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JEL Code: C53

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Viewing: 1 - 50 of 3,331 papers

1.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 11,357
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
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 10,309
3.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,131
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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,386
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 6,008
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
Harvard Business School, Columbia Business School - Marketing and Novartis International
Downloads 4,778
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
University of Notre Dame - Department of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 4,020
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
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 3,408
9.

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
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 3,380
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 3,319
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
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 3,282
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
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 2,987
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
Universidade Federal do Rio Grande do Sul (UFRGS) and Universidade Federal de Santa Catarina (UFSC) - Department of Economics
Downloads 2,947
14.

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 2,860
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 University of Aarhus - School of Economics and Management
Downloads 2,781
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
University of Notre Dame and University of Michigan at Ann Arbor - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 2,761
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
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 2,706
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
USC Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads 2,661
19.

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

Number of pages: 27 Posted: 16 Nov 1999
Working Paper Series
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,457
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
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads 2,455
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
University of Hong Kong and Department of Finance, National Taiwan University
Downloads 2,389
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
Bloomberg Financial Markets (BFM)
Downloads 2,332
23.

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 2,301
24.

The Delphi Method (El Metodo Delphi)

Number of pages: 17 Posted: 29 Jul 2003
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 2,276
25.

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
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 2,235
26.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,228
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
University of Notre Dame - Department of Accountancy
Downloads 2,169
28.

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
Downloads 2,114
29.

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 2,097
30.

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

Multiple version iconThere are 3 versions of this paper

Downloads 2,083
31.

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
University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary
Downloads 2,072
32.

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
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), University of Groningen - Department of Marketing & Marketing Research and Tilburg University - Department of Marketing
Downloads 2,061
33.

Uncovering Trend Rules

Number of pages: 17 Posted: 12 May 2015
Working Paper Series
Robeco Asset Management and Robeco Asset Management, Quantitative Investment Research
Downloads 1,956
34.

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

Number of pages: 13 Posted: 19 Dec 2002
Working Paper Series
QuantExperts
Downloads 1,927
35.

A Regime-Switching Relative Value Arbitrage Rule

Number of pages: 6 Posted: 10 Aug 2008
Working Paper Series
University of Graz and University of Graz
Downloads 1,912
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
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 1,828
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
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,763
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
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,759
39.

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
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 1,728
40.

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 1,727
41.

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

Number of pages: 18 Posted: 24 Jan 2000
Working Paper Series
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

Multiple version iconThere are 2 versions of this paper

Downloads 1,679
42.

An EViews Program For ARMA Modeling and Forecasting

Number of pages: 2 Posted: 22 Feb 2005
Working Paper Series
University of Tehran and University of Tehran
Downloads 1,675
43.

Predicting Local Violence

Number of pages: 81 Posted: 29 Sep 2014 Last Revised: 22 Jun 2017
Working Paper Series
Brown University, University of Chicago, Harris School of Public Policy and University College of London
Downloads 1,664
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
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 1,654
45.

Forecasting Exchange Rates Using General Regression Neural Networks

Number of pages: 35 Posted: 17 Jan 2000
Working Paper Series
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

Multiple version iconThere are 2 versions of this paper

Downloads 1,608
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
Universidad EAFIT - School of Economics and Finance - Center for Research in Economic & Finance (CIEF) and Universidade Federal do Rio de Janeiro (UFRJ)
Downloads 1,592
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
University of Aberdeen, Cankaya University - Department of Management and University of Queensland
Downloads 1,566
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
Queensland University of Technology - School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,542
49.

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
University of Illinois at Urbana-Champaign - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,528
50.

The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity

Number of pages: 52 Posted: 25 Jan 2011 Last Revised: 29 Feb 2012
Working Paper Series
University of Maryland - Robert H. Smith School of Business, Hong Kong University of Science & Technology (HKUST) and University of British Columbia (UBC) - Division of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,505