Search Results
JEL Code: C52

588,511 Total downloads

Viewing: 101 - 150 of 3,048 papers

101.

Measuring 'Dark Matter' in Asset Pricing Models

NBER Working Paper Series, The Rodney L. White Center Working Papers Series at the Wharton School, The Jacobs Levy Equity Management Center for Quantitative Financial Research Working Papers Series, The Wharton School Research Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 60 Posted: 19 Sep 2013 Last Revised: 11 Aug 2020
Accepted Paper Series
Massachusetts Institute of Technology, The Wharton School, University of Pennsylvania and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 969
102.

The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Journal of Statistical Software, Forthcoming
Number of pages: 40 Posted: 11 Nov 2017 Last Revised: 23 May 2020
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, University of Neuchâtel and Ghent University
Downloads 969
103.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 967
104.

Price Models and the Value Relevance of Accounting Information

Number of pages: 50 Posted: 26 Jul 2007
Working Paper Series
City University of New York - Baruch College - Stan Ross Department of Accountancy
Downloads 967
105.

A Dynamic Implementations of the Leverage Space Portfolio

Number of pages: 18 Posted: 11 Mar 2013
Working Paper Series
Western Michigan University, Vince Strategies LLC and Connors Global Indexes, LLC
Downloads 961
106.

Day of the Week Effects in NSE Stock Returns: An Empirical Study

Number of pages: 27 Posted: 27 Mar 2008
Working Paper Series
International Management Institute (IMI) and International Management Institute, India
Downloads 959
107.

Some Statistical Pitfalls in Copula Modeling for Financial Applications

FAME Working Paper No. 108
Number of pages: 24 Posted: 28 Jun 2004
Working Paper Series
Ensae-Crest and University of Geneva GSEM and GFRI
Downloads 959
108.

Stock Index Futures Trading and Spot Market Volatility

Number of pages: 21 Posted: 24 Mar 2006
Working Paper Series
Athens University of Economics and Business - Department of Business Administration and University of Glasgow
Downloads 959
109.

Simple Tests for Models of Dependence between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates

London Economics Financial Markets Group Working Paper No. 483
Number of pages: 37 Posted: 06 Mar 2004
Working Paper Series
Yale University - Cowles Foundation, Vanderbilt University - College of Arts and Science - Department of Economics and Duke University - Department of Economics
Downloads 951
110.

What Data Should Be Used to Price Options?

Number of pages: 49 Posted: 29 Aug 1998
Working Paper Series
UCLA Anderson and University of North Carolina Kenan-Flagler Business School
Downloads 950
111.

Assessing Validity of the Basel Ii Model in Measuring Risk of Credit Portfolios

Number of pages: 15 Posted: 26 Jan 2006
Working Paper Series
Independent
Downloads 943
112.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Working Paper Series
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 940
113.

(Almost) Model-Free Recovery

Journal of Finance, Forthcoming
Number of pages: 102 Posted: 10 Aug 2015 Last Revised: 05 Jan 2018
Accepted Paper Series
University of Lugano - Institute of Finance and Swiss Finance Institute
Downloads 936
114.

A Comparison of Mixed Garch-Jump Models with Skewed T-Distribution for Asset Returns

Number of pages: 47 Posted: 22 Feb 2005
Working Paper Series
School of Urban Planning & Real Estate Studies, Dankook University and University of New Orleans - College of Business Administration - Department of Economics and Finance
Downloads 924
115.

Analyzing Customer Value Using Conjoint Analysis: The Example of a Packaging Company

Tartu Working Paper No. 567
Number of pages: 38 Posted: 10 Dec 2006
Working Paper Series
University of Tartu
Downloads 922
116.

A Model to Measure Portfolio Risks in Venture Capital

Number of pages: 28 Posted: 13 Nov 2005
Working Paper Series
Goethe University Frankfurt
Downloads 911
117.

