1.
A Simplified Approach to Understanding the Kalman Filter Technique
Number of pages: 24
Posted: 07 May 2005
Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads
21,117
2.
Easy Volatility Investing
Number of pages: 34
Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads
19,464
3.
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
Number of pages: 49
Posted: 08 May 2008
Last Revised: 19 Jun 2014
Working Paper Series
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Downloads
12,920
4.
The Micro-Price: A High Frequency Estimator of Future Prices
Number of pages: 14
Posted: 19 May 2017
Last Revised: 03 Jun 2020
Working Paper Series
Cornell Financial Engineering Manhattan
Downloads
12,276
5.
Augmented Dickey Fuller Test
Number of pages: 19
Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads
12,168
6.
The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies
ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55
Posted: 05 Aug 2002
Working Paper Series
University of Sussex Business School and University of Reading - ISMA Centre
Downloads
11,343
7.
MS_Regress - The MATLAB Package for Markov Regime Switching Models
Number of pages: 40
Posted: 26 Nov 2010
Last Revised: 09 Jan 2024
Working Paper Series
Escola de Administração - UFRGS
Downloads
10,732
8.
What Drives Housing Price Dynamics: Cross-Country Evidence
BIS Quarterly Review, March 2004
Number of pages: 14
Posted: 04 May 2012
Last Revised: 29 Sep 2013
Accepted Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads
9,226
9.
A Stochastic Model for Order Book Dynamics
Number of pages: 23
Posted: 26 Sep 2008
Last Revised: 31 Aug 2009
Working Paper Series
University of Oxford, Cornell Financial Engineering Manhattan and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads
9,124
10.
Countries which Primarily Use Antimalarial Drugs As COVID-19 Treatment See Slower Dynamic of Daily Deaths
Number of pages: 16
Posted: 11 Mar 2021
Working Paper Series
CEMI-Robert de Sorbon / Lycée Germaine Tillon
Downloads
8,701
11.
Lucky Factors
Number of pages: 99
Posted: 22 Nov 2014
Last Revised: 08 Apr 2021
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
8,531
12.
The Impact of Inflation, GDP, Unemployment, and Money Supply On Stock Prices
Number of pages: 58
Posted: 30 Dec 2009
Working Paper Series
Arab Bank, Syria
Downloads
7,071
13.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
5,888
14.
Determinants of Bank Profitability: Macroeconomic Evidence from Nigeria
Number of pages: 34
Posted: 19 Aug 2008
Last Revised: 03 Sep 2008
Working Paper Series
Deakin University
Downloads
5,539
15.
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Number of pages: 25
Posted: 19 Feb 2009
Last Revised: 17 Jul 2009
Working Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
There are 2 versions of this paper
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Number of pages: 25
Posted: 19 Feb 2009
Last Revised: 17 Jul 2009
Downloads
4,998
Dynamic Strategic Asset Allocation: Risk and Return Across Economic Regimes
Journal of Asset Management, Vol. 12, No. 5, pp. 360-375, 2011
Posted: 10 Oct 2011
Downloads
4,998
16.
Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks
Number of pages: 34
Posted: 19 Jan 2023
Last Revised: 24 May 2023
Working Paper Series
University of Oxford, University of Oxford - Department of Statistics and University of Oxford - Mathematical Institute
Downloads
4,729
17.
Predictive Regressions: A Present-Value Approach
Number of pages: 48
Posted: 04 Mar 2007
Last Revised: 15 Sep 2013
Working Paper Series
University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business
There are 2 versions of this paper
Predictive Regressions: A Present-Value Approach
Number of pages: 48
Posted: 04 Mar 2007
Last Revised: 15 Sep 2013
Downloads
4,418
Predictive Regressions: A Present-Value Approach
NBER Working Paper No. w16263
Number of pages: 60
Posted: 16 Aug 2010
Last Revised: 10 Jun 2023
Downloads
159
Downloads
4,418
18.
