1.
Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations
"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49
Posted: 02 Sep 2012
Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads
14,854
2.
Stress-Testing Financial Systems: An Overview of Current Methodologies
BIS Working Paper No. 165
Number of pages: 41
Posted: 20 Sep 2007
Working Paper Series
World Bank Group - International Finance Corporation
Downloads
7,299
3.
Computational Antitrust: An Introduction and Research Agenda
Stanford Computational Antitrust (Vol. 1) 2021
Number of pages: 15
Posted: 19 Jan 2021
Accepted Paper Series
Vrije Universiteit Amsterdam
Downloads
4,948
4.
Predicting Stock Market Returns Using the Shiller CAPE — An Improvement Towards Traditional Value Indicators?
Number of pages: 39
Posted: 24 Feb 2016
Working Paper Series
Taunus Trust GmbH
Downloads
4,590
5.
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46
Posted: 22 Mar 2009
Last Revised: 24 Jun 2012
Accepted Paper Series
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics
There are 2 versions of this paper
What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46
Posted: 22 Mar 2009
Last Revised: 24 Jun 2012
Downloads
4,396
What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?
NBER Working Paper No. w16712
Number of pages: 47
Posted: 24 Jan 2011
Last Revised: 02 Mar 2023
Downloads
150
Downloads
4,396
6.
The Yield Curve and Predicting Recessions
FEDs Working Paper No. 2006-7
Number of pages: 21
Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads
3,596
7.
The Yield Curve as a Predictor of U.S. Recessions
Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6
Posted: 21 Jul 2007
Working Paper Series
Rensselaer Polytechnic Institute and Columbia University - Columbia Business School, Finance
Downloads
3,356
8.
Leveraged Buyout Bankruptcies, the Problem of Hindsight Bias, and the Credit Default Swap Solution
Columbia Business Law Review, Vol. 2011, No. 1, p. 118, 2011, Seton Hall Public Law Research Paper No. 1632084
Number of pages: 104
Posted: 17 Jul 2010
Last Revised: 25 Apr 2011
Accepted Paper Series
University of Southern California Gould School of Law and Davis Polk & Wardwell LLP - New York Office
Downloads
3,315
9.
The Historical Simulation Method for Value-at-Risk: A Research Based Evaluation of the Industry Favorite
Number of pages: 22
Posted: 19 Apr 2012
Last Revised: 23 May 2018
Working Paper Series
affiliation not provided to SSRN
Downloads
3,270
10.
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
3,145
11.
The Yield Curve as a Leading Indicator: Some Practical Issues
Current Issues in Economics and Finance, Vol. 12, No. 5, July/August 2006
Number of pages: 8
Posted: 20 Sep 2006
Accepted Paper Series
Rensselaer Polytechnic Institute and Federal Reserve Bank of New York
Downloads
2,886
12.
Momentum Investing & Asset Allocation
Number of pages: 22
Posted: 11 Oct 2015
Last Revised: 01 May 2016
Working Paper Series
Berkeley Square Capital Management, LLC
Downloads
2,743
13.
Stress Testing Credit Risk: A Survey of Authorities' Approaches
Bank of Italy Occasional Paper No. 37
Number of pages: 24
Posted: 04 May 2009
Working Paper Series
Bank of Italy
Downloads
2,629
14.
Libor Benchmark Reform: An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk
Number of pages: 67
Posted: 12 Nov 2019
Last Revised: 03 Jan 2020
Working Paper Series
University of Oxford - Said Business School
Downloads
2,402
15.
Collective Hallucinations and Inefficient Markets: The British Railway Mania of the 1840s
Number of pages: 322
Posted: 18 Jan 2010
Working Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads
2,326
16.
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Number of pages: 43
Posted: 20 Apr 2005
Last Revised: 07 Dec 2014
Working Paper Series
Boston College, Temple University - Department of Accounting and Florida International University
There are 2 versions of this paper
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Number of pages: 43
Posted: 20 Apr 2005
Last Revised: 07 Dec 2014
Downloads
2,265
Do Sell-Side Analysts Exhibit Differential Target Price Forecasting Ability?
