Search Results
JEL Code: E47

233,865 Total downloads

Viewing: 1 - 50 of 896 papers

1.

Forecasting Volatility

Number of pages: 42 Posted: 13 Jul 1999
Working Paper Series
University of Oklahoma - Division of Finance and University of South Florida St. Petersburg
Downloads 9,810
2.

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 7,346
3.

A Step by Step Guide to Construct a Financial Model Without Plugs and Without Circularity for Valuation Purposes

Number of pages: 21 Posted: 28 May 2008 Last Revised: 02 Nov 2008
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 5,930
4.

What Factors Give Cryptocurrencies Their Value: An Empirical Analysis

Number of pages: 6 Posted: 18 Mar 2015 Last Revised: 25 Mar 2021
Working Paper Series
University of Wisconsin-Madison - Department of Sociology
Downloads 3,649
5.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Working Paper Series
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 3,356
6.

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 3,312
7.

Model Calibration with Neural Networks

Number of pages: 13 Posted: 21 Jul 2016
Working Paper Series
PwC
Downloads 3,158
8.

The Integrated Impact of Credit and Interest Rate Risk on Banks: An Economic Value and Capital Adequacy Perspective

Bank of England Working Paper No. 339
Number of pages: 40 Posted: 02 Mar 2007
Working Paper Series
Bank for International Settlements (BIS), Moody's Investor Services and Bank of England
Downloads 3,076
9.

A Study on Volatility in Indian Stock Market

Number of pages: 13 Posted: 28 Dec 2016
Working Paper Series
University of Gondar
Downloads 2,730
10.

Corporate Governance for Complex Cryptocurrencies? A Framework for Stability and Decision Making in Blockchain-Based Organizations

in: Regulating Blockchain. Techno-Social and Legal Challenges, edited by Philipp Hacker, Ioannis Lianos, Georgios Dimitropoulos, and Stefan Eich, Oxford University Press, 2019, pp. 140-166
Number of pages: 37 Posted: 17 Jul 2017 Last Revised: 14 Sep 2019
Accepted Paper Series
European University Viadrina Frankfurt (Oder) - European New School of Digital Studies
Downloads 2,683
11.

Forecasting Financial Statements with No Plugs and No Circularity

The IUP Journal of Accounting Research & Audit Practices, Vol. X, No. 1, 2011
Number of pages: 34 Posted: 21 Nov 2007 Last Revised: 23 May 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation

Multiple version iconThere are 2 versions of this paper

Downloads 2,681
12.

A Cost of Production Model for Bitcoin

Number of pages: 4 Posted: 21 Mar 2015 Last Revised: 10 Jan 2016
Working Paper Series
University of Wisconsin-Madison - Department of Sociology
Downloads 2,591
13.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Working Paper Series
University of Oxford
Downloads 2,418
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 2,382
15.

Are Bitcoin Bubbles Predictable? Combining a Generalized Metcalfe's Law and the LPPLS Model

Swiss Finance Institute Research Paper No. 18-22
Number of pages: 22 Posted: 16 Mar 2018 Last Revised: 22 Mar 2018
Working Paper Series
ETH Zürich, Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH Zürich and D ONE Solutions AG
Downloads 2,237
16.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

A version of this paper was published in Risk, 26 January 2018
Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 2,120
17.

Home Away from Home? Foreign Demand and London House Prices

Number of pages: 75 Posted: 12 Nov 2013 Last Revised: 29 Nov 2016
Working Paper Series
National University of Singapore (NUS) and Imperial College London
Downloads 2,093
18.

Cryptocurrency Value Formation: An Empirical Analysis Leading to a Cost of Production Model for Valuing Bitcoin

Telematics and Informatics, Forthcoming
Number of pages: 21 Posted: 22 Aug 2015 Last Revised: 12 May 2016
Accepted Paper Series
University of Wisconsin-Madison - Department of Sociology
Downloads 1,997
19.

An Analysis of Bitcoin Exchange Rates

Number of pages: 28 Posted: 10 Sep 2014 Last Revised: 04 May 2016
Working Paper Series
University of Houston, College of Liberal Arts & Social Sciences, Department of Economics, Students
Downloads 1,765
20.

