SSRN eLibrary Search Results
Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal

359,452 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Search Within

Viewing: 1 - 50 of 3,061 papers

1.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 10,840
2.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
Accepted Paper Series
Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Downloads 7,973
3.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 7,581
4.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
Yale University and University of California, Los Angeles (UCLA) - Anderson School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 4,995
5.

The Halloween indicator, 'Sell in May and go Away': An Even Bigger Puzzle

Number of pages: 85 Posted: 02 Oct 2012 Last Revised: 02 Oct 2014
Working Paper Series
Tilburg University - TIAS School for Business and Society and Nottingham University Business School China
Downloads 4,027
6.

Manipulation in the VIX?

Number of pages: 58 Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and University of Texas at Austin - Department of Finance
Downloads 3,514
7.

Return Seasonalities

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 13-15
Number of pages: 49 Posted: 25 Feb 2013 Last Revised: 12 Dec 2015
Working Paper Series
Aalto University - School of Business, USC Marshall School of Business and Aalto University
Downloads 2,838
8.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,181
9.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Accepted Paper Series
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 2,161
10.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business School
Downloads 2,144
11.

Does VIX Truly Measure Return Volatility?

Number of pages: 32 Posted: 31 Aug 2014 Last Revised: 17 Nov 2014
Working Paper Series
West Virginia University, Guang Hua School of Management, Peking University and West Virginia University
Downloads 2,136
12.

Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis

Journal of Finance, Forthcoming, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 446/2015
Number of pages: 52 Posted: 28 Jan 2015 Last Revised: 17 Oct 2016
Accepted Paper Series
University of Utah - Department of Finance, London Business School and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

Downloads 2,116
13.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,058
14.

Is Bitcoin a Real Currency? An Economic Appraisal

Number of pages: 23 Posted: 02 Dec 2013 Last Revised: 02 Nov 2014
Working Paper Series
New York University (NYU) - Stern School of Business
Downloads 2,021
15.

An Equilibrium Model of Institutional Demand and Asset Prices

Number of pages: 59 Posted: 14 Dec 2014 Last Revised: 27 Sep 2017
Working Paper Series
New York University (NYU) - Department of Finance and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,974
16.

Factors Affecting Indian Stock Market

International Journal of Contemporary Research in Management, Engineering and Health Science, Vol. No. 002, Issue No. 001, Feb. 2013 ISSN: 2320-1185 Page Nos. 37-45
Number of pages: 18 Posted: 25 Mar 2013 Last Revised: 18 Aug 2017
Accepted Paper Series
B.R.C.M. College of Business Administration
Downloads 1,932
17.

Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class

Tuck School of Business Working Paper No. 2546427, Duke I&E Research Paper No. 15-8
Number of pages: 53 Posted: 09 Jan 2015 Last Revised: 22 Mar 2016
Working Paper Series
Duke University, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Tuck School of Business at Dartmouth
Downloads 1,888
18.

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 18 Jan 2017
Working Paper Series
Yale School of Management and University of Chicago - Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,874
19.

Option-Implied Volatility Measures and Stock Return Predictability

Journal of Derivatives, Forthcoming
Number of pages: 44 Posted: 14 Feb 2014 Last Revised: 24 Aug 2016
Accepted Paper Series
University of Liverpool, Université Paris Dauphine - DRM Finance, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,830
20.

Have We Solved the Idiosyncratic Volatility Puzzle?

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2012-28, Fisher College of Business Working Paper No. 2012-03-028
Number of pages: 63 Posted: 18 Dec 2012 Last Revised: 02 Oct 2015
Accepted Paper Series
Ohio State University (OSU) - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,788
21.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 82 Posted: 09 Sep 2013 Last Revised: 14 Aug 2017
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 1,694
22.

Is This Time Different? Trend Following and Financial Crises

Number of pages: 43 Posted: 09 Jan 2014 Last Revised: 23 Sep 2014
Working Paper Series
University College Cork and University College Cork - Department of Accounting, Finance and Information Systems
Downloads 1,661
23.

Solution of Stochastic Volatility Models Using Variance Transition Probabilities and Path Integrals

Number of pages: 25 Posted: 20 Sep 2012 Last Revised: 13 Nov 2012
Working Paper Series
Infiniti Derivatives Technologies
Downloads 1,615
24.

Volatility is Rough

Number of pages: 41 Posted: 15 Oct 2014
Working Paper Series
CUNY Baruch College, Ecole Polytechnique, Paris and Université Paris VI Pierre et Marie Curie - Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
Downloads 1,604
25.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 1,598
26.

Do High-Frequency Traders Anticipate Buying and Selling Pressure?

Number of pages: 62 Posted: 24 Mar 2013 Last Revised: 19 Jul 2017
Working Paper Series
London Business School
Downloads 1,564
27.

Financial Crises and Risk Premia

Number of pages: 52 Posted: 17 Jan 2014 Last Revised: 03 Nov 2016
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,392
28.

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Number of pages: 22 Posted: 22 Jan 2013 Last Revised: 27 Mar 2013
Working Paper Series
University of Cape Town (UCT)
Downloads 1,381
29.