Review of Accounting Studies, Vol. 18, No. 4, 2013
Posted: 08 Dec 2014
Downloads
2,265
17.
Assessing the Risk of Banking Crises – Revisited
BIS Quarterly Review, March 2009
Number of pages: 18
Posted: 25 Jul 2012
Accepted Paper Series
Bank for International Settlements (BIS) - Research and Policy Analysis and Bank for International Settlements (BIS)
Downloads
2,182
18.
Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
Number of pages: 88
Posted: 02 May 2018
Last Revised: 08 May 2019
Working Paper Series
The University of Illinois at Urbana-Champaign, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Electrical Engineering, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Department of Economics, PUC-Rio
Downloads
2,067
19.
The Macroeconomy as a Random Forest
Number of pages: 75
Posted: 15 Jul 2020
Last Revised: 24 May 2021
Working Paper Series
Université du Québec à Montréal - Département des Sciences Économiques
Downloads
1,948
20.
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CESifo Working Paper No. 8394
Number of pages: 35
Posted: 27 Aug 2020
Working Paper Series
RWTH Aachen University, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Ludwig Maximilian University of Munich (LMU)
There are 3 versions of this paper
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CESifo Working Paper No. 8394
Number of pages: 35
Posted: 27 Aug 2020
Downloads
1,899
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
IZA Discussion Paper No. 13568
Number of pages: 35
Posted: 10 Aug 2020
Last Revised: 18 Nov 2021
Downloads
122
Demand or Supply? Price Adjustment During the Covid-19 Pandemic
CEPR Discussion Paper No. DP14907
Number of pages: 36
Posted: 29 Jun 2020
Last Revised: 16 Aug 2020
Downloads
1
Downloads
1,899
21.
Economic Uncertainty and the Effectiveness of Monetary Policy
Norges Bank Working Paper 17
Number of pages: 34
Posted: 12 Nov 2013
Working Paper Series
Norges Bank, BI Norwegian Business School - Department of Economics and Graduate Institute of International and Development Studies (IHEID) - Department of Economics
Downloads
1,836
22.
Probabilities of Default for Impairment Under IFRS 9
Number of pages: 6
Posted: 02 Nov 2015
Working Paper Series
Natixis
Downloads
1,813
23.
Economic Forecasting with an Agent-Based Model
Number of pages: 49
Posted: 18 Nov 2019
Last Revised: 06 Nov 2020
Working Paper Series
International Institute for Applied Systems Analysis (IIASA), Vienna University of Economics and Business and Government of Canada - Bank of Canada
Downloads
1,811
24.
Beast: A Model for the Assessment of System-Wide Risks and Macroprudential Policies
ECB Working Paper No. 2023/2855
Number of pages: 239
Posted: 13 Oct 2023
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Central Bank of Ireland, European Central Bank (ECB) and European Central Bank
Downloads
1,678
25.
The Best of Both Worlds: Forecasting US Equity Market Returns using a Hybrid Machine Learning – Time Series Approach
Number of pages: 28
Posted: 11 Dec 2019
Last Revised: 28 Sep 2021
Working Paper Series
The Vanguard Group, Inc., The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group
Downloads
1,608
26.
The Adoption of Computational Antitrust by Agencies: 2021 Report
2 Stanford Computational Antitrust, 78 (2022)
Number of pages: 39
Posted: 24 Jun 2022
Accepted Paper Series
Vrije Universiteit Amsterdam and Sciences Po Paris
Downloads
1,606
27.
A Framework for Stress Testing Banks' Credit Risk
The Journal of Risk Model Validation, Vol. 2, No. 1, pp. 3-23, Spring 2008
Number of pages: 21
Posted: 15 Jan 2009
Last Revised: 04 Mar 2009
Accepted Paper Series
Hong Kong Monetary Authority, Hong Kong Monetary Authority and Hong Kong Monetary Authority
Downloads
1,596
28.
What Do Accruals Tell Us About Future Cash Flows?
