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Econometric Modeling: Capital Markets - Forecasting eJournal
225,812 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Showing Papers 1 - 50 of 1,105
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Incl. Electronic Paper Forecasting the Sign of U.S. Oil and Gas Industry Stock Index Excess Returns by Using Macroeconomic Variables
Jingzhen Liu and Alexander G. Kemp
University of Aberdeen and University of Aberdeen - Business School
Date Posted: June 23, 2017
Working Paper Series
21 downloads

Incl. Electronic Paper Predicting Financial Market Crashes Using Ghost Singularities
Swiss Finance Institute Research Paper No. 17-23
Damian Smug, Peter Ashwin and Didier Sornette
University of Exeter, University of Exeter and Swiss Finance Institute
Date Posted: June 23, 2017
Working Paper Series
48 downloads

Incl. Electronic Paper The Effect of Disclosure and Prices on Uninformed Traders' Beliefs and Trading: An Experimental Study on Public Forecasts
Guojin Gong, Hong Qu and Ian Tarrant
Penn State University - Smeal College of Business, Pennsylvania State University and Pennsylvania State University
Date Posted: June 22, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper On Term Structure of Yield Rates. 5. The Duffie – Kan Two Factor Model (Continuation).
Medvedev G. A. On term structure of yield rates. 5. The Duffie –Kan two factor model (continuation) Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2013. No.2(23), P. 64–74.(In Russian) ,
Gennady Medvedev
Belarusian State University
Date Posted: June 22, 2017
Accepted Paper Series
5 downloads

Incl. Electronic Paper On Term Structure of Yield Rates. 4. The Duffie – Kan Two Factor Model
Medvedev G. A. On term structure of yield rates. 4.The Duffie–Kan two factor model // Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. 2012. No.4(21), P.89–99.P. 64–74.(In Russian) ,
Gennady Medvedev
Belarusian State University
Date Posted: June 22, 2017
Accepted Paper Series
7 downloads

Incl. Electronic Paper Decreasing Returns to Scale, Fund Flows, and Performance
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Date Posted: June 22, 2017
Working Paper Series
19 downloads

Incl. Electronic Paper Information Content of Key Performance Indicators and the Properties of Their Analyst Forecasts
Dan Givoly, Yifan Li, Ben Lourie and Alexander Nekrasov
Pennsylvania State University, Smeal College of Business, University of California, Irvine - Paul Merage School of Business, University of California, Irvine and University of Illinois at Chicago
Date Posted: June 22, 2017
Working Paper Series
18 downloads

Incl. Electronic Paper Yield Curves in Two-Factor Vasiček Models
Probability Theory, Mathematical Statistics and Their Applications: The Collection of Scientific Papers, H́ Minsk: RIVSH, p. 136-141, 2014,
Gennady Medvedev
Belarusian State University
Date Posted: June 21, 2017
Working Paper Series
11 downloads

Incl. Electronic Paper Fiscal Surprises at the FOMC
FRB of Philadelphia Working Paper No. 17-13
Dean Croushore and Simon van Norden
University of Richmond - E. Claiborne Robins School of Business and HEC Montreal - Department of Finance
Date Posted: June 21, 2017
Working Paper Series
1 downloads

Incl. Electronic Paper Measuring the World Natural Rate of Interest
Globalization and Monetary Policy Institute Working Paper No. 315
Mark Wynne and Ren Zhang
Federal Reserve Bank of Dallas and Bowling Green State University
Date Posted: June 21, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper On Term Structure of Yield Rates. 7. Another Temporal Variable for Maturities
Medvedev G. A. (2013). On term structure of yield rates. 7. Another temporal variable for maturities. Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. – Tomsk State University Journal of Control and Computer Science. №4(25). P. 71–83. (In Russian),
Gennady Medvedev
Belarusian State University
Date Posted: June 20, 2017
Accepted Paper Series
9 downloads

Incl. Electronic Paper Earnings Forecasts: The Case for Combining Analysts' Estimates with a Mechanical Model
Vitor G. Azevedo, Patrick Bielstein and Manuel Gerhart
Technische Universität München (TUM), Department of Financial Management and Capital Markets, Students, Technische Universität München (TUM), Department of Financial Management and Capital Markets and Technische Universität München (TUM), Students
Date Posted: June 20, 2017
Last Revised: June 22, 2017
Working Paper Series
57 downloads

