1,752
39.
A Two-Sided, Empirical Model of Television Advertising and Viewing Markets
Number of pages: 46
Posted: 27 Feb 2006
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads
1,725
40.
Dynamic Interactions between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads
Number of pages: 50
Posted: 16 Aug 2005
Working Paper Series
Fordham University - Gabelli School of Business, Rutgers Business School - New Brunswick and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
1,700
41.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Unaffiliated Authors - Independent
Downloads
1,665
42.
Modeling the Price Dynamics of Co2 Emission Allowances
Number of pages: 33
Posted: 19 May 2006
Last Revised: 17 Feb 2014
Working Paper Series
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads
1,651
43.
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
1,591
44.
Statistical Modeling of Credit Default Swap Portfolios
Number of pages: 43
Posted: 14 Apr 2011
Last Revised: 25 Apr 2011
Working Paper Series
Imperial College London and Bloomberg Tradebook
Downloads
1,587
45.
Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rate Derivatives
Number of pages: 44
Posted: 08 Oct 2002
Working Paper Series
Caspian Capital Management, LLC and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
1,551
46.
Real Estate and its Role in Asset Pricing
Sauder School of Business Working Paper
Number of pages: 61
Posted: 30 Nov 2001
Working Paper Series
University of British Columbia - Faculty of Commerce
Downloads
1,487
47.
Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy
ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Number of pages: 30
Posted: 02 Apr 2003
Working Paper Series
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Downloads
1,458
48.
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
1,446
49.
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula
UCSD Discussion Paper No. 01-09
Number of pages: 52
Posted: 24 Jul 2001
Working Paper Series
Duke University - Department of Economics
Downloads
1,446
50.
Many Risks, One (Optimal) Portfolio
Number of pages: 217
Posted: 30 Jul 2014
Working Paper Series
Unaffiliated Authors - Independent
Downloads
1,436
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