1.
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
9,624
2.
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
6,818
3.
A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes
Number of pages: 21
Posted: 28 May 2008
Last Revised: 02 Nov 2008
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
5,781
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
3,147
5.
What Factors Give Cryptocurrencies Their Value: An Empirical Analysis
Number of pages: 6
Posted: 18 Mar 2015
Last Revised: 25 Mar 2021
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads
2,977
6.
The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective
Bank of England Working Paper No. 339
Number of pages: 40
Posted: 02 Mar 2007
Working Paper Series
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads
2,759
7.
Forecasting Financial Statements with No Plugs and No Circularity
The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, 2011
Number of pages: 34
Posted: 21 Nov 2007
Last Revised: 23 May 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
There are 2 versions of this paper
Forecasting Financial Statements with No Plugs and No Circularity
The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, 2011
Number of pages: 34
Posted: 21 Nov 2007
Last Revised: 23 May 2012
Downloads
2,591
Forecasting Financial Statements with No Plugs and No Circularity
The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, pp. 38-68, January 2011
Posted: 16 Mar 2011
Downloads
2,591
8.
Modeling Term Structure Dynamics: An Infinite Dimensional Approach
CMAPX Internal Report No. 402
Number of pages: 32
Posted: 25 Feb 1999
Working Paper Series
University of Oxford
Downloads
2,302
9.
Model Calibration with Neural Networks
Number of pages: 13
Posted: 21 Jul 2016
Working Paper Series
PwC
Downloads
2,231
10.
Corporate Governance for Complex Cryptocurrencies? A Framework for Stability and Decision Making in Blockchain-Based Organizations
in: Regulating Blockchain. Techno-Social and Legal Challenges, edited by Philipp Hacker, Ioannis Lianos, Georgios Dimitropoulos, and Stefan Eich, Oxford University Press, 2019, pp. 140-166
Number of pages: 37
Posted: 17 Jul 2017
Last Revised: 14 Sep 2019
Accepted Paper Series
European University Viadrina Frankfurt (Oder) - European New School of Digital Studies
Downloads
2,214
11.
A Study on Volatility in Indian Stock Market
Number of pages: 13
Posted: 28 Dec 2016
Working Paper Series
University of Gondar
Downloads
2,010
12.
Calibrating the Nelson-Siegel-Svensson Model
Number of pages: 22
Posted: 16 Sep 2010
Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads
1,949
13.
Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model
Swiss Finance Institute Research Paper No. 18-22
Number of pages: 22
Posted: 16 Mar 2018
Last Revised: 22 Mar 2018
Working Paper Series
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads
1,898
14.
Home Away from Home? Foreign Demand and London House Prices
Number of pages: 75
Posted: 12 Nov 2013
Last Revised: 29 Nov 2016
Working Paper Series
National University of Singapore (NUS) and Imperial College London
Downloads
1,890
15.
A Cost of Production Model for Bitcoin
Number of pages: 4
Posted: 21 Mar 2015
Last Revised: 10 Jan 2016
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads
1,859
16.
Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses
A version of this paper was published in Risk, 26 January 2018
Number of pages: 14
Posted: 27 Dec 2017
Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads
1,832
17.
Cryptocurrency Value Formation: An Empirical Analysis Leading to a Cost of Production Model for Valuing Bitcoin
Telematics and Informatics, Forthcoming
Number of pages: 21
Posted: 22 Aug 2015
Last Revised: 12 May 2016
Accepted Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads
1,754
18.
An Analysis of Bitcoin Exchange Rates
Number of pages: 28
Posted: 10 Sep 2014
Last Revised: 04 May 2016
Working Paper Series
University of Houston, College of Liberal Arts & Social Sciences, Department of Economics, Students
Downloads
1,631
19.
Constructing Consistent Financial Planning Models for Valuation
IIMS Journal of Management of Science, Vol. 1, January-June 2010 (Inaugural Issue)
Number of pages: 29
Posted: 19 Aug 2009
Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,462
20.
