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Econometrics: Single Equation Models eJournal

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Viewing: 1 - 50 of 5,753 papers

1.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 27,742
2.

Time Series Momentum

Chicago Booth Research Paper No. 12-21, Fama-Miller Working Paper
Number of pages: 62 Posted: 23 Jun 2012
Working Paper Series
Yale University, Yale SOM, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 9,067
3.

Consumer Buying Behavior on the Internet: Findings from Panel Data

Journal of Interactive Marketing, Vol. 14, No. 1, pp. 15-29, 2000
Number of pages: 15 Posted: 08 Jan 2009
Accepted Paper Series
Accenture Corporation, Murdoch University and Columbia Business School - Marketing
Downloads 7,803
4.

A Stochastic Processes Toolkit for Risk Management

Number of pages: 43 Posted: 19 Mar 2008 Last Revised: 05 Oct 2008
Working Paper Series
Imperial College London - Department of Mathematics, University College London, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads 6,143
5.

A Century of Evidence on Trend-Following Investing

Number of pages: 26 Posted: 28 Jun 2017
Working Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 5,406
6.

Accounting for Excess Zeros and Sample Selection in Poisson and Negative Binomial Regression Models

NYU Working Paper No. EC-94-10
Number of pages: 37 Posted: 03 Nov 2008
Working Paper Series
New York University Stern School of Business
Downloads 5,299
7.

Cost of Capital and Earnings Transparency

Journal of Accounting & Economics (JAE), Forthcoming, Stanford University Graduate School of Business Research Paper No. 2015, Rock Center for Corporate Governance at Stanford University Working Paper No. 48
Number of pages: 58 Posted: 25 Feb 2009 Last Revised: 14 May 2013
Accepted Paper Series
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and University of North Carolina Kenan-Flagler Business School
Downloads 4,996
8.

An Implementation of Markov Regime Switching Model with Time Varying Transition Probabilities in Matlab

Number of pages: 5 Posted: 12 Jun 2012 Last Revised: 29 Jun 2012
Working Paper Series
Analytic Investors
Downloads 4,698
9.

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 4,515
10.

The Link between Fama-French Time-Series Tests and Fama-Macbeth Cross-Sectional Tests

Number of pages: 21 Posted: 23 Sep 2008 Last Revised: 25 Nov 2008
Working Paper Series
University of California, Los Angeles (UCLA)
Downloads 4,176
11.

Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework

Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming
Number of pages: 44 Posted: 13 Apr 2011 Last Revised: 23 Oct 2013
Accepted Paper Series
Independent, Dept. of International Trade, Dong-A University and University of Melbourne
Downloads 4,066
12.

The Cross-Section and Time-Series of Stock and Bond Returns

Journal of Monetary Economics, Forthcoming, EFA 2009 Bergen Meetings Paper, AFA 2010 Atlanta Meetings Paper
Number of pages: 65 Posted: 11 Feb 2009 Last Revised: 04 May 2017
Working Paper Series
University of Chicago - Booth School of Business, Stanford Graduate School of Business and Columbia University Graduate School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 3,857
13.

Research in Accounting for Income Taxes

Number of pages: 84 Posted: 07 Dec 2008 Last Revised: 20 Sep 2012
Working Paper Series
Duke University, University of North Carolina at Chapel Hill and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,411
14.

The Determinants of Stock and Bond Return Comovements

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2374-2428, 2010, National Bank of Belgium Working Paper No. 119, AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 67 Posted: 05 Oct 2010
Accepted Paper Series
Tilburg University - Department of Finance, Columbia Business School - Finance and Economics and Ghent University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,275
15.

Linear Factor Models: Theory, Applications and Pitfalls

Number of pages: 51 Posted: 21 Nov 2014 Last Revised: 08 Dec 2014
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 3,189
16.

Determinants of the Dividend Policy of Companies Listed on Emerging Stock Exchanges: The Case of the Gulf Cooperation Council (GCC) Countries

Global Economy & Finance Journal, Vol. 2, No. 2, pp. 38-63, September 2009
Number of pages: 26 Posted: 28 Mar 2011
Accepted Paper Series
The Middle East Centre, London School of Economics and Politics, and Department of Finance & Economics - Qatar University
Downloads 2,909
17.

