1.
Surprised by the Gambler's and Hot Hand Fallacies? A Truth in the Law of Small Numbers
Miller, J. B., & Sanjurjo, A. (2018). Surprised by the hot hand fallacy? A truth in the law of small numbers. Econometrica, Vol. 86, No.6, pp. 2019–2047
Number of pages: 42
Posted: 07 Jul 2015
Last Revised: 17 Dec 2018
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads
22,250
2.
Modelling Operational Risk
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 23
Posted: 11 Dec 2001
Last Revised: 06 Jan 2010
Working Paper Series
Zurich Cantonal Bank, University of Basel, ETH Zürich - Department of Mathematics and Zurich Cantonal Bank
Downloads
6,042
3.
The Quantification of Operational Risk
Number of pages: 38
Posted: 30 Dec 2003
Working Paper Series
University of Zurich and University of Basel
Downloads
4,487
4.
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
5.
The Structure of the Toyota Supply Network: An Empirical Analysis
Saïd Business School WP 2014-3
Number of pages: 24
Posted: 23 Mar 2014
Last Revised: 18 Apr 2020
Working Paper Series
Waseda UniversityUniversity of Oxford - Said Business School, Cranfield University, Said Business School and University of Oxford - Said Business School
Downloads
4,372
6.
ARCH, GARCH and EGARCH Models: Applications to Financial Series
Cuadernos de Economía, Vol. 27, No. 48, 2008
Number of pages: 33
Posted: 27 Aug 2008
Accepted Paper Series
Universidad de los Andes, Colombia - Department of Economics and National University of Colombia
Downloads
3,303
7.
Using Machine Learning to Predict Outcomes in Tax Law
Number of pages: 23
Posted: 20 Oct 2016
Last Revised: 19 Dec 2017
Working Paper Series
University of Toronto - Faculty of Law, University of Toronto - Faculty of Law and University of Toronto Faculty of Law
Downloads
2,499
8.
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
2,482
9.
LexNLP: Natural Language Processing and Information Extraction For Legal and Regulatory Texts
Number of pages: 7
Posted: 21 Jun 2018
Working Paper Series
273 Ventures, Illinois Tech - Chicago Kent College of Law and LexPredict, LLC
Downloads
2,377
10.
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15
Posted: 18 Nov 2002
Last Revised: 15 Feb 2011
Accepted Paper Series
University of Basel, Zurich Cantonal Bank, Zurich Cantonal Bank and ETH Zürich - Department of Mathematics
There are 2 versions of this paper
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, pp. 1-16, 2003
Number of pages: 15
Posted: 18 Nov 2002
Last Revised: 15 Feb 2011
Downloads
2,351
Operational Risk: A Practitioner's View
Journal of Risk, Vol. 5, No. 3, Spring 2003
Posted: 18 Jun 2003
Downloads
2,351
11.
A Simple Model of Credit Contagion
EFA 2004 Maastricht Meetings
Number of pages: 55
Posted: 05 Jan 2004
Last Revised: 18 Dec 2008
Working Paper Series
University of Zurich, QuantAlea GmbH and University of Basel
Downloads
2,209
12.
The Model Confidence Set
Number of pages: 41
Posted: 30 Mar 2004
Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads
2,039
13.
Interpolation Schemes in the Displaced-Diffusion LIBOR Market Model and the Efficient Pricing and Greeks for Callable Range Accruals
Number of pages: 46
Posted: 26 Aug 2009
Last Revised: 27 Feb 2010
Working Paper Series
University of Melbourne - Centre for Actuarial Studies and University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
1,986
14.
Quanto Pricing with Copulas
University of Warwick Statistics Department Research Report No. 415
Number of pages: 44
Posted: 25 Jul 2003
Working Paper Series
Bank of America and University of Warwick - Department of Statistics
Downloads
1,944
15.
From Operational Risk to Operational Excellence
Number of pages: 18
Posted: 20 Jul 2003
Working Paper Series
University of Basel, University of Zurich and Swiss National Bank, International Monetary Relations
Downloads
1,769
16.
Using Monte Carlo Simulation and Importance Sampling to Rapidly Obtain Jump-Diffusion Prices of Continuous Barrier Options
Number of pages: 15
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and University College London
Downloads
1,661
17.
Foreign Direct Investment and Macroeconomic Factors: Evidence From the Indian Economy
Asia-Pacific Journal of Management Research and Innovation, 2015, Vol. 11 No. 01, pp. 46-56
Number of pages: 12
Posted: 19 Nov 2012
Last Revised: 01 May 2015
Accepted Paper Series
Department of Commerce, Delhi School of Economics,University of Delhi, IndiaUniversity of Delhi India - Delhi School of Economics - Department of Commerce, Hansraj College, University of Delhi and University of Delhi - Department of Commerce
Downloads
1,647
18.
