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Econometrics: Econometric & Statistical Methods - Special Topics eJournal

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Viewing: 1 - 50 of 7,360 papers

1.

The Worldwide Governance Indicators: Methodology and Analytical Issues

World Bank Policy Research Working Paper No. 5430
Number of pages: 31 Posted: 24 Sep 2010
Working Paper Series
Natural Resource Governance Institute (NRGI), World Bank - Development Research Group (DECRG) and World Bank Institute
Downloads 65,210
2.

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 21,687
3.

Strength in Numbers: How Does Data-Driven Decisionmaking Affect Firm Performance?

Number of pages: 33 Posted: 24 Apr 2011 Last Revised: 12 Dec 2011
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Pennsylvania - Operations & Information Management Department and MIT - Sloan School of Management
Downloads 20,986
4.

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 12,640
5.

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 10,196
6.

Advances in Financial Machine Learning (Chapter 1)

Advances in Financial Machine Learning, Wiley, 1st Edition (2018); ISBN: 978-1-119-48208-6
Number of pages: 61 Posted: 19 Jan 2018
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 9,071
7.

Classification-Based Financial Markets Prediction Using Deep Neural Networks

Algorithmic Finance, 2016.
Number of pages: 20 Posted: 30 Mar 2016 Last Revised: 09 Dec 2016
Accepted Paper Series
Illinois Institute of Technology, Northwestern University and Northwestern University
Downloads 8,805
8.

The Role of Boards of Directors in Corporate Governance: A Conceptual Framework & Survey

Charles A. Dice Center Working Paper No. 2008-21, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 228/2009, Fisher College of Business Working Paper No. 2008-03-020
Number of pages: 69 Posted: 18 Nov 2008 Last Revised: 31 Oct 2018
Working Paper Series
University of Oxford, University of California, Berkeley and Ohio State University (OSU) - Department of Finance
Downloads 8,474
9.

A Stochastic Model for Order Book Dynamics

Number of pages: 23 Posted: 26 Sep 2008 Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 7,463
10.

Choosing Factors

Fama-Miller Working Paper , Tuck School of Business Working Paper No. 2668236, Chicago Booth Research Paper No. 16-17
Number of pages: 54 Posted: 02 Oct 2015 Last Revised: 28 Mar 2017
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 6,664
11.

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 5,658
12.

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 5,612
13.

A Backtesting Protocol in the Era of Machine Learning

Number of pages: 18 Posted: 13 Nov 2018 Last Revised: 24 Nov 2018
Working Paper Series
Research Affiliates, LLC, Duke University - Fuqua School of Business and University of California at San Diego
Downloads 5,151
14.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 5,122
15.

Measuring the Rule of Law

Number of pages: 120 Posted: 01 Dec 2011
Working Paper Series
Pontifica Universidad Javeriana Law School and The World Justice Project
Downloads 5,062
16.

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 4,963
17.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Working Paper Series
Saxo Bank and Danske Bank
Downloads 4,829
18.

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 4,676
19.

CDS Rate Construction Methods by Machine Learning Techniques

Number of pages: 51 Posted: 15 May 2017 Last Revised: 31 Oct 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 4,624
20.

An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization

Algorithms, 6(1), pp.169-196, 2013
Number of pages: 29 Posted: 08 Jan 2013 Last Revised: 02 Jan 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory and Cornell University - Operations Research & Industrial Engineering
Downloads 4,614
21.

Preguntas para consejeros sobre el dinero de la empresa (Questions for Board Members)

Number of pages: 6 Posted: 29 Jul 2011 Last Revised: 17 Jan 2018
Working Paper Series
University of Navarra - IESE Business School
Downloads 4,528
22.

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 4,145
23.

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 4,121
24.

Loyalty and Satisfaction Construct in Retail Banking - An Empirical Study on Bank Customers

The Chittagong University Journal of Business Administration, Vol. 19, 2004
Number of pages: 16 Posted: 04 Nov 2008 Last Revised: 07 Aug 2009
Accepted Paper Series
University of Chittagong and University of Chittagong
Downloads 4,025
25.

Kinetic Component Analysis

Journal of Investing, Vol. 25, No. 3, 2016
Number of pages: 24 Posted: 21 May 2019 Last Revised: 30 May 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering and University of Oxford - Mathematical Institute
Downloads 3,906
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
Cornell University - Operations Research & Industrial Engineering and University of California, Irvine
Downloads 3,870
27.

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 3,818
28.

Local Stochastic Volatility Models: Calibration and Pricing

Number of pages: 57 Posted: 11 Jun 2014 Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads 3,781
29.

Machine Learning Risk Models

Journal of Risk & Control 6(1) (2019) 37-64
Number of pages: 26 Posted: 08 Jan 2019 Last Revised: 10 Apr 2019
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,710
30.

Statistical Industry Classification

Journal of Risk & Control 3(1) (2016) 17-65, Invited Editorial
Number of pages: 44 Posted: 03 Jul 2016 Last Revised: 31 Dec 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,669
31.

