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JEL Code: C41

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Viewing: 401 - 450 of 930 papers

401.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
Working Paper Series
AIG Asset Management

Multiple version iconThere are 2 versions of this paper

Downloads 6,165
402.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 4,582
403.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999
Working Paper Series
Valparaiso University
Downloads 3,848
404.

Have Financial Statements Become Less Informative? Evidence from the Ability of Financial Ratios to Predict Bankruptcy

Number of pages: 55 Posted: 02 Feb 2005
Working Paper Series
Stanford University, Stanford University and Stanford University - Graduate School of Business (Deceased)
Downloads 3,545
405.

Assessing the Probability of Bankruptcy

Number of pages: 47 Posted: 03 May 2002
Working Paper Series
Arizona State University (ASU) - W. P. Carey School of Business, School of Accountancy, Harvard University - John F. Kennedy School of Government, State University of New York, Oswego and VaRisk, Inc.

Multiple version iconThere are 2 versions of this paper

Downloads 3,507
406.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 3,431
407.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017
Working Paper Series
Unisys Machine Learning and Advanced Analytics Services
Downloads 2,732
408.

Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options

Number of pages: 47 Posted: 22 Mar 1999
Working Paper Series
University of California, Berkeley, College of Letters & Science, Department of Economics (Deceased), National University of Singapore, Business School and the School of Design and Environment and Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research

Multiple version iconThere are 2 versions of this paper

Downloads 2,516
409.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 2,516
410.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,181
411.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Working Paper Series
University of Oxford, Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Toronto - Department of Statistics
Downloads 1,870
412.

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Working Paper Series
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney

Multiple version iconThere are 2 versions of this paper

Downloads 1,405
413.

Survival, Growth, and Interfirm Collaboration of Start-Up Companies in High-Technology Industries: A Case Study of Upper Bavaria

IZA Discussion Paper No. 345
Number of pages: 36 Posted: 03 Sep 2001
Working Paper Series
Ludwig Maximilian University of Munich and Munich University of Technology (TU München) - Department of Business and Economics
Downloads 1,285
414.

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 1,158
415.

Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy

Sveriges Riksbank Working Paper No. 142
Number of pages: 54 Posted: 22 Jan 2004
Working Paper Series
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank
Downloads 1,055
416.

Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Number of pages: 39 Posted: 08 Dec 2005
Working Paper Series
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 989
417.

Timing of Employee Stock Option Exercises and the Cost of Stock Option Grants

Rock Center for Corporate Governance Working Paper No. 34
Number of pages: 49 Posted: 01 Jun 2006 Last Revised: 04 Apr 2012
Working Paper Series
University of Pennsylvania - Accounting Department, University of Cambridge Judge Business School and Stanford University - Graduate School of Business
Downloads 952
418.

Corporate Credit Risk Modelling and the Macroeconomy

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 09 Dec 2004
Working Paper Series
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank
Downloads 904
419.

Business Survival and Success of Young Small Business Owners

Small Business Economics, Vol. 21, No. 1, 2003, pp. 1-17
Number of pages: 17 Posted: 04 Nov 2001 Last Revised: 08 Nov 2014
Accepted Paper Series
University of Amsterdam - Department of Economics
Downloads 840
420.

CEO Tenure, Board Composition and Regulation

Number of pages: 32 Posted: 11 Dec 1998
Working Paper Series
Cornell University - Department of Policy Analysis & Management (PAM) and Fordham University - Department of Economics
Downloads 760
421.

On the Profitability of Optimal Mean Reversion Trading Strategies

Number of pages: 18 Posted: 22 Jan 2016 Last Revised: 19 Feb 2016
Working Paper Series
Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students
Downloads 747
422.

Exploring the Sources of Default Clustering

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 72 Posted: 05 May 2008 Last Revised: 07 Jul 2017
Accepted Paper Series
Stanford University - Management Science & Engineering, Stanford University - Management Science & Engineering and Boston University - Questrom School of Business
Downloads 718
423.

Unobserved Heterogeneity in Models of Competing Mortgage Termination

Number of pages: 41 Posted: 05 Mar 2004
Working Paper Series
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and National University of Singapore, Business School and the School of Design and Environment
Downloads 718
424.

What Determines the Number of Bank Relationships? Cross-Country Evidence

Number of pages: 51 Posted: 01 May 1998
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Virginia - McIntire School of Commerce

Multiple version iconThere are 2 versions of this paper

Downloads 717
425.

Sell in May and Go Away in the Equity Index Futures Markets

Number of pages: 8 Posted: 24 Jan 2016
Working Paper Series
Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business
Downloads 696
426.

Bank Relationships and Firm Profitability

Number of pages: 37 Posted: 13 Apr 1999
Working Paper Series
KU Leuven, Department Accounting, Finance and Insurance and University of Zurich - Department of Banking and Finance
Downloads 666
427.

Multi-Period Corporate Default Prediction with Stochastic Covariates

FDIC Center For Financial Research Working Paper No. 2006-05
Number of pages: 44 Posted: 23 May 2006
Working Paper Series
Stanford University - Graduate School of Business, Independent and University of Tokyo - Faculty of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 649
428.

Bank Failure Prediction: A Two-Step Survival Time Approach

Number of pages: 33 Posted: 24 May 2006
Working Paper Series
Stockholm School of Economics & Swedish House of Finance and Raiffeisen Bank International
Downloads 644
429.

