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JEL Code: C14

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Viewing: 341 - 390 of 3,193 papers

341.

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 11,582
342.

Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers

IGIER Working Paper No. 552
Number of pages: 68 Posted: 07 Jul 2015 Last Revised: 16 Nov 2016
Working Paper Series
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Downloads 11,198
343.

Mutual Fund Performance

Number of pages: 86 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 6,298
344.

Calibration of Jump-Diffusion Option Pricing Models: A Robust Non-Parametric Approach

Rapport Interne CMAP Working Paper No. 490
Number of pages: 39 Posted: 22 Nov 2002
Working Paper Series
Imperial College London and Ecole Polytechnique, Paris
Downloads 3,744
345.

The Omega Measure: Hedge Fund Portfolio Optimization

Number of pages: 45 Posted: 05 Feb 2003
Working Paper Series
University of Lausanne and Universite de Lausanne
Downloads 3,409
346.

The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

Number of pages: 74 Posted: 30 Jul 2004
Working Paper Series
Bank of Italy - Banking and Finance Supervision Department
Downloads 3,375
347.

Conditional Value-at-Risk: Aspects of Modeling and Estimation

MIT Dept. of Economics Working Paper No. 01-19
Number of pages: 28 Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Management Science & Engineering
Downloads 2,972
348.

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 2,780
349.

A New Look at Minimum Variance Investing

Number of pages: 23 Posted: 24 Sep 2010
Working Paper Series
EDHEC Business School - Department of Economics & Finance
Downloads 2,774
350.

The Best of Both Worlds: A Hybrid Approach to Calculating Value at Risk

Number of pages: 12 Posted: 07 Jan 1998
Working Paper Series
New York University (NYU) - Department of Finance, Interdisciplinary Center (IDC) Herzliyah - Adelson School of Entrepreneuship and New York University
Downloads 2,764
351.

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Working Paper Series
Deakin University - School of Accounting, Economics & Finance

Multiple version iconThere are 2 versions of this paper

Downloads 2,747
352.

Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review

Journal of Derivatives, Vol. 7, No. 2, pp. 66-82, Winter 1999
Number of pages: 17 Posted: 21 Oct 1999 Last Revised: 20 Nov 2008
Accepted Paper Series
University of Konstanz - Department of Economics
Downloads 2,721
353.

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
354.

Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?

Journal of Financial Services Research, Forthcoming
Number of pages: 29 Posted: 18 Feb 2004
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank
Downloads 2,335
355.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,295
356.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 1,986
357.

Recovering Risk-Neutral Densities: A New Nonparametric Approach

EFA 2000
Number of pages: 61 Posted: 19 Oct 2000
Working Paper Series
University of Illinois at Chicago - Department of Finance
Downloads 1,922
358.

How Much Should We Trust Estimates from Multiplicative Interaction Models? Simple Tools to Improve Empirical Practice

Number of pages: 146 Posted: 29 Feb 2016 Last Revised: 13 Feb 2017
Working Paper Series
Stanford University - Department of Political Science, Stanford University, Department of Political Science, Students and University of California, San Diego
Downloads 1,846
359.

The Real Effects of Financial Markets: The Impact of Prices on Takeovers

Journal of Finance 67(3), 933-971, June 2012
Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 04 Jun 2014
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics
Downloads 1,845
360.

The Complete Picture of Credit Default Swap Spreads - A Quantile Regression Approach

Number of pages: 69 Posted: 29 Apr 2008 Last Revised: 31 Jan 2010
Working Paper Series
Nova School of Business and Economics, Nova School of Business and Economics and Pennsylvania State University - Department of Economics
Downloads 1,823
361.

Explaining Credit Default Swap Spreads With the Equity Volatility and Jump Risks of Individual Firms

FEDS Discussion Paper No. 2005-63, Review of Financial Studies, Forthcoming, BIS Working Paper No. 181
Number of pages: 43 Posted: 20 Sep 2007 Last Revised: 18 Oct 2013
Working Paper Series
UBS AG, Tsinghua University - PBC School of Finance and Bank for International Settlements (BIS)
Downloads 1,799
362.

Asset Allocation and Long-Term Returns: An Empirical Approach

Number of pages: 53 Posted: 02 Jan 2006
Working Paper Series
Morgan Stanley and Morgan Stanley
Downloads 1,756
363.

Are Banks Too Big To Fail? Measuring Systemic Importance of Financial Institutions

Number of pages: 40 Posted: 04 Feb 2010
Working Paper Series
De Nederlandsche Bank
Downloads 1,585
364.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Working Paper Series
Ecole hôtelière de Lausanne
Downloads 1,582
365.

Productive Performance Evaluation of the Banking Sector in India Using Data Envelopment Analysis

International Journal of Operations Research, Forthcoming
Number of pages: 36 Posted: 12 Jan 2007
Accepted Paper Series
Amrita University - Amrita School of Business, University of California, Santa Barbara - Department of Economics and Cranfield University - School of Management
Downloads 1,556
366.

Riding Bubbles

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 80 Posted: 17 Mar 2008 Last Revised: 18 Mar 2010
Working Paper Series
University of Muenster - Finance Center Muenster, Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute and Tilburg University - TIAS School for Business and Society

Multiple version iconThere are 2 versions of this paper

Downloads 1,540
367.

