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Econometrics: Single Equation Models eJournal

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Viewing: 1 - 50 of 5,389 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 25,643
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 7,840
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 7,056
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 5,962
5.

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 4,953
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 4,918
7.

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 4,465
8.

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 4,373
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 4,140
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 3,794
11.

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 3,749
12.

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 3,353
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 3,318
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 3,235
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 2,990
16.

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 2,690
17.

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 2,607
18.

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 2,511
19.

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
University of California, San Diego (UCSD) - Department of Political Science
Downloads 2,395
20.

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 2,253
21.

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 2,251
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 2,248
23.

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 2,194
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 2,152
25.

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 2,002
26.

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 Sao Paulo (USP)
Downloads 1,955
27.

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 1,927
28.

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 1,896
29.

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 1,852
30.

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 University of Pennsylvania - Operations & Information Management Department
Downloads 1,689
31.

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 1,685
32.

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 1,623
33.

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 1,609
34.

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 1,580
35.

"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 1,568
36.

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 1,439
37.

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 - Irving B. Harris Graduate School of Public Policy Studies
Downloads 1,411
38.

The Importance of Startups in Job Creation and Job Destruction

Number of pages: 12 Posted: 22 Jul 2010
Working Paper Series
Hoover Institution
Downloads 1,398
39.

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 1,365
40.

Shrinking the Cross Section

Number of pages: 69 Posted: 05 Apr 2017 Last Revised: 01 Aug 2018
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business and University of Maryland - R.H. Smith School of Business

Multiple version iconThere are 4 versions of this paper

Downloads 1,353
41.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 1,352
42.

The Biggest Myth in Spatial Econometrics

Number of pages: 42 Posted: 16 Dec 2010
Working Paper Series
Texas State University - McCoy College of Business Administration and Louisiana State University - E.J. Ourso College of Business Administration
Downloads 1,199
43.

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 1,194
44.

Hedge Fund Leverage

Number of pages: 54 Posted: 02 Aug 2010 Last Revised: 15 Jun 2011
Working Paper Series
BlackRock, Inc, Ellington Management Group and Citi Private Bank

Multiple version iconThere are 2 versions of this paper

Downloads 1,193
45.

Parameter Averaging of Quadratic SDEs With Stochastic Volatility

Number of pages: 35 Posted: 10 Feb 2009
Working Paper Series
Bank of America Merrill Lynch and Banc of America Securities LLC
Downloads 1,161
46.

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 1,152
47.

Determinants of Capital Structure in Cement Industry: A Case of Nigerian Listed Cement Firms

Number of pages: 22 Posted: 05 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 1,132
48.

Investor Expectations, Business Conditions, and the Pricing of Beta-Instability Risk

AFA 2009 San Francisco Meetings Paper, EFA 2007 Ljubljana Meetings Paper, Yale ICF Working Paper
Number of pages: 56 Posted: 25 Mar 2008 Last Revised: 27 Jan 2013
Working Paper Series
Yale School of Management - International Center for Finance, University of Alberta - School of Business and University of Alberta - School of Business
Downloads 1,131
49.

Optimized vs. Sort-Based Portfolios

AFA 2010 Atlanta Meetings Paper
Number of pages: 45 Posted: 14 Jan 2009 Last Revised: 28 Dec 2009
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department and University of California, Los Angeles (UCLA)
Downloads 1,126
50.

Leverage, Debt Maturity and Firm Investment: An Empirical Analysis

Journal of Business Finance and Accounting, Forthcoming
Number of pages: 48 Posted: 04 Mar 2008 Last Revised: 20 Aug 2010
Accepted Paper Series
Alliance Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,123