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Econometrics: Econometric Model Construction, Estimation & Selection eJournal

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Viewing: 1 - 50 of 1,877 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, Texas A&M University, Department of Finance and Duke University - Fuqua School of Business
Downloads 14,701
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.

Evaluating Trading Strategies

Number of pages: 16 Posted: 03 Aug 2014 Last Revised: 26 Aug 2014
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 6,503
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 4,220
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 and Economics
Downloads 3,696
6.

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
7.

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 - Department of Mathematics
Downloads 2,380
8.

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 2,379
9.

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

Multiple version iconThere are 3 versions of this paper

Downloads 2,075
10.

Identifying Accounting Quality

Chicago Booth Research Paper No. 14-28
Number of pages: 55 Posted: 23 Aug 2014 Last Revised: 15 Sep 2017
Working Paper Series
University of Chicago Booth School of Business
Downloads 2,055
11.

A Ranking of Journals for the Health Economist

Number of pages: 11 Posted: 04 May 2013
Working Paper Series
University of Wisconsin - Oshkosh
Downloads 2,031
12.

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

Number of pages: 146 Posted: 29 Feb 2016 Last Revised: 13 Feb 2017
Working Paper Series
Stanford University - Department of Political Science, Stanford University, Department of Political Science, Students and University of California, San Diego
Downloads 1,973
13.

Trend Filtering Methods for Momentum Strategies

Number of pages: 49 Posted: 07 Jul 2013
Working Paper Series
Lyxor Asset Management, Capital Fund Management, Lyxor Asset Management and Amundi Asset Management
Downloads 1,929
14.

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 1,827
15.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 29 Jul 2016
Accepted Paper Series
Georgia State University, Université Paris Dauphine - DRM Finance and London Business School - Institute of Finance and Accounting
Downloads 1,732
16.

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
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 1,551
18.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,372
19.

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 1,349
20.

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: 16 Dec 2012 Last Revised: 01 Feb 2017
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and University of Toronto - Rotman School of Management
Downloads 1,332
21.

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 1,297
22.

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 1,290
23.

CDS Rate Construction Methods by Machine Learning Techniques (Presentation Slides)

Number of pages: 23 Posted: 24 May 2017
Working Paper Series
Standard Chartered Bank, London and University of Reims Champagne-Ardenne
Downloads 1,170
24.

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
25.

A New Class of Local Correlation Models

Number of pages: 36 Posted: 22 Jun 2013
Working Paper Series
Bloomberg L.P.
Downloads 1,089
26.

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 1,058
27.

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), Guggenheim Partners, LLC, University of Newcastle, Australia and Western Michigan University
Downloads 957
28.

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, University of Michigan, Stephen M. Ross School of Business and University of Michigan, Stephen M. Ross School of Business
Downloads 937
29.

Panel Vector Autoregression in R with the Panelvar Package

Number of pages: 35 Posted: 11 Jan 2017 Last Revised: 28 Sep 2017
Working Paper Series
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 910
30.

TailCoR

Number of pages: 40 Posted: 31 May 2012 Last Revised: 13 May 2015
Working Paper Series
Université Libre de Bruxelles (ULB) and Vlerick Business School
Downloads 908
31.

Pricing Stock Options with Stochastic Interest Rate

NYU Working Paper No. 2451/30272
Number of pages: 46 Posted: 15 Oct 2011
Working Paper Series
Bar-Ilan University - Graduate School of Business Administration and City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 858
32.

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 848
33.

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, Queen Mary, University of London and University of Lugano - Institute of Finance
Downloads 846
34.

Beta Stochastic Volatility Model

Risk Magazine, pp. 66-71, October 2012
Number of pages: 19 Posted: 23 Sep 2012
Accepted Paper Series
Julius Baer and European Bank for Reconstruction and Development (EBRD)
Downloads 843
35.

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 843
36.

Fire Sales Forensics: Measuring Endogenous Risk

Number of pages: 37 Posted: 04 May 2012 Last Revised: 05 Feb 2013
Working Paper Series
Imperial College London and IESEG School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 819
37.

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 815
38.

Dynamic Conditional Beta

Number of pages: 45 Posted: 04 Mar 2014 Last Revised: 12 Aug 2015
Working Paper Series
New York University - Leonard N. Stern School of Business - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 800
39.

Backtesting Value-at-Risk: A Comparison between Filtered Bootstrap and Historical Simulation

Number of pages: 36 Posted: 28 Nov 2011 Last Revised: 30 Jan 2014
Working Paper Series
Symphonia Sgr and University of Turin
Downloads 774
40.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Working Paper Series
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 772
41.

A Fear Index to Predict Oil Futures Returns

FEEM Working Paper No. 62.2013
Number of pages: 26 Posted: 12 Jul 2013 Last Revised: 11 Nov 2016
Working Paper Series
University of Paris 8 Vincennes-Saint Denis and University of Nantes
Downloads 768
42.

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 762
43.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Working Paper Series
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 760
44.

Model Calibration and Automated Trading Agent for Euro Futures

Quantitative Finance, Vol. 12, No. 4, pp. 531-545, 2012
Number of pages: 27 Posted: 26 Mar 2012 Last Revised: 20 Feb 2013
Accepted Paper Series
Stevens Institute of Technology
Downloads 760
45.

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: 28 May 2015
Accepted Paper Series
Center for Mathematics and Computer Science (CWI), Delft University of Technology and Center for Mathematics and Computer Science (CWI)
Downloads 757
46.

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 722
47.

Sorting Out Downside Beta

Number of pages: 28 Posted: 06 Jan 2012 Last Revised: 10 Oct 2012
Working Paper Series
Graduate School of Business of Nazarbayev University, Robeco Asset Management - Quantitative Strategies and Robeco Quantitative Strategies

Multiple version iconThere are 2 versions of this paper

Downloads 709
48.

Multiple Indicators and Multiple Causes (MIMIC) Models as a Mixed-Modelling Technique: A Tutorial and an Annotated Example

Communications of the Association for Information Systems, vol. 36(11)
Number of pages: 32 Posted: 17 Nov 2014 Last Revised: 05 Apr 2015
Accepted Paper Series
The University of Alabama, University of Kansas - School of Business, The University of Hong Kong - School of Business and Louisiana Tech University - Department of Management and Information Systems
Downloads 705
49.

A Simple Derivation of Kirk's Approximation for Spread Options

Applied Mathematics Letters 26 (2013) 904-907
Number of pages: 5 Posted: 03 Mar 2013 Last Revised: 14 May 2013
Accepted Paper Series
The Chinese University of Hong Kong
Downloads 686
50.

Estimating and Using GARCH Models with VIX Data for Option Valuation

Number of pages: 33 Posted: 31 Oct 2012 Last Revised: 24 Jun 2016
Working Paper Series
Tampere University of Technology, Tampere University of Technology and Tampere University of Technology
Downloads 676