1.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49
Posted: 02 Sep 2012
Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads
11,610
2.
Stress-Testing Financial Systems: An Overview of Current Methodologies
BIS Working Paper No. 165
Number of pages: 41
Posted: 20 Sep 2007
Working Paper Series
World Bank Group - International Finance Corporation
Downloads
6,236
3.
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46
Posted: 22 Mar 2009
Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics
There are 2 versions of this paper
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46
Posted: 22 Mar 2009
Last Revised: 24 Jun 2012
Downloads
3,986
What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?
NBER Working Paper No. w16712
Number of pages: 47
Posted: 24 Jan 2011
Last Revised: 01 Sep 2021
Downloads
92
Downloads
3,986
4.
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
University of Southern California Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads
3,115
5.
Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?
Number of pages: 39
Posted: 24 Feb 2016
Working Paper Series
StarCapital AG
Downloads
2,714
6.
The Yield Curve as a Predictor of U.S. Recessions
Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6
Posted: 21 Jul 2007
Working Paper Series
Rensselaer Polytechnic Institute and Columbia Business School - Finance and Economics
Downloads
2,560
7.
Computational Antitrust: An Introduction and Research Agenda
Stanford Computational Antitrust (Vol. 1) 2021
Number of pages: 15
Posted: 19 Jan 2021
Accepted Paper Series
VU University AmsterdamStanford University's Codex Center
Downloads
2,541
8.
The Historical Simulation Method for Value-at-Risk: A Research Based Evaluation of the Industry Favorite
Number of pages: 22
Posted: 19 Apr 2012
Last Revised: 23 May 2018
Working Paper Series
affiliation not provided to SSRN
Downloads
2,478
9.
Momentum Investing & Asset Allocation
Number of pages: 22
Posted: 11 Oct 2015
Last Revised: 01 May 2016
Working Paper Series
Berkeley Square Capital Management, LLC
Downloads
2,375
10.
The Yield Curve and Predicting Recessions
FEDs Working Paper No. 2006-7
Number of pages: 21
Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
2,253
11.
Stress Testing Credit Risk: A Survey of Authorities' Approaches
Bank of Italy Occasional Paper No. 37
Number of pages: 24
Posted: 04 May 2009
Working Paper Series
Bank of Italy
Downloads
1,954
12.
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Number of pages: 43
Posted: 20 Apr 2005
Last Revised: 07 Dec 2014
Working Paper Series
Boston College, Temple University - Department of Accounting and Florida International University
There are 2 versions of this paper
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Number of pages: 43
Posted: 20 Apr 2005
Last Revised: 07 Dec 2014
Downloads
1,926
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Review of Accounting Studies, Vol. 18, No. 4, 2013
Posted: 08 Dec 2014
Downloads
1,926
13.
The Yield Curve as a Leading Indicator: Some Practical Issues
Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Number of pages: 8
Posted: 20 Sep 2006
Accepted Paper Series
Rensselaer Polytechnic Institute and Federal Reserve Bank of New York
Downloads
1,868
14.
Assessing the Risk of Banking Crises – Revisited
BIS Quarterly Review, March 2009
Number of pages: 18
Posted: 25 Jul 2012
Accepted Paper Series
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads
1,684
15.
Probabilities of Default for Impairment Under IFRS 9
Number of pages: 6
Posted: 02 Nov 2015
Working Paper Series
Natixis
Downloads
1,503
16.
A Framework for Stress Testing Banks' Credit Risk
The Journal of Risk Model Validation, Vol. 2, No. 1, pp. 3-23, Spring 2008
Number of pages: 21
Posted: 15 Jan 2009
Last Revised: 04 Mar 2009
Accepted Paper Series
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads
1,452
17.
What Do Accruals Tell Us About Future Cash Flows?
