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JEL Code: C22

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Viewing: 2,851 - 2,900 of 4,826 papers

2851.

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 21,813
2852.

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 18,040
2853.

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 15,151
2854.

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 11,780
2855.

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 10,508
2856.

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 10,153
2857.

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 7,602
2858.

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 5,749
2859.

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 5,281
2860.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 5,157
2861.

Lucky Factors

Number of pages: 98 Posted: 22 Nov 2014 Last Revised: 17 Jan 2018
Working Paper Series
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Downloads 3,570
2862.

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 3,414
2863.

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 3,179
2864.

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 3,045
2865.

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 2,965
2866.

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 2,963
2867.

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 2,902
2868.

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 2,838
2869.

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 2,827
2870.

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 2,785
2871.

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 2,728
2872.

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 2,712
2873.

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 2,697
2874.

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 2,661
2875.

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 2,614
2876.

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 2,565
2877.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Working Paper Series
Duke University - Finance
Downloads 2,540
2878.

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 2,512
2879.

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 2,460
2880.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
University of Pisa - Department of Economics
Downloads 2,414
2881.

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 2,269
2882.

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 2,246
2883.

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 2,200
2884.

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 2,198
2885.

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 2,179
2886.

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 2,151
2887.

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 2,032
2888.

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 1,944
2889.

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 1,862
2890.

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 1,827
2891.

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 1,813
2892.

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 1,790
2893.

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 1,770
2894.

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 1,759
2895.

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 1,733
2896.

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 1,720
2897.

Brexit and Foreign Investment in the UK

Number of pages: 27 Posted: 07 May 2016
Working Paper Series
University of Warwick - Warwick Business School and Aston University
Downloads 1,701
2898.

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 1,690
2899.

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 1,687
2900.

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 1,675