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JEL Code: C22

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Viewing: 1,551 - 1,600 of 4,738 papers

1551.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 20,617
1552.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 17,812
1553.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 14,778
1554.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - School of Business Administration and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 11,597
1555.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Department of Economics and Business and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 10,128
1556.

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
Number of pages: 49 Posted: 08 May 2008 Last Revised: 19 Jun 2014
Working Paper Series
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Downloads 9,997
1557.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 7,545
1558.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Working Paper Series
European Central Bank (ECB) and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 5,653
1559.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 4,888
1560.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 4,842
1561.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Working Paper Series
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
Downloads 3,403
1562.

Lucky Factors

Number of pages: 74 Posted: 22 Nov 2014 Last Revised: 02 Jun 2017
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 3,233
1563.

Energy Shocks and Financial Markets

Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38 Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales - Australian School of Business and Vanderbilt University - Finance
Downloads 3,101
1564.

LIBOR Manipulation?

Number of pages: 49 Posted: 05 Aug 2008 Last Revised: 11 Aug 2008
Working Paper Series
Global Economics Group, LLC, Providence College, Moody's Investors Service and Milgard School of Business, UWT
Downloads 3,002
1565.

Value at Risk (VaR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 2,943
1566.

Testing Weak-Form Efficiency of the Russian Stock Market

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Mar 2002
Working Paper Series
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Downloads 2,851
1567.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 2,782
1568.

A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 2,772
1569.

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
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,755
1570.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,719
1571.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 2,690
1572.

Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 12 Oct 2009 Last Revised: 18 Dec 2010
Accepted Paper Series
Smurfit Graduate Business School, University College Dublin, University of Technology Sydney (UTS) and Sociovestix Labs - a DFKI spin-off
Downloads 2,671
1573.

Multifractality of Deutschemark / US Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,650
1574.

Principal Component Analysis of Volatility Smiles and Skews

EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex - School of Business, Management and Economics
Downloads 2,600
1575.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 2,580
1576.

Testing the Fama and French Three-Factor Model and Its Variants for the Indian Stock Returns

Number of pages: 35 Posted: 11 Dec 2006
Working Paper Series
affiliation not provided to SSRN
Downloads 2,526
1577.

Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

EFMA 2004 Basel Meetings Paper
Number of pages: 29 Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads 2,500
1578.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Working Paper Series
Duke University - Finance
Downloads 2,480
1579.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999
Working Paper Series
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,454
1580.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
Ca' Foscari University of Venice
Downloads 2,330
1581.

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
Number of pages: 30 Posted: 14 Jul 2005
Accepted Paper Series
ICRA Ltd and Indian Statistical Institute, New Delhi - Economic Research Unit
Downloads 2,249
1582.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Working Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,205
1583.

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Number of pages: 53 Posted: 30 Aug 2006 Last Revised: 02 Sep 2011
Working Paper Series
Imperial College Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,160
1584.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 2,136
1585.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC
Downloads 2,020
1586.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Number of pages: 50 Posted: 13 May 2000
Working Paper Series
Cyprus University of Technology
Downloads 2,011
1587.

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Journal of the Operational Research Society (2015) 66, 1352–1362,
Number of pages: 25 Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,919
1588.

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
Number of pages: 5 Posted: 10 Nov 2008 Last Revised: 16 Jun 2011
Accepted Paper Series
University of Siena - Department of Economics and Universidad de la República
Downloads 1,905
1589.

When Is Time Continuous?

MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Number of pages: 51 Posted: 02 Sep 1998
Working Paper Series
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
Downloads 1,809
1590.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 1,797
1591.

Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology

Number of pages: 40 Posted: 06 Mar 1998
Working Paper Series
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Downloads 1,786
1592.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
Working Paper Series
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
Downloads 1,767
1593.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14
Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 1,750
1594.

Efficient Tests of Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
Number of pages: 56 Posted: 23 Oct 2002 Last Revised: 17 Jun 2009
Accepted Paper Series
Harvard University - Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,720
1595.

Modeling Electricity Prices: International Evidence

EFMA 2002 London Meetings; EFA 2002 Berlin Meetings Presented Paper
Number of pages: 32 Posted: 06 Feb 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,711
1596.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6 Posted: 04 May 2013
Accepted Paper Series
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
Downloads 1,691
1597.

An EViews Program For ARMA Modeling and Forecasting

Number of pages: 2 Posted: 22 Feb 2005
Working Paper Series
University of Tehran and University of Tehran
Downloads 1,671
1598.

Impact of Derivatives on Stock Market

Indian Finance Summit, January 2009
Number of pages: 18 Posted: 12 Nov 2009 Last Revised: 13 Nov 2009
Accepted Paper Series
O.P. Jindal Global University (JGU), Birla Institute of Management Technology (BIMTECH), Deloitte Touche Tohmatsu India and affiliation not provided to SSRN
Downloads 1,657
1599.

Modeling the Price Dynamics of Co2 Emission Allowances

Number of pages: 33 Posted: 19 May 2006 Last Revised: 17 Feb 2014
Working Paper Series
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 1,636
1600.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
Working Paper Series
Saint Louis University - John Cook School of Business, University of Denver - Reiman School of Finance and Washington University in St. Louis - Olin School of Business
Downloads 1,631