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SSRN eLibrary Search Results
JEL Code: C14
433,387 Total downloads
Showing Papers 1 - 50 of 3,151
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Incl. Electronic Paper The Dow Theory: William Peter Hamilton's Track Record Re-Considered
Stephen J. Brown, Alok Kumar and William N. Goetzmann
New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance
Date Posted: February 11, 1998
Working Paper Series
11465 downloads

Incl. Electronic Paper Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers
IGIER Working Paper No. 552
Joshua Benjamin Miller and Adam Sanjurjo
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Date Posted: July 07, 2015
Last Revised: November 16, 2016
Working Paper Series
10919 downloads

Incl. Electronic Paper Mutual Fund Performance
Dirk Nitzsche, Keith Cuthbertson and Niall O'Sullivan
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Date Posted: January 19, 2007
Working Paper Series
6250 downloads

Incl. Electronic Paper Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach
Rapport Interne CMAP Working Paper No. 490
Rama Cont and Peter Tankov
Imperial College London and Ecole Polytechnique, Paris
Date Posted: November 22, 2002
Working Paper Series
3722 downloads

Incl. Electronic Paper The Omega Measure: Hedge Fund Portfolio Optimization
Alexandre Favre-Bulle and Sebastien Pache
University of Lausanne and Universite de Lausanne
Date Posted: February 05, 2003
Working Paper Series
3397 downloads

Incl. Electronic Paper The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee
Marco Moscadelli
Bank of Italy - Banking and Finance Supervision Department
Date Posted: July 30, 2004
Working Paper Series
3336 downloads

Incl. Electronic Paper Conditional Value-at-Risk: Aspects of Modeling and Estimation
MIT Dept. of Economics Working Paper No. 01-19
Victor Chernozhukov and Len Umantsev
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Date Posted: June 07, 2001
Working Paper Series
2955 downloads

Incl. Electronic Paper The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Bates College
Date Posted: November 08, 2005
Working Paper Series
2750 downloads

Incl. Electronic Paper The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk
Matthew P. Richardson, Jacob Boudoukh and Robert Whitelaw
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University
Date Posted: January 07, 1998
Working Paper Series
2740 downloads

Incl. Electronic Paper A New Look at Minimum Variance Investing
Bernd Scherer
EDHEC Business School - Department of Economics & Finance
Date Posted: September 24, 2010
Working Paper Series
2739 downloads

Incl. Electronic Paper Large Deviations and the Distribution of Price Changes
Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Laurent E. Calvet, Adlai J. Fisher and Benoit B. Mandelbrot
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Date Posted: April 22, 1998
Working Paper Series
2716 downloads

Incl. Electronic Paper Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review
Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Jens Carsten Jackwerth
University of Konstanz - Department of Economics
Date Posted: October 21, 1999
Last Revised: November 20, 2008
Accepted Paper Series
2708 downloads

Incl. Electronic Paper Event Studies: A Methodology Review
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Date Posted: August 02, 2009
Last Revised: August 20, 2010
Working Paper Series
2698 downloads

Incl. Electronic Paper Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?
Journal of Financial Services Research, Forthcoming
Tor Jacobson, Jesper Lindé and Kasper Roszbach
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Sveriges Riksbank (Bank of Sweden)
Date Posted: February 18, 2004
Accepted Paper Series
2332 downloads

Incl. Electronic Paper A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Mikhail Chernov, A. Ronald Gallant, Eric Ghysels and George Tauchen
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Date Posted: November 07, 1999
Working Paper Series
2284 downloads

Incl. Electronic Paper Development and Validation of Credit Scoring Models
Journal of Credit Risk, Forthcoming
Dennis Glennon, Nicholas M. Kiefer, C. Erik Larson and Hwan-sik Choi
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Date Posted: July 30, 2008
Accepted Paper Series
1969 downloads

Incl. Electronic Paper Recovering Risk-Neutral Densities: A New Nonparametric Approach
EFA 2000
Oleg Bondarenko
University of Illinois at Chicago - Department of Finance
Date Posted: October 19, 2000
Working Paper Series
1917 downloads