Review of Accounting Studies, Vol. 21, Pages 768-807, 2016
Number of pages: 64
Posted: 14 Mar 2016
Last Revised: 15 Aug 2016
Accepted Paper Series
Stanford University - Graduate School of Business, Macquarie Business School and IDC Herzliya - Arison School of Business
Downloads
1,399
18.
Systemic Risk and the Refinancing Ratchet Effect
MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62
Posted: 15 Sep 2009
Last Revised: 08 Jan 2018
Working Paper Series
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Systemic Risk and the Refinancing Ratchet Effect
MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62
Posted: 15 Sep 2009
Last Revised: 08 Jan 2018
Downloads
1,345
Systemic Risk and the Refinancing Ratchet Effect
NBER Working Paper No. w15362
Number of pages: 68
Posted: 21 Sep 2009
Last Revised: 24 Jun 2021
Downloads
65
Downloads
1,345
19.
What's Vol Got to Do With It
AFA 2009 San Francisco Meetings Paper
Number of pages: 63
Posted: 20 Mar 2008
Last Revised: 14 Dec 2011
Working Paper Series
Wharton School, Department of Finance and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads
1,284
20.
Collective Hallucinations and Inefficient Markets: The British Railway Mania of the 1840s
Number of pages: 322
Posted: 18 Jan 2010
Working Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads
1,269
21.
Forecasting Methods (Spanish Version)
Number of pages: 29
Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,240
22.
Trading Volatility Spreads: A Test of Index Option Market Efficiency
Lancaster University Management School, Accounting and Finance Working Paper No. 99/12
Number of pages: 33
Posted: 21 Oct 1999
Working Paper Series
Bocconi University and Alliance Manchester Business School, University of Manchester
Downloads
1,206
23.
Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study
AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 53
Posted: 02 Sep 2009
Last Revised: 16 Dec 2010
Working Paper Series
University of Mannheim - Accounting and Taxation, University of Mannheim - Department of Business Administration and Finance and University of Mannheim Business School
Downloads
1,181
24.
DSGE Models and Central Banks
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33
Posted: 18 Dec 2010
Accepted Paper Series
International Monetary Fund
There are 3 versions of this paper
DSGE Models and Central Banks
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33
Posted: 18 Dec 2010
Downloads
1,161
Downloads
268
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
66
Downloads
1,161
25.
The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment
Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40
Posted: 11 Nov 2017
Last Revised: 19 Aug 2021
Accepted Paper Series
HEC Montreal - Department of Decision Sciencesaffiliation not provided to SSRN, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads
1,159
26.
The Best of Both Worlds: Forecasting US Equity Market Returns using a Hybrid Machine Learning – Time Series Approach
Number of pages: 28
Posted: 11 Dec 2019
Last Revised: 28 Sep 2021
Working Paper Series
The Vanguard Group, Inc., The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group
Downloads
1,151
27.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
1,114
28.
This Time is Different: An Example of a Giant, Wildly Speculative, and Successful Investment Mania
B.E. Journal of Economic Analysis & Policy, Vol. 10, Issue 1, Article 60, 2010
Number of pages: 23
Posted: 23 Mar 2010
Last Revised: 27 Feb 2012
Accepted Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads
1,055
29.
Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
Cowles Foundation Discussion Paper No. 1950
Number of pages: 76
Posted: 11 Jun 2014
Last Revised: 18 Jun 2014
Working Paper Series
Yale University - Department of Economics and Yale University - Cowles Foundation
There are 2 versions of this paper
Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
Cowles Foundation Discussion Paper No. 1950
Number of pages: 76
Posted: 11 Jun 2014
Last Revised: 18 Jun 2014
Downloads
1,046
Changing Times, Changing Values: A Historical Analysis of Sectors within the Us Stock Market 1872-2013
NBER Working Paper No. w20370
Number of pages: 77
Posted: 11 Aug 2014
Last Revised: 28 Feb 2021
Downloads
85
Downloads
1,046
30.
