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JEL Code: E47

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Viewing: 1 - 50 of 584 papers

1.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,118
2.

High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds

Number of pages: 27 Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads 5,981
3.

A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes

Number of pages: 21 Posted: 28 May 2008 Last Revised: 02 Nov 2008
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 5,251
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 2,626
5.

The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective

Bank of England Working Paper No. 339
Number of pages: 40 Posted: 02 Mar 2007
Working Paper Series
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads 2,397
6.

Forecasting Financial Statements with No Plugs and No Circularity

The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, 2011
Number of pages: 34 Posted: 21 Nov 2007 Last Revised: 23 May 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation

Multiple version iconThere are 2 versions of this paper

Downloads 2,387
7.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Working Paper Series
Imperial College London
Downloads 2,215
8.

VIX Futures and Options - A Case Study of Portfolio Diversification during the 2008 Financial Crisis

Number of pages: 41 Posted: 18 May 2009 Last Revised: 10 Sep 2009
Working Paper Series
Providence College
Downloads 1,722
9.

Constructing Consistent Financial Planning Models for Valuation

IIMS Journal of Management of Science, Vol. 1, January-June 2010 (Inaugural Issue)
Number of pages: 29 Posted: 19 Aug 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,346
10.

To Plug or Not to Plug, That is the Question: No Plugs, No Circularity: A Better Way to Forecast Financial Statements (Proyección de Estados Financieros sin Cuentas de Cuadre (Plugs))

Escritos Contables, Vol 1, No. 1, 2010, Bahía Blanca, Argentina,
Number of pages: 43 Posted: 07 Aug 2008 Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,327
11.

Home Away from Home? Foreign Demand and London House Prices

Number of pages: 75 Posted: 12 Nov 2013 Last Revised: 29 Nov 2016
Working Paper Series
National University of Singapore (NUS) and Imperial College London
Downloads 1,282
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 1,272
13.

An Evaluation of the Base Correlation Framework for Synthetic CDOs

Number of pages: 25 Posted: 31 Dec 2004
Working Paper Series
affiliation not provided to SSRN
Downloads 1,173
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.

Measuring the Reaction of Monetary Policy to the Stock Market

FEDS Working Paper No. 2001-14
Number of pages: 32 Posted: 11 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

Multiple version iconThere are 2 versions of this paper

Downloads 1,085
16.

An Analysis of Bitcoin Exchange Rates

Number of pages: 28 Posted: 10 Sep 2014 Last Revised: 04 May 2016
Working Paper Series
University of Houston, College of Liberal Arts & Social Sciences, Department of Economics, Students
Downloads 1,022
17.

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
18.

Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?

EFA 2009 Bergen Meetings Paper
Number of pages: 183 Posted: 22 Nov 2006 Last Revised: 03 Feb 2013
Working Paper Series
University of Queensland - Business School
Downloads 962
19.

An Introduction to the Cost of Capital

Number of pages: 27 Posted: 22 Mar 2010 Last Revised: 12 Dec 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Duke University - Duke Center for International Development in the Sanford School of Public Policy

Multiple version iconThere are 2 versions of this paper

Downloads 960
20.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
Geneva School of Economics and Management (GSEM), NORD/LB and Independent
Downloads 884
21.

Estimating Cash Flows for Project Appraisal and Firm Valuation

Number of pages: 37 Posted: 23 Feb 2010 Last Revised: 19 Apr 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Duke University - Duke Center for International Development in the Sanford School of Public Policy

Multiple version iconThere are 2 versions of this paper

Downloads 862
22.

A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives

Number of pages: 265 Posted: 25 Jun 2007
Working Paper Series
Accenture Consulting
Downloads 844
23.

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Number of pages: 52 Posted: 04 Mar 2007 Last Revised: 04 May 2010
Working Paper Series
Board of Governors of the Federal Reserve System, Free University of Bolzano and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 778
24.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 777
25.

Taylor’s Rule versus Taylor Rules

Number of pages: 27 Posted: 02 May 2011 Last Revised: 24 Sep 2012
Working Paper Series
Lehigh University - Department of Economics and University of Houston - Department of Economics
Downloads 768
26.

Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital)

Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012,
Number of pages: 33 Posted: 02 Feb 2012 Last Revised: 17 Sep 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Duke University - Duke Center for International Development in the Sanford School of Public Policy

Multiple version iconThere are 2 versions of this paper

Downloads 731
27.

What Factors Give Cryptocurrencies Their Value: An Empirical Analysis

Number of pages: 6 Posted: 18 Mar 2015 Last Revised: 04 Jan 2016
Working Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads 705
28.

Credit Spreads and Real Activity

EFA 2008 Athens Meetings Paper
Number of pages: 72 Posted: 24 Mar 2008 Last Revised: 15 Mar 2011
Working Paper Series
Warwick Business School
Downloads 670
29.

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

PIER Working Paper No. 06-017
Number of pages: 44 Posted: 21 Jun 2006
Working Paper Series
University of Pennsylvania - Department of Economics, University of Pennsylvania - Department of Economics and University of California, Riverside (UCR) - A. Gary Anderson Graduate School of Management
Downloads 616
30.