Economic Characteristics, Corporate Governance, and the Influence of Compensation Consultants on Executive Pay Levels

Rock Center for Corporate Governance Working Paper No. 15, Review of Accounting Studies, Vol. 17, No. 2, June 2012
Number of pages: 62 Posted: 15 Jun 2008 Last Revised: 12 Sep 2013
Accepted Paper Series
University of Pennsylvania - Accounting Department, University of Pennsylvania - Accounting Department and Stanford University - Graduate School of Business
Downloads 1,527
368.

Better Investing Through Factors, Regimes and Sensitivity Analysis

Number of pages: 100 Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads 1,519
369.

Robust Standard Error Estimation in Fixed-Effects Panel Models

Number of pages: 30 Posted: 30 Sep 2004
Working Paper Series
Central European University (CEU) - Department of Economics
Downloads 1,496
370.

Bank Relationships: A Review

Number of pages: 37 Posted: 11 Dec 1998
Working Paper Series
University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,446
371.

A Survey of the Literature on Hedge Fund Performance

Number of pages: 58 Posted: 04 Dec 2004
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads 1,422
372.

Robust and Practical Estimation for Measures of Tail Risk

Number of pages: 50 Posted: 02 Jun 2014
Working Paper Series
Independent
Downloads 1,404
373.

Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation

Number of pages: 70 Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads 1,365
374.

Operators on Inhomogeneous Time Series

Olsen & Associates Working Paper No. 324
Number of pages: 33 Posted: 21 Mar 2000
Working Paper Series
Independent and Olsen & Associates

Multiple version iconThere are 2 versions of this paper

Downloads 1,365
375.

Estimating Probabilities of Default for Low Default Portfolios

Number of pages: 24 Posted: 27 Dec 2004
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and Deutsche Bundesbank
Downloads 1,349
376.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,349
377.

Measuring Bank Branch Performance Using Data Envelopment Analysis (DEA): The Case of Turkish Bank Branches

African Journal of Business Management, 5(3), 889–901. DOI: 10.5897/AJBM10.584 ,
Number of pages: 13 Posted: 26 Apr 2013
Accepted Paper Series
Istanbul Commerce University and Kırklareli University
Downloads 1,341
378.

A Study on the Association between Brand Awareness and Consumer/Brand Loyalty for the Packaged Milk Industry in Pakistan

South Asian Journal of Management Sciences (SAJMS), Vol.5, No.1.
Number of pages: 11 Posted: 22 Oct 2010 Last Revised: 17 Feb 2011
Accepted Paper Series
Office of Research, Innovation & Commercialization - ORIC and Iqra University Research Centre - IURC
Downloads 1,332
379.

A Cold Shower for the Hot Hand Fallacy

IGIER Working Paper No. 518
Number of pages: 70 Posted: 15 Jun 2014 Last Revised: 07 Jul 2015
Working Paper Series
Bocconi University - Department of Decision Sciences and Universidad de Alicante - Departamento de Fundamentos del Análisis Económico
Downloads 1,287
380.

Accounting for Biases in Black-Scholes

Number of pages: 46 Posted: 03 Sep 2004
Working Paper Series
NYU Stern School of Business, Goldman Sachs Group, Inc. - Quantitative Strategy Group and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 1,211
381.

Nonparametric Efficiency Testing of Asian Stock Markets Using Weekly Data

Centre for Research in Financial Services Working Paper No. 99-01
Number of pages: 30 Posted: 11 Feb 1999
Working Paper Series
University of California at Irvine - The Paul Merage School of Business
Downloads 1,167
382.

Improving the Comparability of Insolvency Predictions (Verbesserung der Vergleichbarkeit von Schaetzgueteergebnissen von Insolvenzprognosestudien) (German version)

Dresden Economics Discussion Paper Series No. 08/05
Number of pages: 149 Posted: 08 Jun 2005
Working Paper Series
affiliation not provided to SSRN
Downloads 1,153
383.

Testing and Detecting Jumps Based on a Discretely Observed Process

Number of pages: 39 Posted: 06 Jan 2009 Last Revised: 06 Jan 2009
Working Paper Series
University of Southern California - Marshall school of Business and Princeton University - Bendheim Center for Finance
Downloads 1,151
384.

Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,142
385.

Total Factor Productivity Estimation: A Practical Review

LICOS Discussion Paper No. 182/2007
Number of pages: 45 Posted: 02 Aug 2007 Last Revised: 16 Feb 2009
Working Paper Series
KULeuven, Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,134
386.

Nonparametric Estimation of Copulas for Time Series

FAME Research Paper No. 57
Number of pages: 37 Posted: 12 Mar 2003
Working Paper Series
University of Geneva GSEM and GFRI and Ensae-Crest
Downloads 1,126
387.

Filtered Market Statistics and Technical Trading Rules

Number of pages: 30 Posted: 05 May 2013
Working Paper Series
Flexible Plan Investments, Ltd.
Downloads 1,112
388.

Basic Concepts in Statistics (Spanish Version)

Number of pages: 49 Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,102
389.

A Comparison of Extreme Value Theory Approaches for Determining Value at Risk

Journal of Empirical Finance, Forthcoming, Cass Business School Research Paper
Number of pages: 20 Posted: 05 Dec 2004
Accepted Paper Series
University of Reading - ICMA Centre, City University London - Sir John Cass Business School, Independent and University of Bristol - Department of Economics
Downloads 1,095
390.

Robust Value at Risk Prediction

Swiss Finance Institute Research Paper No. 07-31
Number of pages: 51 Posted: 17 Aug 2005 Last Revised: 13 Sep 2010
Working Paper Series
University of Lugano - Institute of Finance and University of Geneva
Downloads 1,090