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JEL Code: E4

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Viewing: 161 - 210 of 11,883 papers

161.

What Happened to the Quants in August 2007?

Number of pages: 67 Posted: 21 Sep 2007 Last Revised: 17 Jan 2008
Working Paper Series
Massachusetts Institute of Technology (MIT) and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 14,497
162.

Institutional Investors and Stock Market Volatility

MIT Department of Economics Working Paper No. 03-30
Number of pages: 51 Posted: 11 Sep 2003 Last Revised: 01 Jun 2010
Accepted Paper Series
Harvard University - Department of Economics, Boston University - Center for Polymer Studies, Boston University - Center for Polymer Studies and Boston University - Center for Polymer Studies

Multiple version iconThere are 2 versions of this paper

Downloads 9,939
163.

An Alternative Three-Factor Model

Number of pages: 32 Posted: 19 May 2010 Last Revised: 21 Jan 2014
Working Paper Series
Cheung Kong Graduate School of Business, Simon Business School, University of Rochester and Ohio State University - Fisher College of Business
Downloads 9,884
164.

Pseudo-Mathematics and Financial Charlatanism: The Effects of Backtest Overfitting on Out-of-Sample Performance

Notices of the American Mathematical Society, 61(5), May 2014, pp.458-471
Number of pages: 14 Posted: 12 Aug 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University
Downloads 9,365
165.

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
166.

The Tactical and Strategic Value of Commodity Futures

Number of pages: 61 Posted: 03 Feb 2005
Working Paper Series
TR and Duke University - Fuqua School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 8,964
167.

Everything You Always Wanted to Know About Multiple Interest Rate Curve Bootstrapping but Were Afraid to Ask

Number of pages: 82 Posted: 18 Feb 2013 Last Revised: 03 Apr 2013
Working Paper Series
Milan Bicocca University - Department of Statistics and Quantitative Methods and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 8,004
168.

Black Money and Demonetisation

Number of pages: 24 Posted: 14 Nov 2016
Working Paper Series
University of Mumbai
Downloads 7,612
169.

Two Curves, One Price: Pricing & Hedging Interest Rate Derivatives Decoupling Forwarding and Discounting Yield Curves

Number of pages: 29 Posted: 29 Jan 2009 Last Revised: 22 Jun 2016
Working Paper Series
Intesa Sanpaolo - Financial and Market Risk Management

Multiple version iconThere are 2 versions of this paper

Downloads 7,371
170.

The Probability of Backtest Overfitting

Journal of Computational Finance (Risk Journals), 2015, Forthcoming
Number of pages: 34 Posted: 16 Sep 2013 Last Revised: 05 Jul 2015
Accepted Paper Series
Lawrence Berkeley National Laboratory, University of Newcastle (Australia), Guggenheim Partners, LLC and Western Michigan University

Multiple version iconThere are 2 versions of this paper

Downloads 7,236
171.

The Norway Model

Journal of Portfolio Management, Vol. 38, No. 2, 2012, pages 67–81,
Number of pages: 17 Posted: 04 Oct 2011 Last Revised: 20 Mar 2016
Accepted Paper Series
University of Cambridge - Judge Business School, Department of Finance & Accounting, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 6,906
172.

Secret Liens and the Financial Crisis of 2008

American Bankruptcy Law Journal, Vol. 83, p. 253, 2009
Number of pages: 44 Posted: 05 Jan 2009 Last Revised: 16 Oct 2009
Accepted Paper Series
USC Gould School of Law
Downloads 6,377
173.

Macroeconomic Factors and the Correlation of Stock and Bond Returns

Yale ICF Working Paper No. 02-46; AFA 2004 San Diego Meetings
Number of pages: 53 Posted: 23 Nov 2003
Working Paper Series
Capula Investment Services
Downloads 6,364
174.

Interest Rates and The Credit Crunch: New Formulas and Market Models

Bloomberg Portfolio Research Paper No. 2010-01-FRONTIERS
Number of pages: 39 Posted: 24 Jan 2009 Last Revised: 11 May 2010
Accepted Paper Series
Bloomberg L.P.
Downloads 6,278
175.

Special Purpose Vehicles and Securitization

FRB Philadelphia Working Paper No. 05-21
Number of pages: 63 Posted: 04 May 2005 Last Revised: 13 Dec 2011
Working Paper Series
Yale School of Management and University of Pennsylvania - Finance Department

Multiple version iconThere are 2 versions of this paper

Downloads 6,157
176.

