Search Results
JEL Code: C52

588,666 Total downloads

Viewing: 151 - 200 of 3,048 papers

151.

In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Number of pages: 43 Posted: 27 Feb 2003
Working Paper Series
Southern Methodist University and Federal Reserve Banks - Federal Reserve Bank of Dallas

Multiple version iconThere are 2 versions of this paper

Downloads 773
152.

The P&L Attribution Test

Number of pages: 15 Posted: 03 Dec 2016 Last Revised: 18 Jan 2017
Working Paper Series
University of Melbourne - Centre for Actuarial Studies, ANZ Bank and ANZ Bank

Multiple version iconThere are 2 versions of this paper

Downloads 772
153.

Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies

Robert H. Smith School Research Paper No. RHS 06-154
Number of pages: 45 Posted: 09 May 2005 Last Revised: 13 Feb 2011
Working Paper Series
New York University Finance and Risk Engineering, City University of New York, CUNY Baruch College - Zicklin School of Business and Temple University - Fox School of Business and Management
Downloads 769
154.

Sparse High Dimensional Models in Economics

Number of pages: 53 Posted: 16 Aug 2010
Working Paper Series
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University - Bendheim Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 762
155.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Forthcoming in Journal of Financial Economics
Number of pages: 87 Posted: 07 Feb 2020 Last Revised: 18 Aug 2020
Accepted Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 758
156.

Network Capital: Value of Currency Protocols Bitcoin & SolarCoin Cases in Context

Columbia Business School Research Paper No. 19-2
Number of pages: 13 Posted: 03 Dec 2018
Working Paper Series
Carbon Finance Labs and Columbia Business School
Downloads 756
157.

Adaptive Market Timing with ETFs

Number of pages: 18 Posted: 29 Dec 2010
Working Paper Series
Independent
Downloads 752
158.

Consistent Ranking of Volatility Models

Brown University, Economics Working Paper No. 2003-01
Number of pages: 30 Posted: 04 May 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Business and Social Sciences
Downloads 745
159.

Optimal Asset Allocation Strategies

Number of pages: 25 Posted: 28 Jun 2016 Last Revised: 15 Jul 2016
Working Paper Series
North Carolina State University
Downloads 744
160.

Volatility Arbitrage Indices - A Primer

Number of pages: 9 Posted: 04 Jan 2009
Working Paper Series
Standard & Poor's
Downloads 744
161.

Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments

IMF Working Paper No. 06/283
Number of pages: 52 Posted: 12 Jan 2007
Working Paper Series
International Monetary Fund (IMF) - Monetary and Financial Systems Department and Universidad Nacional Autónoma de México (UNAM)
Downloads 741
162.

Internet Search Behavior as an Economic Forecasting Tool: The Case of Inflation Expectations

The Journal of Economic and Social Measurement, Vol. 36, No. 3, December 2011
Number of pages: 38 Posted: 14 Feb 2012 Last Revised: 31 Oct 2012
Accepted Paper Series
Economic Alchemy LLC
Downloads 740
163.

Unobserved Heterogeneity in Models of Competing Mortgage Termination

Number of pages: 41 Posted: 05 Mar 2004
Working Paper Series
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Wisconsin School of Business, University of Wisconsin-Madison
Downloads 739
164.

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
Angelo State University - Norris-Vincent College of Business - Department of Management and Marketing
Downloads 736
165.

Financial Stress Index: Identification of Systemic Risk Conditions

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 58 Posted: 28 Aug 2011 Last Revised: 06 Apr 2013
Working Paper Series
Case Western Reserve University - Weatherhead School of Management, Indiana University, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Baden-Wuerttemberg Cooperative State University Mosbach (DHBW) and Federal Reserve Banks - Federal Reserve Bank of Cleveland

Multiple version iconThere are 2 versions of this paper

Downloads 730
166.

Matching Methods in Practice: Three Examples

IZA Discussion Paper No. 8049
Number of pages: 67 Posted: 29 Mar 2014
Working Paper Series
Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 721
167.

Bayesian Analysis of DSGE Models

FRB Philadelphia Working Paper No. 06-5
Number of pages: 75 Posted: 07 Feb 2006
Working Paper Series
Singapore Management University - School of Economics and University of Pennsylvania - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 713
168.

