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Econometrics: Econometric Model Construction, Estimation & Selection eJournal

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Viewing: 1 - 50 of 2,390 papers

1.

…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, Purdue University and University of Oklahoma
Downloads 18,602
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), Cornell University - Operations Research & Industrial Engineering and Western Michigan University
Downloads 12,398
3.

Evaluating Trading Strategies

Number of pages: 16 Posted: 21 May 2019 Last Revised: 21 May 2019
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 8,839
4.

Multifactor Risk Models and Heterotic CAPM

The Journal of Investment Strategies 5(4) (2016) 1-49
Number of pages: 49 Posted: 26 Jan 2016 Last Revised: 10 Sep 2016
Accepted Paper Series
Quantigic Solutions LLC and Duke-NUS Medical School - Centre for Computational Biology
Downloads 5,592
5.

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 4,234
6.

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Journal of the Operational Research Society (2015) 66, 1352–1362,
Number of pages: 25 Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads 3,808
7.

A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics

Number of pages: 5 Posted: 10 Mar 2020 Last Revised: 06 Apr 2020
Working Paper Series
University of Pavia and University of Pavia
Downloads 3,530
8.

Panel Vector Autoregression in R with the Package Panelvar

Quarterly Review of Economics and Finance, 2019
Number of pages: 49 Posted: 19 Jan 2018 Last Revised: 21 Feb 2019
Working Paper Series
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 3,372
9.

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 - Finance Department
Downloads 3,236
10.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Political Analysis, forthcoming
Number of pages: 150 Posted: 29 Feb 2016 Last Revised: 29 Apr 2018
Accepted Paper Series
Stanford University - Department of Political Science, Princeton University and Stanford University
Downloads 3,179
11.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Millennium Capital Management, France branch, Eisler Capital and Amundi Asset Management
Downloads 3,028
12.

Curves and Term Structure Models: Definition, Calibration and Application of Rate Curves and Term Structure Models

Number of pages: 22 Posted: 01 Jan 2013 Last Revised: 11 Apr 2013
Working Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Mathematics
Downloads 2,931
13.

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 2,834
14.

Identifying Accounting Quality

Chicago Booth Research Paper No. 14-28
Number of pages: 62 Posted: 23 Aug 2014 Last Revised: 15 Jan 2019
Working Paper Series
University of Chicago Booth School of Business
Downloads 2,816
15.

Machine Learning for Asset Managers (Chapter 1)

Cambridge Elements, 2020
Number of pages: 45 Posted: 27 Apr 2020
Accepted Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 2,534
16.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 2,489
17.

Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?

Swiss Finance Institute Research Paper No. 11-45
Number of pages: 26 Posted: 10 Oct 2011 Last Revised: 18 Oct 2011
Working Paper Series
University of Munich and University of Zurich - Department of Banking and Finance
Downloads 2,476
18.

A Ranking of Journals for the Health Economist

Number of pages: 11 Posted: 04 May 2013
Working Paper Series
University of Wisconsin - Oshkosh
Downloads 2,461
19.

Dealing with Logs and Zeros in Regression Models

Série des Documents de Travail n° 2019-13,
Number of pages: 20 Posted: 05 Sep 2019 Last Revised: 01 Apr 2020
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration) and CREST - Institut Polytechnique de Paris
Downloads 2,230
20.

CDS Rate Construction Methods by Machine Learning Techniques (Presentation at invitation by Department of Statistics at London School of Economics)

Number of pages: 23 Posted: 24 May 2017 Last Revised: 21 Mar 2018
Working Paper Series
Birkbeck, University of London and University of Reims Champagne-Ardenne
Downloads 2,177
21.

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 2,034
22.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads 2,023
23.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,814
24.

Backtest Overfitting in Financial Markets

Automated Trader, 2016, Forthcoming
Number of pages: 8 Posted: 15 Feb 2016
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Cornell University - Operations Research & Industrial Engineering, University of Technology Sydney (UTS) and Western Michigan University
Downloads 1,764
25.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,581
26.

Dynamic Demand for New and Used Durable Goods without Physical Depreciation: The Case of Japanese Video Games

Rotman School of Management Working Paper No. 2189871
Number of pages: 51 Posted: 09 Feb 2020 Last Revised: 09 Feb 2020
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and Johns Hopkins University - Carey Business School
Downloads 1,563
27.

Overfitting: Causes and Solutions (Seminar Slides)

Number of pages: 24 Posted: 26 Feb 2020 Last Revised: 02 Mar 2020
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,550
28.

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 1,520
29.

Markov Chain Monte Carlo Methods in Corporate Finance

Number of pages: 44 Posted: 26 Nov 2011
Working Paper Series
University of Southern California - Marshall School of Business
Downloads 1,495
30.

Digesting Anomalies: An Investment Approach

Fisher College of Business Working Paper No. 2012-03-021, Charles A. Dice Center Working Paper No. 2012-021
Number of pages: 95 Posted: 26 Sep 2012 Last Revised: 05 Dec 2012
Working Paper Series
Ohio State University (OSU) - Department of Finance, University of Cincinnati and Ohio State University - Fisher College of Business

Multiple version iconThere are 3 versions of this paper

Downloads 1,470
31.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Working Paper Series
Bloomberg L.P.
Downloads 1,360
32.

