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JEL Code: E37

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1.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

Number of pages: 60 Posted: 02 Sep 2012 Last Revised: 10 May 2017
Working Paper Series
Imperial College Business School and Imperial College Business School
Downloads 7,478
2.

Stress-testing Financial Systems: An Overview of Current Methodologies

BIS Working Paper No. 165
Number of pages: 41 Posted: 20 Sep 2007
Working Paper Series
World Bank Group - International Finance Corporation
Downloads 5,183
3.

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 3,531
4.

Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution

Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Number of pages: 104 Posted: 17 Jul 2010 Last Revised: 25 Apr 2011
Accepted Paper Series
USC Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads 2,613
5.

Momentum Investing & Asset Allocation

Number of pages: 22 Posted: 11 Oct 2015 Last Revised: 01 May 2016
Working Paper Series
Berkeley Square Capital Management, LLC
Downloads 1,926
6.

The Historical Simulation Method for Value-at-Risk: A Research Based Evaluation of the Industry Favorite

Number of pages: 22 Posted: 19 Apr 2012 Last Revised: 26 Jul 2013
Working Paper Series
Indian Institute of Management, PGDM
Downloads 1,910
7.

Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?

Number of pages: 43 Posted: 20 Apr 2005 Last Revised: 07 Dec 2014
Working Paper Series
Boston College, Temple University - Department of Accounting and Florida International University

Multiple version iconThere are 2 versions of this paper

Downloads 1,773
8.

Stress Testing Credit Risk: A Survey of Authorities' Approaches

Bank of Italy Occasional Paper No. 37
Number of pages: 24 Posted: 04 May 2009
Working Paper Series
Bank of Italy
Downloads 1,459
9.
Downloads 1,340
10.

The Yield Curve as a Predictor of U.S. Recessions

Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6 Posted: 21 Jul 2007
Working Paper Series
Rensselaer Polytechnic Institute and Columbia Business School - Finance and Economics
Downloads 1,286
11.

Assessing the Risk of Banking Crises – Revisited

BIS Quarterly Review, March 2009
Number of pages: 18 Posted: 25 Jul 2012
Accepted Paper Series
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads 1,279
12.

Systemic Risk and the Refinancing Ratchet Effect

MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62 Posted: 15 Sep 2009 Last Revised: 05 Feb 2012
Working Paper Series
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,270
13.

A Framework for Stress Testing Banks' Credit Risk

The Journal of Risk Model Validation, Vol. 2, No. 1, pp. 3-23, Spring 2008
Number of pages: 21 Posted: 15 Jan 2009 Last Revised: 04 Mar 2009
Accepted Paper Series
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads 1,171
14.

Forecasting Methods (Spanish Version)

Number of pages: 29 Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,150
15.

What's Vol Got to Do With It

AFA 2009 San Francisco Meetings Paper
Number of pages: 63 Posted: 20 Mar 2008 Last Revised: 14 Dec 2011
Working Paper Series
New York University (NYU) - Department of Finance and University of Pennsylvania -- Wharton School of Business
Downloads 1,139
16.

The Yield Curve as a Leading Indicator: Some Practical Issues

Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Number of pages: 8 Posted: 20 Sep 2006
Accepted Paper Series
Rensselaer Polytechnic Institute and Federal Reserve Bank of New York
Downloads 1,133
17.

What Do Accruals Tell Us About Future Cash Flows?

Review of Accounting Studies, Vol. 21, Pages 768-807, 2016
Number of pages: 64 Posted: 14 Mar 2016 Last Revised: 15 Aug 2016
Accepted Paper Series
Stanford University - Graduate School of Business, University of Melbourne - Department of Accounting and Interdisciplinary Center (IDC) Herzliya - Arison School of Business
Downloads 1,113
18.

Trading Volatility Spreads: A Test of Index Option Market Efficiency

Lancaster University Management School, Accounting and Finance Working Paper No. 99/12
Number of pages: 33 Posted: 21 Oct 1999
Working Paper Series
London School of Economics & Political Science (LSE) and University of Manchester - Manchester Business School
Downloads 1,106
19.

Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study

AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 53 Posted: 02 Sep 2009 Last Revised: 16 Dec 2010
Working Paper Series
University of Mannheim - Accounting and Taxation, University of Mannheim - Department of Business Administration and Finance and University of Mannheim Business School
Downloads 1,082
20.

Collective Hallucinations and Inefficient Markets: The British Railway Mania of the 1840s

Number of pages: 322 Posted: 18 Jan 2010
Working Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads 1,006
21.

The Comparative Forecast Performance of Univariate and Multivariate Models

Number of pages: 24 Posted: 16 Dec 1996
Working Paper Series
Florida International University (FIU) - Department of Economics
Downloads 965
22.

The Yield Curve and Predicting Recessions

FEDs Working Paper No. 2006-7
Number of pages: 21 Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads 940
23.

Probabilities of Default for Impairment Under IFRS 9

Number of pages: 6 Posted: 02 Nov 2015
Working Paper Series
Hiram Finance
Downloads 916
24.

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 860
25.

Getting at Systemic Risk Via an Agent-Based Model of the Housing Market

Cowles Foundation Discussion Paper No. 1852
Number of pages: 14 Posted: 11 Mar 2012
Working Paper Series
Yale University - Cowles Foundation, George Mason University - Department of Computational Social Science, Institute for New Economic Thinking, Brown University - Department of Economics, affiliation not provided to SSRN, affiliation not provided to SSRN, George Mason University - Department of Computational Social Science, George Mason University - Department of Computational Social Science and affiliation not provided to SSRN
Downloads 847
26.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 803
27.

Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013

Cowles Foundation Discussion Paper No. 1950
Number of pages: 76 Posted: 11 Jun 2014 Last Revised: 18 Jun 2014
Working Paper Series
Yale University - Department of Economics and Yale University - Cowles Foundation

Multiple version iconThere are 2 versions of this paper

Downloads 797
28.

DSGE Models and Central Banks

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33 Posted: 18 Dec 2010
Accepted Paper Series
International Monetary Fund

Multiple version iconThere are 3 versions of this paper

Downloads 776
29.

Forecasting Commodity Prices: Futures Versus Judgment

IMF Working Paper No. 04/41
Number of pages: 28 Posted: 13 Feb 2006
Working Paper Series
Australian National University - Crawford School of Economics and Government and International Monetary Fund (IMF) - Research Department
Downloads 761
30.

Forecasting U.S. Inflation by Bayesian Model Averaging

FRB International Finance Discussion Paper No. 780
Number of pages: 33 Posted: 22 Nov 2003
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads 714
31.

Forecasting Portfolio Risk in Normal and Stressed Markets

Number of pages: 15 Posted: 28 Nov 2001
Working Paper Series
Pacific Investment Management Company (PIMCO) and California Institute of Technology

Multiple version iconThere are 2 versions of this paper

Downloads 698
32.

Oil and the Macroeconomy Revisited

FEDS Working Paper No. 99-43
Number of pages: 24 Posted: 27 Mar 2000
Working Paper Series
State Street Corporate - Advanced Research Center (ARC)
Downloads 672
33.

Macroeconomic Determinants of Stock Market Volatility and Volatility Risk-Premiums

Swiss Finance Institute Research Paper No. 12-18
Number of pages: 70 Posted: 14 Feb 2012
Working Paper Series
University of Warwick - Department of Economics, Imperial College Business School and Swiss Finance Institute & University of Lugano
Downloads 671
34.

Income Approach and Discount Rates for Valuing Income-Producing Illiquid Assets - Outlines of New Framework: Revisiting the Concepts in Income Approach and Developing the Model of Illiquid Assets Transactional Pricing

Icfai Journal of Applied Finance, December 2007, Proceedings of the Icfai University and the University of Philadelphia V International Conference on Business and Finance, Hyderabad (India), 2006
Number of pages: 38 Posted: 28 Jun 2007 Last Revised: 17 Aug 2015
Accepted Paper Series
Independent, State University of Management and State University of Management
Downloads 652
35.

'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index

FEEM Working Paper No. 31.2010
Number of pages: 58 Posted: 22 Apr 2010
Working Paper Series
Bank of Italy and Bank of Italy
Downloads 649
36.