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 53 Posted: 27 Jan 2003
Working Paper Series
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada

Multiple version iconThere are 2 versions of this paper

Downloads 640
430.

Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31 Posted: 14 Jun 2005
Working Paper Series
University of Vienna - Department of Statistics and Operations Research and University of Technology Sydney (UTS) - Faculty of Business

Multiple version iconThere are 2 versions of this paper

Downloads 639
431.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03
Number of pages: 38 Posted: 14 Jun 2005
Working Paper Series
University of Vienna - Department of Statistics and Operations Research and University of Technology Sydney (UTS) - Faculty of Business
Downloads 622
432.

A Survival Analysis of Islamic and Conventional Banks

Journal of Financial Services Research, Forthcoming
Number of pages: 38 Posted: 31 May 2012 Last Revised: 04 Jan 2016
Working Paper Series
University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and City University London - Faculty of Finance
Downloads 616
433.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Working Paper Series
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads 612
434.

Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics

Journal of Banking and Finance, Vol. 33, No. 2, 2009
Number of pages: 39 Posted: 27 Feb 2007 Last Revised: 13 Jan 2009
Working Paper Series
Banco de Portugal
Downloads 611
435.

The Price Consideration Model of Brand Choice

Journal of Applied Econometrics, Vol. 24, No. 3, pp. 393-420, April/May 2009
Number of pages: 46 Posted: 10 Apr 2006 Last Revised: 27 Dec 2009
Accepted Paper Series
University of Toronto - Rotman School of Management, New York University (NYU) - Leonard N. Stern School of Business and Arizona State University (ASU) - Economics Department
Downloads 603
436.

Autoregressive Conditional Duration (ACD) Models in Finance: A Survey of the Theoretical and Empirical Literature

Number of pages: 60 Posted: 28 Sep 2006
Working Paper Series
Dalhousie University - Rowe School of Business
Downloads 600
437.

Metrics for Comparing Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-09
Number of pages: 43 Posted: 09 May 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 600
438.

A Model for the Federal Funds Rate Target

UC Davis Working Paper No. 99-07
Number of pages: 44 Posted: 09 Nov 1999
Working Paper Series
University of California at San Diego and University of California, Davis - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 577
439.

The Markov Switching ACD Model

Johann Wolfgang Goethe-University, Finance & Accounting Working Paper No. 90
Number of pages: 45 Posted: 08 Nov 2002
Working Paper Series
University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG
Downloads 577
440.

Modelling Intraday Trading Activity Using Box-Cox ACD Models

Number of pages: 25 Posted: 08 Nov 2001
Working Paper Series
University of Vienna - Department of Statistics and Operations Research
Downloads 569
441.

An Empirical Model of Merger and Acquisitions Timing

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Number of pages: 38 Posted: 13 Dec 2007
Working Paper Series
Imperial College Business School and University of Warwick - Marketing & Strategic Management (MSM) Subject Group
Downloads 549
442.

Are More Competitive Banking Systems More Stable?

IMF Working Paper No. WP/06/143, Journal of Money, Credit, and Banking, Vol. 41, pp. 711-734
Number of pages: 37 Posted: 19 Jul 2006
Accepted Paper Series
University of Southampton - Southampton Business School, University of Bristol and International Monetary Fund (IMF)
Downloads 543
443.

Determinants of Unemployment Duration for Men and Women in Turkey

IZA Discussion Paper No. 1258
Number of pages: 41 Posted: 04 Mar 2004
Working Paper Series
Middle East Technical University (METU) - Department of Economics and Balikesir University - Department of Econometrics
Downloads 543
444.

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

CoFE Working Paper No. 01/05
Number of pages: 25 Posted: 09 Nov 2001
Working Paper Series
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

Multiple version iconThere are 2 versions of this paper

Downloads 535
445.

Cartels: The Probability of Getting Caught in the European Union

Number of pages: 27 Posted: 20 Sep 2007 Last Revised: 02 Oct 2008
Working Paper Series
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 524
446.

Duration Modeling in Undergraduate Econometrics Curriculum Via Excel

Number of pages: 23 Posted: 10 Dec 2003
Case and Teaching Paper Series
American University of Sharjah, School of Business Administration, Department of Economics
Downloads 522
447.

Accounting-Based Versus Market-Based Cross-Sectional Models of CDS Spreads

Number of pages: 40 Posted: 09 Nov 2007
Working Paper Series
Santa Clara University - Leavey School of Business, Villanova University - School of Business and Santa Clara University - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 517
448.

Empirical Evidence on the Duration of Bank Relationships

BI-DP 1997-3
Number of pages: 31 Posted: 22 Apr 1997
Working Paper Series
University of Virginia - McIntire School of Commerce and University of Zurich - Department of Banking and Finance
Downloads 494
449.

Macro Economic Instability and Business Exit: Determinants of Failures and Acquisitions of Large UK Firms

LBS Working Paper No. 02-034
Number of pages: 35 Posted: 23 May 2002
Working Paper Series
University of St. Andrews - School of Management, London Business School, University of Cambridge - Department of Applied Economics and University of Cambridge - Judge Business School
Downloads 494
450.

On the Prediction of Credit Ratings

Number of pages: 24 Posted: 31 Aug 2007
Working Paper Series
Moody's Investors Service
Downloads 494