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JEL Code: C50

535,020 Total downloads

Viewing: 51 - 100 of 815 papers

51.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering and New York University (NYU) - NYU Tandon School of Engineering
Downloads 898
52.

The Impact of Trades on Daily Volatility

AFA 2005 Philadelphia Meetings
Number of pages: 46 Posted: 21 Mar 2004
Working Paper Series
Interdisciplinary Center (IDC) Herzliyah, Emory University - Department of Finance and University of Lausanne

Multiple version iconThere are 3 versions of this paper

Downloads 880
53.

Tail Risk Mitigation with Managed Volatility Strategies

Dreyer, Anna and Hubrich, Stefan, Tail Risk Mitigation with Managed Volatility Strategies (April 16, 2019). Journal of Investment Strategies 8(1), 29-56.
Number of pages: 28 Posted: 22 Nov 2017 Last Revised: 13 Jun 2019
Accepted Paper Series
T. Rowe Price and T.Rowe Price
Downloads 873
54.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
University of Brasilia
Downloads 868
55.

Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 12 Posted: 14 Jan 2015 Last Revised: 06 Jun 2015
Working Paper Series
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 842
56.

When (If Ever) Has it Paid to Wait for a Stock Market Correction?

Number of pages: 3 Posted: 26 Sep 2017 Last Revised: 26 Sep 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads 841
57.

Informational Cascades and Software Adoption on the Internet: An Empirical Investigation

MIS Quarterly, Vol. 33, No. 1, pp. 23-48, March 2009
Number of pages: 58 Posted: 07 Apr 2008 Last Revised: 31 Jul 2012
Accepted Paper Series
George Washington University - School of Business, Boston University - Department of Management Information Systems and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 832
58.

Profitable Pair Trading: A Comparison Using the S&P 100 Constituent Stocks and the 100 Most Liquid ETFs

Number of pages: 19 Posted: 02 Jun 2013
Working Paper Series
Harvest Alpha Capital, John Moores University - Business School and University of Liverpool - Accounting and Finance Division
Downloads 819
59.

Multiple-Curve Valuation with One-Factor Hull-White Model

Number of pages: 7 Posted: 01 May 2012 Last Revised: 15 Mar 2014
Working Paper Series
FINCAD
Downloads 804
60.

A Monthly Indicator of Brazilian GDP

UCR Department of Economics Working Paper
Number of pages: 32 Posted: 23 Jan 2001
Working Paper Series
University of California Riverside
Downloads 803
61.

Stochastic Processes in Credit Risk Modelling

Number of pages: 37 Posted: 09 Mar 2006
Working Paper Series
University Ca' Foscari of Venice - Department of Economics
Downloads 779
62.

An Exploratory Study of the Impact of E-Service Process on Online Customer Satisfaction

Number of pages: 42 Posted: 14 Dec 2006
Working Paper Series
University of Connecticut School of Business and Government of the United States of America - Department of Homeland Security
Downloads 774
63.

Integrating Multiple Commodities in a Model of Stochastic Price Dynamics

Journal of Energy Markets, Vol. 2, No. 3, 2009
Number of pages: 41 Posted: 06 Mar 2008 Last Revised: 24 Apr 2012
Accepted Paper Series
University of Mannheim - Department of Business Administration and Finance and Leibniz Universität Hannover - Faculty of Economics and Management
Downloads 717
64.

Cointegration and Threshold Adjustment

Number of pages: 24 Posted: 24 Feb 1998
Working Paper Series
Wilfrid Laurier University - School of Business & Economics and University of Alabama - Department of Economics, Finance and Legal Studies

Multiple version iconThere are 2 versions of this paper

Downloads 672
65.

Comprehensive Time-Series Regression Models Using Gretl — U.S. GDP and Government Consumption Expenditures & Gross Investment from 1980 to 2013

Number of pages: 82 Posted: 21 Dec 2014 Last Revised: 17 Aug 2019
Working Paper Series
affiliation not provided to SSRN
Downloads 672
66.

Inflation Targeting and Inflation Behavior: A Successful Story?

International Journal of Central Banking, Vol. 1, No. 3, pp. 153-175, 2005
Number of pages: 18 Posted: 15 Feb 2005
Accepted Paper Series
Central Bank of Peru and University of Cambridge - Faculty of Economics and Politics
Downloads 665
67.

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Number of pages: 117 Posted: 13 Jun 2012 Last Revised: 16 Jun 2012
Working Paper Series
Ecole Nationale des Ponts et Chaussées (ENPC)
Downloads 662
68.