Use of Inflation as the Basis to Estimate Nominal Increases in Prices

Working Paper No. 15
Number of pages: 24 Posted: 12 Aug 2002
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 612
31.

Developing a Practical Yield Curve Model: An Odyssey

Number of pages: 29 Posted: 07 Aug 2013
Working Paper Series
University of Cambridge - Centre for Financial Research, eValue FE and University of Cambridge - Centre for Financial Research
Downloads 597
32.

The Impact of Monetary Policy on Asset Prices

FEDS Working Paper No. 2002-04
Number of pages: 34 Posted: 31 Jan 2002
Working Paper Series
Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 593
33.

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 562
34.

Simple Robust Hedging with Nearby Contracts

Number of pages: 54 Posted: 02 Nov 2010
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and University of Utah

Multiple version iconThere are 2 versions of this paper

Downloads 559
35.

Cryptocurrency Value Formation: An Empirical Analysis Leading to a Cost of Production Model for Valuing Bitcoin

Telematics and Informatics, Forthcoming
Number of pages: 21 Posted: 22 Aug 2015 Last Revised: 12 May 2016
Accepted Paper Series
University of Wisconsin - Madison - Department of Sociology
Downloads 531
36.

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
37.

Do Speculative Stocks Lower Prices and Increase Volatility of Value Stocks?

The Journal of Psychology & Financial Markets, Vol. 3, 2002
Number of pages: 36 Posted: 07 Jun 2002
Accepted Paper Series
University of Pittsburgh - Department of Mathematics, The Institute of Behavioral Finance, Chapman University - Department of Business and Economics and Chapman University - Economic Science Institute
Downloads 487
38.

Housing Market Spillovers: Evidence from an Estimated DSGE Model

Bank of Italy Temi di Discussione (Working Paper) No. 659
Number of pages: 70 Posted: 16 Mar 2008
Working Paper Series
Bank of Italy and Federal Reserve Board - Trade and Financial Studies

Multiple version iconThere are 2 versions of this paper

Downloads 487
39.

Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

AFA 2007 Chicago Meetings Paper
Number of pages: 39 Posted: 10 Mar 2006
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area, New York University, Leonard N. Stern School of Business and Stanford University - Graduate School of Business
Downloads 477
40.

Practical Model-Based Monetary Policy Analysis: A How-To Guide

IMF Working Paper No. 06/81
Number of pages: 69 Posted: 17 May 2006
Working Paper Series
International Monetary Fund (IMF) - Developing Country Studies Division, International Monetary Fund (IMF) and International Monetary Fund (IMF) - Research Department
Downloads 472
41.

A Practical Model-Based Approach to Monetary Policy Analysis - Overview

IMF Working Paper No. 06/80
Number of pages: 45 Posted: 17 May 2006
Working Paper Series
International Monetary Fund (IMF) - Developing Country Studies Division, International Monetary Fund (IMF) and International Monetary Fund (IMF) - Research Department
Downloads 470
42.

A Leading Indicator Model of Banking Distress - Developing an Early Warning System for Hong Hong and Other EMEAP Economies

Hong Kong Monetary Authority Working Paper No. 22/2007
Number of pages: 46 Posted: 27 Dec 2007
Working Paper Series
Hong Kong Monetary Authority, Hong Kong Monetary Authority - Research Department and Hong Kong Monetary Authority - Research Department
Downloads 462
43.

You Pay a Fee for Strong Beliefs: Homogeneity as a Driver of Corporate Governance Failure

Number of pages: 46 Posted: 23 Nov 2008 Last Revised: 27 Nov 2008
Working Paper Series
University of Zurich - Institute for Organization and Administrative Science and University of Basel
Downloads 455
44.

Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask

Applied Econometrics, Forthcoming
Number of pages: 49 Posted: 14 Jun 2016
Accepted Paper Series
Moscow School of Economics, Moscow State University, Bocconi University, Perm State University and Perm State University
Downloads 447
45.

Inflation Targeting in India: Issues and Prospects

ASARC Working Paper No. 2005/04
Number of pages: 50 Posted: 16 Dec 2005
Working Paper Series
Australian National University (ANU) - Australia South Asia Research Centre (ASARC)
Downloads 446
47.

The Performance Evaluation of Hedge Funds: A Comparison of Different Approaches Using European Data

Number of pages: 18 Posted: 15 Jul 2005
Working Paper Series
University of Rome, Tor Vergata - Faculty of Economics and University of Rome Tor Vergata - Department of Management and Law
Downloads 432
48.

Estimating Yield Curves In Turkey: Factor Analysis Approach

Bogazici University ISS/EC-2004-04
Number of pages: 20 Posted: 22 Aug 2004
Working Paper Series
International Monetary Fund (IMF), Independent and International Monetary Fund (IMF)
Downloads 423
49.

A Teaching Note on Price-Demand Elasticity (Nota sobre la elasticidad precio-demanda)

Number of pages: 10 Posted: 23 Jul 2007
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 417
50.

Exploring the International Linkages of the Euro Area: A Global VAR Analysis

CESifo Working Paper Series No. 1425, ECB Working Paper No. 568, IEPR Working Paper No. 04.6
Number of pages: 68 Posted: 19 Jan 2005
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB), USC Dornsife Institute for New Economic Thinking and University of York
Downloads 406