Macro-Prudential Policy and the Conduct of Monetary Policy
Banque de France Working Paper No. 390
Number of pages: 34
Posted: 20 Aug 2012
Working Paper Series
Banque de France, Banque de France and Banque de France
Downloads
1,041
31.
'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index
FEEM Working Paper No. 31.2010
Number of pages: 58
Posted: 22 Apr 2010
Working Paper Series
Bank of Italy and Bank of Italy
Downloads
1,021
32.
Economic Uncertainty and the Effectiveness of Monetary Policy
Norges Bank Working Paper 17
Number of pages: 34
Posted: 12 Nov 2013
Working Paper Series
Norges Bank, BI Norwegian Business School - Department of Economics and Graduate Institute of International and Development Studies (IHEID) - Department of Economics
Downloads
1,000
33.
Google Econometrics and Unemployment Forecasting
DIW Berlin Discussion Paper No. 899
Number of pages: 26
Posted: 02 Sep 2009
Working Paper Series
IZA Institute of Labor Economics and Global Labor Organization (GLO)
There are 3 versions of this paper
Google Econometrics and Unemployment Forecasting
DIW Berlin Discussion Paper No. 899
Number of pages: 26
Posted: 02 Sep 2009
Downloads
989
Google Econometrics and Unemployment Forecasting
German Council for Social and Economic Data (RatSWD) Research Notes No. 41
Number of pages: 20
Posted: 30 Sep 2009
Downloads
345
Google Econometrics and Unemployment Forecasting
IZA Discussion Paper No. 4201
Number of pages: 25
Posted: 08 Jun 2009
Downloads
221
Downloads
989
34.
The Comparative Forecast Performance of Univariate and Multivariate Models
Number of pages: 24
Posted: 16 Dec 1996
Working Paper Series
Florida International University (FIU) - Department of Economics
Downloads
978
35.
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CESifo Working Paper No. 8394
Number of pages: 35
Posted: 27 Aug 2020
Working Paper Series
University of BonnRWTH Aachen University, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Ludwig Maximilian University of Munich (LMU)
There are 3 versions of this paper
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CESifo Working Paper No. 8394
Number of pages: 35
Posted: 27 Aug 2020
Downloads
977
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
IZA Discussion Paper No. 13568
Number of pages: 35
Posted: 10 Aug 2020
Downloads
54
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CEPR Discussion Paper No. DP14907
Number of pages: 36
Posted: 29 Jun 2020
Last Revised: 16 Aug 2020
Downloads
977
36.
Getting at Systemic Risk Via an Agent-Based Model of the Housing Market
Cowles Foundation Discussion Paper No. 1852
Number of pages: 14
Posted: 11 Mar 2012
Working Paper Series
Yale University, George Mason University - Department of Computational Social Science, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Brown University - Department of Economics, affiliation not provided to SSRN, affiliation not provided to SSRN, George Mason University - Department of Computational Social Science, Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads
957
37.
Economic Forecasting with an Agent-Based Model
Number of pages: 49
Posted: 18 Nov 2019
Last Revised: 06 Nov 2020
Working Paper Series
International Institute for Applied Systems Analysis (IIASA), Vienna University of Economics and Business and Government of Canada - Bank of Canada
Downloads
929
38.
Is There an Intertemporal Relation between Downside Risk and Expected Returns?
Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37
Posted: 18 Jul 2009
Last Revised: 27 Feb 2012
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
916
39.
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Number of pages: 34
Posted: 22 Oct 2007
Working Paper Series
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)
There are 2 versions of this paper
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Number of pages: 34
Posted: 22 Oct 2007
Downloads
907
Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons
Journal of Investment Management, Vol. 6, No. 2, Second quarter 2008
Posted: 15 May 2008
Downloads
907
40.
Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums
Swiss Finance Institute Research Paper No. 12-18
Number of pages: 70
Posted: 14 Feb 2012
Working Paper Series
University of Warwick - Department of Economics, Imperial College Business School and University of Lugano
Downloads
854
41.