Level-Slope-Curvature - Fact or Artefact?

Applied Mathematical Finance, Vol. 14, No. 2, 2007
Number of pages: 32 Posted: 20 Sep 2005 Last Revised: 09 May 2011
Accepted Paper Series
Cardano Risk Management and Maastricht University
Downloads 661
69.

Alternative Risk Premia: What Do We Know?

Number of pages: 31 Posted: 29 Apr 2017
Working Paper Series
Amundi Asset Management
Downloads 656
70.

A Note on the Black-Scholes Implied Volatility with Default Risk

Wilmott Journal, Vol. 2, No. 3, 2010
Number of pages: 19 Posted: 12 Nov 2008 Last Revised: 14 Jun 2016
Accepted Paper Series
Merrill Lynch & Co., Mizuho-DL Financial Technology Co., Ltd., Mizuho-DL Financial Technology Co., Ltd. and Hosei University - Graduate School of Business Administration
Downloads 651
71.

Growth Regressions and What the Textbooks Don't Tell You

Number of pages: 33 Posted: 26 Jul 1999
Working Paper Series
Centre for Economic Policy Research (CEPR)
Downloads 650
72.

Decisionmetrics: A Decision-Based Approach to Econometric Modelling

SFI Working Paper No. 01-10-64
Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Athens University of Economics and Business - Department of International and European Economic Studies
Downloads 645
73.

Cash-Settled Swaptions - A Review of Cash-Settled Swaption Pricing

Number of pages: 15 Posted: 14 Feb 2018
Working Paper Series
University of Oxford, Said Business School
Downloads 634
74.

Altruism, Equity, and Reciprocity in a Gift Exchange Experiment: An Encompassing Approach

Universitat Pompeu Fabra, Department of Economics Working Paper No. 368
Number of pages: 42 Posted: 05 Aug 1999
Working Paper Series
University of California, Santa Barbara (UCSB) - Department of Economics and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 613
75.

Can Sentiment Indicators Signal Market Reversals?

Number of pages: 33 Posted: 29 May 2016
Working Paper Series
Mandarin Capital Limited
Downloads 601
76.

Optimal Momentum: A Global Cross Asset Approach

Number of pages: 28 Posted: 10 May 2011 Last Revised: 17 Apr 2018
Working Paper Series
Portfolio Management Consultants
Downloads 593
77.

A Note on the Common Support Problem in Applied Evaluation Studies

Univ. of St. Gallen Economics, Disc. Paper 2001-01
Number of pages: 27 Posted: 15 Feb 2001
Working Paper Series
University of St. Gallen - Swiss Institute for Empirical Economic Research
Downloads 586
78.

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Working Paper Series
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 584
79.

Exogeneity, Cointegration, and Economic Policy Analysis

FRB International Finance Discussion Paper No. 616
Number of pages: 40 Posted: 14 Aug 1998
Working Paper Series
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, University of Oxford - Department of Economics and University of Southampton - Division of Economics
Downloads 582
80.

Copula-Based Dependence Characteriztions and Modeling for Time Series

Harvard Institute of Economic Research Discussion Paper No. 2094
Number of pages: 30 Posted: 21 Sep 2005
Working Paper Series
Harvard University - Department of Economics
Downloads 581
81.

The Brazilian Business Cycle and Growth Cycle

UC Riverside Economics Working Paper No. 2000
Number of pages: 35 Posted: 19 Dec 2000
Working Paper Series
University of California Riverside
Downloads 580
82.

Uncertainty in Value-at-Risk Estimates Under Parametric and Non-Parametric Modeling

Number of pages: 31 Posted: 26 Feb 2005
Working Paper Series
Vienna University of Technology and Vienna University of Technology - Department of Finance and Corporate Control

Multiple version iconThere are 2 versions of this paper

Downloads 577
83.

Can User-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp

Number of pages: 74 Posted: 31 Jan 2018 Last Revised: 28 Oct 2019
Working Paper Series
University of Southern California and University of Southern California
Downloads 568
84.

Identifying Business Cycle Turning Points in Real Time

FRB of Atlanta Working Paper No. 2002-27
Number of pages: 35 Posted: 19 Feb 2003
Working Paper Series
University of California Riverside and University of Oregon - Department of Economics
Downloads 558
85.

A Source of Long Memory in Volatility

Number of pages: 52 Posted: 26 May 2006
Working Paper Series
University of Manchester - Manchester Business School, University of Seoul - Department of Economics and University of California, San Diego (UCSD) - Department of Economics
Downloads 554
86.