Ten Financial Applications of Machine Learning (Presentation Slides)

Number of pages: 27 Posted: 18 Jun 2018 Last Revised: 26 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 3,665
32.

Why and How Investors Use ESG Information: Evidence from a Global Survey

Financial Analysts Journal, Forthcoming
Number of pages: 41 Posted: 02 Mar 2017 Last Revised: 23 Feb 2018
Working Paper Series
University of Oxford - Said Business School and Harvard University - Harvard Business School
Downloads 3,515
33.

Regulating a Revolution: From Regulatory Sandboxes to Smart Regulation

23 Fordham Journal of Corporate and Financial Law 31-103 (2017), European Banking Institute Working Paper Series 2017 - No. 11, University of Luxembourg Law Working Paper No. 006/2017, University of Hong Kong Faculty of Law Research Paper No. 2017/019, UNSW Law Research Paper No. 17-71, Center for Business and Corporate Law (CBC) Working Paper Series 001/2017
Number of pages: 67 Posted: 19 Aug 2017 Last Revised: 13 Jul 2018
Accepted Paper Series
Universite du Luxembourg - Faculty of Law, Economics and Finance, University of New South Wales (UNSW) - Faculty of Law, The University of Hong Kong - Faculty of Law and The University of Hong Kong - Faculty of Law
Downloads 3,325
34.

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 3,199
35.

Decoding Stock Market with Quant Alphas

Journal of Asset Management 19(1) (2018) 38-48
Number of pages: 20 Posted: 10 May 2017 Last Revised: 09 Feb 2018
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 3,158
36.

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 3,089
37.

Beauty is Wealth: CEO Appearance and Shareholder Value

Number of pages: 79 Posted: 21 Nov 2013 Last Revised: 20 Dec 2014
Working Paper Series
University of Nevada, Reno and University of Arkansas - Department of Finance
Downloads 2,932
38.

Forensic Accounting Education: A Survey of Academicians and Practitioners

Advances in Accounting Education, Forthcoming
Number of pages: 45 Posted: 05 May 2004
Accepted Paper Series
University of Memphis - School of Accountancy, Louisiana State University, Baton Rouge - Department of Accounting and Tennessee Technological University
Downloads 2,921
39.

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 2,908
40.

Financial Statement Analysis: A Data Envelopment Analysis Approach

Number of pages: 11 Posted: 08 Aug 2008 Last Revised: 28 Nov 2018
Accepted Paper Series
University of Washington, Milgard School of Business-Accounting, Rutgers Business School - Camden and University of Minnesota, Duluth - Labovitz School of Business and Economics (LSBE)
Downloads 2,876
41.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 2,866
42.

Forecasting Stock Returns through An Efficient Aggregation of Mutual Fund Holdings

Review of Financial Studies, Forthcoming, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 19 Mar 2006 Last Revised: 17 Jul 2012
Working Paper Series
University of Maryland - Robert H. Smith School of Business, University of Iowa - Henry B. Tippie College of Business and PanAgora Asset Management
Downloads 2,848
43.

Stochastic Frontier Analysis Using Stata

CEIS Working Paper No. 251
Number of pages: 48 Posted: 13 Sep 2012 Last Revised: 03 Mar 2014
Working Paper Series
University of Rome Tor Vergata - Department of Economics and Finance, Food and Agriculture Organization of the United Nations, Bank of Italy and University of Rome Tor Vergata - Centre for International Studies on Economic Growth (CEIS)
Downloads 2,775
44.

Influence of Brand Name on Consumer Decision Making Process - An Empirical Study on Car Buyers

Va Trimitem Atasat, Vol. 10, No. 2, p. 12, 2010
Number of pages: 12 Posted: 06 Mar 2011 Last Revised: 12 May 2011
Accepted Paper Series
University of Chittagong, University of Chittagong, University of Science and Technology Chittagong (USTC) - Faculty of Business Administration and Stefan cel Mare University Suceava
Downloads 2,771
45.

Instructional Manipulation Checks: Detecting Satisficing to Increase Statistical Power

Journal of Experimental Social Psychology, Vol. 45, pp. 867-872, 2009
Number of pages: 6 Posted: 27 Jul 2007 Last Revised: 17 Aug 2009
Accepted Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management, New York University (NYU) - Department of Marketing and Stanford University
Downloads 2,726
46.

Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes

Financial Analysts Journal, Vol. 72, No. 3, 2016
Number of pages: 21 Posted: 24 Nov 2013 Last Revised: 20 Apr 2016
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management and ARPM
Downloads 2,714
47.

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 2,555
48.

Application of Machine Learning to Systematic Strategies

Number of pages: 7 Posted: 12 Sep 2016 Last Revised: 13 Oct 2016
Working Paper Series
ING
Downloads 2,538
49.

Systemic Risk and the Macroeconomy: An Empirical Evaluation

Fama-Miller Working Paper, Chicago Booth Research Paper No. 12-49
Number of pages: 63 Posted: 26 Oct 2012 Last Revised: 10 Feb 2015
Working Paper Series
Yale School of Management, Yale SOM and Arizona State University (ASU) - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 2,517
50.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,498