Estimating and Testing Dynamic Corporate Finance Models

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 07 Jul 2017
Working Paper Series
Banco de México, Government of the United States of America - Office of Financial Research and University of Michigan, Stephen M. Ross School of Business
Downloads 1,348
33.

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 1,323
34.

Volatility Smile as Relativistic Effect

Physica A 475 (2017) 59-76
Number of pages: 32 Posted: 24 Aug 2016 Last Revised: 03 Mar 2017
Accepted Paper Series
Quantigic Solutions LLC
Downloads 1,196
35.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012
Accepted Paper Series
Quantica Capital AG and European Bank for Reconstruction and Development (EBRD)
Downloads 1,067
36.

Designing a Methodology to Investigate Accessibility and Impact of Financial Inclusion

Number of pages: 14 Posted: 19 Mar 2012
Working Paper Series
St. Aloysius Evening College, National Institute of Technology Karnataka (NITK), Surathkal and St Aloysius College
Downloads 1,064
37.

Mathematics & Economics: A Reality Check (Presentation Slides)

Number of pages: 14 Posted: 13 Oct 2016
Working Paper Series
Cornell University - Operations Research & Industrial Engineering
Downloads 1,056
38.

The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation

International Journal of Theoretical and Applied Finance, Vol. 17, No. 7 (2014).
Number of pages: 25 Posted: 13 Jun 2013 Last Revised: 20 May 2018
Accepted Paper Series
Rabobank, Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 1,050
39.

Editorial - Partial Least Squares: The Better Approach to Structural Equation Modeling?

Long Range Planning, Vol. 45, Issues 5-6, pp. 312-319, 2012, DOI: 10.1016/j.lrp.2012.09.011
Number of pages: 8 Posted: 06 Mar 2013
Accepted Paper Series
Kennesaw State University, Hamburg University of Technology (TUHH) and Otto-von-Guericke-Universität Magdeburg
Downloads 1,045
40.

Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH

Number of pages: 16 Posted: 01 Feb 2011
Working Paper Series
Moscow School of Economics, Moscow State University
Downloads 1,027
41.

Dynamic Conditional Beta

Number of pages: 45 Posted: 04 Mar 2014 Last Revised: 12 Aug 2015
Working Paper Series
New York University (NYU) - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 1,017
42.

Mixed Methods: Combining Expert Interviews, Cross-Impact Analysis and Scenario Development

The Electronic Journal of Business Research Methods, Volume 10, Issue 1, 2012 (pp 09-21)
Number of pages: 13 Posted: 25 May 2013
Accepted Paper Series
University of Canberra, University of New South Wales (UNSW) and Australian National University - Research School of Management
Downloads 1,012
43.

Modeling Corporate Exposure at Default

Number of pages: 35 Posted: 18 Mar 2013
Working Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC) and Government of the United States of America - Office of the Comptroller of the Currency (OCC)
Downloads 1,011
44.

Implied Stochastic Volatility Models

Number of pages: 51 Posted: 01 Jun 2017 Last Revised: 21 Feb 2019
Working Paper Series
Princeton University - Department of Economics, Peking University - Guanghua School of Management and Princeton University - Bendheim Center for Finance
Downloads 992
45.

AMOS Covariance-Based Structural Equation Modeling (CB-SEM): Guidelines on Its Application as a Marketing Research Tool

Brazilian Journal of Marketing, 13(2), March 2014
Number of pages: 12 Posted: 25 Oct 2015
Accepted Paper Series
Kennesaw State University, Ibirapuera University and Kennesaw State University
Downloads 990
46.

Effective Number of Scenarios in Fully Flexible Probabilities

GARP Risk Professional, pp. 32-35, February 2012
Number of pages: 7 Posted: 01 Feb 2012
Accepted Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 987
47.

Methods for Estimating the Hurst Exponent of Stock Returns: A Note

Number of pages: 9 Posted: 16 Feb 2015 Last Revised: 16 Apr 2015
Working Paper Series
Sonoma State University
Downloads 946
48.

TailCoR

Number of pages: 40 Posted: 31 May 2012 Last Revised: 13 May 2015
Working Paper Series
European Stability Mechanism and Vlerick Business School
Downloads 944
49.

Quadratic Variance Swap Models

Journal of Financial Economics, Forthcoming
Number of pages: 77 Posted: 23 Mar 2013 Last Revised: 20 Dec 2014
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, ESSEC Business School and USI Lugano - Institute of Finance
Downloads 937
50.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

Review of Financial Studies (RFS), Vol. 30, No. 4, pp. 1339-1381, 2017
Number of pages: 70 Posted: 10 Aug 2013 Last Revised: 05 Jun 2017
Accepted Paper Series
American University in Dubai, Moody's Analytics and Temple University - Department of Finance
Downloads 935