1.
Dealing with Logs and Zeros in Regression Models
CREST - Série des Documents de Travail n° 2019-13
Number of pages: 71
Posted: 05 Sep 2019
Last Revised: 05 Apr 2022
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), HEC MontrealCREST-ENSAE and Télécom Paris
Downloads
13,981
2.
The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications
Sauder School of Business Working Paper
Number of pages: 48
Posted: 16 Mar 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management
There are 2 versions of this paper
The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications
Sauder School of Business Working Paper
Number of pages: 48
Posted: 16 Mar 2000
Downloads
11,668
Downloads
11,668
3.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
10,967
4.
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg
There are 2 versions of this paper
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Downloads
8,492
Generalizable and Robust TV Advertising Effects
NBER Working Paper No. w27684
Number of pages: 42
Posted: 17 Aug 2020
Last Revised: 22 Feb 2023
Downloads
64
Downloads
8,492
5.
High Frequency Pairs Trading with U.S. Treasury Securities: Risks and Rewards for Hedge Funds
Number of pages: 27
Posted: 19 Jul 2004
Working Paper Series
London Business School
Downloads
7,121
6.
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
5,517
7.
Incrementality Bidding & Attribution
Number of pages: 40
Posted: 06 Mar 2018
Last Revised: 12 Mar 2018
Working Paper Series
Amazon and Netflix
Downloads
4,402
8.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Two Sigma
Downloads
3,973
9.
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42
Posted: 07 Jan 2007
Last Revised: 29 Jun 2018
Accepted Paper Series
Two Sigma, Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,885
10.
Evaluating Credit Risk Models
FRBSF Working Paper No. 99-06
Number of pages: 23
Posted: 27 Jul 1999
Working Paper Series
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads
3,857
11.
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 of Banking and Finance
Downloads
3,645
12.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
3,549
13.
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Downloads
3,515
Expected Stock Returns and Variance Risk Premia
Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33
Posted: 17 Sep 2009
Downloads
374
Downloads
3,515
14.
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45
Posted: 08 Jul 2005
Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads
3,370
15.
The Art of Natural Language Processing: Classical, Modern and Contemporary Approaches to Text Document Classification
Number of pages: 51
Posted: 31 Mar 2020
Working Paper Series
Dep. Management, Technology, and Economics ETH ZurichMobiliar Lab for Analytics at ETH and Mobiliar Lab for Analytics at ETH
Downloads
3,362
16.
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
3,224
17.
Relative Strength and Portfolio Management
Dorsey Wright Money Management, January 2012
Number of pages: 17
Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads
3,205
18.
Narrative Asset Pricing: Interpretable Systematic Risk Factors from News Text
Johns Hopkins Carey Business School Research Paper No. 21-09
Number of pages: 60
Posted: 02 Aug 2021
Last Revised: 09 Feb 2023
Working Paper Series
Yale School of Management, Yale SOM and Johns Hopkins University - Carey Business School
Downloads
3,041
19.
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
3,028
20.
Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Number of pages: 50
Posted: 18 Jun 2012
Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
3,024
21.
The Investment Opportunity Set and its Proxy Variables
Number of pages: 42
Posted: 23 Jan 2002
Last Revised: 28 Sep 2008
Working Paper Series
Humboldt University and Hong Kong University of Science and Technology
Downloads
3,001
22.
Alternatives to Deep Neural Networks in Finance
Number of pages: 57
Posted: 08 Nov 2021
Last Revised: 02 Jun 2022
Working Paper Series
Danske Bank - Danske Markets and NatWest MarketsImperial College London
Downloads
2,986
23.
Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46
Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads
2,962
24.
Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014
Number of pages: 24
Posted: 28 Feb 2013
Last Revised: 02 Mar 2016
Working Paper Series
Charles University in Prague - Faculty of Mathematics and Physics
Downloads
2,932
25.
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Number of pages: 24
Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads
2,889
26.
Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models
Number of pages: 61
Posted: 04 Dec 2019
Last Revised: 22 Jun 2022
Working Paper Series
London Business School - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and London School of Economics & Political Science (LSE) - Department of Finance
Downloads
2,882
27.
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates
There are 2 versions of this paper
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Downloads
2,841
Downloads
2,841
28.
