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
12,302
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
6,415
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
4,066
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: 02 Mar 2022
Downloads
96
Downloads
4,066
4.
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 Amsterdam
Downloads
3,461
5.
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
3,147
6.
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
3,013
7.
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 University - Columbia Business School, Finance
Downloads
2,748
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
2,644
9.
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
2,611
10.
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
2,454
11.
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
2,141
12.
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
2,123
13.
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
1,969
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Review of Accounting Studies, Vol. 18, No. 4, 2013
Posted: 08 Dec 2014
Downloads
1,969
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
1,759
15.
Probabilities of Default for Impairment Under IFRS 9
Number of pages: 6
Posted: 02 Nov 2015
Working Paper Series
Natixis
Downloads
1,565
16.
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
1,506
17.
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
1,506
18.
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
1,500
19.
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
1,495
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
IZA Discussion Paper No. 13568
Number of pages: 35
Posted: 10 Aug 2020
Downloads
78
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
1,495
20.
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
1,439
21.
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
1,370
22.
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
1,366
Systemic Risk and the Refinancing Ratchet Effect
NBER Working Paper No. w15362
Number of pages: 68
Posted: 21 Sep 2009
Last Revised: 24 Jun 2022
Downloads
82
Downloads
1,366
23.
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
1,303
24.
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
1,291
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 Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads
1,283
26.
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
1,267
27.
Forecasting Methods (Spanish Version)
Number of pages: 29
Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,265
28.
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
1,240
29.
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
1,199
30.
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
1,195
31.
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
1,169
Downloads
269
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
78
Downloads
1,169
32.
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
1,137
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
1,125
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
378
Google Econometrics and Unemployment Forecasting
IZA Discussion Paper No. 4201
Number of pages: 25
Posted: 08 Jun 2009
Downloads
223
Downloads
1,125
34.
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
1,123
35.
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
1,092
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
111
Downloads
1,092
36.
'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
1,088
37.
The Macroeconomy as a Random Forest
Number of pages: 75
Posted: 15 Jul 2020
Last Revised: 24 May 2021
Working Paper Series
Université du Québec à Montréal - Département des Sciences Économiques
Downloads
1,083
38.
NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform
Number of pages: 40
Posted: 08 Apr 2021
Working Paper Series
University of Oxford - Said Business School
Downloads
997
39.
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
992
40.
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
980
41.
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 - McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
966
42.
Readiness for the Licensure Exam of the Engineering Students
Number of pages: 12
Posted: 14 Feb 2014
Working Paper Series
University of Mindanao - Research and Publication Center, College of Engineering Education, University of Mindanao, Philippines and College of Governance and Business
Downloads
933
43.
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
914
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
914
44.
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
893
45.
The Adoption of Computational Antitrust by Agencies: 2021 Report
2 Stanford Computational Antitrust, 78 (2022), VU University Amsterdam Legal Studies Paper Series
Number of pages: 39
Posted: 24 Jun 2022
Accepted Paper Series
VU University Amsterdam and Sciences Po Paris
Downloads
881
46.
Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
Number of pages: 88
Posted: 02 May 2018
Last Revised: 08 May 2019
Working Paper Series
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Department of Economics, PUC-Rio
Downloads
847
47.
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
845
48.
The Need for Efficient Investment: Fundamental Analysis and Technical Analysis
Number of pages: 6
Posted: 13 Apr 2015
Working Paper Series
Great Zimbabwe University
Downloads
837
49.
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
816
50.
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
796
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