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SSRN eLibrary Search Results
JEL Code: C22
808,730 Total downloads
Showing Papers 1,551 - 1,600 of 4,621
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Incl. Electronic Paper Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay
Gary Antonacci
Portfolio Management Consultants
Date Posted: April 04, 2013
Last Revised: June 13, 2015
Working Paper Series
19422 downloads

Incl. Electronic Paper A Simplified Approach to Understanding the Kalman Filter Technique
Tom Arnold, Mark Bertus and Jonathan M. Godbey
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Date Posted: May 07, 2005
Last Revised: April 17, 2008
Working Paper Series
17511 downloads

Incl. Electronic Paper Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway
Gerald S. Martin and John Puthenpurackal
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Date Posted: September 26, 2005
Last Revised: May 05, 2008
Working Paper Series
14603 downloads

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
11423 downloads

Incl. Electronic Paper Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site
Robert H. Smith School Research Paper No. RHS 06-065
Michael Trusov, Randolph E. Bucklin and Koen H. Pauwels
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Date Posted: May 08, 2008
Last Revised: June 19, 2014
Working Paper Series
9869 downloads

Incl. Electronic Paper SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
Christian T. Brownlees and Robert F. Engle
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: May 18, 2010
Last Revised: August 05, 2016
Working Paper Series
9843 downloads

Incl. Electronic Paper A Multifractal Model of Asset Returns
Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Benoit B. Mandelbrot, Adlai J. Fisher and Laurent E. Calvet
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Date Posted: April 21, 1998
Working Paper Series
7492 downloads

Incl. Electronic Paper Value at Risk Models in Finance
ECB Working Paper No. 75
Simone Manganelli and Robert F. Engle
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Date Posted: February 25, 2003
Working Paper Series
5557 downloads

Incl. Electronic Paper Alpha Generation and Risk Smoothing Using Managed Volatility
Tony Cooper
Double-Digit Numerics
Date Posted: August 24, 2010
Working Paper Series
4638 downloads

Incl. Electronic Paper Momentum and Markowitz: A Golden Combination
Wouter J. Keller, Adam Butler and Ilya Kipnis
Flex Capital BV, ReSolve Asset Management and QuantStrat TradeR
Date Posted: May 16, 2015
Last Revised: June 05, 2015
Working Paper Series
4197 downloads

Incl. Electronic Paper Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chia-Lin Chang, Juan-Angel Jiménez-Martin, Michael McAleer and Teodosio Perez Amaral
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Date Posted: February 21, 2011
Working Paper Series
3391 downloads

Incl. Electronic Paper Energy Shocks and Financial Markets
Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Roger D. Huang, Ronald W. Masulis and Hans R. Stoll
University of Notre Dame, University of New South Wales - Australian School of Business and Vanderbilt University - Finance
Date Posted: May 16, 2006
Accepted Paper Series
2985 downloads

Incl. Electronic Paper LIBOR Manipulation?
Rosa M. Abrantes-Metz, Michael Kraten, Albert D. Metz and Gim Seow
Global Economics Group, LLC, Providence College, Moody's Investors Service and Milgard School of Business, UWT
Date Posted: August 05, 2008
Last Revised: August 11, 2008
Working Paper Series
2948 downloads

Incl. Electronic Paper Value at Risk (VaR) in Real Options Analysis
Giuseppe Alesii
University of L'Aquila - Department of Information Engineering, Computer Science
Date Posted: May 20, 2003
Working Paper Series
2934 downloads

Incl. Electronic Paper Lucky Factors
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Date Posted: November 22, 2014
Last Revised: July 04, 2016
Working Paper Series
2848 downloads

Incl. Electronic Paper Testing Weak-Form Efficiency of the Russian Stock Market
EFA 2002 Berlin Meetings Presented Paper
Natalia Abrosimova, Gishan Dissanaike and Dirk Linowski
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Date Posted: March 11, 2002
Working Paper Series
2806 downloads

Incl. Electronic Paper A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
Brown Univ. Economics Working Paper No. 01-04
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Date Posted: April 13, 2001
Working Paper Series
2753 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
2732 downloads

