SSRN eLibrary Search Results
Econometrics: Econometric & Statistical Methods - General eJournal

1,212,605 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Search Within

Viewing: 1 - 50 of 10,280 papers

1.

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 Tuck School of Business at Dartmouth
Downloads 21,404
2.

Métodos de valoración de empresas (Company Valuation Methods)

Number of pages: 27 Posted: 15 Sep 2008 Last Revised: 28 Mar 2016
Working Paper Series
University of Navarra - IESE Business School
Downloads 19,428
3.

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 19,399
4.

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 19,182
5.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 15,320
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, Texas A&M University, Department of Finance and Duke University - Fuqua School of Business
Downloads 14,459
7.

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 11,364
8.

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), Guggenheim Partners, LLC and Western Michigan University
Downloads 9,361
9.

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 8,759
10.

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 7,362
11.

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), Guggenheim Partners, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 7,231
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
University of Pennsylvania - The Wharton School, University of California, Berkeley - Haas School of Business and University of Pennsylvania - The Wharton School
Downloads 7,216
13.

Evaluating Trading Strategies

Number of pages: 16 Posted: 03 Aug 2014 Last Revised: 26 Aug 2014
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 6,412
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 5,796
15.

Mathematical Definition, Mapping, and Detection of (Anti)Fragility

Quantitative Finance, Forthcoming
Number of pages: 19 Posted: 06 Aug 2012 Last Revised: 04 Apr 2014
Accepted Paper Series
NYU-Tandon School of Engineering and Riskdata
Downloads 5,677
16.

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 5,405
17.

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
Guggenheim Partners, LLC and Lawrence Berkeley National Laboratory
Downloads 4,588
18.

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, Guggenheim Partners, LLC and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,413
19.

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 4,396
20.

Backtesting

Number of pages: 32 Posted: 27 Oct 2013 Last Revised: 30 Jul 2015
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 4,324
21.

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
Imperial College London
Downloads 4,067
22.

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 and Economics
Downloads 3,670
23.

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 (NYU) - Courant Institute of Mathematical Sciences and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 3,638
24.

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 3,432
25.

Applied Multidimensional Girsanov Theorem

Number of pages: 18 Posted: 11 Apr 2011 Last Revised: 03 Mar 2015
Working Paper Series
Quant Advisory Ltd
Downloads 3,384
26.

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
Guggenheim Partners, LLC and University of California, Irvine
Downloads 3,238
27.

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 3,221
28.

What to Look for in a Backtest

Number of pages: 58 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Working Paper Series
Guggenheim Partners, LLC
Downloads 3,031
29.

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 3,007
30.

Term Structure Estimation

Number of pages: 45 Posted: 21 Feb 2008 Last Revised: 15 Jun 2016
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of Murcia - Faculty of Business and Economics
Downloads 2,961
31.

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
Accepted Paper Series
NYU-Tandon School of Engineering and Microsoft Research New York City
Downloads 2,910
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 2,761
33.

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 2,700
34.

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 2,646
35.

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
Triangle Intelligence and University of Cambridge
Downloads 2,581
36.
Downloads 2,459
37.

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 Guggenheim Partners, LLC
Downloads 2,458
38.

Simulations with Exact Means and Covariances

Number of pages: 8 Posted: 08 Jun 2009 Last Revised: 11 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 2,354
39.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,346
40.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Federal Reserve Board and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,294
41.

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 2,232
42.

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 2,135
43.

The Smile in Stochastic Volatility Models

Number of pages: 15 Posted: 03 Dec 2011 Last Revised: 06 May 2012
Working Paper Series
Societe Generale and Bloomberg L.P.
Downloads 2,120
44.

The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors

Fama-Miller Working Paper, Chicago Booth Research Paper No. 11-19
Number of pages: 61 Posted: 22 Jun 2011 Last Revised: 22 Jul 2014
Working Paper Series
University of Chicago - Finance and Arizona State University (ASU) - Finance Department
Downloads 2,087
45.

Testing for Weak Instruments in Linear IV Regression

IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG, 2005
Number of pages: 48 Posted: 07 Jan 2011 Last Revised: 31 Jul 2013
Accepted Paper Series
Harvard University - Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,077
46.

Efficient Simulation of the Double Heston Model

Number of pages: 52 Posted: 18 Jul 2009 Last Revised: 30 Jan 2010
Working Paper Series
Daiwa Capital Markets Europe and Ecole Polytechnique, Paris

Multiple version iconThere are 2 versions of this paper

Downloads 2,029
47.

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: 01 Jul 2014 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory and Guggenheim Partners, LLC
Downloads 2,018
48.

Deep Learning for Mortgage Risk

Number of pages: 75 Posted: 23 Jun 2016 Last Revised: 05 Oct 2017
Working Paper Series
Imperial College London - Department of Mathematics, Stanford University and Stanford University - Management Science & Engineering
Downloads 1,997
49.

Location, Location, Location: An Analysis of Profitability of Position in Online Advertising Markets

Agarwal, A., K. Hosanagar, M. D. Smith (2011), “Location, location and location: An analysis of profitability of position in online advertising markets,” Journal of Marketing Research, 48, 1057-1073.,
Number of pages: 48 Posted: 26 Jun 2008 Last Revised: 02 Sep 2014
Accepted Paper Series
University of Texas at Austin - Red McCombs School of Business, University of Pennsylvania - Operations & Information Management Department and Carnegie Mellon University - H. John Heinz III School of Public Policy and Management
Downloads 1,997
50.

Human Resource Management with Small Firms; Facts and Explanations

ERIM Report Series Reference No. ERS-2003-015-STR
Number of pages: 30 Posted: 28 May 2003
Working Paper Series
Panteia, EDHEC Business School and Erasmus University Rotterdam (EUR) - Centre for Advanced Small Business Economics (CASBEC)
Downloads 1,986