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JEL Code: C58

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1.

The Price Impact of Order Book Events

JOURNAL OF FINANCIAL ECONOMETRICS (Winter 2014) 12 (1): 47-88.
Number of pages: 32 Posted: 28 Nov 2010 Last Revised: 17 Sep 2015
Accepted Paper Series
Imperial College London, AQR Capital Management, LLC and Cornell Financial Engineering Manhattan
Downloads 4,116
2.

Deep Learning for Finance: Deep Portfolios

Number of pages: 15 Posted: 14 Sep 2016
Working Paper Series
Bartlit Beck Herman Palenchar & Scott LLP, University of Chicago - Booth School of Business and University of Oxford - Mathematical Institute
Downloads 2,869
3.

Short Interest and Aggregate Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 51 Posted: 02 Aug 2014 Last Revised: 20 Feb 2016
Working Paper Series
Saint Louis University - John Cook School of Business, University of Utah - Department of Finance and Washington University in St. Louis - Olin School of Business
Downloads 2,733
4.

Managing Risk Exposures Using the Risk Budgeting Approach

Number of pages: 33 Posted: 23 Feb 2012 Last Revised: 10 Apr 2012
Working Paper Series
Lyxor Asset Management and Amundi Asset Management
Downloads 2,686
5.

Risk Parity Portfolios with Risk Factors

Number of pages: 32 Posted: 03 Oct 2012 Last Revised: 06 Oct 2012
Working Paper Series
Amundi Asset Management and Clark University - Graduate School of Management
Downloads 2,573
6.

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 2,139
7.

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 1,967
8.

A Proof of the Optimality of Volatility Weighting Over Time

Number of pages: 23 Posted: 20 Feb 2012 Last Revised: 15 Aug 2014
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,892
9.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 1,741
10.

The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 17 Jul 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 1,593
11.

Enhancing Risk Parity by Including Views

Journal of Investing, 2017
Number of pages: 34 Posted: 12 Aug 2014 Last Revised: 20 Sep 2016
Accepted Paper Series
Robeco Investment Research, Robeco Asset Management, Quantitative Investment Research, Robeco Asset Management and Robeco Asset Management
Downloads 1,547
12.

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 1,503
13.

Investment Strategies with VIX and VSTOXX Futures

Number of pages: 44 Posted: 08 Nov 2013 Last Revised: 02 Dec 2013
Working Paper Series
University of Kent, Canterbury - Kent Business School and University of Kent, Canterbury - Kent Business School
Downloads 1,403
14.

Volatility Weighting Applied to Momentum Strategies

Journal of Alternative Investments, Forthcoming
Number of pages: 37 Posted: 29 Apr 2015 Last Revised: 29 Jul 2016
Accepted Paper Series
Independent and Robeco Asset Management, Quantitative Investment Research
Downloads 1,354
15.

Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape Approach

Number of pages: 25 Posted: 10 Jun 2017 Last Revised: 08 Jul 2017
Working Paper Series
The Vanguard Group, The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group, Inc.
Downloads 1,263
16.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Federal Reserve Bank of St. Louis Working Paper No. 2010-008H
Number of pages: 48 Posted: 11 Mar 2010 Last Revised: 03 Feb 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Saint Louis University - John Cook School of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 1,251
17.

The Rate of Market Efficiency

Number of pages: 62 Posted: 20 Mar 2012 Last Revised: 13 Oct 2014
Working Paper Series
EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and Universidad Carlos III de Madrid
Downloads 1,092
18.

Minimax: Portfolio Choice Based on Pessimistic Decision Making

Number of pages: 25 Posted: 06 Jun 2012
Working Paper Series
University of Konstanz - Department of Economics and University of Konstanz - Faculty of Economics and Statistics
Downloads 914
19.

Factor-Based v. Industry-Based Asset Allocation: The Contest

Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 72 Posted: 08 Jun 2015 Last Revised: 06 Dec 2016
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 906
20.

Credit Spread Interdependencies of European States and Banks During the Financial Crisis

Number of pages: 38 Posted: 17 May 2011 Last Revised: 16 Jan 2012
Working Paper Series
International Monetary Fund and Deutsche Bundesbank - Economic Research Centre
Downloads 897
21.

Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Working Paper Series
University of Oxford - Department of Economics and University of Oxford - Department of Economics
Downloads 857
22.

The Scientific Outlook in Financial Economics: Transcript of the Presidential Address and Presentation Slides

Duke I&E Research Paper No. 2017-06
Number of pages: 16 Posted: 10 Jan 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 856
23.

Disentangling Rebalancing Return

The Journal of Asset Management 2014, Vol. 15, 5, pp.301–316,
Number of pages: 31 Posted: 05 Feb 2014 Last Revised: 10 Dec 2016
Accepted Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 803
24.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
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 798
25.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Working Paper Series
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 796
26.

Equity Premium Predictions with Adaptive Macro Indexes

FRB of New York Staff Report No. 475
Number of pages: 47 Posted: 16 Oct 2010
Working Paper Series
Georgetown University - Department of Finance
Downloads 763
27.

An Empirical Assessment of Empirical Corporate Finance

Number of pages: 111 Posted: 18 Mar 2011 Last Revised: 07 May 2017
Working Paper Series
David Eccles School of Business, University of Utah and University of Western Ontario - Ivey School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 760
28.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Working Paper Series
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 739
29.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 734
30.

Tail Risk Hedging and Regime Switching

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 17 Oct 2011 Last Revised: 05 Aug 2016
Working Paper Series
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 698
31.

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 687
32.

Risk and Risk Premia: A Cross Asset Class Analysis

Number of pages: 32 Posted: 07 Jan 2016 Last Revised: 02 May 2016
Working Paper Series
Quoniam Asset Management
Downloads 659
33.

A new financial stress indicator: properties and conditional asset price behavior

Number of pages: 41 Posted: 28 Aug 2013 Last Revised: 13 May 2014
Working Paper Series
SMILE Investment Solutions, Riskelia and ESCP Europe
Downloads 653
34.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 29 Posted: 02 Oct 2016 Last Revised: 23 Jan 2017
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB) and Laval University
Downloads 646
35.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Accepted Paper Series
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Universidad Complutense de Madrid - Colegio Universitario de Estudios Financieros (CUNEF)
Downloads 643
36.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 642
37.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Accepted Paper Series
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 627
38.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
Accepted Paper Series
National Bank of Belgium, IESEG School of Management and Louvain School of Management (UCL)
Downloads 624
39.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Working Paper Series
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads 603
40.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 600
41.

Investment in Microfinance Equity: Risk, Return, and Diversification Benefits

Number of pages: 42 Posted: 07 Mar 2011 Last Revised: 15 Jan 2013
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 597
42.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 18 May 2017
Working Paper Series
University of Warwick, Warwick Business School, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 597
43.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Working Paper Series
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 593
44.

Factors vs. Sectors in Asset Allocation: Stronger Together?

Number of pages: 17 Posted: 10 May 2017
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 589
45.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Working Paper Series
University of Zurich - Department of Banking and Finance, Queen Mary, University of London and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 580
46.

Industry Interdependencies and Cross-Industry Return Predictability

Number of pages: 49 Posted: 19 Feb 2015 Last Revised: 13 Dec 2015
Working Paper Series
Saint Louis University - John Cook School of Business, University of Denver - Reiman School of Finance, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - Olin School of Business
Downloads 577
47.

Long-Term Bank Balance Sheet Management: Estimation and Simulation of Risk-Factors

Number of pages: 18 Posted: 22 Jun 2012 Last Revised: 01 Aug 2012
Working Paper Series
University of Chicago - Booth School of Business and Business Research Unit, Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE)
Downloads 559
48.

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Review of Finance, Vol. 19, pp. 1-54, 2015
Number of pages: 43 Posted: 12 Jul 2013 Last Revised: 06 Apr 2015
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 547
49.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 536
50.

Lessons from the Asian Crisis: A Central Banker's Perspective

Levy Economics Institute Working Paper No. 276
Number of pages: 8 Posted: 11 Oct 1999
Working Paper Series
Government of the United States of America - Division of Research and Statistics
Downloads 517