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Working Paper Series
Columbia Business School - Finance and Economics and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,380
30.

A Survey of Day of the Month Effect in World Stock Markets

Number of pages: 14 Posted: 07 Nov 2012
Working Paper Series
B.K.School of Business Management, Gujarat University and Shri Chimanbhai Patel Institute of Management & Research
Downloads 1,361
31.

The VIX Premium

Number of pages: 51 Posted: 13 Sep 2014 Last Revised: 21 Sep 2017
Working Paper Series
Tuck School of Business at Dartmouth
Downloads 1,350
32.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Working Paper Series
Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory, Lawrence Berkeley National Laboratory and Lawrence Berkeley National Laboratory
Downloads 1,333
33.

Quantification of the High Level of Endogeneity and of Structural Regime Shifts in Commodity Markets

Number of pages: 56 Posted: 23 Mar 2013
Working Paper Series
Swiss Federal Institute of Technology Zurich (ETH Zurich), United Nations - Conference on Trade and Development (UNCTAD), UNCTAD - United Nations Conference on Trade and Development and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 1,313
34.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Accepted Paper Series
Julius Baer
Downloads 1,300
35.

European Banking Union: Imperfect, But It Can Work

University of Cambridge Faculty of Law Research Paper No. 30/2014
Number of pages: 29 Posted: 19 Apr 2014 Last Revised: 16 Aug 2014
Working Paper Series
University of Cambridge - Faculty of Law
Downloads 1,241
36.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes

Number of pages: 29 Posted: 25 Jan 2014
Working Paper Series
Ecole des Hautes Etudes en Sciences Sociales (EHESS), BNP Paribas Investment Partners, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,172
37.

Collaborative Consumption: Strategic and Economic Implications of Product Sharing

Management Science, 2016, Forthcoming
Number of pages: 64 Posted: 09 Feb 2015 Last Revised: 05 Oct 2017
Accepted Paper Series
Washington University in Saint Louis - John M. Olin Business School and Shanghai University of Finance and Economics, School of International Business Administration
Downloads 1,170
38.

Portfolio Rebalancing: A Stable Source of Alpha?

Number of pages: 13 Posted: 23 Jan 2013
Working Paper Series
Independent and Sarasin & Partners LLP
Downloads 1,159
39.

Crises and the Development of Economic Institutions: Some Microeconomic Evidence

American Economic Review, Forthcoming
Number of pages: 8 Posted: 08 Feb 2016
Accepted Paper Series
University of Chicago - Booth School of Business and University of Southern California, Marshall School of Business
Downloads 1,152
40.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 50 Posted: 15 Sep 2013 Last Revised: 18 Sep 2015
Working Paper Series
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,119
41.

The Home Bias in Sovereign Ratings

University of Heidelberg Department of Economics Discussion Paper Series No. 552
Number of pages: 55 Posted: 22 Dec 2013
Working Paper Series
University of Heidelberg - Alfred Weber Institute for Economics and University of Zurich - Chair of Political Economy

Multiple version iconThere are 3 versions of this paper

Downloads 1,091
42.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Working Paper Series
University of Trento - Department of Economics and Management and Università degli Studi di Trento - Department of Economics and Management
Downloads 1,086
43.

News Trading and Speed

Journal of Finance, Vol. 71, pp. 335-382, 2016, HEC Paris Research Paper No. 975/2013
Number of pages: 55 Posted: 14 Dec 2012 Last Revised: 19 Jan 2016
Accepted Paper Series
HEC Paris - Finance Department, HEC Paris - Finance Department and HEC Paris - Finance Department
Downloads 1,073
45.

How to Beat the Market with the Implied Volatility Term Structure: The HeroRATs Strategy

Number of pages: 8 Posted: 19 Dec 2013
Working Paper Series
Nimzowerkstatt OEG
Downloads 1,026
46.

The Factor Structure in Equity Options

Rotman School of Management Working Paper No. 2224270
Number of pages: 88 Posted: 25 Feb 2013 Last Revised: 14 Sep 2016
Working Paper Series
University of Toronto - Rotman School of Management, HEC Montreal and University of Houston - C.T. Bauer College of Business
Downloads 996
47.

Banking-Sector Crisis and Mergers as a Solution

Number of pages: 34 Posted: 02 Nov 2000
Working Paper Series
University of Windsor - Faculty of Business Administration
Downloads 975
48.

Exchange Rates and Sovereign Risk

Number of pages: 82 Posted: 15 Nov 2013 Last Revised: 16 Oct 2016
Working Paper Series
Imperial College London, City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and Copenhagen Business School
Downloads 971
49.

Improving the S&P Dynamic VIX Futures Index: The Mojito 3.0 Strategy

Number of pages: 9 Posted: 19 Dec 2013
Working Paper Series
Nimzowerkstatt OEG
Downloads 889
50.

Factor High-Frequency Based Volatility (HEAVY) Models

Number of pages: 47 Posted: 28 May 2014
Working Paper Series
University of Oxford - Department of Economics and University of Oxford - Department of Economics
Downloads 882