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
1,593
19.
Confidence Intervals for Cronbach's Coefficient Alpha Values
ERIM Report Series Reference No. ERS-2003-041-MKT
Number of pages: 47
Posted: 26 Aug 2006
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads
1,450
20.
Statactivism: Forms of Action between Disclosure and Affirmation
Bruno Isabelle, Didier Emmanuel and Vitale Tommaso (2014), "Statactivism: forms of action between disclosure and affirmation", in Partecipazione e conflitto. The Open Journal of Sociopolitical Studies, vol. 7, n. 2, pp. 198-220. DOI: 10.1285/i20356609v7i2p198. e-ISSN: 2035-6609.
Number of pages: 23
Posted: 17 Jul 2014
Accepted Paper Series
Université Lille 2, Ecole des Hautes Etudes en Sciences Sociales (EHESS) and Sciences Po
Downloads
1,345
21.
Computation of Multiple Correspondence Analysis, with Code in R
UPF Working Paper No. 887
Number of pages: 23
Posted: 15 Nov 2005
Working Paper Series
University of Goettingen (Gottingen) and Universitat Pompeu Fabra (UPF) - Faculty of Economic and Business Sciences
Downloads
1,260
22.
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Number of pages: 43
Posted: 02 Nov 1999
Working Paper Series
State University of New York at Buffalo - Department of Economics and SUNY at Buffalo, College of Arts & Sciences, Department of Economics
There are 2 versions of this paper
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Number of pages: 43
Posted: 02 Nov 1999
Downloads
1,205
Sensitivity Analyses of the Deterrence Hypothesis: Let's Keep the Econ in Econometrics
Journal of Law & Economics, Vol. 42, No. 1, pp. 455-87, April 1999
Number of pages: 34
Posted: 07 Feb 2007
Downloads
546
Downloads
1,205
23.
An Intuitive Guide to Wavelets for Economists
Bank of Finland Research Discussion Paper No. 1/2005
Number of pages: 71
Posted: 30 Aug 2005
Working Paper Series
Texas A&M University - Corpus Christi
Downloads
1,180
24.
Scenario Based Principal Component Value-at-Risk: An Application to Italian Banks' Interest Rate Risk Exposure
Bank of Italy Economic Research Paper No. 602
Number of pages: 55
Posted: 06 Oct 2006
Working Paper Series
Bank of Italy and Bank of Italy
Downloads
1,166
25.
New and Robust Drift Approximations for the Libor Market Model
Number of pages: 17
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads
1,157
26.
Asymmetry between Uptrend and Downtrend Identification: A Tale of Moving Average Trading Strategy
Number of pages: 15
Posted: 24 Jan 2017
Working Paper Series
affiliation not provided to SSRN
Downloads
1,148
27.
Option Pricing and the Dirichlet Problem
Number of pages: 5
Posted: 20 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
1,092
28.
Intensity Gamma: A New Approach to Pricing Portfolio Credit Derivatives
Number of pages: 14
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and Lehman Brothers International, Europe
Downloads
1,087
29.
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
1,057
30.
Risk Aversion and Skewness Preference: A Comment
ERIM Report Series Reference No. ERS-2003-009-F&A, Journal of Banking and Finance, Vol. 32, No. 7, pp. 1178-1187, 2008
Number of pages: 19
Posted: 23 Feb 2006
Working Paper Series
Graduate School of Business of Nazarbayev University, Robeco Quantitative Investments and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
1,047
31.
Globally-Consistent Rule-Based Summary-Explanations for Machine Learning Models: Application to Credit-Risk Evaluation
https://www.jmlr.org/papers/volume24/21-0488/21-0488.pdf
Number of pages: 44
Posted: 12 Jun 2019
Last Revised: 23 Jan 2023
Accepted Paper Series
Duke University - Department of Computer Science and University of Rochester - Simon Business School
Downloads
1,041
32.
Business and Default Cycles for Credit Risk
Tinbergen Institute Discussion Paper No. 03-062/2
Number of pages: 23
Posted: 29 Sep 2003
Working Paper Series
Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads
1,036
33.
The Rasch Model to Measure Service Quality
UNIMI Economics Working Paper No. 27.2003
Number of pages: 18
Posted: 23 Dec 2004
Working Paper Series
University of Milan - Department of Business Policy and Economics (DEPA), Universita degli Studi di Milano and Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica
Downloads
1,015
34.
Effective Implementation of Generic Market Models
Number of pages: 16
Posted: 12 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased) and UBM - Financial Risks
Downloads
1,011
35.
