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Econometrics: Econometric & Statistical Methods - General eJournal

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Viewing: 1 - 50 of 12,146 papers

1.

Métodos de valoración de empresas (Company Valuation Methods)

Number of pages: 28 Posted: 15 Sep 2008 Last Revised: 13 Oct 2019
Working Paper Series
IESE Business School
Downloads 28,791
2.

Luck Versus Skill in the Cross Section of Mutual Fund Returns

Tuck School of Business Working Paper No. 2009-56 , Chicago Booth School of Business Research Paper, Journal of Finance, Forthcoming
Number of pages: 43 Posted: 10 Mar 2009 Last Revised: 08 Feb 2010
Accepted Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 23,603
3.

The Black-Litterman Model in Detail

Number of pages: 65 Posted: 28 Jan 2009 Last Revised: 23 Jun 2014
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads 23,355
4.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 22,351
5.

Valuing Subscription-Based Businesses Using Publicly Disclosed Customer Data

Number of pages: 51 Posted: 10 Dec 2015 Last Revised: 11 Oct 2016
Working Paper Series
Emory University - Department of Marketing, University of Pennsylvania - Marketing Department and London Business School
Downloads 20,938
6.

…and the Cross-Section of Expected Returns

Number of pages: 101 Posted: 17 Apr 2013 Last Revised: 21 Apr 2015
Working Paper Series
Duke University - Fuqua School of Business, Purdue University and University of Oklahoma
Downloads 18,600
7.

Flow Toxicity and Liquidity in a High Frequency World

Review of Financial Studies, Vol. 25, No. 5, pp. 1457-1493, 2012.
Number of pages: 71 Posted: 23 Oct 2010 Last Revised: 15 Apr 2012
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 16,484
8.

Fully Flexible Views: Theory and Practice

Fully Flexible Views: Theory and Practice, Risk, Vol. 21, No. 10, pp. 97-102, October 2008
Number of pages: 26 Posted: 10 Aug 2008 Last Revised: 06 Dec 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 12,998
9.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 12,397
10.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 10,901
11.

Valuing Young, Start-Up and Growth Companies: Estimation Issues and Valuation Challenges

Number of pages: 67 Posted: 13 Jun 2009
Working Paper Series
New York University - Stern School of Business
Downloads 10,721
12.

P-Curve: A Key to the File Drawer

Journal of Experimental Psychology: General, Forthcoming
Number of pages: 14 Posted: 24 Apr 2013 Last Revised: 08 Jul 2014
Accepted Paper Series
Ramon Llull University - ESADE Business School, University of California, Berkeley - Haas School of Business and University of Pennsylvania - The Wharton School
Downloads 10,535
13.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019 Last Revised: 21 May 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 8,838
14.

Macroeconomics after the Crisis: Time to Deal with the Pretense-of-Knowledge Syndrome

MIT Department of Economics Working Paper No. 10-16
Number of pages: 23 Posted: 27 Sep 2010 Last Revised: 10 Oct 2010
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 6,059
15.

Discerning Information from Trade Data

Journal of Financial Economics, 120(2), pp. 269-286. May 2016, Johnson School Research Paper Series No. 8-2012
Number of pages: 56 Posted: 23 Jan 2012 Last Revised: 16 May 2016
Accepted Paper Series
Cornell University - Department of Economics, Cornell University - Operations Research & Industrial Engineering and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 6,053
16.

p-Hacking and False Discovery in A/B Testing

Number of pages: 46 Posted: 18 Jul 2018 Last Revised: 12 Dec 2018
Working Paper Series
University of Pennsylvania, The Wharton School, OpenDoor, Independent and University of Pennsylvania - Marketing Department
Downloads 5,872
17.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 5,714
18.

Enhancing the Black-Litterman and Related Approaches: Views and Stress-Test on Risk Factors

Number of pages: 11 Posted: 10 Aug 2008 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,683
19.

Advances in Cointegration and Subset Correlation Hedging Methods

Journal of Investment Strategies (Risk Journals), Vol.1(2), Spring 2012, pp. 67-115
Number of pages: 37 Posted: 08 Aug 2011 Last Revised: 31 Jan 2014
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Berkeley - Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 5,553
20.

Quant Nugget 4: Annualization and General Projection of Skewness, Kurtosis and All Summary Statistics

GARP Risk Professional - "The Quant Classroom," pp. 59-63, August 2010
Number of pages: 8 Posted: 14 Jul 2010 Last Revised: 11 Oct 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 5,138
21.

The Deflated Sharpe Ratio: Correcting for Selection Bias, Backtest Overfitting and Non-Normality

Journal of Portfolio Management, 40 (5), pp. 94-107. 2014 (40th Anniversary Special Issue)
Number of pages: 22 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 5,060
22.

Statistical Modeling of High Frequency Financial Data: Facts, Models and Challenges

Number of pages: 12 Posted: 26 Jan 2011 Last Revised: 15 Mar 2011
Working Paper Series
University of Oxford
Downloads 4,826
23.

Comparative Politics and the Synthetic Control Method

American Journal of Political Science. 2014, Forthcoming, Formerly MIT Political Science Department Research Paper No. 2011-25
Number of pages: 34 Posted: 28 Oct 2011 Last Revised: 08 Feb 2014
Accepted Paper Series
Harvard University - Harvard Kennedy School (HKS), Harvard University and Stanford University - Department of Political Science
Downloads 4,527
24.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,519
25.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Tenokonda Ltd
Downloads 4,286
26.

Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory

NYU Tandon Research Paper No. 1701685
Number of pages: 56 Posted: 03 Nov 2010 Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 4,260
27.