Modeling and Forecasting the VIX Index

Number of pages: 22 Posted: 29 Nov 2007 Last Revised: 27 Jul 2008
Working Paper Series
Imperial College Business School
Downloads 2,880
18.

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 2,838
19.

Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies?

Number of pages: 28 Posted: 26 Jul 2007 Last Revised: 12 Nov 2007
Working Paper Series
Massey University - School of Economics and Finance, Macquarie Capital (USA) and Macquarie Bank Ltd
Downloads 2,546
20.

Cash Holdings, Working Capital and Firm Value: Evidence from France

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 22 Posted: 12 May 2011 Last Revised: 30 Jul 2013
Working Paper Series
EDHEC Business School and University of Nice-Sophia Antipolis
Downloads 2,422
21.

Time-Series Momentum versus Moving Average Trading Rules

Number of pages: 45 Posted: 27 Feb 2013 Last Revised: 26 Feb 2015
Working Paper Series
Massey University - School of Economics and Finance, Auckland University of Technology and Massey University - Department of Economics and Finance
Downloads 2,399
22.

Illiquidity and Stock Returns: Cross-Section and Time-Series Effects

NYU Working Paper No. FIN-00-041
Number of pages: 50 Posted: 04 Nov 2008
Working Paper Series
New York University - Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 2,388
23.

Shareholder Protection and Stock Market Development: An Empirical Test of the Legal Origins Hypothesis

University of Cambridge, CBR Working Paper, ECGI - Law Working Paper No. 108/2008
Number of pages: 53 Posted: 20 Feb 2008 Last Revised: 17 Nov 2010
Working Paper Series
University of Oxford - Faculty of Law, University of Cambridge - Centre for Business Research (CBR), University of Cambridge, European University Institute (EUI) and United Nations
Downloads 2,288
24.

Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies

Number of pages: 29 Posted: 16 May 2010
Working Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2,241
25.

The Cross Section of Expected Stock Returns

Forthcoming in Critical Finance Review, Tuck School of Business Working Paper No. 2511246
Number of pages: 41 Posted: 18 Oct 2014
Working Paper Series
Dartmouth College - Tuck School of Business
Downloads 2,130
26.

Home Bias in International Equity Portfolios: A Review

Number of pages: 37 Posted: 30 Oct 2007
Working Paper Series
FEB at KU Leuven and KU Leuven Faculty of Economics and Business
Downloads 2,129
27.

Comparative Study of CAPM, Fama and French Model and Reward Beta Approach in the Brazilian Market

Number of pages: 18 Posted: 03 Nov 2007
Working Paper Series
Universidade Federal de Uberlândia and University of São Paulo (USP)
Downloads 2,040
28.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 1,956
29.

Risk Contributions from Generic User-Defined Factors

The Risk Magazine, pp. 84-88, June 2007
Number of pages: 15 Posted: 22 Sep 2008 Last Revised: 26 Aug 2010
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 1,951
30.

Instrumented Principal Component Analysis

Number of pages: 33 Posted: 09 Jun 2017 Last Revised: 11 Jun 2017
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 1,857
31.

Comparing Cross-Section and Time-Series Factor Models

Chicago Booth Research Paper No. 18-08, Fama-Miller Working Paper
Number of pages: 43 Posted: 16 Oct 2018 Last Revised: 15 Jun 2019
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,818
32.

Panel Data Inference in Finance: Least-Squares vs Fama-Macbeth

Number of pages: 54 Posted: 25 Mar 2008 Last Revised: 20 Mar 2009
Working Paper Series
University of British Columbia (UBC) - Division of Finance
Downloads 1,806
33.

Shrinking the Cross Section

Number of pages: 69 Posted: 05 Apr 2017 Last Revised: 01 Aug 2018
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of Chicago - Booth School of Business and University of Colorado at Boulder - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 1,790
34.

What Do You Think Would Make You Happier? What Do You Think You Would Choose?

American Economic Review, 102(5): 2083–2110, Johnson School Research Paper Series No. 32-2011 ,
Number of pages: 42 Posted: 28 Jul 2011 Last Revised: 22 Sep 2013
Accepted Paper Series
USC, Center for Economic and Social Research (CESR), Cornell University - S.C. Johnson Graduate School of Management, University of Michigan at Ann Arbor - Department of Economics and Cornell University - Department of Economics
Downloads 1,749
35.