Discretionary-Accruals Models and Audit Qualifications
Number of pages: 41
Posted: 06 Mar 2000
Working Paper Series
NYU Stern School of Business, Monash University Sunway Campus and Hong Kong Polytechnic University - School of Accounting and Finance
There are 2 versions of this paper
Discretionary-Accruals Models and Audit Qualifications
Number of pages: 41
Posted: 06 Mar 2000
Downloads
4,145
Discretionary-Accruals Models and Audit Qualifications
Journal of Accounting and Economics, Vol 30, No 3, December 2000
Posted: 14 Mar 2001
Downloads
4,145
19.
How to Time the Commodity Market
Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010, WBS Finance Group Research Paper No. 66
Number of pages: 16
Posted: 22 Jun 2006
Last Revised: 23 Dec 2019
Working Paper Series
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads
3,918
20.
The Macroeconomic Effects of Oil Supply News: Evidence from OPEC Announcements
Number of pages: 92
Posted: 16 Jun 2018
Last Revised: 31 Dec 2020
Working Paper Series
Northwestern University
Downloads
3,863
21.
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
3,830
22.
The Effects of Traditional and Social Earned Media on Sales: A Study of a Microlending Marketplace
Journal of Marketing Research, 49 (October).
Number of pages: 68
Posted: 29 Sep 2009
Last Revised: 05 Aug 2014
Accepted Paper Series
University of Oxford - Said Business School and Carnegie Mellon University
Downloads
3,815
23.
Deriving Value from Social Commerce Networks
Journal of Marketing Research, Forthcoming
Number of pages: 57
Posted: 25 Jun 2008
Last Revised: 22 Jun 2014
Working Paper Series
University of Oxford - Said Business School and Columbia University - Columbia Business School, Marketing
Downloads
3,812
24.
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
Number of pages: 45
Posted: 26 Nov 2006
Last Revised: 21 Dec 2009
Accepted Paper Series
University of Edinburgh Business School and University of Zurich - Department Finance
Downloads
3,702
25.
Downside Correlation and Expected Stock Returns
EFA 2002 Berlin Meetings Presented Paper; USC Finance & Business Econ. Working Paper No. 01-25
Number of pages: 47
Posted: 09 Nov 2001
Working Paper Series
BlackRock, Inc, University of California, Davis - Graduate School of Management and Rice University
Downloads
3,628
26.
Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity
Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10
Posted: 14 Oct 2010
Last Revised: 11 Oct 2012
Accepted Paper Series
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
Downloads
3,591
27.
Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask
European Journal of Finance, Forthcoming
Number of pages: 35
Posted: 01 Feb 2011
Accepted Paper Series
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics (Moscow)
Downloads
3,500
28.
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
3,286
29.
Algorithmic Trading of Co-Integrated Assets
International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17
Posted: 01 Aug 2015
Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads
3,190
30.
The Case of Gold and Silver: A New Algorithm for Pairs Trading
Number of pages: 7
Posted: 10 Apr 2013
Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads
3,069
31.
Simple and Effective Market Timing with Tactical Asset Allocation
Number of pages: 13
Posted: 17 May 2014
Working Paper Series
Independent
Downloads
3,006
32.
Stock Market Fluctuations and the Business Cycle
Number of pages: 31
Posted: 24 Sep 2001
Working Paper Series
University of California Riverside
There are 2 versions of this paper
Stock Market Fluctuations and the Business Cycle
Number of pages: 31
Posted: 24 Sep 2001
Downloads
2,987
Downloads
2,987
33.
Regime Switches in Interest Rates
Number of pages: 70
Posted: 01 Jun 1998
Working Paper Series
Columbia University - Columbia Business School, Finance and BlackRock, Inc
There are 2 versions of this paper
Regime Switches in Interest Rates
NBER Working Paper No. w6508
Number of pages: 71
Posted: 12 Jul 2000
Last Revised: 15 Oct 2022
Downloads
434
Downloads
2,872
34.
Dynamic Volatility Trading Strategies in the Currency Option Market Using Stochastic Volatility Forecasts
Number of pages: 33
Posted: 03 Jun 1999
Working Paper Series
Greenwich Capital Markets, Inc.