Review of Accounting Studies, Vol. 21, Pages 768-807, 2016
Number of pages: 64
Posted: 14 Mar 2016
Last Revised: 15 Aug 2016
Accepted Paper Series
Stanford University - Graduate School of Business, Deakin University - Department of Accounting and IDC Herzliya - Arison School of Business
Downloads
1,562
29.
NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform
Number of pages: 40
Posted: 08 Apr 2021
Working Paper Series
University of Oxford - Said Business School
Downloads
1,559
30.
From Low to High Inflation: Implications for Emerging Market and Developing Economies
Number of pages: 26
Posted: 24 Apr 2022
Working Paper Series
World Bank, World Bank and World Bank
Downloads
1,544
31.
Readiness for the Licensure Exam of the Engineering Students
Number of pages: 12
Posted: 14 Feb 2014
Working Paper Series
University of Mindanao - Research and Publication Center, College of Engineering Education, University of Mindanao, Philippines and College of Governance and Business
Downloads
1,496
32.
The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment
Journal of Statistical Software, Vol. 99, Issue 2, pp. 1-40, 2021
Number of pages: 40
Posted: 11 Nov 2017
Last Revised: 19 Aug 2021
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Vrije Universiteit Brussel and Ghent University
Downloads
1,487
33.
Inflation: A New Hypothesis, Accurate 100 Year Regression Model & Forecast
Number of pages: 27
Posted: 01 Nov 2021
Last Revised: 21 Feb 2023
Working Paper Series
RVA LLC
Downloads
1,461
34.
Macro-Prudential Policy and the Conduct of Monetary Policy
Banque de France Working Paper No. 390
Number of pages: 34
Posted: 20 Aug 2012
Working Paper Series
Banque de France, Banque de France and Banque de France
Downloads
1,446
35.
What's Vol Got to Do With It
AFA 2009 San Francisco Meetings Paper
Number of pages: 63
Posted: 20 Mar 2008
Last Revised: 14 Dec 2011
Working Paper Series
Wharton School, Department of Finance and Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business
Downloads
1,440
36.
Has Globalization Changed the Inflation Process?
BIS Working Paper No. 791
Number of pages: 63
Posted: 12 Aug 2019
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
1,434
37.
The Need for Efficient Investment: Fundamental Analysis and Technical Analysis
Number of pages: 6
Posted: 13 Apr 2015
Working Paper Series
Liverpool John Moores University
Downloads
1,416
38.
Systemic Risk and the Refinancing Ratchet Effect
MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62
Posted: 15 Sep 2009
Last Revised: 08 Jan 2018
Working Paper Series
Massachusetts Institute of Technology (MIT), Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Massachusetts Institute of Technology (MIT) - Sloan School of Management
There are 2 versions of this paper
Systemic Risk and the Refinancing Ratchet Effect
MIT Sloan Research Paper No. 4750-09, Harvard Business School Finance Working Paper No. 1472892
Number of pages: 62
Posted: 15 Sep 2009
Last Revised: 08 Jan 2018
Downloads
1,414
Systemic Risk and the Refinancing Ratchet Effect
NBER Working Paper No. w15362
Number of pages: 68
Posted: 21 Sep 2009
Last Revised: 24 Jun 2023
Downloads
107
Downloads
1,414
39.
Global Inflation Forecasting
Number of pages: 90
Posted: 30 Jun 2022
Last Revised: 11 Feb 2025
Working Paper Series
The University of Illinois at Urbana-Champaign, Aarhus UniversityAarhus University - CREATES and Aarhus University - School of Business and Social Sciences
Downloads
1,405
40.
Forecasting Methods (Spanish Version)
Number of pages: 29
Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads
1,377
41.
Trading Volatility Spreads: A Test of Index Option Market Efficiency
Lancaster University Management School, Accounting and Finance Working Paper No. 99/12
Number of pages: 33
Posted: 21 Oct 1999
Working Paper Series
London School of Economics & Political Science (LSE) and Alliance Manchester Business School, University of Manchester
Downloads
1,348
42.
