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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal

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Viewing: 151 - 200 of 3,868 papers

151.

Latency and Asset Prices

Number of pages: 34 Posted: 09 Jan 2015 Last Revised: 18 Jan 2015
Working Paper Series
University of Cambridge - Finance and BM&F BOVESPA
Downloads 612
152.

Price Response to Factor Index Additions and Deletions

Number of pages: 31 Posted: 03 Oct 2016 Last Revised: 11 Jan 2018
Working Paper Series
Erasmus University - Rotterdam School of Management and Erasmus University Rotterdam (EUR), Rotterdam School of Management (RSM)
Downloads 612
153.

Express Measurement of Market Volatility Using Ergodicity Concept

Number of pages: 14 Posted: 21 Jul 2016 Last Revised: 10 Jun 2018
Working Paper Series
Algostox Trading
Downloads 601
154.

Do the Size, Value, and Momentum Factors Drive Stock Returns in Emerging Markets?

Number of pages: 47 Posted: 04 Feb 2016 Last Revised: 06 Jun 2016
Working Paper Series
Fordham University, Fordham University - Gabelli School of Business and Fordham University - Gabelli School of Business
Downloads 599
155.

The Time Horizon of Price Responses to Quantitative Easing

Number of pages: 47 Posted: 21 Jun 2013 Last Revised: 23 Feb 2018
Working Paper Series
Columbia University - Columbia Business School
Downloads 597
156.

Optimal Trade Execution under Stochastic Volatility and Liquidity

Applied Mathematical Finance, 2014, 21(4), 342--362
Number of pages: 22 Posted: 16 Mar 2013 Last Revised: 02 Sep 2014
Accepted Paper Series
ETH Zurich and Bank of America Merrill Lynch
Downloads 594
157.

News Tone Dispersion and Investor Disagreement

Number of pages: 56 Posted: 21 Dec 2012 Last Revised: 03 Jun 2017
Working Paper Series
Stockholm Business School, Stockholm University and affiliation not provided to SSRN
Downloads 592
158.

Reflecting on the VPIN Dispute

Journal of Financial Markets, Vol. 17, pp. 53-64, 2014
Number of pages: 12 Posted: 05 Aug 2013 Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 592
159.

A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon

Swiss Finance Institute Research Paper No. 16-61
Number of pages: 39 Posted: 21 Oct 2016 Last Revised: 18 Jun 2018
Working Paper Series
East China University of Science and Technology (ECUST), ETH Zürich and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 591
160.

VIX Futures Calendar Spreads

Number of pages: 44 Posted: 16 May 2017
Working Paper Series
Stockholm University and Stockholm University - Stockholm Business School
Downloads 590
161.

Time-Varying Relationship of News Sentiment, Implied Volatility and Stock Returns

Applied Economics, Forthcoming, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 23 Posted: 13 Dec 2012 Last Revised: 16 Mar 2016
Accepted Paper Series
University of Western Australia
Downloads 587
162.

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24
Number of pages: 88 Posted: 10 Apr 2014
Working Paper Series
Federal Reserve Bank of Chicago, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs

Multiple version iconThere are 3 versions of this paper

Downloads 587
163.

The Risk-Return Relationship and Financial Crises

Number of pages: 20 Posted: 07 May 2016
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Swiss Finance Institute and University of California, San Diego (UCSD) - Rady School of Management
Downloads 581
164.

Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash

European Corporate Governance Institute – Finance Working Paper No. 676/2020,
Number of pages: 42 Posted: 24 Apr 2020 Last Revised: 01 Jul 2020
Working Paper Series
Boston College, Carroll School of Management, Haskayne School of Business, University of Calgary, University of Calgary - Haskayne School of Business and University of Exeter Business School
Downloads 578
165.

Market Volatility and Stock Returns: The Role of Liquidity Providers

Number of pages: 58 Posted: 04 Apr 2017 Last Revised: 18 Apr 2018
Working Paper Series
State University of New York at Buffalo - School of Management and Kansas State University - Department of Finance
Downloads 576
166.

The Volatility-of-Volatility Term Structure

Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 80 Posted: 08 Jun 2017 Last Revised: 09 Jan 2018
Working Paper Series
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads 571
167.

The Volatility Generating Effects of Macroeconomic News on Cryptocurrency Returns

Number of pages: 30 Posted: 20 Mar 2018
Working Paper Series
Dublin City University, Institute for Policy Research (IPR), University of Bath, Trinity Business School, Trinity College Dublin, Dublin City University Business School and University of Southampton - Southampton Business School
Downloads 566
168.

Does State Ownership of Banks Matter? Russian Evidence from the Financial Crisis

Journal of Emerging Market Finance Vol 17 (2), pp.1-38
Number of pages: 40 Posted: 01 Oct 2014 Last Revised: 25 Aug 2018
Accepted Paper Series
University of Vaasa - Department of Accounting and Finance
Downloads 563
169.