Testing Exogeneity in the Bivariate Probit Model: A Monte Carlo Study

Number of pages: 22 Posted: 28 Feb 2006
Working Paper Series
University of Bologna - Department of Economics and University of Bologna - Department of Statistics

Multiple version iconThere are 2 versions of this paper

Downloads 713
169.

Rise in German Wholesale Electricity Prices: Fundamental Factors, Exercise of Market Power, or Both?

IWE Working Paper No. 02
Number of pages: 23 Posted: 30 Aug 2006
Working Paper Series
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg - Institute of Economics
Downloads 712
170.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 24 Aug 2015 Last Revised: 23 Mar 2020
Accepted Paper Series
Stanford University - Department of Management Science & Engineering
Downloads 712
171.

Stochastic Volatility Models: Conditional Normality Versus Heavy-Tailed Distributions

Number of pages: 22 Posted: 30 Dec 1997
Working Paper Series
University of Cologne, Department of Economics and University of Hohenheim - Institute of Economics
Downloads 710
172.

Causality in the Time of Cholera: John Snow As a Prototype for Causal Inference

Number of pages: 86 Posted: 30 Oct 2018 Last Revised: 15 Mar 2019
Working Paper Series
University of Chicago - Harris School of Public Policy
Downloads 709
173.

Three-Point-For-Win in Soccer: Are There Incentives for Match Fixing?

Number of pages: 27 Posted: 03 Aug 2010
Working Paper Series
Aston University - Aston Business School
Downloads 709
174.

Is the Value Premium Predictable in Real Time?

Number of pages: 27 Posted: 18 Sep 2002
Working Paper Series
Maastricht University and Robeco Asset Management
Downloads 700
175.

Measuring the Completeness of Theories

PIER Working Paper No. 18-010
Number of pages: 38 Posted: 16 Aug 2017 Last Revised: 27 Jan 2020
Working Paper Series
Massachusetts Institute of Technology (MIT), Cornell University - Department of Computer Science, Northwestern University and Harvard University - Department of Economics
Downloads 700
176.

Shrinkage Estimation of the Varying Coefficient Model

Number of pages: 35 Posted: 23 Nov 2008 Last Revised: 30 Nov 2008
Working Paper Series
Peking University - Guanghua School of Management and National University of Singapore (NUS)
Downloads 694
177.

Identification of Standard Auction Models

Number of pages: 40 Posted: 21 Aug 2000
Working Paper Series
Stanford Graduate School of Business and Yale University - Department of Economics
Downloads 693
178.

Store Location in Shopping Centers: Theory and Estimates

Journal of Real Estate Research, Vol. 27, No. 3, 2006
Number of pages: 30 Posted: 27 Dec 2006
Accepted Paper Series
Florida Atlantic University and University of California, Irvine - Paul Merage School of Business
Downloads 693
179.

An Evaluation Framework for Alternative VAR Models

Number of pages: 25 Posted: 21 Jan 2002
Working Paper Series
University of Maastricht - Limburg Institute of Financial Economics (LIFE), University of Luxembourg and University of Luxembourg - Luxembourg School of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 690
180.

A Top-Down Approach to Multi-Name Credit

Operations Research, Forthcoming
Number of pages: 34 Posted: 15 Mar 2005 Last Revised: 15 Jun 2016
Working Paper Series
Stanford University - Department of Management Science & Engineering, University of California, Berkeley and Stanford University
Downloads 689
181.

The Art of Natural Language Processing: Classical, Modern and Contemporary Approaches to Text Document Classification

Number of pages: 51 Posted: 31 Mar 2020
Working Paper Series
Dep. Management, Technology, and Economics ETH Zurich and Mobiliar Lab for Analytics at ETH
Downloads 688
182.

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 685
183.

Financial Market Liquidity and the Distribution of Prices

Number of pages: 48 Posted: 01 Nov 1999
Working Paper Series
ITG, Inc. and Rice University - Department of Economics
Downloads 684
184.