Downloads
2,777
35.
An E-Arch Model for the Term Structure of Implied Volatility of FX Options
Number of pages: 25
Posted: 01 Apr 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads
2,764
36.
The Flash Crash: A New Deconstruction
Number of pages: 53
Posted: 26 Jan 2016
Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford Law School and Yale University
Downloads
2,672
37.
Realized Volatility
FRB of Chicago Working Paper No. 2008-14
Number of pages: 29
Posted: 12 Feb 2008
Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads
2,528
38.
NETS: Network Estimation for Time Series
Number of pages: 35
Posted: 14 Apr 2013
Last Revised: 19 Oct 2018
Working Paper Series
University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads
2,515
39.
Systemic Risk in Europe
Review of Finance (2015) 19(1), 145-190
Number of pages: 55
Posted: 22 Dec 2012
Last Revised: 09 Feb 2016
Accepted Paper Series
New York University (NYU) - Department of Finance, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads
2,384
40.
Generalized Autoregressive Score Models in R: The GAS Package
Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28
Posted: 21 Aug 2016
Last Revised: 04 Feb 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads
2,382
41.
International Asset Allocation with Time-Varying Correlations
Number of pages: 80
Posted: 07 Apr 1999
Working Paper Series
Columbia University - Columbia Business School, Finance and BlackRock, Inc
There are 2 versions of this paper
International Asset Allocation with Time-Varying Correlations
Number of pages: 80
Posted: 07 Apr 1999
Downloads
2,341
International Asset Allocation with Time-Varying Correlations
NBER Working Paper No. w7056
Number of pages: 65
Posted: 15 Sep 2000
Last Revised: 14 Oct 2022
Downloads
443
Downloads
2,341
42.
Interaction of European Carbon Trading and Energy Prices
FEEM Working Paper No. 63.2007
Number of pages: 23
Posted: 15 Jun 2007
Last Revised: 26 May 2014
Working Paper Series
London Business School and University of East Anglia (UEA) - School of Environmental Sciences
Downloads
2,304
43.
Macro Factors in the Term Structure of Credit Spreads
BIS Working Paper No. 203
Number of pages: 68
Posted: 20 Sep 2007
Working Paper Series
Goldman Sachs International and affiliation not provided to SSRN
Downloads
2,302
44.
On the Persistence of Cointegration in Pairs Trading
Number of pages: 25
Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads
2,270
45.
The Good News and the Bad News About Long-Run Stock Market Returns
Number of pages: 44
Posted: 05 Nov 1998
Working Paper Series
Birkbeck College, University of London and Cambridge University - Department of Economics
Downloads
2,267
46.
Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities
Number of pages: 24
Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads
2,248
47.
Did Quantitative Easing Only Inflate Stock Prices? Macroeconomic Evidence from the US and UK
Number of pages: 48
Posted: 14 Sep 2016
Last Revised: 23 Feb 2018
Working Paper Series
Henley Business School - ICMA Centre, University of Reading - ICMA Centre, University of Reading - Henley Business School and University of Reading - ICMA Centre
Downloads
2,238
48.
False (and Missed) Discoveries in Financial Economics
Number of pages: 61
Posted: 21 Nov 2017
Last Revised: 08 Jun 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
2,175
49.
Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?
Number of pages: 40
Posted: 22 Jul 2009
Last Revised: 09 Jul 2011
Working Paper Series
New York University - Stern School of Business, SUNY College at Plattsburgh and SUNY College at Plattsburgh - School of Business and Economics
Downloads
2,152
50.
Momentum Without Crashes
Swiss Finance Institute Research Paper No. 22-87
Number of pages: 53
Posted: 18 Nov 2022
Last Revised: 23 Nov 2022
Working Paper Series
University of Zurich - Department Finance, University of Zurich - Department Finance, Stony Brook University-Department of Applied Mathematics and Statistics and University of Zurich, Department of Banking and Finance
Downloads
2,149
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.