Incl. Electronic Paper On Term Structure of Yield Rates. 2. The Cox – Ingersoll – Ross Model
Tomsk State University Journal of Control and Computer Science. 2012. No. 2(19). pp. 102-111.
Gennady Medvedev
Belarusian State University
Date Posted: June 20, 2017
Accepted Paper Series
20 downloads

Incl. Electronic Paper The Cost of Speaking in Two Tongues
Jun Wang, Xing Cunyu III, Dan Yang and Ge Zhang
City University of New York, CUNY Baruch College - Zicklin School of Business - Department of Economics and Finance, Southwestern University of Finance and Economics (SWUFE), Southwestern University of Finance and Economics (SWUFE) and Ge Zhang
Date Posted: June 20, 2017
Working Paper Series
2 downloads

Incl. Electronic Paper The Probability Density of the Processes of Short Interest Rates
Medvedev G. A. (2016)The probability density of the processes ofshortinterest rates.Vestnik Tomskogo gosudarstvennogo universiteta. Informatika i vychislitel’naya tekhnika. –Tomsk State University Journal of Control and Computer Science.№3(36).P.35–48. (In Russian). ,
Gennady Medvedev
Belarusian State University
Date Posted: June 19, 2017
Accepted Paper Series
9 downloads

Incl. Electronic Paper Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded Funds
Ahmed Abdou
Columbia University, Department of Industrial Engineering and Operations Research (IEOR), Students
Date Posted: June 19, 2017
Working Paper Series
18 downloads

Are Investors Compensated for the Unit Shocks of Idiosyncratic Volatility
Haoxi Yang, Yuecheng Jia and Hongrui Feng
Nankai University, Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development and Independent
Date Posted: June 19, 2017
Working Paper Series

Incl. Electronic Paper Factor Analysis for Volatility
Ross Askanazi and Jacob Warren
University of Pennsylvania, School of Arts & Sciences, Department of Economics and University of Pennsylvania, School of Arts & Sciences, Department of Economics
Date Posted: June 15, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Separating Variances and Correlation; A New Prior for TVP-VARs
Jacob Warren
University of Pennsylvania, School of Arts & Sciences, Department of Economics
Date Posted: June 15, 2017
Working Paper Series
8 downloads

Incl. Electronic Paper Forecasting Multidimensional Tail Risk at Short and Long Horizons
Bank of England Working Paper No. 660
Arnold Polanski and Evarist Stoja
University of East Anglia and University of Bristol
Date Posted: June 12, 2017
Working Paper Series
5 downloads

Incl. Electronic Paper The Best of All Possible Worlds: Unraveling Target Price Optimism Using Analysts’ Scenario-Based Valuations
Review of Accounting Studies, Forthcoming
Peter R. Joos and Joseph D. Piotroski
INSEAD and Stanford Graduate School of Business
Date Posted: June 10, 2017
Accepted Paper Series
33 downloads

Incl. Electronic Paper Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape Approach
Joseph H. Davis, Roger A Aliaga-Diaz, Harshdeep Ahluwalia and Ravi Tolani
The Vanguard Group, The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group, Inc.
Date Posted: June 10, 2017
Working Paper Series
207 downloads

Incl. Fee Electronic Paper Modeling Superior Predictors for Crude Oil Prices
Journal of Energy Markets, 10(2), 1–22 (2017),
Sjur Westgaard, Petter Osmundsen, Daniel Stenslet and Jo Ringheim
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Stavanger, Norwegian University of Science and Technology (NTNU) and Norwegian University of Science and Technology (NTNU)
Date Posted: June 10, 2017
Accepted Paper Series

Incl. Electronic Paper Zero-Coupon Yields and the Cross-Section of Bond Prices
N. Aaron Pancost
University of Chicago, Booth School of Business, Finance
Date Posted: June 08, 2017
Working Paper Series
14 downloads

Incl. Electronic Paper Comparative Predictive Modeling on CNX Nifty with Artificial Neural Network
SDMIMD Journal of Management ISSN: 0976 0652
Bikramaditya Ghosh
IMCU, Christ University
Date Posted: June 06, 2017
Accepted Paper Series
1 downloads