Household Debt in the Consumer Age: Source of Growth - Risk of Collapse
Capitalism and Society, Vol. 3, Issue 2, Article 3, 2008
Number of pages: 32
Posted: 07 Aug 2008
Last Revised: 15 Apr 2013
Accepted Paper Series
Better Future Forward and Washington University in St. Louis
Downloads
816
42.
Forecasting U.S. Inflation by Bayesian Model Averaging
Number of pages: 33
Posted: 22 Nov 2003
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
804
43.
Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk
Number of pages: 67
Posted: 12 Nov 2019
Last Revised: 03 Jan 2020
Working Paper Series
University of Oxford, Said Business School
Downloads
804
44.
Forecasting Commodity Prices: Futures Versus Judgment
IMF Working Paper No. 04/41
Number of pages: 28
Posted: 13 Feb 2006
Working Paper Series
Australian National University - Crawford School of Economics and Government and International Monetary Fund (IMF) - Research Department
Downloads
787
45.
Forecasting Portfolio Risk in Normal and Stressed Markets
Number of pages: 15
Posted: 28 Nov 2001
Working Paper Series
LongTail Alpha, LLC and California Institute of Technology
There are 2 versions of this paper
Forecasting Portfolio Risk in Normal and Stressed Markets
Number of pages: 15
Posted: 28 Nov 2001
Downloads
765
Forecasting Portfolio Risk in Normal and Stressed Markets
Journal of Risk, Vol. 4, No. 1, Fall 2001
Posted: 17 Jan 2002
Downloads
765
46.
Oil and the Macroeconomy Revisited
Number of pages: 24
Posted: 27 Mar 2000
Working Paper Series
State Street Corporate - Advanced Research Center (ARC)
Downloads
747
47.
Financial Stress Index: Identification of Systemic Risk Conditions
24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 58
Posted: 28 Aug 2011
Last Revised: 06 Apr 2013
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of ClevelandCase Western Reserve University - Weatherhead School of Management, Indiana University, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Baden-Wuerttemberg Cooperative State University Mosbach (DHBW) and Federal Reserve Banks - Federal Reserve Bank of Cleveland
There are 2 versions of this paper
Financial Stress Index: Identification of Systemic Risk Conditions
24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 58
Posted: 28 Aug 2011
Last Revised: 06 Apr 2013
Downloads
738
The Financial Stress Index: Identification of Systemic Risk Conditions
FRB of Cleveland Working Paper No. 11-30
Number of pages: 75
Posted: 10 Nov 2011
Last Revised: 06 Apr 2013
Downloads
362
Downloads
738
48.
Concept and Mathematics of Islamic Financial Engineering
8th International Conference on Islamic Economics and Finance,
20 December 2011, Doha, Qatar
Number of pages: 21
Posted: 06 Aug 2012
Last Revised: 08 Aug 2012
Working Paper Series
Institute of Applied Mathematics, Middle East Technical University and ENAMEC Institute
Downloads
723
49.
The Macroeconomy as a Random Forest
Number of pages: 75
Posted: 15 Jul 2020
Last Revised: 24 May 2021
Working Paper Series
University of Pennsylvania - Department of Economics
Downloads
703
50.
Income Approach and Discount Rates for Valuing Income-Producing Illiquid Assets - Outlines of New Framework: Revisiting the Concepts in Income Approach and Developing the Model of Illiquid Assets Transactional Pricing
Icfai Journal of Applied Finance, December 2007, Proceedings of the Icfai University and the University of Philadelphia V International Conference on Business and Finance, Hyderabad (India), 2006
Number of pages: 38
Posted: 28 Jun 2007
Last Revised: 26 Sep 2017
Accepted Paper Series
Independent, Westminster International University in Tashkent (WIUT) and State University of Management
Downloads
701
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