SSRN JEL Code: C53

1.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013

Working Paper Series

Tony Cooper

Double-Digit Numerics

Downloads 10,580

2.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016

Working Paper Series

Christian T. Brownlees and Robert F. Engle

Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics

Downloads 10,125

3.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999

Working Paper Series

Louis H. Ederington and Wei Guan

University of Oklahoma - Division of Finance and University of South Florida St. Petersburg

Downloads 9,110

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

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Cornell University - Department of Economics, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management

Downloads 6,380

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

Purnendu Nath

London Business School

Downloads 5,966

6.

Valuing Customers

Journal of Marketing Research, pp. 7-18, February 2004, HBS Marketing Research Paper No. 03-08

Number of pages: 13 Posted: 13 Nov 2003 Last Revised: 27 Jul 2011

Accepted Paper Series

Sunil Gupta, Donald R. Lehmann and Jennifer Ames Stuart

Harvard Business School, Columbia Business School - Marketing and Novartis International

Downloads 4,703

7.

PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Number of pages: 39 Posted: 09 Sep 2003

Working Paper Series

Peter D. Easton

University of Notre Dame - Department of Accountancy

There are 2 versions of this paper

Downloads 4,004

8.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011

Working Paper Series

Chia-Lin Chang, Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral

National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales

Downloads 3,402

9.

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

Luca Taschini and Marc S. Paolella

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 3,312

10.

Investor Sentiment Aligned: A Powerful Predictor of Stock Returns

Number of pages: 67 Posted: 19 Aug 2013 Last Revised: 10 Jul 2017

Working Paper Series

Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou

Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business

Downloads 3,288

11.

Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index

Number of pages: 42 Posted: 13 Aug 2001

Working Paper Series

An-Sing Chen, Hazem Daouk and Mark T. Leung

National Chung Cheng University - Department of Finance, Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics

Downloads 3,251

12.

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

Victor Chernozhukov and Len Umantsev

Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering

Downloads 2,974

13.

Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy

Number of pages: 28 Posted: 05 Jan 2013

Working Paper Series

João Caldeira and Guilherme V. Moura

Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics

Downloads 2,881

14.

Market Timing & Trading Strategies Using Asset Rotation

Number of pages: 31 Posted: 18 Jan 2010 Last Revised: 19 Feb 2010

Working Paper Series

Panagiotis Schizas and Dimitrios D. Thomakos

University of Zurich - Department of Banking and Finance and University of Peloponnese - School of Management and Economics

Downloads 2,845

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

Peter Reinhard Hansen and Asger Lunde

University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management

Downloads 2,772

16.

Understanding the Decline in the Price of Oil Since June 2014

CFS Working Paper No. 501

Number of pages: 36 Posted: 29 Jan 2015 Last Revised: 31 Mar 2015

Working Paper Series

Christiane Baumeister and Lutz Kilian

University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics

There are 3 versions of this paper

Downloads 2,741

17.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010

Working Paper Series

Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral

Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales

Downloads 2,689

18.

Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution

Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084

Number of pages: 104 Posted: 17 Jul 2010 Last Revised: 25 Apr 2011

Accepted Paper Series

Michael Simkovic and Benjamin Kaminetzky

USC Gould School of Law and Davis Polk & Wardwell LLP - New York Office

Downloads 2,613

19.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999

Working Paper Series

Peter Christoffersen, Jinyong Hahn and Atsushi Inoue

University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University

Downloads 2,454

20.

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

Dean Fantazzini and Petr Geraskin

Moscow School of Economics, Moscow State University and National Research University Higher School of Economics

Downloads 2,428

21.

Re-Examining the Profitability of Technical Analysis with White's Reality Check and Hansen's SPA Test

Number of pages: 27 Posted: 08 Apr 2005

Working Paper Series

Po-Hsuan Hsu and Chung-Ming Kuan

University of Hong Kong and Department of Finance, National Taiwan University

Downloads 2,372

22.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000

Working Paper Series

Alexander Vigodner

Bloomberg Financial Markets (BFM)

Downloads 2,325

23.

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

Number of pages: 37 Posted: 07 Nov 1999

Working Paper Series

Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen

UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group

Downloads 2,295

24.

The Delphi Method (El Metodo Delphi)

Number of pages: 17 Posted: 29 Jul 2003

Working Paper Series

Ignacio Velez-Pareja

Grupo Consultor CAV Capital Advisory & Valuation

Downloads 2,266

25.

Volatility Forecasting

PIER Working Paper No. 05-011; CFS Working Paper No. 2005/08

Number of pages: 114 Posted: 28 Feb 2005

Working Paper Series

Torben G. Andersen, Tim Bollerslev, Peter Christoffersen and Francis X. Diebold

Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

There are 2 versions of this paper

Downloads 2,214

26.

Forecasting Stock Returns in Good and Bad Times: The Role of Market States

27th Australasian Finance and Banking Conference 2014 Paper, Asian Finance Association (AsianFA) 2016 Conference

Number of pages: 41 Posted: 14 Dec 2012 Last Revised: 01 Aug 2017

Working Paper Series

Dashan Huang, Fuwei Jiang, Jun Tu and Guofu Zhou

Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE) - School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business

Downloads 2,166

27.

Does The Peg Ratio Rank Stocks According To The Market's Expected Rate Of Return On Equity Capital?

Ohio State University Working Paper

Number of pages: 31 Posted: 04 Mar 2002

Working Paper Series

Peter D. Easton

University of Notre Dame - Department of Accountancy

Downloads 2,163

28.

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

Number of pages: 24 Posted: 27 Jun 2007

Working Paper Series

Alessandro Paolo Luigi Cipollini and Antonio Manzini

Deutsche Bank, Fixed Income Research and UBS Global Asset Management

Downloads 2,083

29.

