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SSRN eLibrary Search Results
Econometric Modeling: Capital Markets - Forecasting eJournal
225,812 Total downloads
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Forecasting the Sign of U.S. Oil and Gas Industry Stock Index Excess Returns by Using Macroeconomic VariablesJingzhen Liu and Alexander G. Kemp University of Aberdeen and University of Aberdeen - Business School Date Posted: June 23, 2017 Working Paper Series 21 downloads
Predicting Financial Market Crashes Using Ghost SingularitiesSwiss 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
The Effect of Disclosure and Prices on Uninformed Traders' Beliefs and Trading: An Experimental Study on Public ForecastsGuojin 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
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
On Term Structure of Yield Rates. 4. The Duffie – Kan Two Factor ModelMedvedev 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
Decreasing Returns to Scale, Fund Flows, and PerformanceCampbell 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
Information Content of Key Performance Indicators and the Properties of Their Analyst ForecastsDan 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
Yield Curves in Two-Factor Vasiček ModelsProbability 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
Fiscal Surprises at the FOMCFRB 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
Measuring the World Natural Rate of InterestGlobalization 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
On Term Structure of Yield Rates. 7. Another Temporal Variable for MaturitiesMedvedev 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
Earnings Forecasts: The Case for Combining Analysts' Estimates with a Mechanical ModelVitor 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
On Term Structure of Yield Rates. 2. The Cox – Ingersoll – Ross ModelTomsk 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
The Cost of Speaking in Two TonguesJun 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
The Probability Density of the Processes of Short Interest RatesMedvedev 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
Accounting for Volatility Decay in Time Series Models for Leveraged Exchange Traded FundsAhmed 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
Factor Analysis for VolatilityRoss 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
Separating Variances and Correlation; A New Prior for TVP-VARsJacob Warren University of Pennsylvania, School of Arts & Sciences, Department of Economics Date Posted: June 15, 2017 Working Paper Series 8 downloads
Forecasting Multidimensional Tail Risk at Short and Long HorizonsBank 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
The Best of All Possible Worlds: Unraveling Target Price Optimism Using Analysts’ Scenario-Based ValuationsReview 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
Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape ApproachJoseph 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 
Modeling Superior Predictors for Crude Oil PricesJournal 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
Zero-Coupon Yields and the Cross-Section of Bond PricesN. Aaron Pancost University of Chicago, Booth School of Business, Finance Date Posted: June 08, 2017 Working Paper Series 14 downloads
Comparative Predictive Modeling on CNX Nifty with Artificial Neural NetworkSDMIMD Journal of Management ISSN: 0976 0652 Bikramaditya Ghosh IMCU, Christ University Date Posted: June 06, 2017 Accepted Paper Series 1 downloads
Rational Bubble Testing: An In-Depth Study on CNX NiftyAsian 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
Does it Pay to Forecast the Business Cycle? A U.S. Update and an International PerspectiveJames 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
Hidden Markov Model for Financial Time Series and Its Application to S&P 500 IndexQuantitative Finance, Forthcoming Stephen H.T. Lihn Novus Partners, Inc. Date Posted: June 04, 2017 Accepted Paper Series 185 downloads
Using Macroeconomic Forecasts to Improve Mean Reverting Trading StrategiesYash Sharma The Cooper Union, Students Date Posted: June 02, 2017 Working Paper Series 71 downloads
Surveying Professional ForecastersDarden 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
Forecasting with Many Predictors Using Message Passing AlgorithmsDimitris Korobilis University of Essex - Essex Business School Date Posted: June 01, 2017 Working Paper Series 6 downloads
Missing Import Price Changes and Low Exchange Rate Pass-ThroughFRB 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
Speculative Dynamics of Prices and VolumeNBER 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
The Yield Curve and Growth ForecastsDarden Case No. UVA-GEM-0106 Francis E. Warnock University of Virginia - Darden Business School Date Posted: May 30, 2017 Working Paper Series
Dominion Gas Holdings, Llc—Anticipatory Interest Rate HedgingDarden 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
Pricing Catastrophe Bonds Based on a Left-Truncated Loss IndexMario 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
Long-Horizon ReturnsChicago 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
Testing for Alpha in Linear Factor Pricing Models with a Large Number of SecuritiesCESifo 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
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
Determinants of Price Discovery in the VIX Futures MarketJournal 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
Testing the Fisher Hypothesis in the G-7 Countries Using I(d) TechniquesDIW 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
Anticipating Critical Transitions of Chinese Housing MarketsSwiss 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
On ForecastingJames White Independent Date Posted: May 20, 2017 Working Paper Series 42 downloads
Separating Accuracy from Forecast Certainty: A Modified Miscalibration MeasureDoron 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
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
How to Predict Financial Stress? An Assessment of Markov Switching ModelsECB 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
Dynamics of the Expectation and Risk Premium in the OIS Term StructureKelley 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
Independent Analysts’ Estimates of Firm ValueUniversity 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
Density Forecasts in Panel Models: A Semiparametric Bayesian PerspectivePIER Working Paper No. 17-006 Laura Liu University of Pennsylvania - Department of Economics Date Posted: May 11, 2017 Working Paper Series 13 downloads |
