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Econometrics eJournal, Archives of Vols. 1-15, 1996-2008

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Viewing: 1 - 50 of 8,841 papers

1.

A Revealed Preference Ranking of U.S. Colleges and Universities

NBER Working Paper No. W10803
Number of pages: 52 Posted: 11 Oct 2004
Working Paper Series
Harvard University - Harvard Kennedy School (HKS), Harvard University - Department of Statistics, Stanford University and Yale School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 49,259
2.

The Black-Litterman Approach: Original Model and Extensions

Shorter version in, THE ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Wiley, 2010
Number of pages: 17 Posted: 08 Apr 2008 Last Revised: 13 Oct 2010
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 21,644
3.

Relationship between Working Capital Management and Profitability of Listed Companies in the Athens Stock Exchange

Journal of Financial Management and Analysis, Vol. 19, No. 1, January-June 2006
Number of pages: 12 Posted: 20 Sep 2006
Accepted Paper Series
University of Macedonia - Accounting and Finance and University of Macedonia - Accounting and Finance
Downloads 17,881
4.

Technical Analysis in Financial Markets

Number of pages: 322 Posted: 20 Jul 2004
Working Paper Series
University of Amsterdam - Faculty of Economics and Business (FEB)
Downloads 17,550
5.

The Econometrics of Event Studies

Number of pages: 51 Posted: 25 Oct 2004
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and University of Rochester – Simon Business School
Downloads 14,823
6.

Efficient Simulation of the Heston Stochastic Volatility Model

Number of pages: 38 Posted: 22 Nov 2006
Working Paper Series
Bank of America Merrill Lynch
Downloads 9,928
7.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,366
8.

Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication

Alternative Investment Research Centre Working Paper No. 27, Cass Business School Research Paper
Number of pages: 52 Posted: 30 Nov 2005
Working Paper Series
Independent and Independent
Downloads 8,329
9.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,938
10.

Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management

Number of pages: 40 Posted: 26 Mar 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 3 versions of this paper

Downloads 7,458
11.

How to do Xtabond2: An Introduction to Difference and System GMM in Stata

Center for Global Development Working Paper No. 103
Number of pages: 48 Posted: 02 May 2007
Working Paper Series
Center for Global Development
Downloads 6,419
12.

Hierarchical Bayes Models: A Practitioners Guide

Number of pages: 44 Posted: 28 Jan 2005
Working Paper Series
Ohio State University (OSU) - Department of Marketing and Logistics, University of California, Los Angeles (UCLA) - Anderson School of Management and University of Chicago - Booth School of Business
Downloads 6,123
13.

A Dynamic Model of Optimal Capital Structure

McCombs Research Paper Series No. FIN-03-06
Number of pages: 64 Posted: 19 Nov 2002
Working Paper Series
University of South Carolina - Darla Moore School of Business and University of Texas at Austin - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 5,975
14.

Forecasting Stock Index Movement: A Comparison of Support Vector Machines and Random Forest

Indian Institute of Capital Markets 9th Capital Markets Conference Paper
Number of pages: 16 Posted: 24 Jan 2006
Working Paper Series
Indian Institute of Technology Madras and Indian Institute of Technology Madras
Downloads 5,793
15.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Working Paper Series
Independent
Downloads 5,231
16.

Corporate Governance and Firm Performance

Number of pages: 58 Posted: 28 Sep 2007
Working Paper Series
University of Colorado at Boulder - Department of Finance and IMD Business School, Global Board Center
Downloads 5,120
17.

Copulas for Finance - A Reading Guide and Some Applications

Number of pages: 69 Posted: 26 Nov 2007 Last Revised: 03 Apr 2009
Working Paper Series
World Bank, Ecole Polytechnique - Centre de Mathematiques Appliquees - CNRS, affiliation not provided to SSRN, Natixis and Amundi Asset Management
Downloads 4,822
18.

Beyond Black-Litterman: Views on Non-Normal Markets

Number of pages: 19 Posted: 16 Nov 2005
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,246
19.

Robust Bayesian Allocation

Number of pages: 18 Posted: 03 Apr 2005 Last Revised: 14 May 2011
Working Paper Series
ARPM - Advanced Risk and Portfolio Management
Downloads 4,064
20.

Introduction to Fast Fourier Transform in Finance

Cass Business School Research Paper
Number of pages: 29 Posted: 29 Jun 2004
Working Paper Series
Cass Business School, City, University of London
Downloads 4,057
21.

Forecasting Volatility in Financial Markets: A Review (Revised Edition)

Number of pages: 80 Posted: 04 Dec 2002
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School

Multiple version iconThere are 2 versions of this paper

Downloads 4,034
22.

Portfolio Selection with Higher Moments

Number of pages: 50 Posted: 29 Dec 2004 Last Revised: 16 Mar 2010
Working Paper Series
Duke University - Fuqua School of Business, Pennsylvania State University, University Park, Drexel University - Department of Decision Sciences and The University of Texas M. D. Anderson Cancer Center
Downloads 4,006
23.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
University of Oxford and Ecole Polytechnique, Paris
Downloads 3,932
24.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999
Working Paper Series
Valparaiso University
Downloads 3,909
25.

Nonlinear Effects of Inflation on Economic Growth

IMF Working Paper No. 95/56
Number of pages: 26 Posted: 15 Feb 2006
Working Paper Series
Independent
Downloads 3,798
26.

