SSRN eLibrary Search Results
Econometrics eJournal, Archives of Vols. 1-15, 1996-2008

1,896,560 Total downloads | Link to this page | Subscribe to this eJournal (requires login)
Search Within

Viewing: 1 - 50 of 8,838 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 48,258
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 19,424
3.

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 15,652
4.

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 14,598
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 13,002
6.

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 9,118
7.

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 8,986
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 8,153
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 7,557
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 7,064
11.

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 5,743
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 5,465
13.

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 5,376
14.

Markovian Projection Method for Volatility Calibration

Number of pages: 22 Posted: 06 Jun 2006
Working Paper Series
Independent
Downloads 5,068
15.

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 Portland State University - School of Business Administration
Downloads 4,780
16.

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 4,505
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, Crédit Lyonnais - Groupe de Recherche Opérationnelle and Amundi Asset Management
Downloads 4,436
18.

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 3,848
19.

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 3,830
20.

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 3,774
21.

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
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,755
22.

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 3,702
23.

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 3,658
24.

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 3,596
25.

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 3,549
26.

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 3,542
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 3,500
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 3,370
29.

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
David Eccles School of Business, University of Utah, University of Utah - Department of Finance and University of Kansas - Finance Area
Downloads 3,326
30.

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: 02 Mar 2016
Accepted Paper Series
University of Hertfordshire Business School
Downloads 3,305
31.

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 3,266
32.

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 3,233
33.

The Distribution of S&P 500 Index Returns

Number of pages: 15 Posted: 10 Jan 2007
Working Paper Series
Independent
Downloads 3,199
34.

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 3,117
35.

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 2,979
36.

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 2,947
37.

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 2,906
38.

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 2,798
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 2,793
40.

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 University of Aarhus - School of Economics and Management
Downloads 2,773
41.

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 2,772
42.

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 2,754
43.

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 2,741
44.

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 2,721
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 2,704
46.

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 2,666
47.

Multifractality of Deutschemark / US Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,650
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 2,635
49.

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 2,623
50.

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 Risk Management
Downloads 2,607