Search Results
JEL Code: C52

714,705 Total downloads

Viewing: 1 - 50 of 3,273 papers

1.

Dealing with Logs and Zeros in Regression Models

CREST - Série des Documents de Travail n° 2019-13
Number of pages: 71 Posted: 05 Sep 2019 Last Revised: 05 Apr 2022
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), HEC MontrealCREST - ENSAE and CREST - Institut Polytechnique de Paris
Downloads 11,829
2.

The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications

Sauder School of Business Working Paper
Number of pages: 48 Posted: 16 Mar 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 11,128
3.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 9,772
4.

TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands

Number of pages: 46 Posted: 20 Jan 2020 Last Revised: 17 Apr 2021
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg

Multiple version iconThere are 2 versions of this paper

Downloads 7,246
5.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 6,818
6.

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 4,864
7.

Evaluating Credit Risk Models

FRBSF Working Paper No. 99-06
Number of pages: 23 Posted: 27 Jul 1999
Working Paper Series
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads 3,822
8.

FX Market Behavior and Valuation

Number of pages: 41 Posted: 12 Jan 2007
Working Paper Series
Two Sigma
Downloads 3,811
9.

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
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads 3,808
10.

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 3,564
11.

Incrementality Bidding & Attribution

Number of pages: 40 Posted: 06 Mar 2018 Last Revised: 12 Mar 2018
Working Paper Series
Amazon and Netflix
Downloads 3,478
12.

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

Multiple version iconThere are 2 versions of this paper

Downloads 3,354
13.

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45 Posted: 08 Jul 2005 Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 3,147
14.

Relative Strength and Portfolio Management

Dorsey Wright Money Management, January 2012
Number of pages: 17 Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads 3,124
15.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 3,064
16.

Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003
Number of pages: 195 Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 2,983
17.

The Investment Opportunity Set and its Proxy Variables

Number of pages: 42 Posted: 23 Jan 2002 Last Revised: 28 Sep 2008
Working Paper Series
Humboldt University and HKUSTHong Kong University of Science & Technology (HKUST) - Department of Finance
Downloads 2,923
18.

Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market

QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46 Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 2,908
19.

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 2,870
20.

Statistical Foundations of Actuarial Learning and its Applications

Number of pages: 521 Posted: 21 Apr 2021 Last Revised: 03 Jun 2022
Working Paper Series
RiskLab, ETH Zurich and University of Hamburg
Downloads 2,842
21.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,763
22.

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014

Number of pages: 24 Posted: 28 Feb 2013 Last Revised: 02 Mar 2016
Working Paper Series
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 2,713
23.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,686
24.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,465
25.

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 23 Mar 2001
Working Paper Series
Columbia University - Columbia Business School, Finance and BlackRock, Inc

Multiple version iconThere are 2 versions of this paper

Downloads 2,461
26.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,441
27.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,433
28.

NETS: Network Estimation for Time Series

Number of pages: 35 Posted: 14 Apr 2013 Last Revised: 19 Oct 2018
Working Paper Series
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,421
29.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,420
30.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,414
31.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 2,401
32.

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 2,384
33.

Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Number of pages: 61 Posted: 04 Dec 2019 Last Revised: 22 Jun 2022
Working Paper Series
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads 2,304
34.

Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates

Number of pages: 28 Posted: 19 Sep 2010 Last Revised: 27 Jan 2013
Working Paper Series
University of North Carolina at Wilmington, Monfort College of Business, University of Northern Colorado and Trinity Business School, Trinity College Dublin
Downloads 2,297
35.

An Empirical Study of Exposure at Default

Number of pages: 36 Posted: 23 Jun 2008 Last Revised: 15 Feb 2010
Working Paper Series
PNC Financial Services Group
Downloads 2,295
36.

Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage

Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20 Posted: 31 Aug 2018 Last Revised: 12 Nov 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads 2,240
37.

The Good News and the Bad News About Long-Run Stock Market Returns

Number of pages: 44 Posted: 05 Nov 1998
Working Paper Series
Birkbeck College, University of London and Cambridge University - Department of Economics
Downloads 2,232
38.

Identifying and Treating Outliers in Finance

Financial Management (2019), 48(2), 345-384.
Number of pages: 64 Posted: 16 Jun 2017 Last Revised: 21 Sep 2021
Accepted Paper Series
University of Texas at Arlington, University of Georgia - Department of Insurance, Legal Studies, Real Estate, Virginia Polytechnic Institute & State University, National University of Singapore and FUNDP - University of Namur. CRED
Downloads 2,160
39.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 2,142
40.

Applying Relative Solvency to Working Capital Management - the Break-Even Approach

Number of pages: 21 Posted: 01 Aug 2005
Working Paper Series
Babcock University - School of Management Sciences
Downloads 2,027
41.

Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices

Number of pages: 12 Posted: 05 Mar 2018 Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads 1,973
42.

A Test for Superior Predictive Ability

Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43 Posted: 01 Mar 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,928
43.

Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates

Olsen and Associates Working Paper No. 319
Number of pages: 62 Posted: 30 Mar 1999
Working Paper Series
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,925
44.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads 1,912
45.

Aggregate Idiosyncratic Volatility

AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63 Posted: 25 Mar 2008 Last Revised: 28 Jun 2011
Working Paper Series
Columbia University - Columbia Business School, Finance, Columbia University - Columbia Business School, Finance and Tsinghua University - PBC School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,870
46.

An Artificial Neural Network Representation of the SABR Stochastic Volatility Model

Number of pages: 24 Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads 1,867
47.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads 1,852
48.

Did the COVID-19 Pandemic Trigger Nostalgia? Evidence of Music Consumption on Spotify

Number of pages: 34 Posted: 23 Aug 2020 Last Revised: 25 Aug 2020
Working Paper Series
Faculty of Law, KU Leuven
Downloads 1,827
49.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,801
50.

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Working Paper Series
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,791