Evaluating Methods to Estimate the Implied Cost of Equity Capital: A Simulation Study
AAA 2010 Financial Accounting and Reporting Section (FARS) Paper
Number of pages: 53
Posted: 02 Sep 2009
Last Revised: 16 Dec 2010
Working Paper Series
University of Mannheim, University of Mannheim - Department of Business Administration and Finance and University of Mannheim Business School
Downloads
1,329
43.
Financial Forecasting with Machine Learning: Price Vs Return
Kamalov, F., Gurrib, I. & Rajab, K. (2021). Financial Forecasting with Machine Learning: Price Vs Return. Journal of Computer Science, 17(3), 251-264. https://doi.org/10.3844/jcssp.2021.251.264
Number of pages: 14
Posted: 22 Mar 2021
Accepted Paper Series
Canadian University Dubai, Canadian University Dubai and Najran University
Downloads
1,293
44.
Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
Cowles Foundation Discussion Paper No. 1950
Number of pages: 76
Posted: 11 Jun 2014
Last Revised: 18 Jun 2014
Working Paper Series
Yale University - Department of Economics and Yale University - Cowles Foundation
There are 2 versions of this paper
Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013
Cowles Foundation Discussion Paper No. 1950
Number of pages: 76
Posted: 11 Jun 2014
Last Revised: 18 Jun 2014
Downloads
1,292
Changing Times, Changing Values: A Historical Analysis of Sectors within the Us Stock Market 1872-2013
NBER Working Paper No. w20370
Number of pages: 77
Posted: 11 Aug 2014
Last Revised: 27 Feb 2023
Downloads
160
Downloads
1,292
45.
Forecasting Inflation Using Economic Narratives
Number of pages: 65
Posted: 04 Aug 2022
Last Revised: 19 Dec 2023
Working Paper Series
Cornell University - Department of Economics, Xiamen University, University of International Business and Economics - School of Banking and Finance and Chinese Academy of Sciences (CAS) - School of Economics and Management
Downloads
1,290
46.
What Caused the US Pandemic-era Inflation?
Peterson Institute for International Economics Working Paper No. 23-4
Number of pages: 41
Posted: 11 Jul 2023
Working Paper Series
Brookings Institution and Peterson Institute for International Economics
Downloads
1,244
47.
This Time is Different: An Example of a Giant, Wildly Speculative, and Successful Investment Mania
B.E. Journal of Economic Analysis & Policy, Vol. 10, Issue 1, Article 60, 2010
Number of pages: 23
Posted: 23 Mar 2010
Last Revised: 27 Feb 2012
Accepted Paper Series
University of Minnesota - Twin Cities - School of Mathematics and Digital Technology Center
Downloads
1,224
48.
'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index
FEEM Working Paper No. 31.2010
Number of pages: 58
Posted: 22 Apr 2010
Working Paper Series
Bank of Italy and Bank of Italy
Downloads
1,222
49.
Google Econometrics and Unemployment Forecasting
DIW Berlin Discussion Paper No. 899
Number of pages: 26
Posted: 02 Sep 2009
Working Paper Series
IZA Institute of Labor Economics and Global Labor Organization (GLO)
There are 3 versions of this paper
Google Econometrics and Unemployment Forecasting
DIW Berlin Discussion Paper No. 899
Number of pages: 26
Posted: 02 Sep 2009
Downloads
1,215
Google Econometrics and Unemployment Forecasting
German Council for Social and Economic Data (RatSWD) Research Notes No. 41
Number of pages: 20
Posted: 30 Sep 2009
Downloads
481
Google Econometrics and Unemployment Forecasting
IZA Discussion Paper No. 4201
Number of pages: 25
Posted: 08 Jun 2009
Last Revised: 16 Apr 2023
Downloads
266
Downloads
1,215
50.
DSGE Models and Central Banks
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33
Posted: 18 Dec 2010
Accepted Paper Series
International Monetary Fund
There are 3 versions of this paper
DSGE Models and Central Banks
Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-16
Number of pages: 33
Posted: 18 Dec 2010
Downloads
1,214
Downloads
297
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
128
Downloads
1,214
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