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Incl. Electronic Paper A Simplified Approach to Understanding the Kalman Filter Technique
Tom Arnold, Mark Bertus and Jonathan M. Godbey
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Date Posted: May 07, 2005
Last Revised: April 17, 2008
Working Paper Series

Incl. Electronic Paper 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
Michael Trusov, Randolph E. Bucklin and Koen H. Pauwels
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Date Posted: May 08, 2008
Last Revised: June 19, 2014
Working Paper Series

Incl. Electronic Paper The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies
ISMA Finance Discussion Paper No. 2002-08
Carol Alexander and Anca Dimitriu
University of Sussex - School of Business, Management and Economics and University of Reading - ISMA Centre
Date Posted: August 05, 2002
Working Paper Series

Incl. Electronic Paper Easy Volatility Investing
Tony Cooper
Double-Digit Numerics
Date Posted: April 23, 2013
Working Paper Series

Incl. Electronic Paper A Stochastic Model for Order Book Dynamics
Rama Cont, Sasha Stoikov and Rishi Talreja
Imperial College London, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Date Posted: September 26, 2008
Last Revised: August 31, 2009
Working Paper Series

Incl. Electronic Paper MS_Regress - The MATLAB Package for Markov Regime Switching Models
Marcelo Perlin
Escola de Administração - UFRGS
Date Posted: November 26, 2010
Last Revised: April 20, 2015
Working Paper Series

Incl. Electronic Paper Predictive Regressions: A Present-Value Approach
Jules H. van Binsbergen and Ralph S. J. Koijen
University of Pennsylvania - The Wharton School and New York University (NYU) - Department of Finance
Date Posted: March 04, 2007
Last Revised: September 15, 2013
Working Paper Series

Incl. Electronic Paper Determinants of Bank Profitability: Macroeconomic Evidence from Nigeria
Toni Aburime
Deakin University
Date Posted: August 19, 2008
Last Revised: September 03, 2008
Working Paper Series

Incl. Electronic Paper Deriving Value from Social Commerce Networks
Journal of Marketing Research, Forthcoming
Andrew T. Stephen and Olivier Toubia
University of Oxford - Said Business School and Columbia Business School - Marketing
Date Posted: June 25, 2008
Last Revised: June 22, 2014
Working Paper Series

Incl. Electronic Paper What Drives Housing Price Dynamics: Cross-Country Evidence
BIS Quarterly Review, March 2004
Kostas Tsatsaronis and Haibin Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Date Posted: May 04, 2012
Last Revised: September 29, 2013
Accepted Paper Series

Incl. Electronic Paper An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Luca Taschini and Marc S. Paolella
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Date Posted: November 26, 2006
Last Revised: December 21, 2009
Accepted Paper Series

Incl. Electronic Paper Discretionary-Accruals Models and Audit Qualifications
Eli Bartov, Ferdinand A. Gul and Judy S.L. Tsui
NYU Stern School of Business, Monash University Sunway Campus and Hong Kong Polytechnic University - School of Accounting and Finance
Date Posted: March 06, 2000
Working Paper Series

Incl. Electronic Paper Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
David Blitz and Pim van Vliet
Robeco Asset Management - Quantitative Strategies and Robeco Asset Management - Quantitative Strategies
Date Posted: February 19, 2009
Last Revised: July 17, 2009
Working Paper Series

Incl. Electronic Paper How to Time the Commodity Market
Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010
Devraj Basu, Roel C. A. Oomen and Alexander Stremme
Université Lille Nord de France - Skema Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Date Posted: June 22, 2006
Last Revised: September 10, 2016
Working Paper Series

Incl. Electronic Paper The Impact of Inflation, GDP, Unemployment, and Money Supply On Stock Prices
Lena Saeed Shiblee IV
Arab Bank, Syria
Date Posted: December 30, 2009
Working Paper Series

Incl. Electronic Paper Downside Correlation and Expected Stock Returns
EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Andrew Ang, Joseph Chen and Yuhang Xing
Columbia Business School - Finance and Economics, University of California, Davis - Graduate School of Management and Rice University
Date Posted: November 09, 2001
Working Paper Series

Incl. Electronic Paper The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation
Michael P. Murray
Bates College
Date Posted: November 08, 2005
Working Paper Series

Incl. Electronic Paper An E-ARCH Model for the Term Structure of Implied Volatility of FX Options
Marco Avellaneda and Yingzi Zhu
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Date Posted: April 01, 1997
Working Paper Series

Incl. Electronic Paper The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace
Journal of Marketing Research, 49 (October).
Andrew T. Stephen and Jeff Galak
University of Oxford - Said Business School and Carnegie Mellon University
Date Posted: September 29, 2009
Last Revised: August 05, 2014
Accepted Paper Series