The Egyptian Stock Market: Efficiency Tests and Volatility Effects

IMF Working Paper No. 99/48
Number of pages: 30 Posted: 12 Feb 2006
Working Paper Series
International Monetary Fund (IMF) and Egyptian Ministry of Foreign Trade
Downloads 684
185.

Predicting Agri-Commodity Prices: An Asset Pricing Approach

Number of pages: 45 Posted: 28 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 682
186.

On Tests of the Conditional Relationship between Beta and Returns

Number of pages: 17 Posted: 23 Oct 2006 Last Revised: 09 May 2011
Working Paper Series
London Business School

Multiple version iconThere are 2 versions of this paper

Downloads 679
187.

Neyman's Smooth Test and its Applications in Econometrics

Number of pages: 55 Posted: 11 Jun 2001
Working Paper Series
LKCSB, SMU and University of Illinois at Urbana-Champaign - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 677
188.

A Case of Empirical Reverse Engineering: Estimation of the Pricing Kernel

Number of pages: 65 Posted: 30 Sep 2000
Working Paper Series
UCLA Anderson
Downloads 675
189.

A New Goodness-of-Fit Test for Event Forecasting and its Application to Credit Default Models

Number of pages: 49 Posted: 20 Feb 2007 Last Revised: 25 Oct 2010
Working Paper Series
University of Applied Sciences Northwestern Switzerland and University of Zurich - Department of Banking and Finance
Downloads 675
190.

Choosing the Best Volatility Models: The Model Confidence Set Approach

Brown University Economics Working Paper No. 03-05; FRB of Atlanta Working Paper No. 2003-28
Number of pages: 26 Posted: 22 May 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 675
191.

Equity Style Timing Using Support Vector Regressions

Number of pages: 22 Posted: 13 Jan 2005
Working Paper Series
ERIM, Erasmus University Rotterdam, Maastricht University and IKAT, Universiteit Maastricht
Downloads 675
192.

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

FEEM Working Paper No. 4.2007
Number of pages: 49 Posted: 31 Jan 2007
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS), Fondazione Eni Enrico Mattei (FEEM), Basque Centre for Climate Change (BC3) and Edison Trading
Downloads 666
193.

Structural Models of Capital Structure: A Framework for Model Evaluation and Testing

AFA 2013 San Diego Meetings Paper
Number of pages: 46 Posted: 19 Mar 2012 Last Revised: 14 Jan 2013
Working Paper Series
University of Southern California - Marshall School of Business and University of Utah - Department of Finance
Downloads 666
194.

Financial Asset Returns, Market Timing, and Volatility Dynamics

Number of pages: 32 Posted: 19 Apr 2002
Working Paper Series
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics
Downloads 665
195.

Factor Risk Parity with Portfolio Weight Constraints

Number of pages: 61 Posted: 08 Jun 2015 Last Revised: 08 Jan 2016
Working Paper Series
BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics
Downloads 662
196.

Riding on the Smiles

Number of pages: 52 Posted: 24 Aug 2010 Last Revised: 09 Feb 2011
Working Paper Series
Auckland University of Technology - Faculty of Business & Law and University of Padova - Department of Mathematics
Downloads 661
197.

Understanding and Predicting the Resolution of Financial Distress

Number of pages: 48 Posted: 23 Jun 2008
Working Paper Series
Hofstra University, Zarb School of Business, Binghamton University - School of Management and Accenture Consulting
Downloads 657
198.

Dynamic Hedging Strategies: An Application to the Crude Oil Market

Number of pages: 45 Posted: 11 Mar 2010
Working Paper Series
University Paris Dauphine and Cerna Mines-Paristech
Downloads 655
199.

Integrated Trend Analysis with Triple Trend Oscillator -- Technical Insights

Market Technicians Association, New York, Technically Speaking, June 2014
Number of pages: 43 Posted: 20 Mar 2015
Working Paper Series
EQTrend Research
Downloads 653
200.

Ultra-Simple Shiller's CAPE: How One Year's Data Can Predict Equity Market Returns Better Than Ten (Presentation Slides)

Number of pages: 37 Posted: 03 Sep 2019 Last Revised: 04 Nov 2019
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and New York University (NYU)
Downloads 653