51.
Stochastic Skew in Currency Options
EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48
Posted: 30 Jun 2004
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
There are 2 versions of this paper
Stochastic Skew in Currency Options
EFA 2004 Maastricht Meetings Paper No. 1426
Number of pages: 48
Posted: 30 Jun 2004
Downloads
1,558
Stochastic Skew in Currency Options
NYU Working Paper No. SC-CFE-04-02
Number of pages: 65
Posted: 07 Nov 2008
Downloads
131
Downloads
1,558
52.
International Stock Return Comovements
ECB Working Paper No. 931
Number of pages: 46
Posted: 19 Mar 2008
Last Revised: 28 Jun 2011
Working Paper Series
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
There are 3 versions of this paper
International Stock Return Comovements
ECB Working Paper No. 931
Number of pages: 46
Posted: 19 Mar 2008
Last Revised: 28 Jun 2011
Downloads
1,511
International Stock Return Comovements
NBER Working Paper No. w11906
Number of pages: 57
Posted: 22 Jan 2006
Last Revised: 01 Mar 2021
Downloads
67
International Stock Return Comovements
CEPR Discussion Paper No. 5955
Number of pages: 59
Posted: 03 Jan 2007
Downloads
36
Downloads
1,511
53.
Comparing the Performance of Market-Based and Accounting-Based Bankruptcy Prediction Models
Number of pages: 38
Posted: 05 Mar 2007
Working Paper Series
Cranfield University - School of Management and Manchester Business School
Downloads
1,479
54.
Volatility Forecasts, Trading Volume and the Arch vs Option-Implied Volatility Tradeoff
SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
Number of pages: 25
Posted: 21 Feb 2001
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads
1,479
55.
A Bridge from Monty Hall to the Hot Hand: Restricted Choice, Selection Bias, and Empirical Practice
IGIER Working Paper
Number of pages: 33
Posted: 02 Jan 2016
Last Revised: 29 Oct 2017
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
1,461
56.
Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails
Number of pages: 19
Posted: 29 Aug 2005
Working Paper Series
FX Concepts, Stevens Institute of Technology and Advanced Portfolio Technologies
Downloads
1,448
57.
Estimating and Testing Dynamic Corporate Finance Models
Number of pages: 55
Posted: 17 Mar 2012
Last Revised: 07 Jul 2017
Working Paper Series
Banco de México, Government of the United States of America - Office of Financial Research and University of Michigan, Stephen M. Ross School of Business
Downloads
1,414
58.
How Efficient are Credit Default Swap Markets? An Empirical Study of Capital Structure Arbitrage Based on Structural Pricing Models
21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 41
Posted: 13 Mar 2008
Last Revised: 06 Aug 2008
Working Paper Series
Deutsche Bundesbank - Research Centre and University of Frankfurt
Downloads
1,410
59.
A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models
Risk, August 2014
Number of pages: 25
Posted: 14 May 2013
Last Revised: 30 Aug 2017
Accepted Paper Series
Credit Suisse Securities (Europe) Limited, Bocconi University and Credit Suisse AG
Downloads
1,387
60.
Credit Spread Widening Risk in Portfolios: Pricing Techniques and Sensitivity Measures
Number of pages: 6
Posted: 31 Jan 2008
Last Revised: 02 Apr 2011
Working Paper Series
Banca Popolare Pugliese
Downloads
1,385
61.
Specification Analysis of Affine Term Structure Models
Number of pages: 53
Posted: 26 Nov 1998
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and Stanford University - Graduate School of Business
There are 2 versions of this paper
Specification Analysis of Affine Term Structure Models
Number of pages: 53
Posted: 26 Nov 1998
Downloads
1,372
Specification Analysis of Affine Term Structure Models
NBER Working Paper No. w6128
Number of pages: 53
Posted: 10 Jul 2000
Last Revised: 06 Apr 2008
Downloads
86
Downloads
1,372
62.
Tail Risk Protection in Asset Management
Number of pages: 42
Posted: 16 Nov 2014
Working Paper Series
Independent
Downloads
1,368
63.
Deeply Learning Derivatives
Number of pages: 14
Posted: 09 Oct 2018
Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads
1,366
64.
Pricing CDX Credit Default Swaps Using the Hull-White Model
Number of pages: 20
Posted: 21 Jul 2008
Working Paper Series
affiliation not provided to SSRN and Passau University
Downloads
1,341
65.
A Statistical Arbitrage FX Trading System Based on Short Term FX Volatility Swings Forecasting with Institutional Data on JPY Based Investment Flows Into US Markets
Number of pages: 17
Posted: 20 Jul 2009
Last Revised: 01 Oct 2009
Working Paper Series
Independent
Downloads
1,324
66.
Dynamic Conditional Correlation: On Properties and Estimation
Number of pages: 28
Posted: 18 Nov 2009
Last Revised: 14 Jul 2011
Working Paper Series
Independent
Downloads
1,321
67.