Measuring Loss Potential of Hedge Fund Strategies

Journal of Alternative Investments, Vol. 7, No. 1, pp. 7-31, Summer 2004
Number of pages: 25 Posted: 04 Jan 2005
Accepted Paper Series
Guggenheim Partners, LLC and UBS Wealth Managment Research
Downloads 6,103
177.

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
178.

The Crisis: Basic Mechanisms, and Appropriate Policies

MIT Department of Economics Working Paper No. 09-01
Number of pages: 34 Posted: 10 Jan 2009 Last Revised: 15 Jan 2009
Working Paper Series
National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Downloads 5,766
179.

The Financial Market Impact of Quantitative Easing

Bank of England Working Paper No. 393
Number of pages: 44 Posted: 12 Jul 2010 Last Revised: 15 Jul 2015
Working Paper Series
Bank of England - Monetary Analysis, Bank of England, Bank of England and Bank of England
Downloads 5,568
180.

A Simple Approach to the Pricing of Bermudan Swaptions in the Multi-Factor Libor Market Model

Number of pages: 26 Posted: 07 Apr 1999
Working Paper Series
Bank of America Merrill Lynch
Downloads 5,551
181.

The 7 Reasons Most Machine Learning Funds Fail (Presentation Slides)

Number of pages: 45 Posted: 06 Sep 2017
Working Paper Series
Guggenheim Partners, LLC
Downloads 5,530
182.

Synthetic Commodity Money

Number of pages: 29 Posted: 06 Feb 2012 Last Revised: 21 Apr 2013
Working Paper Series
The Cato Institute
Downloads 5,456
183.

Systemic Risk: A Survey

ECB Working Paper No. 35
Number of pages: 79 Posted: 13 Mar 2001
Working Paper Series
Banque de France - Economic Study and Research Division and European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Downloads 5,395
184.

Valuation of Exotic Interest Rate Derivatives - Bermudans and Range Accruals

Number of pages: 75 Posted: 27 Dec 2007
Working Paper Series
Bloomberg L.P.
Downloads 5,384
185.

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
186.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Working Paper Series
Independent and Deutsche Bank AG (London)
Downloads 5,221
187.

Equity Premia Around the World

Number of pages: 19 Posted: 08 Oct 2011 Last Revised: 19 Mar 2016
Working Paper Series
University of Cambridge - Judge Business School, London Business School - Institute of Finance and Accounting and London Business School - Institute of Finance and Accounting
Downloads 5,192
188.

The Dark Side of Universal Banking: Financial Conglomerates and the Origins of the Subprime Financial Crisis

Connecticut Law Review, Vol. 41, No. 4, 2009, GWU Law School Public Law Research Paper No. 468, GWU Legal Studies Research Paper No. 468
Number of pages: 89 Posted: 13 May 2009
Accepted Paper Series
George Washington University Law School
Downloads 5,161
189.

E-Banking Practices and Customer Satisfaction - A Case Study in Botswana

20th Australasian Finance & Banking Conference 2007 Paper
Number of pages: 15 Posted: 04 Sep 2007
Working Paper Series
University of Leeds
Downloads 5,128
190.

Demography and the Long-Run Predictability of the Stock Market

USC CLEO Research Paper No. C02-21; Cowles Foundation Discussion Paper No. 1380
Number of pages: 33 Posted: 24 Sep 2002
Working Paper Series
Yale University - Cowles Foundation, University of Southern California - Department of Economics and University of California, Davis - Department of Economics
Downloads 5,110
191.

Building Diversified Portfolios that Outperform Out-of-Sample

Journal of Portfolio Management, 2016, Forthcoming
Number of pages: 31 Posted: 28 Dec 2015 Last Revised: 24 May 2016
Accepted Paper Series
Guggenheim Partners, LLC
Downloads 4,805
192.

Interest Rate Targeting and the Dynamics of Short-Term Rates

Number of pages: 30 Posted: 01 Feb 1997
Working Paper Series
Boston College - Carroll School of Management, Centre for Economic Policy Research (CEPR), Goldman Sachs Group, Inc. - Quantitative Strategy Group and World Bank

Multiple version iconThere are 4 versions of this paper

Downloads 4,393
193.

Understanding the Fed Model, Capital Structure, and Then Some

Number of pages: 25 Posted: 24 Apr 2011 Last Revised: 15 Aug 2012
Working Paper Series
affiliation not provided to SSRN
Downloads 4,209
194.

Volatility Skews and Extensions of the Libor Market Model

Number of pages: 39 Posted: 04 Sep 1998
Working Paper Series
Bank of America Merrill Lynch and Danske Bank - Danske Markets
Downloads 4,174
195.