Incl. Electronic Paper Lucky Factors
Campbell R. Harvey and Yan Liu
Duke University - Fuqua School of Business and Texas A&M University, Department of Finance
Date Posted: November 22, 2014
Last Revised: July 04, 2016
Working Paper Series

Incl. Electronic Paper Dynamic Volatility Trading Strategies in the Currency Option Market Using Stochastic Volatility Forecasts
Dajiang Guo
Greenwich Capital Markets, Inc.
Date Posted: June 03, 1999
Working Paper Series

Incl. Electronic Paper Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Marco Avellaneda, Josh Reed and Sasha Stoikov
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Date Posted: October 14, 2010
Last Revised: October 11, 2012
Accepted Paper Series

Incl. Electronic Paper Stock Market Fluctuations And The Business Cycle
Marcelle Chauvet
University of California, Riverside (UCR) - Department of Economics
Date Posted: September 24, 2001
Working Paper Series

Incl. Electronic Paper Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask
European Journal of Finance, Forthcoming
Dean Fantazzini and Petr Geraskin

Date Posted: February 01, 2011
Accepted Paper Series

Incl. Electronic Paper The Case of Gold and Silver: A New Algorithm for Pairs Trading
Dr.Jay Desai, Arti Trivedi and Nisarg A Joshi
Shri Chimanbhai Patel Institute of Management & Research, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Date Posted: April 10, 2013
Working Paper Series

Incl. Electronic Paper International Asset Allocation with Time-Varying Correlations
Geert Bekaert and Andrew Ang
Columbia Business School - Finance and Economics and Columbia Business School - Finance and Economics
Date Posted: April 07, 1999
Working Paper Series

Incl. Electronic Paper The Good News and the Bad News About Long-Run Stock Market Returns
EFA 0305; DAE Working Paper No. 9822
Stephen H. Wright and Donald Robertson
Birkbeck College, University of London and Cambridge University - Department of Economics
Date Posted: November 05, 1998
Working Paper Series

Incl. Electronic Paper Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?
Stephen J. Brown, Greg N. Gregoriou and Razvan C. Pascalau
New York University - Stern School of Business, SUNY College at Plattsburgh and SUNY College at Plattsburgh - School of Business and Economics
Date Posted: July 22, 2009
Last Revised: July 09, 2011
Working Paper Series

Incl. Electronic Paper ARCH, GARCH and EGARCH Models: Applications to Financial Series
Cuadernos de Economía, Vol. 27, No. 48, 2008,
Marta Casas and Edilberto Cepeda
Universidad de los Andes, Colombia - Department of Economics and National University of Colombia
Date Posted: August 27, 2008
Accepted Paper Series

Incl. Electronic Paper Applying Relative Solvency to Working Capital Management - The Break-Even Approach
Enyi Patrick Enyi
School of Management Sciences
Date Posted: August 01, 2005
Working Paper Series

Incl. Electronic Paper Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology
Emel Kahya and Panayiotis Theodossiou
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Date Posted: March 06, 1998
Working Paper Series

Incl. Electronic Paper Dynamic Copula Modelling for Value at Risk
Frontiers in Finance and Economics, Forthcoming
Dean Fantazzini
Date Posted: November 11, 2006
Accepted Paper Series

Incl. Electronic Paper Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Torben G. Andersen and Luca Benzoni
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Date Posted: February 12, 2008
Last Revised: December 05, 2008
Working Paper Series

Incl. Electronic Paper A Test for Superior Predictive Ability
Brown Univ. Dept. of Economics Working Paper No. 01-06
Peter Reinhard Hansen
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Date Posted: March 01, 2004
Working Paper Series

Incl. Electronic Paper Dynamic Analysis of a Competitive Marketing System
Yale SOM Working Paper No. MK-04
Csilla Horvath, Peter S.H. Leeflang and Dick R. Wittink
Radboud University Nijmegen, University of Groningen - Faculty of Economics and Business and Yale University, School of Management (Deceased)
Date Posted: October 02, 2001
Working Paper Series

Incl. Electronic Paper Systemic Risk in Europe
Review of Finance (2015) 19(1), 145-190
Robert F. Engle, Eric Jondeau and Michael Rockinger
New York University - Leonard N. Stern School of Business - Department of Economics, University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: December 22, 2012
Last Revised: February 09, 2016
Accepted Paper Series