Incl. Electronic Paper Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Tim Bollerslev, George Tauchen and Hao Zhou
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
Date Posted: September 21, 2006
Last Revised: December 14, 2008
Working Paper Series
2725 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
2713 downloads

Incl. Electronic Paper Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Michael McAleer, Juan-Angel Jiménez-Martin and Teodosio Perez Amaral
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Date Posted: April 30, 2009
Last Revised: January 27, 2010
Working Paper Series
2676 downloads

Incl. Electronic Paper Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries
European Journal of Finance, Forthcoming
Andreas G. F. Hoepner, Hussain Gulzar Rammal and Michael Rezec
University of Reading - ICMA Centre, University of Technology Sydney (UTS) and Sociovestix Labs - a DFKI spin-off
Date Posted: October 12, 2009
Last Revised: December 18, 2010
Accepted Paper Series
2653 downloads

Incl. Electronic Paper Multifractality of Deutschemark / US Dollar Exchange Rates
Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Adlai J. Fisher, Laurent E. Calvet and Benoit B. Mandelbrot
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Date Posted: April 21, 1998
Working Paper Series
2636 downloads

Incl. Electronic Paper Principal Component Analysis of Volatility Smiles and Skews
EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Carol Alexander
University of Sussex - School of Business, Management and Economics
Date Posted: December 08, 2000
Working Paper Series
2578 downloads

Incl. Electronic Paper Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments
EFMA 2004 Basel Meetings Paper
Jean-Francois Bacmann and Gregor Gawron
RMF Investment Management and RMF Investment Products
Date Posted: May 09, 2004
Working Paper Series
2489 downloads

Incl. Electronic Paper Testing the Fama and French Three-Factor Model and Its Variants for the Indian Stock Returns
Bhavna Bahl
affiliation not provided to SSRN
Date Posted: December 11, 2006
Working Paper Series
2466 downloads

Incl. Electronic Paper Testing, Comparing, and Combining Value-at-Risk Measures
Peter Christoffersen, Jinyong Hahn and Atsushi Inoue
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Date Posted: November 16, 1999
Working Paper Series
2444 downloads

Incl. Electronic Paper Glossary to ARCH (GARCH)
CREATES Research Paper 2008-49
Tim Bollerslev
Duke University - Finance
Date Posted: September 04, 2008
Working Paper Series
2395 downloads

Incl. Electronic Paper A Simple Long Memory Model of Realized Volatility

Fulvio Corsi Ca' Foscari University of Venice
Date Posted: December 07, 2004
Working Paper Series
2268 downloads

Incl. Electronic Paper The Impact of FII Regulations in India: A Time-Series Intervention Analysis of Equity Flows
Money & Finance Money & Finance, ICRA Bulletin,Vol. 2, No. 18, pp 54-83, July-December 2004
Suchismita Bose and Dipankor Coondoo
ICRA Ltd and Indian Statistical Institute, New Delhi - Economic Research Unit
Date Posted: July 14, 2005
Accepted Paper Series
2230 downloads

Incl. Electronic Paper Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits
Wouter J. Keller and Jan Willem Keuning
Flex Capital BV and TrendXplorer
Date Posted: April 08, 2016
Last Revised: April 13, 2016
Working Paper Series
2190 downloads

Incl. Electronic Paper On the Estimation of the Global Minimum Variance Portfolio
Alexander Kempf and Christoph Memmel
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Date Posted: April 09, 2003
Working Paper Series
2163 downloads

Incl. Electronic Paper Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions
Robert Kosowski
Imperial College Business School
Date Posted: August 30, 2006
Last Revised: September 02, 2011
Working Paper Series
2122 downloads

Incl. Electronic Paper Realized Variance and Market Microstructure Noise
Peter Reinhard Hansen and Asger Lunde
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Date Posted: February 26, 2004
Working Paper Series
2122 downloads

Incl. Electronic Paper Skewed Generalized Error Distribution of Financial Assets and Option Pricing
Panayiotis Theodossiou
Cyprus University of Technology
Date Posted: May 13, 2000
Working Paper Series
1996 downloads

