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Econometrics: Multiple Equation Models eJournal

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Viewing: 1 - 50 of 4,423 papers

1.

Review of Statistical Arbitrage, Cointegration, and Multivariate Ornstein-Uhlenbeck

Number of pages: 20 Posted: 15 May 2009 Last Revised: 06 Dec 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 16,818
2.

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 9,493
3.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 7,703
4.

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 7,371
5.

The Miracle of Microfinance? Evidence from a Randomized Evaluation

MIT Department of Economics Working Paper No. 13-09
Number of pages: 62 Posted: 14 Apr 2013 Last Revised: 18 Apr 2013
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology - Department of Economics and Northwestern University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 4,985
6.

The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal

ECB Working Paper No. 1419
Number of pages: 61 Posted: 06 Feb 2012
Working Paper Series
European Central Bank (ECB) - Directorate General Economics
Downloads 4,182
7.

Managerial Miscalibration

Quarterly Journal of Economics, Forthcoming
Number of pages: 38 Posted: 16 Jul 2010 Last Revised: 18 Sep 2013
Accepted Paper Series
Ohio State University - Fisher College of Business, Finance Department, Duke University and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,023
8.

Determinants of Bank Profitability: Macroeconomic Evidence from Nigeria

Number of pages: 34 Posted: 19 Aug 2008 Last Revised: 03 Sep 2008
Working Paper Series
Deakin University
Downloads 3,813
9.

A Case Study Approach to Exploring the Relationship between Human Resources Management and Firm Performance

IE Working Paper No. WP07-01
Number of pages: 28 Posted: 11 Jul 2007
Working Paper Series
Fundación Instituto de Empresa, S.L.
Downloads 2,948
10.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,784
11.

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 2,623
12.

A Theoretical and Empirical Comparison of Systemic Risk Measures

HEC Paris Research Paper No. FIN-2014-1030
Number of pages: 47 Posted: 21 Dec 2011 Last Revised: 21 Jan 2014
Working Paper Series
Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris
Downloads 2,483
13.

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 2,453
14.

As Certain as Debt and Taxes: Estimating the Tax Sensitivity of Leverage from State Tax Changes

Journal of Financial Economics (JFE), 118, 684-712 (2015)
Number of pages: 73 Posted: 18 Mar 2012 Last Revised: 24 May 2016
Accepted Paper Series
European Central Bank (ECB) and New York University (NYU) - Department of Finance

Multiple version iconThere are 4 versions of this paper

Downloads 2,386
15.

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 2,364
16.

Editorial - Partial Least Squares Structural Equation Modeling: Rigorous Applications, Better Results and Higher Acceptance

Long Range Planning, Volume 46, Issues 1-2, pp. 1-12
Number of pages: 12 Posted: 16 Mar 2013
Accepted Paper Series
Kennesaw State University, Hamburg University of Technology (TUHH) and University of Magdeburg
Downloads 2,089
17.

Regulating Consumer Financial Products: Evidence from Credit Cards

Number of pages: 67 Posted: 26 Sep 2013 Last Revised: 28 Aug 2014
Working Paper Series
Georgetown University - Department of Finance, Office of the Comptroller of the Currency (OCC), University of Chicago Booth School of Business and New York University (NYU)

Multiple version iconThere are 2 versions of this paper

Downloads 2,031
18.

Measuring Economic Policy Uncertainty

Chicago Booth Research Paper No. 13-02
Number of pages: 48 Posted: 09 Jan 2013
Working Paper Series
Northwestern University, Kellogg School of Management, Department of Finance, Stanford University - Department of Economics and University of Chicago

Multiple version iconThere are 3 versions of this paper

Downloads 2,024
19.

A Probabilistic Choice Model for Market Segmentation and Elasticity Structure

Journal of Marketing Research, Vol XXVI (November 1989), 379-390
Number of pages: 12 Posted: 24 Apr 2014
Accepted Paper Series
Rice University and University of Iowa - Henry B. Tippie College of Business
Downloads 1,897
20.

Labor Hiring, Investment, and Stock Return Predictability in the Cross Section

Fisher College of Business Working Paper No. 2012-03-17, Charles A. Dice Center Working Paper No. 2012-17
Number of pages: 52 Posted: 15 Sep 2008 Last Revised: 10 Feb 2014
Working Paper Series
University of Minnesota, Ohio State University (OSU) - Fisher College of Business and Banco de México
Downloads 1,795
21.