Incl. Electronic Paper Rational Bubble Testing: An In-Depth Study on CNX Nifty
Asian Journal of Research in Banking and Finance Vol. 6, No. 6, June 2016, pp. 10-16 ISSN 2249-7323 DOI : 10.5958/2249-7323.2016.00028.6
Bikramaditya Ghosh
IMCU, Christ University
Date Posted: June 05, 2017
Accepted Paper Series
3 downloads

Incl. Electronic Paper Does it Pay to Forecast the Business Cycle? A U.S. Update and an International Perspective
James A. Conover, David A. Dubofsky and Marilyn K. Wiley
University of North Texas - Department of Finance (FIREL), University of Louisville - Department of Finance and University of North Texas College of Business
Date Posted: June 04, 2017
Working Paper Series
15 downloads

Incl. Electronic Paper Hidden Markov Model for Financial Time Series and Its Application to S&P 500 Index
Quantitative Finance, Forthcoming
Stephen H.T. Lihn
Novus Partners, Inc.
Date Posted: June 04, 2017
Accepted Paper Series
185 downloads

Incl. Electronic Paper Using Macroeconomic Forecasts to Improve Mean Reverting Trading Strategies
Yash Sharma
The Cooper Union, Students
Date Posted: June 02, 2017
Working Paper Series
71 downloads

Incl. Fee Electronic Paper Surveying Professional Forecasters
Darden Case No. UVA-QA-0805
Yael Grushka-Cockayne and Kenneth C. Lichtendahl Jr.
University of Virginia - Darden School of Business and University of Virginia - Darden School of Business
Date Posted: June 02, 2017
Working Paper Series

Incl. Electronic Paper Forecasting with Many Predictors Using Message Passing Algorithms
Dimitris Korobilis
University of Essex - Essex Business School
Date Posted: June 01, 2017
Working Paper Series
6 downloads

Incl. Electronic Paper Missing Import Price Changes and Low Exchange Rate Pass-Through
FRB International Finance Discussion Paper No. 1040
Etienne Gagnon, Benjamin R. Mandel and Robert Vigfusson
Federal Reserve Board - Advanced Foreign Economies, Federal Reserve Bank of New York and Federal Reserve Board - Trade and Quantitative Studies
Date Posted: May 30, 2017
Working Paper Series

Incl. Fee Electronic Paper Speculative Dynamics of Prices and Volume
NBER Working Paper No. w23449
Anthony A. DeFusco, Charles Nathanson and Eric Zwick
Northwestern University - Kellogg School of Management, Northwestern University - Kellogg School of Management and University of Chicago - Finance
Date Posted: May 30, 2017
Working Paper Series
13 downloads

Incl. Fee Electronic Paper The Yield Curve and Growth Forecasts
Darden Case No. UVA-GEM-0106
Francis E. Warnock
University of Virginia - Darden Business School
Date Posted: May 30, 2017
Working Paper Series

Incl. Fee Electronic Paper Dominion Gas Holdings, Llc—Anticipatory Interest Rate Hedging
Darden Case No. UVA-F-1754
Pedro P. Matos and Stephen E Maiden
University of Virginia - Darden School of Business and affiliation not provided to SSRN
Date Posted: May 30, 2017
Working Paper Series

Incl. Electronic Paper Pricing Catastrophe Bonds Based on a Left-Truncated Loss Index
Mario Giuricich and Krzysztof Burnecki
University of Cape Town (UCT), Faculty of Commerce, Graduate School of Business, Students and Hugo Steinhaus Center
Date Posted: May 25, 2017
Working Paper Series
10 downloads

Incl. Electronic Paper Long-Horizon Returns
Chicago Booth Research Paper No. 17-17
Eugene F. Fama and Kenneth R. French
University of Chicago - Finance and Tuck School of Business at Dartmouth
Date Posted: May 24, 2017
Working Paper Series
243 downloads

Incl. Electronic Paper Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
CESifo Working Paper Series No. 6432
M. Hashem Pesaran and Takashi Yamagata
USC Dornsife Institute for New Economic Thinking and University of York - Department of Economics and Related Studies
Date Posted: May 24, 2017
Working Paper Series
41 downloads