Backtesting General Spectral Risk Measures with Application to Expected Shortfall
Number of pages: 11
Posted: 24 Oct 2014
Last Revised: 22 Feb 2015
Working Paper Series
Barclays Capital and Independent
Downloads
1,310
68.
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
Number of pages: 24
Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads
1,303
69.
Evaluating Credit Risk Models: A Critique and a Proposal (New Version)
Number of pages: 36
Posted: 10 May 2001
Working Paper Series
affiliation not provided to SSRN and Ulm University
Downloads
1,303
70.
Dynamic Capital Structure Adjustment and the Impact of Fractional Dependent Variables
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 66
Posted: 01 Jul 2010
Last Revised: 06 Sep 2013
Accepted Paper Series
Ludwig Maximilian University of Munich (LMU) - Faculty of Business Administration (Munich School of Management) and University of Southern Denmark
Downloads
1,287
71.
Beyond Correlation: Extreme Co-Movements between Financial Assets
Number of pages: 48
Posted: 15 Jul 2002
Working Paper Series
Columbia Business School - Decision Risk and Operations and Lehman Brothers, New York
Downloads
1,284
72.
Support Vector Machines Approach to Predict the S&P CNX NIFTY Index Returns
10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 19
Posted: 13 Feb 2007
Working Paper Series
Indian Institute of Technology Madras and Indian Institute of Technology Madras
Downloads
1,258
73.
Simulation as a Stock Market Backtesting Tool
Number of pages: 44
Posted: 17 Apr 2014
Working Paper Series
Double-Digit Numerics
Downloads
1,253
74.
An Evaluation of the Base Correlation Framework for Synthetic Cdos
Number of pages: 25
Posted: 31 Dec 2004
Working Paper Series
affiliation not provided to SSRN
Downloads
1,242
75.
A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements
Number of pages: 14
Posted: 17 Jan 2016
Last Revised: 19 Jan 2017
Working Paper Series
Credit Suisse Securities (Europe) Limited, Credit Suisse Securities (Europe) Limited, Quaternion Risk Management and Credit Suisse Securities (Europe) Limited
Downloads
1,236
76.
Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance
European Univ., Economics Discussion Paper No. 2001/6
Number of pages: 30
Posted: 01 May 2001
Working Paper Series
Deutsche Bank AG (London)
Downloads
1,208
77.
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Number of pages: 61
Posted: 04 Dec 2019
Last Revised: 08 Jul 2020
Working Paper Series
London Business School - Department of Finance, London School of Economics & Political Science (LSE) - Department of Finance and London School of Economics & Political Science (LSE) - Department of Finance
Downloads
1,188
78.
Are Credit Scoring Models Sensitive with Respect to Default Definitions? Evidence from the Austrian Market
Number of pages: 44
Posted: 25 Jun 2003
Working Paper Series
Raiffeisen Bank International
Downloads
1,186
79.
Mortgage Backed Valuation
Number of pages: 119
Posted: 10 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads
1,179
80.
A Critical Examination of Orthogonal Regression
Number of pages: 40
Posted: 16 Jul 2003
Working Paper Series
University of Cambridge - Judge Business School and University of Sheffield - School of Management
Downloads
1,176
81.
Facebook’s Project Libra: Will Libra Sputter Out or Spur Central Banks to Introduce Their Own Unique Cryptocurrency Projects?
Number of pages: 24
Posted: 23 Jul 2019
Working Paper Series
Universiti Malaysia Sarawak (UNIMAS)
Downloads
1,134
82.
Pairs Trading in the Land Down Under
Finance and Corporate Governance Conference 2011 Paper
Number of pages: 22
Posted: 01 Dec 2010
Working Paper Series
University of South Australia - School of Mathematics and Statistics
Downloads
1,123
83.
Implied Stochastic Volatility Models
Number of pages: 51
Posted: 01 Jun 2017
Last Revised: 21 Feb 2019
Working Paper Series
Princeton University - Department of Economics, Peking University - Guanghua School of Management and Princeton University - Bendheim Center for Finance
Downloads
1,116
84.
Calibration of Multifactor Models in Electricity Markets
Number of pages: 22
Posted: 02 Nov 2004
Accepted Paper Series
University of British Columbia (UBC) - Department of Mathematics, IRMACS Centre, SFU and Algorithmics Inc.
Downloads
1,110
85.
Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20
Posted: 31 Aug 2018
Last Revised: 12 Nov 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads
1,103
86.
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Working Paper Series
University of Wisconsin - Madison, Washington University in St. Louis - John M. Olin Business School and University of Chicago - Finance
There are 6 versions of this paper
Dissecting Characteristics Nonparametrically
Number of pages: 105
Posted: 11 Aug 2016
Last Revised: 05 Aug 2018
Downloads
1,096
Dissecting Characteristics Nonparametrically
Fama-Miller Working Paper, Chicago Booth Research Paper No. 17-32
Number of pages: 105
Posted: 20 Nov 2017
Last Revised: 27 Jul 2018
Downloads
178
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 6391
Number of pages: 68
Posted: 12 Apr 2017
Downloads
155
Dissecting Characteristics Nonparametrically
CESifo Working Paper Series No. 7187
Number of pages: 107
Posted: 16 Oct 2018
Downloads
112
Dissecting Characteristics Nonparametrically
University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-50
Number of pages: 106
Posted: 01 Aug 2018
Downloads
78
Dissecting Characteristics Nonparametrically
NBER Working Paper No. w23227
Number of pages: 68
Posted: 19 Mar 2017
Downloads
28
Downloads
1,096
87.