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
Downloads 1,712
22.

Learning and Trusting Cointegration in Statistical Arbitrage

Number of pages: 27 Posted: 22 Feb 2013 Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads 1,665
23.

Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

IMF Working Paper No. 11/161
Number of pages: 28 Posted: 19 Jul 2011
Working Paper Series
International Monetary Fund (IMF)
Downloads 1,647
24.

Non-Performing Loans: What Matters in Addition to the Economic Cycle?

ECB Working Paper No. 1515
Number of pages: 34 Posted: 05 Mar 2013
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB) and Goethe University Frankfurt
Downloads 1,644
25.

Regression Discontinuity and the Price Effects of Stock Market Indexing

Review of Financial Studies, Vol. 28, No. 1, 2015
Number of pages: 53 Posted: 03 Jul 2013 Last Revised: 19 Jul 2015
Accepted Paper Series
National Taiwan University - College of Management, Columbia University, Graduate School of Arts and Sciences, Department of Economics and University of Texas at Austin - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,635
26.

NETS: Network Estimation for Time Series

Number of pages: 50 Posted: 14 Apr 2013 Last Revised: 15 Jan 2017
Working Paper Series
London School of Economics and Political Science and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 1,605
27.

Equity Volatility Term Structures and the Cross-Section of Option Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 53 Posted: 14 Oct 2011 Last Revised: 30 Jan 2016
Accepted Paper Series
Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration
Downloads 1,564
28.

Effect of Personal Financial Knowledge on College Students’ Credit Card Behavior

Journal of Financial Counseling and Planning, Vol. 20, No. 1, 2009
Number of pages: 19 Posted: 27 Feb 2013
Accepted Paper Series
University of Alabama and University of Missouri at Columbia
Downloads 1,562
29.

On the International Spillovers of US Quantitative Easing

DIW Berlin Discussion Paper No. 1304
Number of pages: 64 Posted: 10 Jun 2013
Working Paper Series
DIW Berlin, European Central Bank (ECB) and European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 1,543
30.

Statistical Modeling of Credit Default Swap Portfolios

Number of pages: 43 Posted: 14 Apr 2011 Last Revised: 25 Apr 2011
Working Paper Series
Imperial College London and Bloomberg Tradebook
Downloads 1,535
31.

Does Direct Democracy Hurt Immigrant Minorities? Evidence from Naturalization Decisions in Switzerland

Number of pages: 56 Posted: 16 Mar 2012 Last Revised: 18 Jul 2015
Working Paper Series
Stanford University - Department of Political Science and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

Downloads 1,460
32.

Probability of Default and Probability of Excellence, an Inverse Model of Rating - One More Tool to Overcome the Crisis: An Empirical Analysis

Business Systems Review (ISSN 2280-3866), 2013. Volume 2. Issue 2. pp.71-93. Special Issue - Selected Papers of the 1st Business Systems Laboratory International Symposium
Number of pages: 23 Posted: 02 Apr 2013 Last Revised: 10 Apr 2013
Accepted Paper Series
Independent Researcher and University of Padua
Downloads 1,449
33.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,341
34.

Nonperforming Loans in the GCC Banking System and Their Macroeconomic Effects

IMF Working Paper No. 10/224
Number of pages: 25 Posted: 01 Feb 2011
Working Paper Series
International Monetary Fund (IMF) and International Monetary Fund (IMF)
Downloads 1,331
35.

Dynamic Conditional Correlation : A Simple Class of Multivariate GARCH Models

NYU Working Paper No. S-DRP-02-01
Number of pages: 34 Posted: 07 Nov 2008
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics

Multiple version iconThere are 4 versions of this paper

Downloads 1,285
36.

A Synthesis of Technical Analysis and Fractal Geometry - Evidence from the Dow Jones Industrial Average Components

Number of pages: 42 Posted: 06 Sep 2008 Last Revised: 23 Nov 2009
Working Paper Series
Lakehead University
Downloads 1,210
37.