Social Networks in the Global Banking Sector

Journal of Accounting & Economics (JAE), Forthcoming
Number of pages: 70 Posted: 02 Jul 2013 Last Revised: 08 Oct 2017
Accepted Paper Series
University of Florida - Department of Finance, Insurance and Real Estate, University of Florida - Warrington College of Business Administration and International Monetary Fund (IMF) - Monetary and Capital Markets Department
Downloads 559
170.

Spread, Volatility, and Volume Relationship in Financial Markets and Market Maker's Profit Optimization

Number of pages: 31 Posted: 26 Jun 2016 Last Revised: 18 Jul 2016
Working Paper Series
Algostox Trading
Downloads 559
171.

Volatility-of-Volatility and Tail Risk Hedging Returns

Journal of Financial Markets, Forthcoming
Number of pages: 50 Posted: 22 Mar 2013 Last Revised: 30 Sep 2015
Accepted Paper Series
Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 559
172.

The Impact of the Global Financial Crisis on the Banking Sector of Western Balkans: Cross-Country Comparison Analysis

Journal of Economic and Social Studies, Volume 2, Number 2, July 2012
Number of pages: 20 Posted: 23 Jan 2014
Accepted Paper Series
International University of Sarajevo (IUS), Economic Department
Downloads 557
173.

The Remaking of Wall Street

7 Harvard Business Law Review 315 (2017), Washington University in St. Louis Legal Studies Research Paper No. 17-07-01
Number of pages: 60 Posted: 19 Jul 2017 Last Revised: 03 Oct 2018
Working Paper Series
Washington University in St Louis - School of Law
Downloads 554
174.

Cryptocurrency Reaction to FOMC Announcements: Evidence of Heterogeneity Based on Blockchain Stack Position

Number of pages: 27 Posted: 21 Nov 2017 Last Revised: 05 Nov 2019
Working Paper Series
Dublin City University, Institute for Policy Research (IPR), University of Bath, Trinity Business School, Trinity College Dublin, Dublin City University Business School and University of Southampton - Southampton Business School
Downloads 552
175.

A Model of Shadow Banking: Crises, Central Banks and Regulation

Number of pages: 28 Posted: 26 May 2015
Working Paper Series
Bank of Italy and Credit Suisse
Downloads 549
176.

Collateral Volatility

Number of pages: 28 Posted: 04 May 2013 Last Revised: 04 Jun 2013
Working Paper Series
University College London - Department of Mathematics
Downloads 549
177.

Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500

Cowles Foundation Discussion Paper No. 1914, FIRN Research Paper
Number of pages: 46 Posted: 18 Sep 2013
Working Paper Series
Yale University - Cowles Foundation, Department of Economics, Macquarie University and Singapore Management University

Multiple version iconThere are 2 versions of this paper

Downloads 547
178.

The Extended SSVI Volatility Surface

Number of pages: 20 Posted: 22 May 2017
Working Paper Series
Delft University of Technology and Zeliade Systems
Downloads 546
179.

LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index

Swiss Finance Institute Research Paper No. 16-05
Number of pages: 32 Posted: 05 Feb 2016
Working Paper Series
ETH Zürich, ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), Eastern Mediterranean University, University of Pretoria - Department of Economics, IZA Institute of Labor Economics and Izmir University of Economics
Downloads 545
180.

Time-Varying Crash Risk Embedded in Index Options: The Role of Stock Market Liquidity

Rotman School of Management Working Paper No. 2797308
Number of pages: 71 Posted: 20 Jun 2016 Last Revised: 24 Jul 2018
Working Paper Series
University of Toronto - Rotman School of Management, Bank of Canada, Ryerson University - Ted Rogers School of Management and University of Toronto - Rotman School of Management
Downloads 544
181.

Brexit or Bremain? Evidence from Bubble Analysis

A version of this paper was published in Risk, 23 June 2016, , and in Proceedings of the 1st Workshop on MIning DAta for financial applicationS (MIDAS 2016), September 19-23, 2016, edited by I. Bordino, G. Caldarelli, F. Fumarola, F. Gullo, T. Squartin
Number of pages: 10 Posted: 23 Jun 2016 Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano, Intesa Sanpaolo-Financial and Market Risk Management, Dipartimento di Fisica, Università degli Studi di Milano and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 542
182.

What Constrains Liquidity Provision? Evidence From Institutional Trades

Systemic Risk: Liquidity Risk, Governance and Financial Stability, 2013, Swiss Finance Institute Research Paper No. 13-10, Forthcoming in Review of Finance
Number of pages: 46 Posted: 26 Mar 2013 Last Revised: 30 Jun 2020
Working Paper Series
USI Lugano, USI Lugano and Swiss Finance Institute

Multiple version iconThere are 3 versions of this paper

Downloads 542
183.