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 1,543
21.

Constructing Consistent Financial Planning Models for Valuation

IIMS Journal of Management of Science, Vol. 1, January-June 2010 (Inaugural Issue)
Number of pages: 29 Posted: 19 Aug 2009 Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,523
22.

Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask

Applied Econometrics, Forthcoming
Number of pages: 49 Posted: 14 Jun 2016
Accepted Paper Series
Moscow State University, Bocconi University, Perm State University and Perm State University
Downloads 1,492
23.

Machine Earning – Algorithmic Trading Strategies for Superior Growth, Outperformance and Competitive Advantage

International Journal of Artificial Intelligence and Machine Learning, 2(1), 38-60. doi: 10.51483/IJAIML.2.1.2022.38-60.1
Number of pages: 44 Posted: 31 Mar 2021 Last Revised: 20 Oct 2024
Accepted Paper Series
University of Oxford - Said Business School
Downloads 1,482
24.

To Plug or Not to Plug, That is the Question: No Plugs, No Circularity: A Better Way to Forecast Financial Statements (Proyección de Estados Financieros sin Cuentas de Cuadre (Plugs))

Escritos Contables, Vol 1, No. 1, 2010, Bahía Blanca, Argentina
Number of pages: 43 Posted: 07 Aug 2008 Last Revised: 24 Jun 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,476
25.

Autoencoder Market Models for Interest Rates

Number of pages: 44 Posted: 16 Dec 2022
Working Paper Series
CompatibL
Downloads 1,455
26.

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

Multiple version iconThere are 2 versions of this paper

Downloads 1,413
27.

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 1,404
28.

An Evaluation of the Base Correlation Framework for Synthetic Cdos

Number of pages: 25 Posted: 31 Dec 2004
Working Paper Series
Barclays Investment Bank
Downloads 1,375
29.

Forecasting Methods (Spanish Version)

Number of pages: 29 Posted: 23 Feb 2006
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,374
30.

Overcoming Markowitz's Instability with the Help of the Hierarchical Risk Parity (HRP): Theoretical Evidence

Number of pages: 26 Posted: 22 Mar 2024
Working Paper Series
Abu Dhabi Investment Authority, Hebrew University of Jerusalem and Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority
Downloads 1,350
31.

Volatility Estimation via First Exit Times

Number of pages: 8 Posted: 02 Sep 2021
Working Paper Series
Bluefin TradingFactorWave and University of Chicago
Downloads 1,341
32.

Measuring the Reaction of Monetary Policy to the Stock Market

Number of pages: 32 Posted: 11 Jun 2001
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management and Board of Governors of the Federal Reserve - Monetary and Financial Market Analysis Section

Multiple version iconThere are 2 versions of this paper

Downloads 1,235
33.

Autoencoder-Based Risk-Neutral Model for Interest Rates

Number of pages: 25 Posted: 22 May 2024
Working Paper Series
Quantitative Risk Management, Inc., Bloomberg L.P. and CompatibL
Downloads 1,218
34.

The Effects of Money Supply and Interest Rates on Stock Prices , Evidence from Two Behavioral Experiments

Applied Economics and Finance, Vol. 8, No. 2, March 2021
Number of pages: 9 Posted: 25 Mar 2021
Accepted Paper Series
University of Applied Science HTW Saarbrücken
Downloads 1,179
35.

An Introduction to the Cost of Capital

Number of pages: 27 Posted: 22 Mar 2010 Last Revised: 12 Dec 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant

Multiple version iconThere are 2 versions of this paper

Downloads 1,154
36.

Forecasting Interest Rates and Inflation: Blue Chip Clairvoyants or Econometrics?

EFA 2009 Bergen Meetings Paper
Number of pages: 183 Posted: 22 Nov 2006 Last Revised: 03 Feb 2013
Working Paper Series
University of Queensland - Business School
Downloads 1,141
37.