This Time is Different: An Example of a Giant, Wildly Speculative, and Successful Investment Mania

B.E. Journal of Economic Analysis & Policy, Vol. 10, Issue 1, Article 60, 2010
Number of pages: 23 Posted: 23 Mar 2010 Last Revised: 27 Feb 2012
Accepted Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads 643
37.

Stress Testing Banks' Credit Risk Using Mixture Vector Autoregressive Models

Number of pages: 23 Posted: 15 Jan 2009
Working Paper Series
Hong Kong Monetary Authority and affiliation not provided to SSRN
Downloads 631
38.

Household Debt in the Consumer Age: Source of Growth - Risk of Collapse

Capitalism and Society, Vol. 3, Issue 2, Article 3, 2008
Number of pages: 32 Posted: 07 Aug 2008 Last Revised: 15 Apr 2013
Accepted Paper Series
Federal Reserve Bank of Saint Louis and Washington University in St. Louis
Downloads 620
39.

Implied Volatility Spreads, Skewness and Expected Market Returns

Georgetown McDonough School of Business Research Paper No. 1511970
Number of pages: 34 Posted: 25 Nov 2009 Last Revised: 02 Jul 2016
Working Paper Series
Sabanci University, Georgetown University - Robert Emmett McDonough School of Business and Sabanci University
Downloads 620
40.

Concept and Mathematics of Islamic Financial Engineering

8th International Conference on Islamic Economics and Finance, 20 December 2011, Doha, Qatar
Number of pages: 21 Posted: 06 Aug 2012 Last Revised: 08 Aug 2012
Working Paper Series
Institute of Applied Mathematics, Middle East Technical University and ENAMEC Institute
Downloads 572
41.

Globalization and Catching-up in Emerging Market Economies

Number of pages: 45 Posted: 15 May 2002
Working Paper Series
Kozminski University
Downloads 572
42.

Did Monetary Forces Cause the Great Depression? A Bayesian VAR Analysis for the U.S. Economy

Zurich IEER Working Paper No. 50
Number of pages: 32 Posted: 17 Oct 2000
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Economic History and University of Zurich
Downloads 560
43.

Macro-Prudential Policy and the Conduct of Monetary Policy

Banque de France Working Paper No. 390
Number of pages: 34 Posted: 20 Aug 2012
Working Paper Series
Banque de France, Banque de France and affiliation not provided to SSRN
Downloads 560
44.

Are there any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Working Paper Series
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 543
45.

Forecasting Economic Activity in Germany - How Useful are Sentiment Indicators?

ZEW Discussion Paper No. 02-56
Number of pages: 18 Posted: 06 Nov 2002
Working Paper Series
Organization for Economic Co-Operation and Development (OECD) and Centre for European Economic Research (ZEW) - International Finance and Financial Management
Downloads 525
46.

Investment Forecasting With Multivariate Linear Regression

Number of pages: 15 Posted: 01 Jul 2004 Last Revised: 30 Mar 2010
Working Paper Series
The Boeing Company (Retired)

Multiple version iconThere are 2 versions of this paper

Downloads 524
47.

Forecasting the Price of Oil

Number of pages: 123 Posted: 20 Sep 2011
Working Paper Series
Bank of Canada, University of Michigan at Ann Arbor - Department of Economics and Federal Reserve Board - Trade and Quantitative Studies

Multiple version iconThere are 2 versions of this paper

Downloads 505
48.

Charles Mackay's Own Extraordinary Popular Delusions and the Railway Mania

Number of pages: 48 Posted: 14 Sep 2011 Last Revised: 27 Feb 2012
Working Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads 483
49.

Geography of Firms and Propagation of Local Economic Shocks

Number of pages: 67 Posted: 22 May 2012 Last Revised: 19 Jul 2017
Working Paper Series
University of Miami - School of Business Administration, University of Miami, University of Miami and University of Miami - School of Business Administration
Downloads 468
50.

Google Econometrics and Unemployment Forecasting

DIW Berlin Discussion Paper No. 899
Number of pages: 26 Posted: 02 Sep 2009
Working Paper Series
IZA Institute of Labor Economics and Harvard University

Multiple version iconThere are 3 versions of this paper

Downloads 465