Numerical Methods for the Valuation of Accumulators under Local Volatility

Number of pages: 19 Posted: 15 Nov 2012 Last Revised: 28 Jan 2013
Working Paper Series
Calypso Technology
Downloads 540
184.

Trade Credit, the Financial Crisis, and SME Access to Finance

26th Australasian Finance and Banking Conference 2013
Number of pages: 43 Posted: 08 Aug 2013
Working Paper Series
Bangor Business School, University of Granada - Department of Economic Theory and History and Indiana University - Kelley School of Business - Department of Finance
Downloads 538
185.

The Importance of the Volatility Risk Premium for Volatility Forecasting

Journal of Banking and Finance, Vol. 40, 2014
Number of pages: 50 Posted: 21 Mar 2013 Last Revised: 15 Jun 2014
Accepted Paper Series
Leibniz Universität Hannover - Faculty of Economics and Management and University of Liverpool Management School
Downloads 536
186.

Linking Vanillas and VIX Options: A Constrained Martingale Optimal Transport Problem

Number of pages: 21 Posted: 19 Nov 2013 Last Revised: 25 Apr 2015
Working Paper Series
Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees and Natixis - Paris, France
Downloads 531
187.

Effect of Income on Trust: Evidence from the 2009 Crisis in Russia

Number of pages: 71 Posted: 24 Dec 2014 Last Revised: 09 Dec 2016
Working Paper Series
University of Melbourne - Melbourne Institute: Applied Economic & Social Research and Sciences Po

Multiple version iconThere are 2 versions of this paper

Downloads 529
188.

The 4/2 Stochastic Volatility Model

Number of pages: 21 Posted: 14 Nov 2014 Last Revised: 17 Aug 2016
Working Paper Series
University of Padova - Department of Mathematics
Downloads 527
189.

Are Stable Coins Stable?

Notes on the 21st Century (CBRi), 2019
Number of pages: 12 Posted: 12 Feb 2019 Last Revised: 30 Mar 2020
Working Paper Series
UNSW Business School
Downloads 526
190.

Do Investors Care about Presidential Company-Specific Tweets?

Journal of Financial Research, Forthcoming
Number of pages: 47 Posted: 15 Jun 2017 Last Revised: 30 Aug 2018
Working Paper Series
Vassar College - Department of Economics, West Virginia University - College of Business & Economics and Skidmore College - Department of Economics
Downloads 526
191.

Fourier Integration and Stochastic Volatility Calibration

Number of pages: 23 Posted: 04 Dec 2013 Last Revised: 27 Feb 2014
Working Paper Series
Calypso Technology
Downloads 526
192.

Systemic Risk and Stability in Financial Networks

American Economic Review, 105(2): 564-608, 2015, Columbia Business School Research Paper No. 13-4
Number of pages: 50 Posted: 26 Jan 2013 Last Revised: 04 Feb 2015
Accepted Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics, Massachusetts Institute of Technology (MIT) - Department of Electrical Engineering and Computer Science and Northwestern University - Kellogg School of Management

Multiple version iconThere are 4 versions of this paper

Downloads 526
193.

News Implied Volatility and Disaster Concerns

Journal of Financial Economics (JFE), Vol. 123, No. 1, 2017
Number of pages: 63 Posted: 21 Jan 2014 Last Revised: 10 Jan 2017
Accepted Paper Series
Washington University in St. Louis - John M. Olin Business School and University of Rochester - Simon Business School
Downloads 520
194.

Bank Financial Reporting Opacity and Regulatory Intervention

Number of pages: 58 Posted: 14 Sep 2016 Last Revised: 08 May 2020
Working Paper Series
University of Chicago - Booth School of Business
Downloads 518
195.

Forecasting Realised Volatility of Micex Index

Number of pages: 66 Posted: 12 Nov 2014
Working Paper Series
City University London
Downloads 514
196.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Accepted Paper Series
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 514
197.

Local Correlation with Local Vol and Stochastic Vol

Number of pages: 15 Posted: 19 Jun 2014
Working Paper Series
UBS Equities
Downloads 513
198.

A Sticky-Price View of Hoarding

Kilts Center for Marketing at Chicago Booth – Nielsen Dataset Paper Series 1-050,
Number of pages: 47 Posted: 21 Nov 2014 Last Revised: 20 Apr 2020
Working Paper Series
Imperial College Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics, University College London - Department of Economics and New York University (NYU) - Department of Marketing

Multiple version iconThere are 4 versions of this paper

Downloads 511
199.

Asset Price Bubbles: A Selective Survey

IMF Working Paper No. 13/45
Number of pages: 42 Posted: 07 Mar 2013
Working Paper Series
Brandeis University
Downloads 508
200.

Equity Modeling with Stochastic Dividends

Number of pages: 8 Posted: 02 May 2017
Working Paper Series
Societe Generale and Natixis - Paris, France
Downloads 505