Constructing Cointegrated Cryptocurrency Portfolios for Statistical Arbitrage
Studies in Economics and Finance, Vol. 36 No. 3, pp. 581-599 (2019)
Number of pages: 20
Posted: 31 Aug 2018
Last Revised: 12 Nov 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Computational Finance and Risk Management
Downloads
2,817
29.
Identifying and Treating Outliers in Finance
Financial Management (2019), 48(2), 345-384.
Number of pages: 64
Posted: 16 Jun 2017
Last Revised: 21 Sep 2021
Accepted Paper Series
University of Texas at Arlington, University of Georgia - Department of Insurance, Legal Studies, Real Estate, Virginia Tech, National University of Singapore - Dept of Accounting and FUNDP - University of Namur. CRED
Downloads
2,807
30.
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
2,635
31.
Long-Term Investing in Triple Leveraged Exchange Traded Funds
Number of pages: 15
Posted: 13 Jan 2021
Working Paper Series
Independent
Downloads
2,623
32.
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Downloads
2,560
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
CREATES Research Paper 2007-16
Number of pages: 48
Posted: 23 Jun 2008
Last Revised: 25 Sep 2009
Downloads
388
Downloads
2,560
33.
Static Hedging of Standard Options
NYU Tandon Research Paper No. 585451
Number of pages: 61
Posted: 02 Sep 2004
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
2,513
34.
Stock Return Predictability: Is it There?
Number of pages: 53
Posted: 23 Mar 2001
Working Paper Series
Columbia University - Columbia Business School, Finance and BlackRock, Inc
There are 2 versions of this paper
Stock Return Predictability: Is it There?
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 05 Dec 2022
Downloads
586
Downloads
2,507
35.
An Empirical Study of Exposure at Default
Number of pages: 36
Posted: 23 Jun 2008
Last Revised: 15 Feb 2010
Working Paper Series
PNC Financial Services Group
Downloads
2,492
36.
NETS: Network Estimation for Time Series
Number of pages: 35
Posted: 14 Apr 2013
Last Revised: 19 Oct 2018
Working Paper Series
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads
2,489
37.
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Number of pages: 37
Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads
2,475
38.
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
2,463
39.
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments
EFA 2006 Zurich Meetings Paper
Number of pages: 60
Posted: 24 May 2006
Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads
2,458
40.
Did the COVID-19 Pandemic Trigger Nostalgia? Evidence of Music Consumption on Spotify
Number of pages: 34
Posted: 23 Aug 2020
Last Revised: 27 Apr 2023
Working Paper Series
Faculty of Law, KU Leuven
Downloads
2,457
41.
Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates
Number of pages: 28
Posted: 19 Sep 2010
Last Revised: 27 Jan 2013
Working Paper Series
University of North Carolina at Wilmington, Monfort College of Business, University of Northern Colorado and Trinity Business School, Trinity College Dublin
Downloads
2,377
42.
Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices
Number of pages: 12
Posted: 05 Mar 2018
Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads
2,360
43.
Peeking into the Black Box: An Actuarial Case Study for Interpretable Machine Learning
Number of pages: 40
Posted: 05 Jun 2020
Working Paper Series
Schweizerische Mobiliar Versicherungsgesellschaft and Schweizerische Mobiliar Versicherungsgesellschaft
Downloads
2,324
44.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,310
45.
An Artificial Neural Network Representation of the SABR Stochastic Volatility Model
Number of pages: 24
Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads
2,254
46.
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
2,253
47.
Deeply Learning Derivatives
Number of pages: 14
Posted: 09 Oct 2018
Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads
2,214
48.
Machine-Learning in the Chinese Stock Market
Number of pages: 88
Posted: 18 Feb 2021
Last Revised: 12 Jul 2021
Working Paper Series
University of Zurich, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads
2,183
49.
Machine Learning for Predicting Stock Return Volatility
Swiss Finance Institute Research Paper No. 21-95
Number of pages: 63
Posted: 30 Dec 2021
Working Paper Series
École Polytechnique Fédérale de Lausanne and École Polytechnique Fédérale de Lausanne
Downloads
2,175
50.
Machine Learning at Central Banks
Bank of England Working Paper No. 674
Number of pages: 89
Posted: 06 Sep 2017
Working Paper Series
Bank of England and Bank of England
Downloads
2,173
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