An Improved Moving Average Technical Trading Rule

Quantf Research Working Paper Series No. WP01/2014
Number of pages: 32 Posted: 13 Sep 2011 Last Revised: 02 Jun 2014
Working Paper Series
Quantf Research and University of Peloponnese - School of Management, Economics and Informatics
Downloads 4,234
28.

A Mixture of Gaussians Approach to Mathematical Portfolio Oversight: The EF3M Algorithm

Quantitative Finance, 2013, Forthcoming, Johnson School Research Paper Series No. 39-2011
Number of pages: 34 Posted: 22 Sep 2011 Last Revised: 27 Oct 2013
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads 4,217
29.

The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules

Forthcoming in the Journal of Asset Management
Number of pages: 8 Posted: 03 Apr 2013 Last Revised: 04 Sep 2014
Accepted Paper Series
University of Agder - School of Business and Law
Downloads 4,158
30.

Tactical Investment Algorithms

Number of pages: 11 Posted: 30 Sep 2019 Last Revised: 01 Oct 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 4,149
31.

Deep Learning for Mortgage Risk

Number of pages: 75 Posted: 23 Jun 2016 Last Revised: 22 Nov 2018
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 4,036
32.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,735
33.

Quant Bust 2020

World Economics (Forthcoming)
Number of pages: 29 Posted: 07 Apr 2020 Last Revised: 10 Jun 2020
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,729
34.

Universal Features of Price Formation in Financial Markets: Perspectives From Deep Learning

Number of pages: 20 Posted: 16 Mar 2018 Last Revised: 29 Mar 2018
Working Paper Series
Imperial College London - Department of Mathematics and University of Oxford
Downloads 3,686
35.

A Study of Saving and Investment Behaviour of Individual Households – An Empirical Evidence from Orissa

Personal Finance & Investments (PF&I) 2011 Conference
Number of pages: 19 Posted: 30 Oct 2012
Working Paper Series
Department of Commerce, Manipal Academy of Higher Education and Utkal University - Department of Commerce
Downloads 3,549
36.

The Problem is Beyond Psychology: The Real World is More Random than Regression Analyses

International Journal of Forecasting, Forthcoming
Number of pages: 4 Posted: 10 Oct 2011 Last Revised: 14 Dec 2017
Accepted Paper Series
New York University (NYU) - NYU Tandon School of Engineering and Microsoft Research New York City
Downloads 3,508
37.

The Bayesian New Statistics: Hypothesis Testing, Estimation, Meta-Analysis, and Power Analysis from a Bayesian Perspective

Number of pages: 28 Posted: 15 May 2015 Last Revised: 15 Dec 2016
Working Paper Series
Indiana University and Indiana University Bloomington
Downloads 3,471
38.

Balanced Baskets: A New Approach to Trading and Hedging Risks

Journal of Investment Strategies (Risk Journals), Vol.1(4), Fall 2012
Number of pages: 44 Posted: 24 May 2012 Last Revised: 08 Sep 2012
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 3,441
39.

Panel Vector Autoregression in R with the Package Panelvar

Quarterly Review of Economics and Finance, 2019
Number of pages: 49 Posted: 19 Jan 2018 Last Revised: 21 Feb 2019
Working Paper Series
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 3,372
40.

The Factor Tau in the Black-Litterman Model

Number of pages: 14 Posted: 02 Nov 2010 Last Revised: 10 Oct 2013
Working Paper Series
Boston University - Metropolitan College - Department of Computer Science
Downloads 3,361
41.

Support Vector Machines (SVM) as a Technique for Solvency Analysis

DIW Berlin Discussion Paper No. 811
Number of pages: 18 Posted: 25 Jun 2009
Working Paper Series
affiliation not provided to SSRN and German Institute for Economic Research (DIW Berlin)
Downloads 3,268
42.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Political Analysis, forthcoming
Number of pages: 150 Posted: 29 Feb 2016 Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and Stanford University
Downloads 3,178
43.

Combining Alphas via Bounded Regression

Risks 3(4) (2015) 474-490
Number of pages: 20 Posted: 17 Jan 2015 Last Revised: 05 Nov 2015
Accepted Paper Series
Quantigic Solutions LLC
Downloads 3,117
44.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,027
45.

An Agent-Based Model of the Flash Crash of May 6, 2010, with Policy Implications

Number of pages: 39 Posted: 07 Oct 2013 Last Revised: 27 Feb 2014
Working Paper Series
Rayleigh Research and University of Cambridge
Downloads 2,961
46.

Text As Data

Number of pages: 63 Posted: 17 Mar 2017 Last Revised: 14 Jul 2018
Working Paper Series
Stanford University, Yale SOM and University of Chicago

Multiple version iconThere are 2 versions of this paper

Downloads 2,913
47.

Generalized Synthetic Control Method: Causal Inference with Interactive Fixed Effects Models

Political Analysis, Forthcoming, MIT Political Science Department Research Paper No. 2015-1
Number of pages: 33 Posted: 25 Mar 2015 Last Revised: 27 Aug 2016
Accepted Paper Series
Stanford University
Downloads 2,873
48.

Stress-Testing with Fully Flexible Causal Inputs

Risk, 25, 4, p. 61-65 (2012)
Number of pages: 13 Posted: 07 Dec 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,849
49.

Presidential Address: The Scientific Outlook in Financial Economics

Duke I&E Research Paper No. 2017-05
Number of pages: 38 Posted: 10 Jan 2017 Last Revised: 22 Dec 2017
Working Paper Series
Duke University - Fuqua School of Business
Downloads 2,846
50.

The Dark Side of Analyst Coverage: The Case of Innovation

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 53 Posted: 14 Nov 2011 Last Revised: 02 Jul 2014
Accepted Paper Series
University of Georgia - Department of Finance and Tsinghua University - PBC School of Finance
Downloads 2,835