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 School and Imperial College Business School
Downloads
9,728
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
5,978
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
3,861
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
Downloads
83
Downloads
3,861
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
3,037
5.
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
affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads
2,356
6.
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
2,321
7.
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
affiliation not provided to SSRN
Downloads
2,276
8.
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
2,253
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
1,998
10.
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
1,868
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Review of Accounting Studies, Vol. 18, No. 4, 2013
Posted: 08 Dec 2014
Downloads
1,868
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
1,839
12.
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
affiliation not provided to SSRN and Federal Reserve Bank of New York
Downloads
1,611
13.
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
1,584
14.
Probabilities of Default for Impairment Under IFRS 9
Number of pages: 6
Posted: 02 Nov 2015
Working Paper Series
Hiram Finance
Downloads
1,379
15.
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
1,349
16.
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) - Sloan School of Management 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
1,318
Systemic Risk and the Refinancing Ratchet Effect
NBER Working Paper No. w15362
Number of pages: 68
Posted: 21 Sep 2009
Last Revised: 24 Jun 2010
Downloads
63
Downloads
1,318
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, Independent and IDC Herzliya - Arison School of Business
Downloads
1,284
18.
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 University of Pennsylvania -- Wharton School of Business
Downloads
1,250
19.
Forecasting Methods (Spanish Version)
Number of pages: 29
Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,208
20.
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 University of Manchester - Manchester Business School
Downloads
1,165
21.
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
1,138
22.
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
1,087
23.
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
1,052
Downloads
266
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
54
Downloads
1,052
24.
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
1,020
25.
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
976
26.
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
968
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: 17 Aug 2014
Downloads
67
Downloads
968
27.
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, George Mason University - Department of Computational Social Science and affiliation not provided to SSRN
Downloads
923
28.
'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
912
29.
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
894
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
894
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
882
31.
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
856
32.
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
794
33.
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
780
34.
The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment
Journal of Statistical Software, Forthcoming
Number of pages: 40
Posted: 11 Nov 2017
Last Revised: 23 May 2020
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads
769
35.
Forecasting U.S. Inflation by Bayesian Model Averaging
FRB International Finance Discussion Paper No. 780
Number of pages: 33
Posted: 22 Nov 2003
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
765
36.
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
753
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
311
Google Econometrics and Unemployment Forecasting
IZA Discussion Paper No. 4201
Number of pages: 25
Posted: 08 Jun 2009
Downloads
217
Downloads
753
37.
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
743
38.
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
740
Forecasting Portfolio Risk in Normal and Stressed Markets
Journal of Risk, Vol. 4, No. 1, Fall 2001
Posted: 17 Jan 2002
Downloads
740
39.
Oil and the Macroeconomy Revisited
FEDS Working Paper No. 99-43
Number of pages: 24
Posted: 27 Mar 2000
Working Paper Series
State Street Corporate - Advanced Research Center (ARC)
Downloads
708
40.
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
697
41.
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
695
42.
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, GUU-State University of Management and State University of Management
Downloads
691
43.
Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models
Number of pages: 23
Posted: 15 Jan 2009
Working Paper Series
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads
672
44.
Charles Mackay's Own Extraordinary Popular Delusions and the Railway Mania
Number of pages: 48
Posted: 14 Sep 2011
Last Revised: 27 Feb 2012
Working Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads
650
45.
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
Case 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
649
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
352
Downloads
649
46.
Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy
Zurich IEER Working Paper No. 50
Number of pages: 32
Posted: 17 Oct 2000
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Economic History and University of Zurich
Downloads
642
47.
Geography of Firms and Propagation of Local Economic Shocks
Number of pages: 68
Posted: 22 May 2012
Last Revised: 07 Mar 2019
Working Paper Series
University of Miami - Department of Finance, University of Miami - Department of Finance, University of Miami and University of Miami - Miami Herbert Business School
Downloads
631
48.
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
630
49.
Forecasting Economic Activity in Germany - How Useful are Sentiment Indicators?
ZEW Discussion Paper No. 02-56
Number of pages: 18
Posted: 06 Nov 2002
Working Paper Series
Organization for Economic Co-Operation and Development (OECD) and ZEW – Leibniz Centre for European Economic Research - International Finance and Financial Management
Downloads
619
50.
Globalization and Catching-Up in Emerging Market Economies
Number of pages: 45
Posted: 15 May 2002
Working Paper Series
Kozminski University
Downloads
587
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