Incl. Electronic Paper The Real Effects of Financial Markets: The Impact of Prices on Takeovers
Journal of Finance 67(3), 933-971, June 2012
Alex Edmans, Itay Goldstein and Wei Jiang
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics
Date Posted: March 19, 2008
Last Revised: June 04, 2014
Accepted Paper Series
1834 downloads

Incl. Electronic Paper The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach
Pedro Pires, João Pedro Pereira and Luis F. Martins
Nova School of Business and Economics, Nova School of Business and Economics and Pennsylvania State University - Department of Economics
Date Posted: April 29, 2008
Last Revised: January 31, 2010
Working Paper Series
1809 downloads

Incl. Electronic Paper Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms
FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Benjamin Yi-Bin Zhang, Hao Zhou and Haibin Zhu
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Date Posted: September 20, 2007
Last Revised: October 18, 2013
Working Paper Series
1794 downloads

Incl. Electronic Paper Asset Allocation and Long-Term Returns: An Empirical Approach
Stephen Coggeshall and Guowei Wu
Morgan Stanley and Morgan Stanley
Date Posted: January 02, 2006
Working Paper Series
1752 downloads

Incl. Electronic Paper How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice
Jens Hainmueller, Jonathan Mummolo and Yiqing Xu
Stanford University - Department of Political Science, Stanford University, Department of Political Science, Students and University of California, San Diego
Date Posted: February 29, 2016
Last Revised: February 13, 2017
Working Paper Series
1687 downloads

Incl. Electronic Paper Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions
Chen Zhou
De Nederlandsche Bank
Date Posted: February 04, 2010
Working Paper Series
1549 downloads

Incl. Electronic Paper Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis
International Journal of Operations Research, Forthcoming
Biresh K. Sahoo, Jati Sengupta and Anandadeep Mandal
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Date Posted: January 12, 2007
Accepted Paper Series
1548 downloads

Incl. Electronic Paper Analysis of Financial Time-Series Using Fourier and Wavelet Methods
Philippe Masset
Ecole hôtelière de Lausanne
Date Posted: October 27, 2008
Working Paper Series
1531 downloads

Incl. Electronic Paper Riding Bubbles
Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Nadja Guenster, Erik Kole and Ben Jacobsen
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society
Date Posted: March 17, 2008
Last Revised: March 18, 2010
Working Paper Series
1526 downloads

Incl. Electronic Paper Economic Characteristics, Corporate Governance, and the Influence of Compensation Consultants on Executive Pay Levels
Rock Center for Corporate Governance Working Paper No. 15, Review of Accounting Studies, Vol. 17, No. 2, June 2012
Chris Armstrong, Christopher D. Ittner and David F. Larcker
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and Stanford University - Graduate School of Business
Date Posted: June 15, 2008
Last Revised: September 12, 2013
Accepted Paper Series
1518 downloads

Incl. Electronic Paper Better Investing Through Factors, Regimes and Sensitivity Analysis
Cristian Homescu
Independent
Date Posted: January 30, 2015
Working Paper Series
1468 downloads

Incl. Electronic Paper Robust Standard Error Estimation in Fixed-Effects Panel Models

Gabor Kezdi
Central European University (CEU) - Department of Economics
Date Posted: September 30, 2004
Working Paper Series
1468 downloads

Incl. Electronic Paper Bank Relationships: A Review
David C. Smith and Steven Ongena
University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance
Date Posted: December 11, 1998
Working Paper Series
1441 downloads

Incl. Electronic Paper A Survey of the Literature on Hedge Fund Performance
Walter Géhin
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Date Posted: December 04, 2004
Working Paper Series
1419 downloads

Incl. Electronic Paper Robust and Practical Estimation for Measures of Tail Risk
Cristian Homescu
Independent
Date Posted: June 02, 2014
Working Paper Series
1389 downloads

Incl. Electronic Paper Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation
João Fernandes
Banco BPI
Date Posted: May 17, 2005
Working Paper Series
1349 downloads

Incl. Electronic Paper Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Gilles O. Zumbach and Ulrich A. Müller
Independent and Olsen & Associates
Date Posted: March 21, 2000
Working Paper Series
1329 downloads

Incl. Electronic Paper Estimating Probabilities of Default for Low Default Portfolios
Dirk Tasche and Katja Pluto
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Date Posted: December 27, 2004
Working Paper Series
1310 downloads