Incl. Electronic Paper Algorithmic Trading of Co-Integrated Assets
International Journal of Theoretical and Applied Finance, Forthcoming
Álvaro Cartea and Sebastian Jaimungal
University of Oxford and University of Toronto - Department of Statistics
Date Posted: August 01, 2015
Last Revised: May 24, 2016
Accepted Paper Series

Incl. Electronic Paper European Union Enlargement. Effects on the Spanish Economy
"la Caixa" Economic Studies Series No. 27
Carmela Martín González, Jose A. Herce, Simón Sosvilla Rivero and Francisco J. Velázquez
Universidad Complutense de Madrid (UCM) - European Economy Group (EEG), Grupo AFI, Complutense University of Madrid and Universidad Complutense de Madrid - GRIPICO
Date Posted: October 28, 2002
Working Paper Series

Incl. Electronic Paper Dynamic Linkages Among the Emerging Middle Eastern and the United States Stock Markets
International Journal of Business, Vol. 10, No. 1, 2005
Yochanan Shachmurove
City University of New York, CUNY City College of New York - Department of Economics
Date Posted: April 01, 2005
Accepted Paper Series

Incl. Electronic Paper Oil Price Uncertainty
Journal of Money, Credit, and Banking, Forthcoming
John Elder and Apostolos Serletis
Colorado State University and University of Calgary - Economics
Date Posted: June 14, 2006
Last Revised: March 03, 2010
Accepted Paper Series

Incl. Electronic Paper Interaction of European Carbon Trading and Energy Prices
FEEM Working Paper No. 63.2007
Derek W. Bunn and Carlo Fezzi
London Business School and University of East Anglia (UEA) - School of Environmental Sciences
Date Posted: June 15, 2007
Last Revised: May 26, 2014
Working Paper Series

Incl. Electronic Paper Speculation, Futures Prices, and the U.S. Real Price of Crude Oil
American Journal of Social and Management Science, Vol. 1, No., pp. 13-23, September 2010
Lonnie K. Stevans and David N. Sessions
Hofstra University - Frank G. Zarb School of Business and Frank G. Zarb School of Business
Date Posted: July 04, 2008
Last Revised: February 23, 2011
Accepted Paper Series

Incl. Electronic Paper Volatility Forecasts, Trading Volume and the ARCH vs Option-Implied Volatility Tradeoff
SFU Economics Discussion Paper No. 01-1, Sauder School of Business Working Paper
R. Glen Donaldson and Mark J. Kamstra
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Date Posted: February 21, 2001
Working Paper Series

Incl. Electronic Paper Strategic Asset Allocation With Liabilities: Beyond Stocks and Bonds
Roy P. M. M. Hoevenaars, Roderick Molenaar, Peter C. Schotman and Tom Steenkamp
APG Asset Management, Robeco Asset Management, Maastricht University - Limburg Institute of Financial Economics (LIFE) and ABP Investments - Research Department
Date Posted: February 28, 2005
Working Paper Series

Incl. Electronic Paper Statistical Modeling of Credit Default Swap Portfolios
Rama Cont and Yu Hang (Gabriel) Kan
Imperial College London and Bloomberg Tradebook
Date Posted: April 14, 2011
Last Revised: April 25, 2011
Working Paper Series

Incl. Electronic Paper The Flash Crash: A New Deconstruction
Eric M. Aldrich, Joseph Grundfest and Gregory Laughlin
University of California, Santa Cruz, Stanford University Law School and Yale University
Date Posted: January 26, 2016
Last Revised: September 23, 2016
Working Paper Series

Incl. Electronic Paper Correlations in Price Changes and Volatility across International Stock Markets
Review of Financial Studies, Vol. 3, No. 2, pp. 281-307, 1990
Yasushi Hamao, Ronald W. Masulis and Victor Ng
Center on Japanese Economy and Business, University of New South Wales - Australian School of Business and University of Michigan at Ann Arbor
Date Posted: February 28, 2006
Accepted Paper Series

Incl. Electronic Paper Modelling Short-Term Volatility with GARCH and HARCH Models
Michel M. Dacorogna, Ulrich A. Müller, Olivier V. Pictet and Richard B. Olsen
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Olsen & Associates
Date Posted: June 25, 1997
Working Paper Series

Incl. Electronic Paper Macro Factors in the Term Structure of Credit Spreads
BIS Working Paper No. 203
Jeffery D. Amato and Maurizio Luisi
Goldman Sachs International and Unigestion
Date Posted: September 20, 2007
Working Paper Series

Incl. Electronic Paper Empirical Tests of the Mean-semivariance CAPM
Thierry Post and Pim van Vliet
Koc University - Graduate School of Business and Robeco Asset Management - Quantitative Strategies
Date Posted: June 21, 2004
Working Paper Series


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