Does the Fed Control Interest Rates?

The Review of Asset Pricing Studies, Forthcoming, Chicago Booth Research Paper No. 12-23, Fama-Miller Working Paper
Number of pages: 31 Posted: 05 Aug 2012 Last Revised: 02 Jul 2013
Accepted Paper Series
University of Chicago - Finance
Downloads 4,127
196.

What Explains the 2007-2009 Drop in Employment?

Fama-Miller Working Paper , Chicago Booth Research Paper No. 13-43
Number of pages: 51 Posted: 17 Nov 2011 Last Revised: 01 Mar 2014
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 4,122
197.

Sharpening the Arithmetic of Active Management

Financial Analysts Journal, Forthcoming
Number of pages: 23 Posted: 07 Oct 2016 Last Revised: 09 Aug 2017
Working Paper Series
AQR Capital Management, LLC
Downloads 4,118
198.

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35 Posted: 14 Jun 2006 Last Revised: 20 Oct 2016
Working Paper Series
Independent and Deutsche Bank AG (London)

Multiple version iconThere are 2 versions of this paper

Downloads 4,012
199.

PE Ratios, PEG Ratios, and Estimating the Implied Expected Rate of Return on Equity Capital

Number of pages: 39 Posted: 09 Sep 2003
Working Paper Series
University of Notre Dame - Department of Accountancy

Multiple version iconThere are 2 versions of this paper

Downloads 4,007
200.

Bagehot was a Shadow Banker: Shadow Banking, Central Banking, and the Future of Global Finance

Number of pages: 20 Posted: 12 Mar 2013 Last Revised: 06 Nov 2013
Working Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics, Credit Suisse, Credit Suisse and Bard College at Simon's Rock
Downloads 3,867
201.

Extended Libor Market Models with Stochastic Volatility

Number of pages: 43 Posted: 31 Dec 2001
Working Paper Series
Bank of America Merrill Lynch and Gen Re Securities

Multiple version iconThere are 2 versions of this paper

Downloads 3,781
202.

Household Balance Sheets, Consumption, and the Economic Slump

Chicago Booth Research Paper No. 13-42, Fama-Miller Working Paper
Number of pages: 50 Posted: 18 Nov 2011 Last Revised: 07 Jun 2013
Working Paper Series
Princeton University - Department of Economics, MasterCard Advisors and University of Chicago - Booth School of Business
Downloads 3,726
203.

The Irony in the Derivatives Discounting Part II: The Crisis

Number of pages: 12 Posted: 14 Jul 2009 Last Revised: 19 Dec 2009
Working Paper Series
OpenGamma

Multiple version iconThere are 2 versions of this paper

Downloads 3,721
204.

Hayek Money: The Cryptocurrency Price Stability Solution

Number of pages: 51 Posted: 17 Apr 2014 Last Revised: 23 Aug 2016
Working Paper Series
Milan Bicocca University - Department of Statistics and Quantitative Methods
Downloads 3,605
205.

Yield Curve Construction with Tension Splines

Number of pages: 32 Posted: 19 Dec 2005
Working Paper Series
Bank of America Merrill Lynch
Downloads 3,508
206.

Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option

Number of pages: 15 Posted: 08 Feb 2006
Working Paper Series
OpenGamma

Multiple version iconThere are 3 versions of this paper

Downloads 3,435
207.

The Regulatory Response to the Financial Crisis

CESifo Working Paper Series No. 2257
Number of pages: 25 Posted: 25 Mar 2008
Working Paper Series
London School of Economics & Political Science (LSE) - Financial Markets Group
Downloads 3,381
208.

Factor Investing in the Corporate Bond Market

Financial Analysts Journal, 2017, Vol. 73, No. 2
Number of pages: 49 Posted: 31 Oct 2014 Last Revised: 13 Feb 2017
Accepted Paper Series
Robeco Investment Research and Robeco Asset Management
Downloads 3,379
209.

Determinants of Commercial Bank Interest Margins and Profitability: Some International Evidence

World Bank Policy Research Working Paper No. 1900
Number of pages: 38 Posted: 20 Apr 2016
Working Paper Series
World Bank - Development Research Group and Tilburg University - Center for Economic Research (CentER)
Downloads 3,290
210.

Facts and Fantasies About Commodity Futures Ten Years Later

Number of pages: 31 Posted: 27 May 2015
Working Paper Series
SummerHaven Investment Management, Yale School of Management and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 3,259