Predicting Customer Lifetime Value in Multi-Service Industries

ERIM Report Series Reference No. ERS-2003-038-MKT

Number of pages: 48 Posted: 26 Aug 2006

Working Paper Series

Bas Donkers, Peter C. Verhoef and Martijn de Jong

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing

Downloads 2,052

30.

The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research

International Journal of Forecasting, Vol. 24, No. 1, 2008

Number of pages: 42 Posted: 18 Feb 2008

Accepted Paper Series

Sundaresh Ramnath, Steve Rock and Philip B. Shane

University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary

Downloads 2,045

31.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017

Working Paper Series

Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen

Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Downloads 2,018

32.

Towards a Risk Model for Venture Capital Funds: Liquidity and Performance Forecasting

Number of pages: 13 Posted: 19 Dec 2002

Working Paper Series

Tom Weidig

QuantExperts

Downloads 1,925

33.

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

Chris Tofallis

University of Hertfordshire Business School

There are 3 versions of this paper

Downloads 1,919

34.

A Regime-Switching Relative Value Arbitrage Rule

Number of pages: 6 Posted: 10 Aug 2008

Working Paper Series

Michael Bock and Roland Mestel

University of Graz and University of Graz

Downloads 1,902

35.

Uncovering Trend Rules

Number of pages: 17 Posted: 12 May 2015

Working Paper Series

Paul Beekhuizen and Winfried G. Hallerbach

Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research

Downloads 1,897

36.

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

Eric M. Schwartz, Eric Bradlow and Peter Fader

University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department

Downloads 1,796

37.

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

Ramazan Gencay, Michel M. Dacorogna, Giuseppe Ballocchi, Richard B. Olsen and Olivier V. Pictet

Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management

There are 2 versions of this paper

Downloads 1,752

38.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14

Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008

Working Paper Series

Torben G. Andersen and Luca Benzoni

Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department

Downloads 1,750

39.

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

Peter Reinhard Hansen

University of North Carolina (UNC) at Chapel Hill - Department of Economics

Downloads 1,725

40.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)

Number of pages: 6 Posted: 04 May 2013

Accepted Paper Series

Tobias Preis, Helen Susannah Moat and H. Eugene Stanley

Data Science Lab, Behavioural Science, Warwick Business School, University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies

Downloads 1,690

41.

An EViews Program For ARMA Modeling and Forecasting

Number of pages: 2 Posted: 22 Feb 2005

Working Paper Series

Hossein Abbasi-Nejad and Shapour Mohammadi

University of Tehran and University of Tehran

Downloads 1,671

42.

Forecasting Stock Indices: A Comparison of Classification and Level Estimation Models

Number of pages: 18 Posted: 24 Jan 2000

Working Paper Series

Mark T. Leung, Hazem Daouk and An-Sing Chen

University of Texas at San Antonio - Department of Management Science and Statistics, Cornell University - School of Applied Economics and Management and National Chung Cheng University - Department of Finance

There are 2 versions of this paper

Downloads 1,662

43.

Predicting Local Violence

Number of pages: 81 Posted: 29 Sep 2014 Last Revised: 22 Jun 2017

Working Paper Series

Robert A. Blair, Christopher Blattman and Alexandra Hartman

Brown University, University of Chicago, Harris School of Public Policy and University College of London

Downloads 1,633

44.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009

Working Paper Series

David Rapach, Jack Strauss and Guofu Zhou

Saint Louis University - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business

Downloads 1,631

45.

Forecasting Exchange Rates Using General Regression Neural Networks

Number of pages: 35 Posted: 17 Jan 2000

Working Paper Series

Mark T. Leung, An-Sing Chen and Hazem Daouk

University of Texas at San Antonio - Department of Management Science and Statistics, National Chung Cheng University - Department of Finance and Cornell University - School of Applied Economics and Management

There are 2 versions of this paper

Downloads 1,599

46.

Which Team Will Win the 2014 FIFA World Cup? A Bayesian Approach for Dummies

Number of pages: 31 Posted: 15 Feb 2014

Working Paper Series

Andres Ramirez Hassan and Johnatan Cardona Jimenez

Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidade Federal do Rio de Janeiro (UFRJ)

Downloads 1,588

47.

Forecasting Stock Market Volatility: Evidence From Fourteen Countries

U of Edinburgh, Center for Financial Markets Research Working Paper No. 02.04; EFMA 2003 Helsinki Meetings

Number of pages: 29 Posted: 03 Dec 2002

Working Paper Series

Ercan Balaban, Asli Bayar and Robert W. Faff

University of Aberdeen, Cankaya University - Department of Management and University of Queensland

Downloads 1,564

48.

Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management

Number of pages: 16 Posted: 01 May 2000

Working Paper Series

John Anderson

Queensland University of Technology - School of Economics and Finance

There are 2 versions of this paper

Downloads 1,538

49.

The Profitability of Five Popular Variations of Moving Averages on Indian Market Index S&P CNX Nifty 50 During January 2004-December 2014

Advances in Economics and Business Management, Feb. 2015

Number of pages: 7 Posted: 30 Jan 2015 Last Revised: 24 Mar 2015

Accepted Paper Series

Mohd Naved

Noida International University

Downloads 1,502

50.

The Volatility of a Firm's Assets and the Leverage Effect

AFA 2010 Atlanta Meetings Paper

Number of pages: 64 Posted: 14 Mar 2009 Last Revised: 03 Sep 2015

Working Paper Series

Jaewon Choi and Matthew P. Richardson

University of Illinois at Urbana-Champaign - Department of Finance and New York University (NYU) - Department of Finance

Downloads 1,499

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