Agglomeration, Innovation and Regional Development: Theoretical Perspectives and Meta-Analysis

Tinbergen Institute Discussion Paper No. 07-079/3
Number of pages: 37 Posted: 16 Oct 2007
Working Paper Series
VU University Amsterdam - Department of Spatial Economics, Vrije Universiteit Amsterdam, Department of Spatial Economics and Utrecht University - Department of Economic Geography
Downloads 903
118.

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Number of pages: 39 Posted: 03 Mar 2006
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Eberhard Karls Universität Tübingen and University of Mannheim - Finance Area

Multiple version iconThere are 2 versions of this paper

Downloads 902
119.

Modeling and Forecasting a Firm's Financial Statements with a VAR-VECM Model

Number of pages: 21 Posted: 24 Jan 2009
Working Paper Series
Government of the Federative Republic of Brazil - Central Bank of Brazil, University of Brasilia and Universidade de Brasília (UnB)
Downloads 901
120.

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Number of pages: 34 Posted: 22 Oct 2007
Working Paper Series
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 899
121.

Peeking into the Black Box: An Actuarial Case Study for Interpretable Machine Learning

Number of pages: 40 Posted: 05 Jun 2020
Working Paper Series
Schweizerische Mobiliar Versicherungsgesellschaft and Schweizerische Mobiliar Versicherungsgesellschaft
Downloads 896
122.

Discussion of 'Conditional and Unconditional Conservatism: Concepts and Modeling'

Review of Accounting Studies, Vol. 10, No. 2/3, 2005
Number of pages: 11 Posted: 20 Apr 2014
Accepted Paper Series
Temple University - Department of Accounting
Downloads 892
123.

Backtesting Parametric Value-at-Risk With Estimation Risk

CAEPR Working Paper No. 2007-005
Number of pages: 39 Posted: 22 Mar 2007 Last Revised: 05 Sep 2008
Working Paper Series
Universidad Carlos III de Madrid and Universidad de Zaragoza
Downloads 888
124.

Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Measures

Number of pages: 25 Posted: 27 Sep 2011
Working Paper Series
Imperial College London
Downloads 883
125.

Relative Importance and Value

Number of pages: 22 Posted: 24 Apr 2013
Working Paper Series
IMCI, LLC
Downloads 881
126.

Role of Autoregressive Conditional Skewness and Kurtosis in the Estimation of Conditional VaR

Number of pages: 31 Posted: 06 Sep 2006
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Credit Suisse - Fixed Income Division and Fordham University - Gabelli School of Business
Downloads 881
127.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
University of Brasilia
Downloads 878
128.

The Behaviour of Implied Volatility Surface: Evidence from Crude Oil Futures Options

Number of pages: 22 Posted: 15 Sep 2006
Working Paper Series
University of Paris II Pantheon-Assas - ERMES
Downloads 867
129.

From Generalized Linear Models to Neural Networks, and Back

Number of pages: 56 Posted: 09 Dec 2019 Last Revised: 03 Mar 2020
Working Paper Series
RiskLab, ETH Zurich
Downloads 865
130.

The Elasticity of Interest Rate Volatility: Chan, Karolyi, Longstaff, and Sanders Revisited

Federal Reserve Bank of Atlanta WP 97-13a
Number of pages: 25 Posted: 02 Sep 1998
Working Paper Series
Wake Forest University - Schools of Business and University of Virginia - McIntire School of Commerce
Downloads 856
131.

Machine Learning at Central Banks

Bank of England Working Paper No. 674
Number of pages: 89 Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads 852
132.

Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices

Number of pages: 12 Posted: 05 Mar 2018 Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads 848
133.

Price Volatility, Trading Volume and Open Interest: Evidence from Indian Commodity Futures Markets

Number of pages: 56 Posted: 14 Aug 2010
Working Paper Series
Jindal Global Business School and O. P. Jindal Global University - Jindal Global Law School (JGLS)
Downloads 844
134.

The Econometrics of Bayesian Graphical Models: A Review With Financial Application

Journal of Network Theory in Finance, 2(2), 1–33, June 2016
Number of pages: 26 Posted: 30 May 2015 Last Revised: 26 Aug 2019
Accepted Paper Series
University of Pavia, Department of Economics and Management
Downloads 843
135.