The Importance of Startups in Job Creation and Job Destruction

Number of pages: 12 Posted: 22 Jul 2010
Working Paper Series
Hoover Institution
Downloads 1,714
36.

Estimating and Validating Long-Run Probability of Default With Respect to Basel II Requirements

Number of pages: 45 Posted: 02 Nov 2007
Working Paper Series
McMaster University - DeGroote School of Business and Standard & Poor's
Downloads 1,655
37.

Improving the Numerical Performance of BLP Static and Dynamic Discrete Choice Random Coefficients Demand Estimation

Chicago Booth School of Business Research Paper No. 11-41
Number of pages: 34 Posted: 05 Feb 2009 Last Revised: 11 Jul 2016
Working Paper Series
University of Chicago - Booth School of Business, University of Michigan and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,616
38.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01,
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Accepted Paper Series
Board of Governors of the Federal Reserve System, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)

Multiple version iconThere are 3 versions of this paper

Downloads 1,598
39.

"A Statistical Model for Credit Scoring,"

NYU Working Paper No. EC-92-29
Number of pages: 39 Posted: 03 Nov 2008
Working Paper Series
New York University Stern School of Business
Downloads 1,595
40.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,515
41.

Tracking R of COVID-19: A New Real-Time Estimation Using the Kalman Filter

Number of pages: 45 Posted: 22 Apr 2020 Last Revised: 11 May 2020
Working Paper Series
Central Bank of Chile, Central Bank of Chile, Humboldt University of Berlin and Central Bank of Chile
Downloads 1,490
42.

Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics?

Number of pages: 21 Posted: 30 Jun 2010 Last Revised: 13 Oct 2010
Working Paper Series
Supreme Vinegar LLC
Downloads 1,468
43.

The Role of Energy in Economic Growth,

Crawford School Centre for Climate Economics & Policy Paper No. 3.10
Number of pages: 52 Posted: 04 Jul 2011
Working Paper Series
Australian National University (ANU) - Crawford School of Public Policy

Multiple version iconThere are 2 versions of this paper

Downloads 1,458
44.

Determinants of Nationalization in the Oil Sector: A Theory and Evidence from Panel Data

Journal of Law, Economics, and Organization, 27 (2): 301-323, 2011.
Number of pages: 28 Posted: 07 Mar 2008 Last Revised: 22 Oct 2012
Accepted Paper Series
Sciences Po, University of New South Wales (UNSW) and University of Chicago - Harris School of Public Policy
Downloads 1,455
45.

E-Commerce Has a Positive Impact on Economic Growth: A Panel Data Analysis for Western Europe

Number of pages: 12 Posted: 10 Oct 2009
Working Paper Series
Independent
Downloads 1,428
46.

Factor Timing

Number of pages: 79 Posted: 05 Apr 2017 Last Revised: 31 Dec 2019
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, University of Maryland - Robert H. Smith School of Business and University of Colorado at Boulder - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,417
47.

Revisiting Event Study Designs

Number of pages: 25 Posted: 20 Aug 2016 Last Revised: 29 May 2018
Working Paper Series
Princeton University - International Economics Section and London School of Economics & Political Science (LSE) - Department of Economics
Downloads 1,319
48.

Local-Stochastic Volatility: Models and Non-Models

Number of pages: 9 Posted: 21 Jan 2017 Last Revised: 20 Jul 2017
Working Paper Series
Societe Generale
Downloads 1,285
49.

Evidence in Favor of Weight of Evidence and Binning Transformations for Predictive Modeling

Number of pages: 39 Posted: 12 Sep 2011
Working Paper Series
Independent
Downloads 1,282
50.

Asymmetric Capital Structure Adjustments: New Evidence from Dynamic Panel Threshold Models

Journal of Empirical Finance, Forthcoming
Number of pages: 37 Posted: 05 Aug 2009 Last Revised: 17 Apr 2012
Accepted Paper Series
Alliance Manchester Business School, University of Liverpool - Accounting and Finance Division and Independent
Downloads 1,245