To Plug or Not to Plug, That is the Question: No Plugs, No Circularity: A Better Way to Forecast Financial Statements (Proyección de Estados Financieros sin Cuentas de Cuadre (Plugs))
Escritos Contables, Vol 1, No. 1, 2010, Bahía Blanca, Argentina
Number of pages: 43
Posted: 07 Aug 2008
Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,428
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.
Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask
Applied Econometrics, Forthcoming
Number of pages: 49
Posted: 14 Jun 2016
Accepted Paper Series
Moscow School of Economics, Moscow State University, Bocconi University, Perm State University and Perm State University
Downloads
1,270
24.
An Evaluation of the Base Correlation Framework for Synthetic Cdos
Number of pages: 25
Posted: 31 Dec 2004
Working Paper Series
Barclays Investment Bank
Downloads
1,267
25.
Forecasting Methods (Spanish Version)
Number of pages: 29
Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,265
26.
Measuring the Reaction of Monetary Policy to the Stock Market
Number of pages: 32
Posted: 11 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section
There are 2 versions of this paper
Measuring the Reaction of Monetary Policy to the Stock Market
Number of pages: 32
Posted: 11 Jun 2001
Downloads
1,164
Measuring the Reaction of Monetary Policy to the Stock Market
NBER Working Paper No. w8350
Number of pages: 34
Posted: 28 Jun 2001
Last Revised: 27 Apr 2022
Downloads
127
Downloads
1,164
27.
Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?
EFA 2009 Bergen Meetings Paper
Number of pages: 183
Posted: 22 Nov 2006
Last Revised: 03 Feb 2013
Working Paper Series
University of Queensland - Business School
Downloads
1,063
28.
An Introduction to the Cost of Capital
Number of pages: 27
Posted: 22 Mar 2010
Last Revised: 12 Dec 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant
There are 2 versions of this paper
An Introduction to the Cost of Capital
Number of pages: 27
Posted: 22 Mar 2010
Last Revised: 12 Dec 2015
Downloads
1,058
Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital)
Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012
Number of pages: 33
Posted: 02 Feb 2012
Last Revised: 17 Sep 2012
Downloads
986
Downloads
1,058
29.
Estimating Cash Flows for Project Appraisal and Firm Valuation
Number of pages: 37
Posted: 23 Feb 2010
Last Revised: 19 Apr 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant
There are 2 versions of this paper
Estimación Flujos de Caja Para Evaluación de Proyectos y Valoración de Empresas (Estimating Cash Flows for Project Assessment and Firm Valuation)
I. Velez-Pareja & J. Tham, TOPICOS EN VALORACIÓN DE ACTIVOS NO FINANCIEROS, Fondo Editorial EAFIT, 2012
Number of pages: 43
Posted: 02 Feb 2012
Last Revised: 12 Mar 2012
Downloads
1,125
Estimating Cash Flows for Project Appraisal and Firm Valuation
Number of pages: 37
Posted: 23 Feb 2010
Last Revised: 19 Apr 2015
Downloads
1,035
Downloads
1,035
30.
A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives
Number of pages: 265
Posted: 25 Jun 2007
Working Paper Series
PNC Financial Services Group
Downloads
1,022
31.
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
32.
Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital)
Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012
Number of pages: 33
Posted: 02 Feb 2012
Last Revised: 17 Sep 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant
There are 2 versions of this paper
An Introduction to the Cost of Capital
Number of pages: 27
Posted: 22 Mar 2010
Last Revised: 12 Dec 2015
Downloads
1,058
Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital)
Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012
Number of pages: 33
Posted: 02 Feb 2012
Last Revised: 17 Sep 2012
Downloads
986
Downloads
986
33.
Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics
Number of pages: 55
Posted: 17 Mar 2010
Last Revised: 16 Apr 2013
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
984
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
980
35.
Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information
Number of pages: 52
Posted: 04 Mar 2007
Last Revised: 04 May 2010
Working Paper Series
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads
904
36.
