1.
Non-Life Insurance: Mathematics & Statistics
Number of pages: 325
Posted: 03 Sep 2013
Last Revised: 16 Feb 2024
Working Paper Series
RiskLab, ETH Zurich
Downloads
22,552
2.
How Much Should We Trust Staggered Difference-In-Differences Estimates?
European Corporate Governance Institute – Finance Working Paper No. 736/2021, Rock Center for Corporate Governance at Stanford University Working Paper No. 246, Journal of Financial Economics (JFE), Forthcoming
Number of pages: 61
Posted: 01 Mar 2021
Last Revised: 27 Jan 2022
Working Paper Series
Berkeley Law School, Stanford Graduate School of Business and Harvard University - Business School (HBS)
Downloads
12,601
3.
Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework
Festschrift in Honor of Peter Schmidt, W.C. Horrace and R.C. Sickles, eds., Forthcoming
Number of pages: 44
Posted: 13 Apr 2011
Last Revised: 23 Oct 2013
Accepted Paper Series
Independent, Dept. of International Trade, Dong-A University and University of Melbourne
Downloads
9,193
4.
Local Stochastic Volatility Models: Calibration and Pricing
Number of pages: 57
Posted: 11 Jun 2014
Last Revised: 15 Jul 2014
Working Paper Series
Independent
Downloads
7,180
5.
A Stochastic Processes Toolkit for Risk Management
Number of pages: 43
Posted: 19 Mar 2008
Last Revised: 05 Oct 2008
Working Paper Series
Imperial College London - Department of Mathematics, University College LondonUBS AG, Fitch Ratings Inc. and Paris School of Economics, Pantheon Sorbonne University
Downloads
7,049
6.
Estimating the Effects of Dormitory Living on Student Performance
Number of pages: 15
Posted: 21 Feb 2010
Working Paper Series
Colorado College and affiliation not provided to SSRN
Downloads
7,046
7.
Dts (Duration Times Spread)
Journal of Portfolio Management, Winter 2007
Number of pages: 48
Posted: 14 Jan 2007
Accepted Paper Series
Lehman Brothers, New York - Fixed Income Research, Lehman Brothers, Lehman Brothers, Robeco Institutional Asset Management, Robeco Asset Management and Robeco Asset Management
Downloads
6,311
8.
Analyzing Volatility Risk and Risk Premium in Option Contracts: A New Theory
NYU Tandon Research Paper No. 1701685
Number of pages: 56
Posted: 03 Nov 2010
Last Revised: 26 Jun 2017
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads
6,121
9.
Support Vector Machines (SVM) as a Technique for Solvency Analysis
DIW Berlin Discussion Paper No. 811
Number of pages: 18
Posted: 25 Jun 2009
Working Paper Series
Deutsche Bundesbank and German Institute for Economic Research (DIW Berlin)
Downloads
5,688
10.
Pricing Default Swaps: Empirical Evidence
Journal of International Money and Finance, Vol. 24, pp. 1200-1225, 2005, EFA 2002 Berlin Meetings Presented Paper, EFMA 2002 London Meetings, ERIM Report Series
Number of pages: 49
Posted: 24 Dec 2001
Accepted Paper Series
Robeco Institutional Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads
5,025
11.
Predicting Corporate Bond Returns: Merton Meets Machine Learning
Georgetown McDonough School of Business Research Paper No. 3686164, Swiss Finance Institute Research Paper No. 20-110
Number of pages: 70
Posted: 17 Sep 2020
Last Revised: 25 Aug 2022
Working Paper Series
Georgetown University - McDonough School of Business, University of Lausanne, Singapore Management University - Lee Kong Chian School of Business, Xiamen University and McDonough School of Business, Georgetown University
Downloads
4,984
12.
Honey, I Shrunk the Sample Covariance Matrix
UPF Economics and Business Working Paper No. 691
Number of pages: 21
Posted: 18 Sep 2003
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads
4,713
13.
A Simple Way to Estimate Bid-Ask Spreads from Daily High and Low Prices
Journal of Finance, Forthcoming
Number of pages: 54
Posted: 17 Mar 2008
Last Revised: 14 Jul 2011
Accepted Paper Series
University of Notre Dame - Mendoza College of Business and University of Notre Dame - Department of Finance
Downloads
4,636
14.
Effects of Dormitory Living on Student Performance
Number of pages: 14
Posted: 22 Mar 2010
Working Paper Series
Colorado College and University of Wisconsin - La Crosse – Department of Economics
Downloads
4,629
15.