Customer Concentration Risk and the Cost of Equity Capital

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 56 Posted: 07 Feb 2014 Last Revised: 27 Mar 2015
Accepted Paper Series
University of Arizona - Department of Accounting, University of Illinois at Chicago, University of Tennessee and University of Washington
Downloads 1,188
38.

Does Lean Improve Labor Standards? Management and Social Performance in the Nike Supply Chain

Management Science, Forthcoming, Watson Institute for International Studies Research Paper No. 2013-09, Rotman School of Management Working Paper No. 2337601
Number of pages: 45 Posted: 09 Oct 2013 Last Revised: 15 Sep 2015
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Stanford University - Department of Political Science and Brown University
Downloads 1,173
39.

Why Most Published Results on Unit Root and Cointegration are False

Number of pages: 14 Posted: 10 Jul 2015 Last Revised: 02 Jan 2016
Working Paper Series
Algoma University and Algoma University
Downloads 1,160
40.

Which Does More to Determine the Quality of Corporate Governance in Emerging Economies, Firms or Countries?

Harvard Business School Strategy Unit Working Paper No. 13-055
Number of pages: 54 Posted: 22 Dec 2012 Last Revised: 28 Jun 2014
Working Paper Series
Harvard Business School and University of Michigan
Downloads 1,115
41.

The Perfect Withdrawal Amount: A Methodology for Creating Retirement Account Distribution Strategies

Number of pages: 25 Posted: 19 Jan 2015 Last Revised: 18 Aug 2015
Working Paper Series
Trinity University, Independent and Trinity University
Downloads 1,110
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 1,106
43.

La Structure Du Capital Et La Profitabilité: Une Étude Empirique Sur Données De Panel Françaises (Capital Structure and Profitability: An Empirical Study on French Panel Data)

Number of pages: 42 Posted: 25 Nov 2012
Working Paper Series
Université d’Orléans - Laboratoire d’Économie d’Orléans (LEO)
Downloads 1,086
44.

Does Debt Affect Profitability? An Empirical Study of French Trade Sector

Number of pages: 10 Posted: 23 Jan 2013
Working Paper Series
Université d’Orléans - Laboratoire d’Économie d’Orléans (LEO)
Downloads 1,055
45.

L'Impact De L'Endettement Sur La Profitabilité: Une Étude Empirique Sur Données Françaises En Panel (The Impact of Debt on Profitability: An Empirical Study on French Data Panel)

Number of pages: 16 Posted: 20 Nov 2012
Working Paper Series
Université d’Orléans - Laboratoire d’Économie d’Orléans (LEO)
Downloads 1,036
46.

Markov-Switching GARCH Models in R: The MSGARCH Package

Number of pages: 34 Posted: 02 Oct 2016 Last Revised: 18 Nov 2017
Working Paper Series
University of Neuchatel - Institute of Financial Analysis, University of Neuchatel, Institute of Financial Analysis, Students, Vrije Universiteit Brussel (VUB), University of Aarhus - School of Business and Social Sciences and Laval University, Faculté d'Administration, Département de Finance et Assurance, Students
Downloads 1,036
47.

The Effect of Endogenous Right-to-Work Laws on Business and Economic Conditions in the United States: A Multivariate Approach

Review of Law and Economics, Vol. 5, No. 1, pp. 595-614, 2009
Number of pages: 20 Posted: 07 Nov 2007 Last Revised: 23 Feb 2011
Accepted Paper Series
Hofstra University - Frank G. Zarb School of Business
Downloads 1,035
48.

Liquidity Measurement Based on Bid-Ask Spread, Trading Frequency, and Liquidity Ratio: The Use of GARCH Model on Jakarta Stock Exchange (JSX)

Economic Journal, University of Padjadjaran, September, 2008
Number of pages: 14 Posted: 08 Sep 2008 Last Revised: 17 Aug 2010
Accepted Paper Series
University of Padjadjaran and Universitas Padjadjaran - Faculty of Economics and Business
Downloads 1,031
49.

Do We Really Need Both BEKK and DCC? A Tale of Two Covariance Models

Number of pages: 29 Posted: 05 Feb 2009 Last Revised: 24 Jun 2009
Working Paper Series
University of Padua - Department of Statistical Sciences and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,019
50.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
Working Paper Series
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 1,007