Working paper version of "Carry Investing on the Yield Curve" which has been published in final form in the Financial Analysts Journal 75(4)
Martens, M., Beekhuizen, P., Duyvesteyn, J., Zomerdijk, C., 2019. “Carry Investing on the Yield Curve” Financial Analysts Journal 75 (4): 51–63.
https://doi.org/10.1080/0015198X.2019.1628552
Number of pages: 20
Posted: 13 Jul 2016
Last Revised: 11 Jun 2020
Accepted Paper Series
Robeco Asset Management, Robeco Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads
842
37.
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
38.
Taylor’s Rule versus Taylor Rules
Number of pages: 27
Posted: 02 May 2011
Last Revised: 24 Sep 2012
Working Paper Series
Lehigh University - Business School and University of Houston - Department of Economics
Downloads
817
39.
The Decision to Produce Altcoins: Miners' Arbitrage in Cryptocurrency Markets
Number of pages: 6
Posted: 17 Mar 2015
Last Revised: 10 Jan 2016
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads
803
40.
Credit Spreads and Real Activity
EFA 2008 Athens Meetings Paper
Number of pages: 72
Posted: 24 Mar 2008
Last Revised: 15 Mar 2011
Working Paper Series
Warwick Business School Finance Group
Downloads
801
41.
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
738
42.
Liquidity Risk and Interest Rate Risk on Banks: Are They Related?
The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 37
Posted: 28 Sep 2012
Last Revised: 21 Oct 2012
Accepted Paper Series
University of Padova, Department of Economic and Managerial Sciences and University of Padua - Department of Economics and Management
There are 2 versions of this paper
Liquidity Risk and Interest Rate Risk on Banks: Are They Related?
The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 37
Posted: 28 Sep 2012
Last Revised: 21 Oct 2012
Downloads
738
Liquidity Risk and Interest Rate Risk on Banks: Are they Related?
The IUP Journal of Financial Risk Management, Vol. IX, No. 4, pp. 27-51, December 2012
Posted: 12 Dec 2012
Downloads
738
43.
A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration
PIER Working Paper No. 06-017
Number of pages: 44
Posted: 21 Jun 2006
Working Paper Series
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads
723
44.
Simple Robust Hedging with Nearby Contracts
Number of pages: 54
Posted: 02 Nov 2010
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Utah
There are 2 versions of this paper
Downloads
723
45.
The Unfortunate Uselessness of Most 'State of the Art' Academic Monetary Economics
VoxEU, Research-based policy analysis and commentary from leading economists, March 6, 2009
Number of pages: 5
Posted: 10 Sep 2014
Accepted Paper Series
Centre for Economic Policy Research (CEPR)
Downloads
720
46.
Developing a Practical Yield Curve Model: An Odyssey
Number of pages: 29
Posted: 07 Aug 2013
Working Paper Series
University of Cambridge - Centre for Financial Research, eValue FE and University of Cambridge - Centre for Financial Research
Downloads
689
47.
Volatility Estimation via First Exit Times
Number of pages: 8
Posted: 02 Sep 2021
Working Paper Series
Bluefin TradingFactorWave and University of Chicago
Downloads
688
48.
Capital Flows and the Current Account: Taking Financing (More) Seriously
BIS Working Paper No. 525
Number of pages: 50
Posted: 22 Oct 2015
Working Paper Series
Bank for International Settlements (BIS) - Research and Policy Analysis and Puey Ungphakorn Institute for Economic Research, Bank of Thailand
Downloads
669
49.
COVID-19’s Impact on Indian Financial Market
Number of pages: 8
Posted: 10 Sep 2021
Working Paper Series
Tan Tao University
Downloads
665
50.
A Practical Model-Based Approach to Monetary Policy Analysis - Overview
IMF Working Paper No. 06/80
Number of pages: 45
Posted: 17 May 2006
Working Paper Series
International Monetary Fund (IMF) - Developing Country Studies Division, International Monetary Fund (IMF) and International Monetary Fund (IMF) - Research Department
Downloads
664
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