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
4,441
16.
The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes
Number of pages: 12
Posted: 10 Dec 2011
Working Paper Series
Independent and affiliation not provided to SSRN
Downloads
4,440
17.
Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
Review of Financial Studies, 2014, 27(2), 617-61, AFA 2013 San Diego Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 58
Posted: 17 Mar 2012
Last Revised: 11 Aug 2020
Accepted Paper Series
Washington University in St. Louis and Northwestern University - Kellogg School of Management
Downloads
4,244
18.
The Present and Future of Financial Risk Management
ISMA Centre Discussion Paper No. DP2003-12
Number of pages: 25
Posted: 26 Feb 2004
Working Paper Series
University of Sussex Business School
Downloads
4,232
19.
Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation
2014 NAAIM Wagner Award Winner
Number of pages: 33
Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads
4,130
20.
A Statistical Comparison of the CAPM to the Fama-French Three Factor Model and the Carhart's Model
Global Journal of Finance and Banking Issues, Vol. 2, No. 2, 2008
Number of pages: 11
Posted: 20 Jan 2010
Accepted Paper Series
Central Connecticut State University - Finance
Downloads
4,112
21.
Principal Component Analysis of Volatility Smiles and Skews
Number of pages: 16
Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads
4,040
22.
Returns to Investment in Education: A Further Update
Number of pages: 29
Posted: 06 Mar 2003
Working Paper Series
Georgetown University and University of Arkansas, Fayetteville - Department of Education Reform
There are 3 versions of this paper
Returns to Investment in Education: A Further Update
Number of pages: 29
Posted: 06 Mar 2003
Downloads
3,827
Returns to Investment in Education: A Further Update
World Bank Policy Research Working Paper No. 2881
Number of pages: 36
Posted: 20 Apr 2016
Downloads
1,266
Returns to Investment in Education: A Further Update
Education Economics, Vol. 12, No. 2, pp. 111-134, August 2004
Posted: 08 Oct 2004
Downloads
3,827
23.
Option Profit and Loss Attribution and Pricing: A New Framework
Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63
Posted: 25 Mar 2018
Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads
3,755
24.
The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization
Number of pages: 22
Posted: 19 Jul 2021
Working Paper Series
Hudson Bay Capital Management, LP, University of California at San Diego, Rice University, Fidelity Investments, Inc., affiliation not provided to SSRN and Hudson Bay Capital Management, LP
Downloads
3,534
25.
Priced Risk in Corporate Bonds
Number of pages: 62
Posted: 11 Apr 2023
Last Revised: 15 Jun 2023
Working Paper Series
UNSW Business School, Warwick Business School Finance Group and Warwick Business School
Downloads
3,448
26.
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 CREATESAarhus University - School of Business and Social Sciences
Downloads
3,443
27.
Seeing Double Voting: An Extension of the Birthday Problem
7 Election L. J. 111 (2008), 2nd Annual Conference on Empirical Legal Studies Paper
Number of pages: 12
Posted: 03 Jul 2007
Last Revised: 21 May 2014
Accepted Paper Series
University of FloridaGeorge Mason University - Government and Politics and Loyola Law School Los Angeles
Downloads
3,419
28.
Implied Risk-Neutral Probability Density Functions from Option Prices: Theory and Application
Bank of England Working Paper No 66
Number of pages: 56
Posted: 19 Apr 1998
Working Paper Series
Bank of England
Downloads
3,398
29.
Alternatives to Deep Neural Networks in Finance
Number of pages: 57
Posted: 08 Nov 2021
Last Revised: 23 Mar 2024
Working Paper Series
Abu Dhabi Investment Authority and NatWest MarketsImperial College London
Downloads
3,299
30.
Conditional Value-at-Risk: Aspects of Modeling and Estimation
Number of pages: 28
Posted: 07 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
Downloads
3,246
31.
Making Markowitz's Portfolio Optimization Theory Practically Useful
Number of pages: 45
Posted: 08 May 2006
Last Revised: 08 Oct 2016
Working Paper Series
Northeast Normal University, Northeast Normal University and Asia University, Department of Finance
Downloads
3,229
32.
A Practical Guide to GMM (with Applications to Option Pricing)
Number of pages: 74
Posted: 10 May 2001
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business and University of Otago - Department of Accountancy and Finance
Downloads
3,187
33.
Using Comparable Companies to Estimate the Betas of Private Companies
Journal of Applied Finance, Forthcoming
Number of pages: 28
Posted: 14 Feb 2007
Accepted Paper Series
Independent and Macquarie New Zealand
Downloads
3,136
34.