Value-at-Risk Model Risk
Number of pages: 24
Posted: 09 Feb 2011
Working Paper Series
University of Sussex Business School and University of Cantabria - Department of Economics
Downloads
993
36.
Portfolio Optimization with Respect to Risk Diversification
Number of pages: 7
Posted: 16 Nov 2008
Working Paper Series
HQ Trust GmbH
Downloads
961
37.
The Value of Data: Analyst Vs. Machine
Number of pages: 84
Posted: 27 Jun 2019
Last Revised: 12 Sep 2024
Working Paper Series
Stevens Institute of Technology - School of Business, Wayne State University - Mike Ilitch School of Business, Stevens Institute of Technology - School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads
945
38.
The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box
Number of pages: 61
Posted: 24 Nov 2006
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads
936
39.
Monte Carlo Bounds for Callable Products with Non-Analytic Break Costs
Number of pages: 10
Posted: 13 Jun 2006
Working Paper Series
University of Melbourne - Centre for Actuarial Studies (deceased)
Downloads
898
40.
Portfolio Credit Risk and Macroeconomic Shocks: Applications to Stress Testing Under Data-Restricted Environments
IMF Working Paper No. 06/283
Number of pages: 52
Posted: 12 Jan 2007
Working Paper Series
International Monetary Fund (IMF) - Monetary and Financial Systems Department and Universidad Nacional Autónoma de México (UNAM)
Downloads
884
41.
Building Trust in Ecommerce - Quantitative Analysis
Number of pages: 27
Posted: 23 Dec 2004
Working Paper Series
Kossecki Tax Planning
Downloads
876
42.
Implied Volatility from Asian Options Via Monte Carlo Methods
Number of pages: 33
Posted: 19 Jan 2007
Last Revised: 03 Jan 2008
Working Paper Series
University of Glasgow, Southern University of Science and Technology - Department of Finance and University of Freiburg - Department of Economics
There are 2 versions of this paper
Implied Volatility from Asian Options Via Monte Carlo Methods
Number of pages: 33
Posted: 19 Jan 2007
Last Revised: 03 Jan 2008
Downloads
857
Implied Volatility from Asian Options Via Monte Carlo Methods
International Journal of Theoretical and Applied Finance, Vol. 12, No. 2, pp. 153-178, 2009
Posted: 02 Dec 2009
Downloads
857
43.
An Asymmetric Distribution with Zero Skewness
Number of pages: 3
Posted: 29 Nov 2014
Working Paper Series
University of Southern California - Center for Economic and Social Research (CESR)
Downloads
854
44.
A Formative Model for Measuring Customer Satisfaction with a Degree Course
UNIMI Economics Working Paper No. 23.2003
Number of pages: 16
Posted: 14 Jan 2005
Working Paper Series
Universita degli Studi di Milano - Dipartimento Economia Politica e Aziendale - Sezione di Statistica e Matematica and Universita degli Studi di Milano
Downloads
835
45.
A Mathematical Approach to the Study of the United States Code
Physica A, Vol. 389, 2010
Number of pages: 6
Posted: 29 Mar 2010
Last Revised: 02 Aug 2012
Accepted Paper Series
273 Ventures and Illinois Tech - Chicago Kent College of Law
Downloads
827
46.
Black-Litterman End-to-End
Number of pages: 25
Posted: 07 Aug 2023
Last Revised: 02 May 2024
Working Paper Series
Department of Economics, University of Pittsburgh and Princeton University
Downloads
827
47.
Banking Stability Determinants in Africa
International Journal of Managerial Finance, Vol. 14, 2018
Number of pages: 27
Posted: 26 Feb 2018
Accepted Paper Series
Researcher
Downloads
826
48.
Exploring the CDS-Bond Basis
National Bank of Belgium Working Paper No. 104
Number of pages: 41
Posted: 07 Oct 2010
Working Paper Series
affiliation not provided to SSRN
Downloads
824
49.
Beyond ‘Bayesian vs. Var’ Dilemma to Empirical Model Risk Management: Managing Risk for Hedge Funds
Malhotra, Yogesh. Beyond 'Bayesian vs. VaR' Dilemma to Empirical Model Risk Management: Managing Risk for Hedge Funds, IUP Journal of Financial Risk Management. Jun 2022, Vol. 19 Issue 2, p 5-51. 47p.
Number of pages: 52
Posted: 16 Dec 2014
Last Revised: 09 Jan 2023
Accepted Paper Series
Global Risk Management Network, LLC
Downloads
818
50.
Optimal Credit Limit Management Under Different Information Regimes
Number of pages: 29
Posted: 12 Oct 2003
Working Paper Series
University of Zurich, University of Basel and Zurich Cantonal Bank
Downloads
815
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