Incl. Electronic Paper The Contribution of Tourism to Economic Growth: An Empirical Analysis for the Case of Chile
European Journal of Tourism Research, Vol. 2, No. 2, pp. 178-185, 2009
Wiston Adrián Risso and Juan Gabriel Brida
University of Siena - Department of Economics and Universidad de la República
Date Posted: November 10, 2008
Last Revised: June 16, 2011
Accepted Paper Series
1889 downloads

Incl. Electronic Paper When Is Time Continuous?
MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Dimitris Bertsimas, Leonid Kogan and Andrew W. Lo
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: September 02, 1998
Working Paper Series
1803 downloads

Incl. Electronic Paper Risk Everywhere: Modeling and Managing Volatility
Tim Bollerslev, Benjamin Hood, John Huss and Lasse Heje Pedersen
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Date Posted: January 28, 2016
Last Revised: March 22, 2017
Working Paper Series
1795 downloads

Incl. Electronic Paper Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
Emel Kahya and Panayiotis Theodossiou
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Date Posted: March 06, 1998
Working Paper Series
1779 downloads

Incl. Electronic Paper Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Date Posted: February 12, 2008
Last Revised: December 05, 2008
Working Paper Series
1735 downloads

Incl. Electronic Paper Testing the Significance of Calendar Effects
Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Peter Reinhard Hansen, Asger Lunde and James M. Nason
University of North Carolina (UNC) at Chapel Hill - Department of Economics, University of Aarhus - School of Economics and Management and North Carolina State University - Department of Economics
Date Posted: May 26, 2003
Working Paper Series
1721 downloads

Incl. Electronic Paper Efficient Tests of Stock Return Predictability
Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Date Posted: October 23, 2002
Last Revised: June 17, 2009
Accepted Paper Series
1707 downloads

Incl. Electronic Paper Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Eric M. Schwartz, Eric Bradlow and Peter Fader
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Date Posted: June 18, 2012
Last Revised: July 11, 2013
Working Paper Series
1707 downloads

Incl. Electronic Paper Modeling Electricity Prices: International Evidence
EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Álvaro Escribano, Juan Ignacio Peña and Pablo Villaplana
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Date Posted: February 06, 2002
Working Paper Series
1706 downloads

Incl. Electronic Paper An EViews Program For ARMA Modeling and Forecasting
Hossein Abbasi-Nejad and Shapour Mohammadi
University of Tehran and University of Tehran
Date Posted: February 22, 2005
Working Paper Series
1669 downloads

Incl. Electronic Paper Modeling the Price Dynamics of Co2 Emission Allowances
Eva A. Benz and Stefan Trück
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Date Posted: May 19, 2006
Last Revised: February 17, 2014
Working Paper Series
1624 downloads

Incl. Electronic Paper Impact of Derivatives on Stock Market
Indian Finance Summit, January 2009
Ravi Agarwal, Shiva Kumar, Wasif Mukhtar and Hemanth Abar
O.P. Jindal Global University (JGU), Birla Institute of Management Technology (BIMTECH), Deloitte Touche Tohmatsu India and affiliation not provided to SSRN
Date Posted: November 12, 2009
Last Revised: November 13, 2009
Accepted Paper Series
1621 downloads

Incl. Electronic Paper Empirical Evidence on the Relationship Between EVA and Stock Returns in Brazilian Firms
Otavio Ribeiro de Medeiros University of Brasilia
Date Posted: April 20, 2005
Working Paper Series
1600 downloads

Incl. Electronic Paper Quantifying Trading Behavior in Financial Markets Using Google Trends
Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Tobias Preis, Helen Susannah Moat and H. Eugene Stanley
Data Science Lab, Behavioural Science, Warwick Business School, University College London - Department of Civil, Environmental and Geomatic Engineering and Boston University - Center for Polymer Studies
Date Posted: May 04, 2013
Accepted Paper Series
1574 downloads

Incl. Electronic Paper Commodity Futures Markets in India: Riding the Growth Phase
International Conference on Commodity Future: Riding the Growth Phase, January 2008
Alok Kumar Mishra
Evalueserve.com Pvt. Ltd.
Date Posted: February 06, 2008
Working Paper Series
1563 downloads


 

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