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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal

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Viewing: 1 - 50 of 3,551 papers

1.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 13,645
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 Investing
Downloads 9,635
3.

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 9,175
4.

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 8,974
5.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 7,059
6.

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 3,319
7.

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 3,126
8.

A Demand System Approach to Asset Pricing

Number of pages: 62 Posted: 14 Dec 2014 Last Revised: 10 Aug 2018
Working Paper Series
University of Chicago - Booth School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,024
9.

Does VIX Truly Measure Return Volatility?

Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 24 Jan 2018
Working Paper Series
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and West Virginia University
Downloads 2,795
10.

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

Multiple version iconThere are 2 versions of this paper

Downloads 2,777
11.

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 2,758
12.

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 2,743
13.

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 2,615
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 2,546
15.

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 2,512
16.

Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model

Number of pages: 52 Posted: 02 May 2017 Last Revised: 14 May 2017
Working Paper Series
Skidmore College - Department of Economics
Downloads 2,402
17.

Factors Affecting Indian Stock Market

Joshi, M. C. (2013). Factors Affecting Indian Stock Market. International Journal of Contemporary Research in Management, Engineering and Health Science , 1 (2), 37-45
Number of pages: 18 Posted: 25 Mar 2013 Last Revised: 27 Apr 2018
Accepted Paper Series
B.R.C.M. College of Business Administration
Downloads 2,259
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 Yale SOM

Multiple version iconThere are 2 versions of this paper

Downloads 2,246
19.

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
Quantica Capital AG
Downloads 2,201
20.

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

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
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 2,178
21.

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 2,026
22.

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 Dartmouth College - Tuck School of Business
Downloads 2,021
23.

The VIX Premium

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 13 Sep 2014 Last Revised: 07 Jun 2018
Accepted Paper Series
Dartmouth College - Tuck School of Business
Downloads 2,012
24.

Do High-Frequency Traders Anticipate Buying and Selling Pressure?

Number of pages: 67 Posted: 24 Mar 2013 Last Revised: 16 Jun 2018
Working Paper Series
London Business School
Downloads 1,991
25.

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 1,901
26.

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, NEOMA Business School, Lancaster University - Department of Accounting and Finance and Yasar University - Department of International Trade and Finance
Downloads 1,889
27.

Cryptocurrencies As an Asset Class? An Empirical Assessment

WBS Finance Group Research Paper
Number of pages: 35 Posted: 30 Nov 2017 Last Revised: 16 Jun 2018
Working Paper Series
University of Warwick - Finance Group
Downloads 1,723
28.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Accepted Paper Series
CUNY Baruch College, Ecole Polytechnique, Paris and Ecole Polytechnique, Palaiseau
Downloads 1,721
29.

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 1,651
30.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 02 Jan 2019
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 1,640
31.

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 1,599
32.

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 Fudan University, School of Management
Downloads 1,586
33.

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 Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,510
34.

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 1,502
35.

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 1,495
36.

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 Wuppertal - Applied Mathematics
Downloads 1,481
37.

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 1,472
38.

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 (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,462
39.

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 University of Trento - Department of Economics and Management
Downloads 1,453
40.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper
Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 1,425
41.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 1,421
42.

Learning from History: Volatility and Financial Crises

Review of Financial Studies, Forthcoming, FEDS Working Paper No. 2016-093
Number of pages: 47 Posted: 21 Nov 2016
Accepted Paper Series
London School of Economics - Systemic Risk Centre, University of Chile and Board of Governors of the Federal Reserve System
Downloads 1,380
43.

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 1,377
44.

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 1,354
45.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,321
46.

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 1,304
47.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man AHL, Man AHL and Man AHL
Downloads 1,301
48.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

A version of this paper was published in Risk, 26 January 2018
Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 1,278
49.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Working Paper Series
Imperial College Business School, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,269
50.

Asymmetric Volatility Risk: Evidence from Option Markets

Number of pages: 34 Posted: 15 Sep 2013 Last Revised: 16 Jul 2018
Working Paper Series
University of Konstanz - Department of Economics and Frankfurt School of Finance & Management
Downloads 1,268