Incl. Electronic Paper Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?
Management Science, Forthcoming
Ryan T. Ball and Eric Ghysels
The Stephen M. Ross School of Business at the University of Michigan and University of North Carolina Kenan-Flagler Business School
Date Posted: May 23, 2017
Accepted Paper Series
95 downloads

Incl. Electronic Paper Determinants of Price Discovery in the VIX Futures Market
Journal of Empirical Finance, Forthcoming
Yu-Lun Chen and Wei-Che Tsai
Chung Yuan Christian University - Department of Finance and National Sun Yat-sen University - Department of Finance
Date Posted: May 23, 2017
Accepted Paper Series
118 downloads

Incl. Electronic Paper Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques
DIW Berlin Discussion Paper No. 1667
Guglielmo Maria Caporale and Luis A. Gil-Alana
Brunel University - Centre for Empirical Finance and University of Navarra - Department of Economics
Date Posted: May 22, 2017
Working Paper Series
3 downloads

Incl. Electronic Paper Anticipating Critical Transitions of Chinese Housing Markets
Swiss Finance Institute Research Paper No. 17-18
Zhang Qun, Didier Sornette and Hao Zhang
Guangdong University of Foreign Studies, Swiss Finance Institute and Guangdong University of Foreign Studies
Date Posted: May 20, 2017
Working Paper Series
49 downloads

Incl. Electronic Paper On Forecasting
James White
Independent
Date Posted: May 20, 2017
Working Paper Series
42 downloads

Incl. Electronic Paper Separating Accuracy from Forecast Certainty: A Modified Miscalibration Measure
Doron Sonsino, Yaron Lahav and Amir Levkowitz
College of Management Academic Studies (COMAS), Ben-Gurion University of the Negev and College of Management Academic Studies
Date Posted: May 19, 2017
Working Paper Series
4 downloads

Incl. Electronic Paper Why Do Accruals Predict Earnings?
Tuck School of Business Working Paper No. 2969263
Jonathan Lewellen and Robert J. Resutek
Dartmouth College - Tuck School of Business and University of Georgia - J.M. Tull School of Accounting
Date Posted: May 17, 2017
Working Paper Series
193 downloads

Incl. Electronic Paper How to Predict Financial Stress? An Assessment of Markov Switching Models
ECB Working Paper No. 2057
Thibaut Duprey and Benjamin Klaus
Bank of Canada and European Central Bank (ECB)
Date Posted: May 16, 2017
Working Paper Series
40 downloads

Incl. Electronic Paper Dynamics of the Expectation and Risk Premium in the OIS Term Structure
Kelley School of Business Research Paper No. 17-41, Columbia Business School Research Paper No. 17-55
Suresh M. Sundaresan, Zhenyu Wang and Wei Yang
Columbia Business School - Finance and Economics, Indiana University, Kelley School of Business and Indiana University - Kelley School of Business - Department of Finance
Date Posted: May 15, 2017
Working Paper Series
39 downloads

Application of Unsupervised Feature Selection, Machine Learning and Evolutionary Algorithm in Predicting Stock Returns: A Study of Indian Firms
The IUP Journal of Financial Risk Management, Vol. XIII, No. 3, pp. 20-46, September 2016
Tamal Datta Chaudhuri, Indranil Ghosh and Shahira Eram
Calcutta Business School, Calcutta Business School and Calcutta Business School
Date Posted: May 12, 2017
Accepted Paper Series

Incl. Electronic Paper Independent Analysts’ Estimates of Firm Value
University of Alberta School of Business Research Paper No. 2017-304
Kristian D. Allee, Devon Erickson, Adam M. Esplin and Stephannie Larocque
University of Arkansas - Department of Accounting, Utah State University - Huntsman School of Business, University of Alberta - Department of Accounting and University of Notre Dame - Mendoza College of Business
Date Posted: May 11, 2017
Working Paper Series
62 downloads

Incl. Electronic Paper Density Forecasts in Panel Models: A Semiparametric Bayesian Perspective
PIER Working Paper No. 17-006
Laura Liu
University of Pennsylvania - Department of Economics
Date Posted: May 11, 2017
Working Paper Series
13 downloads


 

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