Forecasting Product Life Cycle Curves: Practical Approach and Empirical Analysis
Manufacturing & Service Operations Management, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2867528
Number of pages: 39
Posted: 10 Nov 2016
Last Revised: 07 Jun 2018
Accepted Paper Series
Vanderbilt University - Operations Management, Penn State University, Smeal College of Business, Dell Inc., University of Virginia - Darden School of Business and Northwestern University - Kellogg School of Management
Downloads
1,065
88.
Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH
Number of pages: 16
Posted: 01 Feb 2011
Working Paper Series
Moscow School of Economics, Moscow State University
Downloads
1,064
89.
Measuring the Euro Exchange Rate Risk Premium: The Conditional International CAPM Approach
Number of pages: 30
Posted: 02 May 2003
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB) and Reserve Bank of Australia
Downloads
1,054
90.
Employer Branding: A Tool for Motivating and Retaining Employees
Singh, Ajay Kumar and Jain, Sonal (2013) Employer Branding: A tool for motivating and retaining employees, Indian Journal of Current Trends in Management Sciences, April, Vol. VI, No. 1, pp. 1-14.
Number of pages: 14
Posted: 07 Jul 2013
Accepted Paper Series
Sri Sri University, on EOL from University of Delhi - Department of Commerce, Faculty of Commerce and Business, Delhi School of Economics and Department of Commerce, Faculty of Commerce and Business, Delhi School of Economics, University of Delhi
Downloads
1,048
91.
Econometric Analysis of the Market Share Attraction Model
ERIM Report Series Reference No. ERS-2001-25-MKT
Number of pages: 35
Posted: 26 Aug 2006
Working Paper Series
Econometric Institute - Erasmus University Rotterdam, Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,044
92.
Can Exchange Rates Forecast Commodity Prices?
Economic Research Initiatives at Duke (ERID) Working Paper No. 1
Number of pages: 49
Posted: 28 Jul 2008
Last Revised: 06 May 2010
Working Paper Series
University of Washington - Department of Economics, Harvard University - Department of Economics and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads
1,034
93.
Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
Number of pages: 38
Posted: 15 Mar 2007
Working Paper Series
LaREMFiQ - IHEC
Downloads
1,026
94.
Seeking Shelter: Empirically Modeling Tax Shelters Using Financial Statement Information
Accounting Review, Vol. 85, No. 5, 2010
Number of pages: 45
Posted: 04 Feb 2008
Last Revised: 25 Sep 2013
Accepted Paper Series
Boston University Questrom School of Business
Downloads
1,023
95.
Improving GARCH Volatility Forecasts
CentER Discussion Paper Series No. 1998-52
Number of pages: 43
Posted: 01 Dec 1998
Working Paper Series
University of Amsterdam - Research Institute in Economics & Econometrics (RESAM)
Downloads
1,021
96.
Neural Networks with Asymptotics Control
Number of pages: 48
Posted: 09 Mar 2020
Last Revised: 27 Aug 2020
Working Paper Series
Danske Bank - Danske Markets, Numerix and NatWest Markets
Downloads
1,020
97.
Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX
Number of pages: 46
Posted: 27 Apr 2018
Last Revised: 13 Jul 2019
Working Paper Series
Stockholm University, Humboldt University of Berlin, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads
999
98.
Predicting Stock Price Movements: An Ordered Probit Analysis on the ASX
Number of pages: 42
Posted: 12 Jul 2006
Working Paper Series
UNSW Business School and The University of Western Australia - UWA Business School
Downloads
996
99.
Factors That Fit the Time Series and Cross-Section of Stock Returns
Number of pages: 61
Posted: 01 Aug 2018
Last Revised: 30 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering
There are 3 versions of this paper
Factors That Fit the Time Series and Cross-Section of Stock Returns
Number of pages: 61
Posted: 01 Aug 2018
Last Revised: 30 Jan 2020
Downloads
994
Factors that Fit the Time Series and Cross-Section of Stock Returns
NBER Working Paper No. w24858
Number of pages: 60
Posted: 01 Aug 2018
Last Revised: 04 Jan 2021
Downloads
40
Factors that Fit the Time Series and Cross-Section of Stock Returns
CEPR Discussion Paper No. DP13049
Number of pages: 62
Posted: 16 Jul 2018
Last Revised: 30 Jul 2018
Downloads
2
Downloads
994
100.
‘Children of the HMM’: Modeling Longitudinal Customer Behavior at Hulu.Com
Number of pages: 51
Posted: 04 Aug 2011
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - The Wharton School
Downloads
994
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