Una Introducción Al Costo De Capital (An Introduction to the Cost of Capital)

Topicos en Valoración de Activos no financieros: Fondo Editorial EAFIT, 2012
Number of pages: 33 Posted: 02 Feb 2012 Last Revised: 17 Sep 2012
Accepted Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant

Multiple version iconThere are 2 versions of this paper

Downloads 1,113
38.

Climate Transition Risk, Climate Sentiments, and Financial Stability in a Stock-Flow Consistent Approach

Number of pages: 65 Posted: 06 Apr 2020
Working Paper Series
World Bank, Austrian Institute of Economic Research (WIFO) and Utrecht University
Downloads 1,109
39.

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Number of pages: 55 Posted: 17 Mar 2010 Last Revised: 16 Apr 2013
Working Paper Series
SKEMA Business School, University of British Columbia (UBC) - Sauder School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 1,100
40.

A Comparison of Fixed Income Valuation Models: Pricing and Econometric Analysis of Interest Rate Derivatives

Number of pages: 265 Posted: 25 Jun 2007
Working Paper Series
PNC Financial Services Group
Downloads 1,097
41.

Estimating Cash Flows for Project Appraisal and Firm Valuation

Number of pages: 37 Posted: 23 Feb 2010 Last Revised: 19 Apr 2015
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation and Educational Independent Consultant

Multiple version iconThere are 2 versions of this paper

Downloads 1,091
42.

Working paper version of "Carry Investing on the Yield Curve" which has been published in final form in the Financial Analysts Journal 75(4)

Martens, M., Beekhuizen, P., Duyvesteyn, J., Zomerdijk, C., 2019. “Carry Investing on the Yield Curve” Financial Analysts Journal 75 (4): 51–63. https://doi.org/10.1080/0015198X.2019.1628552
Number of pages: 20 Posted: 13 Jul 2016 Last Revised: 11 Jun 2020
Accepted Paper Series
Robeco Institutional Asset Management, Robeco Institutional Asset Management, Robeco Institutional Asset Management and Robeco Institutional Asset Management
Downloads 1,033
43.

The Comparative Forecast Performance of Univariate and Multivariate Models

Number of pages: 24 Posted: 16 Dec 1996
Working Paper Series
Florida International University (FIU) - Department of Economics
Downloads 1,001
44.

The Unfortunate Uselessness of Most 'State of the Art' Academic Monetary Economics

VoxEU, Research-based policy analysis and commentary from leading economists, March 6, 2009
Number of pages: 5 Posted: 10 Sep 2014
Accepted Paper Series
Centre for Economic Policy Research (CEPR)
Downloads 982
45.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Working Paper Series
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 975
46.

Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information

Number of pages: 52 Posted: 04 Mar 2007 Last Revised: 04 May 2010
Working Paper Series
Amazon Web Services, Inc., Free University of Bozen-Bolzano - Faculty of Economics and Management and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 970
47.

The Decision to Produce Altcoins: Miners' Arbitrage in Cryptocurrency Markets

Number of pages: 6 Posted: 17 Mar 2015 Last Revised: 10 Jan 2016
Working Paper Series
University of Wisconsin-Madison - Department of Sociology
Downloads 963
48.

Liquidity Risk and Interest Rate Risk on Banks: Are They Related?

The IUP Journal of Financial Risk Management, Forthcoming
Number of pages: 37 Posted: 28 Sep 2012 Last Revised: 21 Oct 2012
Accepted Paper Series
University of Padova, Department of Economic and Managerial Sciences and University of Padua - Department of Economics and Management

Multiple version iconThere are 2 versions of this paper

Downloads 946
49.

Credit Spreads and Real Activity

EFA 2008 Athens Meetings Paper
Number of pages: 72 Posted: 24 Mar 2008 Last Revised: 15 Mar 2011
Working Paper Series
Warwick Business School Finance Group
Downloads 934
50.

A Practical Model-Based Approach to Monetary Policy Analysis - Overview

IMF Working Paper No. 06/80
Number of pages: 45 Posted: 17 May 2006
Working Paper Series
International Monetary Fund (IMF) - Developing Country Studies Division, International Monetary Fund (IMF) and International Monetary Fund (IMF) - Research Department
Downloads 904