Normal Mixture Garch(1,1): Applications to Exchange Rate Modelling

ISMA Centre Finance Discussion Paper No. 2004-06
Number of pages: 83 Posted: 23 Jun 2004
Working Paper Series
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 839
136.

Testing for Structural Breaks in GARCH Models

Number of pages: 40 Posted: 22 May 2006
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads 837
137.

Specification Analysis of Structural Credit Risk Models

AFA 2009 San Francisco Meetings Paper
Number of pages: 44 Posted: 13 Mar 2008 Last Revised: 22 Jul 2009
Working Paper Series
Pennsylvania State University - University Park - Department of Finance and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 828
138.

Very Fast and Correctly Sized Estimation of the Bds Statistic

Number of pages: 95 Posted: 20 Mar 1999
Working Paper Series
affiliation not provided to SSRN
Downloads 821
139.

Testing the Predictive Ability of Technical Analysis Using a New Stepwise Test Without Data Snooping Bias

Number of pages: 35 Posted: 03 Feb 2008 Last Revised: 21 Aug 2009
Working Paper Series
National Tsing Hua University - Department of Quantitative Finance, University of Missouri at Columbia - Department of Economics and Department of Finance, National Taiwan University
Downloads 820
140.

Fintech in Financial Inclusion: Machine Learning Applications in Assessing Credit Risk

IMF Working Paper No. 19/109
Number of pages: 35 Posted: 06 Nov 2019
Working Paper Series
IMF
Downloads 817
141.

Forecasting Spot Interest Rate Volatility

Number of pages: 54 Posted: 27 Mar 2000
Working Paper Series
Nova School of Business and Economics
Downloads 817
142.

Inflection Point Significance for the Investment Size

Number of pages: 17 Posted: 11 Mar 2013
Working Paper Series
Vince Strategies LLC and Western Michigan University
Downloads 810
143.

An Empirical Evaluation of Structural Credit Risk Models

BIS Working Paper No. 179
Number of pages: 48 Posted: 20 Sep 2007
Working Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 798
144.

How Hard Is It to Pick the Right Model? MCS and Backtest Overfitting

Number of pages: 27 Posted: 03 Jan 2018 Last Revised: 15 Jun 2018
Working Paper Series
University of Navarra, IESE Business School and Cornell University - Operations Research & Industrial Engineering
Downloads 795
145.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 794
146.

Interest Rate Modelling Framework in Discrete Rolling Spot Measure

Number of pages: 15 Posted: 25 Mar 2004
Working Paper Series
Danske Bank - Danske Markets and Numerix - Quantitative Research
Downloads 782
147.

Measuring Relative Accuracy: A Better Alternative to Mean Absolute Percentage Error

Hertfordshire Business School Working Paper (2013)
Number of pages: 24 Posted: 07 Nov 2013
Working Paper Series
University of Hertfordshire Business School
Downloads 782
148.

Using a Leading Credit Index to Predict Turning Points in the U.S. Business Cycle

The Conference Board Economics Program Working Paper No. 11-05
Number of pages: 42 Posted: 05 Jan 2012
Working Paper Series
affiliation not provided to SSRN, The Conference Board, The Conference Board, affiliation not provided to SSRN and The Conference Board
Downloads 782
149.

Regression Discontinuity Design with Many Thresholds

Number of pages: 41 Posted: 10 Jan 2016 Last Revised: 19 Sep 2019
Working Paper Series
University of Notre Dame - Department of Economics
Downloads 776
150.

Hedge Fund Returns and Factor Models: A Cross-Sectional Approach

Bankers, Markets & Investors, June 2011
Number of pages: 42 Posted: 19 Feb 2009 Last Revised: 06 Jul 2016
Accepted Paper Series
Université Paris Dauphine - DRM-CEREG and University of Cergy-Pontoise - THEMA
Downloads 775