1.
On Default Correlation: A Copula Function Approach
Number of pages: 28
Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads
8,141
2.
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
5,898
3.
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, King's College London and University of Toronto - Department of Statistics
Downloads
5,616
4.
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
5,467
5.
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
4,997
6.
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
4,543
7.
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
4,103
8.
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 affiliation not provided to SSRN
There are 2 versions of this paper
Downloads
3,997
9.
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
3,908
10.
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
3,216
11.
Momentum with Volatility Timing
Number of pages: 18
Posted: 10 Jul 2019
Working Paper Series
VKY Analytics, LLC
Downloads
2,781
12.
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), Wisconsin School of Business, University of Wisconsin-Madison and Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research
There are 2 versions of this paper
Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options
Number of pages: 47
Posted: 22 Mar 1999
Downloads
2,617
Downloads
2,617
13.
Trends and Cycles of Style Factors in the 20th and 21st Centuries
Number of pages: 51
Posted: 12 Dec 2022
Last Revised: 20 Dec 2022
Working Paper Series
BlackRock, Inc
Downloads
1,885
14.
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
There are 2 versions of this paper
The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management
Number of pages: 21
Posted: 13 Apr 2001
Downloads
1,545
The Duration Derby: A Comparison of Duration-Based Strategies in Asset Liability Management
Journal of Bond Trading & Management, Vol. 1, No. 4, pp. 371-80, April 2003
Posted: 17 Sep 2003
Downloads
1,545
15.
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
1,416
16.
Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp
Number of pages: 98
Posted: 31 Jan 2018
Last Revised: 30 Nov 2021
Working Paper Series
Western University and University of Southern California
Downloads
1,375
17.
Survival, Growth, and Interfirm Collaboration of Start-Up Companies in High-Technology Industries: A Case Study of Upper Bavaria
Number of pages: 36
Posted: 03 Sep 2001
Working Paper Series
Ludwig Maximilian University of Munich (LMU) and Munich University of Technology (TU München) - Department of Business and Economics
Downloads
1,301
18.
Optimal Trading with a Trailing Stop
Applied Mathematics and Optimization, to appear, 2019
Number of pages: 26
Posted: 10 Jan 2017
Last Revised: 21 Feb 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads
1,291
19.
Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
Journal of Empirical Finance, Vol. 16, No. 5, 2009
Number of pages: 39
Posted: 08 Dec 2005
Last Revised: 05 Jan 2023
Accepted Paper Series
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads
1,275
20.
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 affiliation not provided to SSRN
Downloads
1,247
21.
Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature
Journal of Economic Surveys 22, 4, 711-751
Number of pages: 60
Posted: 28 Sep 2006
Last Revised: 05 Jan 2023
Accepted Paper Series
Dalhousie University - Rowe School of Business
Downloads
1,202
22.
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 - Research Department
Downloads
1,110
23.
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
1,086
24.
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
1,085
25.
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
Stanford Graduate School of Business, Stanford University - Graduate School of BusinessUniversity of Colorado - Leeds School of BusinessUniversity of Cambridge Judge Business School and Stanford University - Graduate School of Business
Downloads
1,056
26.
Determinants of Unemployment Duration for Men and Women in Turkey
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
1,024
27.
Signature Trading: A Path-Dependent Extension of the Mean-Variance Framework with Exogenous Signals
Number of pages: 41
Posted: 27 Aug 2023
Last Revised: 30 Aug 2023
Working Paper Series
Imperial College London - Department of Mathematics, Mathematical Institute, University of Oxford and Oxford Man Institute and University of Kaiserslautern - Department of Mathematics
Downloads
1,011
28.
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
1,006
29.
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 - Research Department
Downloads
1,004
30.
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 EconomicsCopenhagen Business School
Downloads
972
31.
Exploring the Sources of Default Clustering
Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73
Posted: 05 May 2008
Last Revised: 31 Jul 2018
Accepted Paper Series
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads
971
32.
Bank Failure Prediction: A Two-Step Survival Time Approach
Number of pages: 33
Posted: 24 May 2006
Working Paper Series
University of Luxembourg and Raiffeisen Bank International
Downloads
956
33.
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
897
34.
Modeling Bankruptcy Prediction Using Cox Regression Model with Time-Varying Covariates
Number of pages: 37
Posted: 09 Mar 2008
Working Paper Series
University of Sydney - School of Business - Finance Discipline and University of Sydney Business School
Downloads
886
35.
Multiperiod Corporate Default Prediction - A Forward Intensity Approach
Number of pages: 48
Posted: 26 Mar 2011
Last Revised: 18 May 2012
Working Paper Series
National University of Singapore (NUS) - Business School and Risk Management Institute, Oversea-Chinese Banking Corporation Limited and National University of Singapore (NUS) - Department of Finance
Downloads
829
36.
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
821
37.
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
791
38.
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
There are 2 versions of this paper
What Determines the Number of Bank Relationships? Cross-Country Evidence
Number of pages: 51
Posted: 01 May 1998
Downloads
790
Downloads
790
39.
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 affiliation not provided to SSRN
There are 2 versions of this paper
Order Aggressiveness and Order Book Dynamics
University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31
Posted: 14 Jun 2005
Downloads
787
Downloads
787
40.
Timing and Holding Periods for Common Stocks: A Duration-Based Analysis
Number of pages: 47
Posted: 26 Oct 2004
Working Paper Series
European Central Bank (ECB) and Nova School of Business and Economics
Downloads
774
41.
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 Wisconsin School of Business, University of Wisconsin-Madison
Downloads
769
42.
A Survival Analysis of Islamic and Conventional Banks
Journal of Financial Services Research, Forthcoming
Number of pages: 38
Posted: 31 May 2012
Last Revised: 11 Sep 2019
Working Paper Series
University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and Bayes Business School, City, University of London
Downloads
768
43.
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
There are 2 versions of this paper
Downloads
759
Liquidity Supply and Demand in Limit Order Markets
Number of pages: 55
Posted: 17 Jan 2003
Downloads
39
Downloads
759
44.
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
756
45.
Financial Time Series Analysis and Forecasting with HHT Feature Generation and Machine Learning
Applied Stochastic Models in Business and Industry
Number of pages: 28
Posted: 05 Jun 2020
Last Revised: 24 Apr 2021
Accepted Paper Series
University of Washington - Department of Applied Math and University of Washington, Dept. of Applied Mathematics
Downloads
750
46.
Credit Factor Investing with Machine Learning Techniques
Number of pages: 50
Posted: 26 Jul 2022
Working Paper Series
Amundi Institute, Amundi Institute, Amundi Asset Management and Amundi Asset Management
Downloads
741
47.
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 Board of Governors of the Federal Reserve System
There are 2 versions of this paper
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
Downloads
740
Multi-Period Corporate Default Prediction with Stochastic Covariates
NBER Working Paper No. w11962
Number of pages: 46
Posted: 24 Apr 2006
Last Revised: 09 Sep 2022
Downloads
91
Downloads
740
48.
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
725
49.
Bank Relationships and Firm Profitability
Number of pages: 37
Posted: 13 Apr 1999
Working Paper Series
KU Leuven - Faculty of Business and Economics (FEB) and University of Zurich - Department of Banking and Finance
Downloads
721
50.
Intelligence, Self-Confidence and Entrepreneurship
IFN Working Paper No. 887
Number of pages: 32
Posted: 03 May 2012
Working Paper Series
Charles River Associates
Downloads
718
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