The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective
Bank of England Working Paper No. 339
Number of pages: 40
Posted: 02 Mar 2007
Working Paper Series
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads
3,078
35.
Credit Risk Evaluation: Modeling - Analysis - Management
Center for Risk & Evaluation, 2002-2003
Number of pages: 195
Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads
3,070
36.
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
3,059
37.
Good Volatility, Bad Volatility and the Cross-Section of Stock Returns
Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77
Posted: 17 Feb 2015
Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Man Numeric
Downloads
3,023
38.
Mid-Price Prediction in a Limit Order Book
Number of pages: 9
Posted: 02 Jan 2015
Working Paper Series
Purdue University - School of Electrical and Computer Engineering and Purdue University
Downloads
2,970
39.
Common Risk Factors in the Cross-Section of Corporate Bond Returns
Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75
Posted: 03 Oct 2016
Last Revised: 12 Feb 2018
Accepted Paper Series
Georgetown University - McDonough School of Business, Georgetown University - McDonough School of Business and McDonough School of Business, Georgetown University
Downloads
2,928
40.
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation
Number of pages: 43
Posted: 24 Jun 2005
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and New York University Finance and Risk Engineering
Downloads
2,848
41.
Insights from Inside Neural Networks
Number of pages: 64
Posted: 19 Aug 2018
Last Revised: 24 Apr 2020
Working Paper Series
University of Zurich, PartnerRe Ltd - PartnerRe Holdings Europe Limited and RiskLab, ETH Zurich
Downloads
2,809
42.
An Improved Estimator for Black-Scholes-Merton Implied Volatility
ERIM Report Series No. ERS-2004-054-F&A
Number of pages: 21
Posted: 23 Jul 2004
Working Paper Series
Fintelligence CCT
Downloads
2,782
43.
A Brief History of Production Functions
Number of pages: 26
Posted: 10 Oct 2007
Last Revised: 07 Dec 2007
Working Paper Series
North-Eastern Hill University (NEHU)
There are 2 versions of this paper
A Brief History of Production Functions
Number of pages: 26
Posted: 10 Oct 2007
Last Revised: 07 Dec 2007
Downloads
2,761
A Brief History of Production Functions
The IUP Journal of Managerial Economics, Vol. VIII, No. 4, pp. 6-34, November 2010
Posted: 27 Jan 2011
Downloads
2,761
44.
Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments
Number of pages: 29
Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads
2,755
45.
General Diagnostic Tests for Cross Section Dependence in Panels
Number of pages: 41
Posted: 04 Aug 2004
Working Paper Series
University of Southern California - Department of Economics
Downloads
2,741
46.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,708
47.
Profitability and Royalty Rates Across Industries: Some Preliminary Evidence
KPMG Global Valuation Institute, November, 2012
Number of pages: 24
Posted: 10 Mar 2009
Last Revised: 20 Feb 2013
Accepted Paper Series
Independent and Intellectual Property Market Advisory Partners(IPMAP), LLC
Downloads
2,707
48.
Jurisdictional Competition for Trust Funds: An Empirical Analysis of Perpetuities and Taxes
Yale Law Journal, Vol. 115, p. 356, 2005, Northwestern Law & Econ Research Paper No. 05-07, NYU, Law and Economics Research Paper No. 05-26
Number of pages: 83
Posted: 14 Feb 2005
Accepted Paper Series
Harvard University - Harvard Law School and Northwestern University - Pritzker School of Law
There are 2 versions of this paper
Jurisdictional Competition for Trust Funds: An Empirical Analysis of Perpetuities and Taxes
Yale Law Journal, Vol. 115, p. 356, 2005, Northwestern Law & Econ Research Paper No. 05-07, NYU, Law and Economics Research Paper No. 05-26
Number of pages: 83
Posted: 14 Feb 2005
Downloads
2,598
Jurisdictional Competition for Trust Funds: An Empirical Analysis of Perpetuities and Taxes
NYU Working Paper No. CLB-06-034
Number of pages: 83
Posted: 31 Oct 2008
Downloads
120
Downloads
2,598
49.
Understanding the Fine Structure of Electricity Prices
Number of pages: 74
Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads
2,553
50.
Skewed Generalized Error Distribution of Financial Assets and Option Pricing
Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266
Number of pages: 50
Posted: 13 May 2000
Last Revised: 26 Aug 2019
Accepted Paper Series
Ball State University
Downloads
2,537
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