A Quick Introduction to Quantitative Models That Discard Estimation of Expected Returns for Portfolio Construction

Number of pages: 43 Posted: 03 Sep 2012 Last Revised: 20 Feb 2013
Working Paper Series
Symphonia Sgr
Downloads 550
87.

How ESG Investing Has Impacted the Asset Pricing in the Equity Market

Number of pages: 19 Posted: 28 Jan 2019 Last Revised: 30 Jan 2019
Working Paper Series
Amundi Asset Management, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE), Amundi Asset Management, Amundi Asset Management, Amundi Asset Management, Amundi Asset Management and Amundi Asset Management
Downloads 545
88.

A Brief History of Sharpe Ratio, and Beyond

Number of pages: 3 Posted: 13 Dec 2017 Last Revised: 16 Dec 2017
Working Paper Series
Elm Partners and Elm Partners
Downloads 536
89.

Longevity Risk Management for Life and Variable Annuities: Effectiveness of Static Hedging Using Longevity Bonds and Derivatives

UNSW Australian School of Business Research Paper No. 2010ACTL03
Number of pages: 39 Posted: 12 Apr 2010 Last Revised: 12 Mar 2012
Accepted Paper Series
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies and PricewaterhouseCoopers Australia
Downloads 535
90.

'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons

Number of pages: 51 Posted: 15 Aug 2018 Last Revised: 29 May 2019
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads 528
91.

The CARMA Interest Rate Model

Number of pages: 33 Posted: 30 May 2008 Last Revised: 01 Feb 2013
Working Paper Series
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Oslo, School of Business and Law at the University of Agder and University of Agder - School of Business and Law
Downloads 526
92.

Interest Rate Swaptions - A Review & Derivation of Swaption Pricing Formulae

Journal of Economics and Financial Analysis, Vol:2, No:2 (2018) 87-103
Number of pages: 15 Posted: 05 Jan 2018 Last Revised: 16 Feb 2018
Accepted Paper Series
University of Oxford, Said Business School
Downloads 524
93.

Assessing the Impact of News on Volatility Using the News Impact Curve of EGARCH

Number of pages: 6 Posted: 17 Jun 2012 Last Revised: 17 Sep 2012
Working Paper Series
affiliation not provided to SSRN
Downloads 523
94.

A Review of the Vasicek & Hull-White Models & the Likelihood of Negative Rates

Number of pages: 13 Posted: 14 Feb 2018 Last Revised: 19 Nov 2018
Working Paper Series
University of Oxford, Said Business School
Downloads 517
95.

Timing and Volatility Quantitative Model

Number of pages: 12 Posted: 10 Jun 2009 Last Revised: 21 Nov 2010
Working Paper Series
Financial Analysis Group
Downloads 501
96.

Technological Change in Economic Models of Environmental Policy: A Survey

FEEM Working Paper No. 4.2002; ZEW Discussion Paper No. 01-62
Number of pages: 48 Posted: 09 Feb 2004
Working Paper Series
University of Muenster - Chair of Microeconomics, esp. Energy and Resource Economics
Downloads 494
97.

A Hidden Markov Model of Developer Learning Dynamics in Open Source Software Projects

Information Systems Research
Number of pages: 39 Posted: 18 Apr 2008 Last Revised: 20 Oct 2014
Accepted Paper Series
Carnegie Mellon University - David A. Tepper School of Business, University of Washington and University of Washington - Michael G. Foster School of Business
Downloads 493
98.

Trade Linkages and Output-Multiplier Effects: A Structural VAR Approach with a Focus on Asia

MIT Sloan Working Paper No. 4242-01
Number of pages: 34 Posted: 28 Apr 2002
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and National University of Singapore (NUS) - Department of Economics

Multiple version iconThere are 3 versions of this paper

Downloads 480
99.

Neural Network Embedding of the Over-Dispersed Poisson Reserving Model

Number of pages: 30 Posted: 14 Dec 2018
Working Paper Series
ETH Zurich, Department of Mathematics, RiskLab, Students, QED Actuaries and Consultants and RiskLab, ETH Zurich
Downloads 472
100.

Financial Development and Economic Growth: An Econometric Analysis for Singapore

IMF Working Paper No. 96/15
Number of pages: 58 Posted: 15 Feb 2006
Working Paper Series
International Monetary Fund (IMF)
Downloads 464