Incl. Electronic Paper Many Risks, One (Optimal) Portfolio
Cristian Homescu
Independent
Date Posted: July 30, 2014
Working Paper Series
1295 downloads

Incl. Electronic Paper Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches
African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584 ,
Mehmet Hasan Eken and Süleyman Kale
Istanbul Commerce University and Kırklareli University
Date Posted: April 26, 2013
Accepted Paper Series
1284 downloads

Incl. Electronic Paper A Study on the Association between Brand Awareness and Consumer/Brand Loyalty for the Packaged Milk Industry in Pakistan
South Asian Journal of Management Sciences (SAJMS), Vol.5, No.1.
Amber Osman and M.I. Subhani
Office of Research, Innovation & Commercialization - ORIC and Iqra University Research Centre - IURC
Date Posted: October 22, 2010
Last Revised: February 17, 2011
Accepted Paper Series
1277 downloads

Incl. Electronic Paper A Cold Shower for the Hot Hand Fallacy
IGIER Working Paper No. 518
Joshua Benjamin Miller and Adam Sanjurjo
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Date Posted: June 15, 2014
Last Revised: July 07, 2015
Working Paper Series
1246 downloads

Incl. Electronic Paper Accounting for Biases in Black-Scholes
David K. Backus, Silverio Foresi and Liuren Wu
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Date Posted: September 03, 2004
Working Paper Series
1200 downloads

Incl. Electronic Paper Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data
Centre for Research in Financial Services Working Paper No. 99-01
Cornelis A. Los
Alliant International University - California School of Management and Leadership
Date Posted: February 11, 1999
Working Paper Series
1166 downloads

Incl. Electronic Paper Testing and Detecting Jumps Based on a Discretely Observed Process
Yingying Fan and Jianqing Fan
University of Southern California - Marshall school of Business and Princeton University - Bendheim Center for Finance
Date Posted: January 06, 2009
Working Paper Series
1147 downloads

Incl. Electronic Paper Improving the Comparability of Insolvency Predictions (Verbesserung der Vergleichbarkeit von Schaetzgueteergebnissen von Insolvenzprognosestudien) (German version)
Dresden Economics Discussion Paper Series No. 08/05
Martin Bemmann
affiliation not provided to SSRN
Date Posted: June 08, 2005
Working Paper Series
1145 downloads

Incl. Electronic Paper Total Factor Productivity Estimation: A Practical Review
LICOS Discussion Paper No. 182/2007
Ilke Van Beveren
KULeuven, Department of Economics
Date Posted: August 02, 2007
Last Revised: February 16, 2009
Working Paper Series
1127 downloads

Incl. Electronic Paper Extremal Quantiles and Value-at-Risk
MIT Department of Economics Working Paper No. 07-01
Victor Chernozhukov and Songzi Du
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Date Posted: January 12, 2007
Working Paper Series
1122 downloads

Incl. Electronic Paper Nonparametric Estimation of Copulas for Time Series
FAME Research Paper No. 57
O. Scaillet and Jean-David Fermanian
University of Geneva GSEM and GFRI and Ensae-Crest
Date Posted: March 12, 2003
Working Paper Series
1109 downloads

Incl. Electronic Paper A Comparison of Extreme Value Theory Approaches for Determining Value at Risk
Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Chris Brooks, Andrew Clare, John W. Dalle Molle and Gita Persand
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
Date Posted: December 05, 2004
Accepted Paper Series
1093 downloads

Incl. Electronic Paper Filtered Market Statistics and Technical Trading Rules
Z. George Yang
Flexible Plan Investments, Ltd.
Date Posted: May 05, 2013
Working Paper Series
1084 downloads

Incl. Electronic Paper Robust Value at Risk Prediction
Swiss Finance Institute Research Paper No. 07-31
Loriano Mancini and Fabio Trojani
Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Date Posted: August 17, 2005
Last Revised: September 13, 2010
Working Paper Series
1084 downloads

Incl. Electronic Paper Basic Concepts in Statistics (Spanish Version)
Ignacio Velez-Pareja
Grupo Consultor CAV Capital Advisory & Valuation
Date Posted: February 23, 2006
Working Paper Series
1083 downloads


 

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