Forecasting Financial Market Volatility: A Review

Number of pages: 43 Posted: 15 Jun 2001
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of Manchester - Manchester Business School
Downloads 3,692
27.

Deriving the Pricing Power of Product Features by Mining Consumer Reviews

Management Science, Forthcoming, NET Institute Working Paper No. 07-36
Number of pages: 36 Posted: 27 Oct 2007 Last Revised: 06 May 2011
Accepted Paper Series
New York University (NYU) - Leonard N. Stern School of Business, New York University (NYU) - Leonard N. Stern School of Business and New York University - Leonard N. Stern School of Business
Downloads 3,582
28.

Forecasting Short Term Interest Rates Using Arma, Arma-Garch and Arma-Egarch Models

Indian Institute of Capital Markets 9th Capital Markets Conference Paper
Number of pages: 14 Posted: 24 Jan 2006
Working Paper Series
Indira Gandhi National Open University (IGNOU) and Indian Institute of Technology Madras
Downloads 3,581
29.

Evaluation of Value-at-Risk Models Using Historical Data

Economic Policy Review, Vol. 2, No. 1, April 1996
Number of pages: 32 Posted: 11 Nov 2007
Working Paper Series
Independent
Downloads 3,524
30.

The Distribution of S&P 500 Index Returns

Number of pages: 15 Posted: 10 Jan 2007
Working Paper Series
Independent
Downloads 3,458
31.

Investment Volatility: A Critique of Standard Beta Estimation and a Simple Way Forward

European Journal of Operational Research, Vol. 187, pp. 1358-1367, 2008, U of Hertfordshire Business School Working Paper No. 2004:3
Number of pages: 16 Posted: 03 Jan 2008 Last Revised: 04 Apr 2019
Accepted Paper Series
University of Hertfordshire Business School
Downloads 3,450
32.

Application of Neural Networks to an Emerging Financial Market: Forecasting and Trading the Taiwan Stock Index

Number of pages: 42 Posted: 13 Aug 2001
Working Paper Series
National Chung Cheng University - Department of Finance, Cornell University - School of Applied Economics and Management and University of Texas at San Antonio - Department of Management Science and Statistics
Downloads 3,442
33.

Energy Shocks and Financial Markets

Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38 Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales - Australian School of Business and Vanderbilt University - Finance
Downloads 3,436
34.

Structural Models and Endogeneity in Corporate Finance: The Link Between Managerial Ownership and Corporate Performance

Journal of Financial Economics (JFE) 103, no. 1 (2012): 149-168
Number of pages: 60 Posted: 18 Jul 2003 Last Revised: 17 Jul 2015
Accepted Paper Series
University of Utah - Department of Finance, University of Utah - Department of Finance and University of Kansas - Finance Area
Downloads 3,430
35.

How Hedge Funds Beat the Market

Number of pages: 16 Posted: 29 Aug 2006
Working Paper Series
Portfolio Engineering Laboratory and Corbin Capital Partners, L.P.

Multiple version iconThere are 2 versions of this paper

Downloads 3,374
36.

Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland

Bank of Finland Discussion Paper No. 18/2004
Number of pages: 48 Posted: 24 Nov 2004
Working Paper Series
Bank of Finland

Multiple version iconThere are 2 versions of this paper

Downloads 3,093
37.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 3,060
38.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,039
39.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 3,034
40.

Determination of the Appropriate Event Window Length in Individual Stock Event Studies

Number of pages: 24 Posted: 01 Dec 2003
Working Paper Series
National Economic Research Associates, Inc. (NERA), NERA Economic Consulting, National Economic Research Associates, Inc. (NERA) and National Economic Research Associates, Inc. (NERA)
Downloads 3,027
41.

Modeling Credit Risk for Smes: Evidence from the Us Market

Number of pages: 48 Posted: 27 Dec 2005
Working Paper Series
New York University (NYU) - Salomon Center and Wiserfunding
Downloads 2,959
42.

Accounting Quality and Firm-Level Capital Investment

Accounting Review, October 2006
Number of pages: 42 Posted: 23 Jun 2006
Accepted Paper Series
University of Melbourne - Faculty of Business and Economics and Georgetown University - Department of Accounting and Business Law
Downloads 2,913
43.

Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003
Number of pages: 195 Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 2,892
44.

Equity Returns at the Turn of the Month

Number of pages: 50 Posted: 18 Jul 2006
Working Paper Series
HSBC School of Business, Peking University and Purdue University

Multiple version iconThere are 2 versions of this paper

Downloads 2,892
45.

Making Markowitz's Portfolio Optimization Theory Practically Useful

Number of pages: 45 Posted: 08 May 2006 Last Revised: 08 Oct 2016
Working Paper Series
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads 2,884
46.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Economics and Management
Downloads 2,878
47.

A Practical Guide to GMM (with Applications to Option Pricing)

Number of pages: 74 Posted: 10 May 2001
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads 2,852
48.

Idiosyncratic Risk and the Cross-Section of Expected Stock Returns

Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45 Posted: 08 Jul 2005 Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads 2,830
49.

Predictive Systems: Living with Imperfect Predictors

CRSP Working Paper No. 617, EFA 2007 Ljubljana Meetings Paper
Number of pages: 51 Posted: 19 Feb 2007 Last Revised: 13 Dec 2011
Working Paper Series
University of Chicago - Booth School of Business and University of Pennsylvania - The Wharton School

Multiple version iconThere are 4 versions of this paper

Downloads 2,827
50.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,776