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
14,770
2.
A Consistent Methodology for the Calculation of the Cost of Capital in Emerging Markets
Number of pages: 23
Posted: 24 Aug 2010
Working Paper Series
Universidad de los Andes, Colombia and Universidad de los Andes, Colombia
Downloads
4,777
3.
Trend-Following, Risk-Parity and the Influence of Correlations
"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25
Posted: 14 Oct 2015
Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads
4,601
4.
Cross-Asset Signals and Time Series Momentum
Number of pages: 81
Posted: 31 Dec 2016
Last Revised: 23 Feb 2019
Working Paper Series
Vrije Universiteit Amsterdam, Aalto University School of Business and Independent
Downloads
4,010
5.
Yield Curve Predictors of Foreign Exchange Returns
AFA 2011 Denver Meetings Paper
Number of pages: 47
Posted: 25 Jan 2010
Last Revised: 15 Jun 2011
Working Paper Series
BlackRock, Inc and University of California, Davis - Graduate School of Management
Downloads
3,573
6.
An Introduction to Arbitrage Trading Strategies
Number of pages: 6
Posted: 28 Apr 2023
Working Paper Series
University of Oxford - Said Business School
Downloads
3,555
7.
Optimising Cross-Asset Carry
"Factor Investing", Elsevier & ISTE Press, 2017 (Forthcoming)
Number of pages: 29
Posted: 17 May 2017
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads
3,365
8.
Application of Machine Learning to Systematic Strategies
Number of pages: 7
Posted: 12 Sep 2016
Last Revised: 13 Oct 2016
Working Paper Series
ING
Downloads
2,885
9.
Time-Series Momentum: Is It There?
Journal of Financial Economics 135, 774-794, 2020
Number of pages: 61
Posted: 06 May 2018
Last Revised: 06 Oct 2020
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business, Shanghai University of Finance and Economics, Hong Kong Baptist University and Washington University in St. Louis - John M. Olin Business School
Downloads
2,778
10.
Expected Returns and Volatility in 135 Countries
Number of pages: 28
Posted: 23 Dec 2005
Last Revised: 07 Aug 2020
Working Paper Series
TR, Duke University - Fuqua School of Business and Ritholtz Wealth Management
Downloads
2,503
11.
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
12.
Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
Swiss Finance Institute Research Paper No. 15-31
Number of pages: 16
Posted: 22 Nov 2015
Working Paper Series
Risks-X, Southern University of Science and Technology (SUSTech), ETH Zürich, ETH ZürichGuangdong University of Foreign Studies, ETH Zürich, Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zürich
Downloads
2,159
13.
Financial Globalisation and Emerging Market Capital Flows
BIS Paper No. 44
Number of pages: 492
Posted: 10 Feb 2009
Accepted Paper Series
Bank for International Settlements (BIS)
Downloads
1,957
14.
Home Bias Revisited
Number of pages: 62
Posted: 19 Feb 2009
Working Paper Series
Columbia University - Columbia Business School, Finance and PriceWaterhouseCoopers LLP - Financial services
Downloads
1,948
15.
A New Explanatory Model for Policy Analysis and Evaluation
Tinbergen Institute Discussion Paper No. 2006-063/2
Number of pages: 35
Posted: 19 Jul 2006
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE) and University of Amsterdam (UVA) - Amsterdam Business School
Downloads
1,924
16.
Economic Fundamentals and Short-Run Exchange Rate Prediction: A Machine-Learning Perspective
Number of pages: 53
Posted: 27 Sep 2019
Last Revised: 31 Jan 2025
Working Paper Series
Florida State University, Research Department, Federal Reserve Bank of Atlanta, Washington University in St. Louis - John M. Olin Business School and Washington University in St. Louis - John M. Olin Business School
Downloads
1,858
17.
Currency Premia and Global Imbalances
Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72
Posted: 20 Jun 2013
Last Revised: 18 Oct 2017
Working Paper Series
Imperial College Business School, University of Toronto and University of Cambridge - Judge Business School
There are 2 versions of this paper
Currency Premia and Global Imbalances
Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72
Posted: 20 Jun 2013
Last Revised: 18 Oct 2017
Downloads
1,756
Currency Premia and Global Imbalances
CEPR Discussion Paper No. DP11129
Number of pages: 73
Posted: 18 Apr 2016
Downloads
3
Downloads
1,756
18.
How Law Affects Lending
Columbia Law and Economics Working Paper No. 285
Number of pages: 34
Posted: 13 Nov 2005
Last Revised: 02 Sep 2008
Working Paper Series
Goethe University Frankfurt - Faculty of Economics and Business Administration, Columbia University School of Law and London Business School
There are 2 versions of this paper
How Law Affects Lending
Columbia Law and Economics Working Paper No. 285
Number of pages: 34
Posted: 13 Nov 2005
Last Revised: 02 Sep 2008
Downloads
1,663
How Law Affects Lending
The Review of Financial Studies, Vol. 23, Issue 2, pp. 549-580, 2009
Posted: 01 Feb 2010
Downloads
1,663
19.
Market Timing and Predictability in FX Markets
HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital, 29th Australasian Finance and Banking Conference 2016
Number of pages: 51
Posted: 20 Jun 2016
Last Revised: 14 Feb 2022
Working Paper Series
The University of Hong Kong, University of New South Wales, Sydney and Finance Dept., Pamplin College of Business, Virginia Tech
Downloads
1,566
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.
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
1,483
22.
The Impact of the Financial Crisis on Emerging Asia
Peterson Institute for International Economics Working Paper No. 09-11
Number of pages: 47
Posted: 05 Nov 2009
Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics and Peterson Institute for International Economics
Downloads
1,360
23.
A Regression Model of Country Risk and Risk Scoring
Curtin School of Economics and Finance Working Paper No. 97.11
Number of pages: 20
Posted: 21 Aug 2001
Working Paper Series
Curtin University - Centre for Research in Applied Economics
Downloads
1,357
24.
Conditional Dependency of Financial Series: The Copula-Garch Model
FAME Research Paper No. 69
Number of pages: 37
Posted: 06 Jun 2003
Working Paper Series
University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads
1,319
25.
Forecasting Exchange Rates: An Investor Perspective
CESifo Working Paper Series No. 4238
Number of pages: 40
Posted: 22 May 2013
Working Paper Series
CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads
1,302
26.
Dividend Policy Behaviour in the Jordanian Capital Market
Number of pages: 14
Posted: 27 May 2004
Accepted Paper Series
University of Jordan
Downloads
1,292
27.
The International Economic Implications of a Second Trump Presidency
Peterson Institute for International Economics Working Paper No. 24-20
Number of pages: 47
Posted: 27 Sep 2024
Last Revised: 30 Jan 2025
Working Paper Series
Australian National University, Peterson Institute for International Economics and Peterson Institute for International Economics
Downloads
1,242
28.
Access to Collateral and Corporate Debt Structure: Evidence from a Natural Experiment
EFA 2008 Athens Meetings Paper
Number of pages: 71
Posted: 28 Feb 2007
Last Revised: 12 Jul 2012
Working Paper Series
London Business School
Downloads
1,239
29.
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
1,212
Downloads
295
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
126
Downloads
1,212
30.
Momentum in the Indian Equity Markets: Positive Convexity and Positive Alpha
Number of pages: 16
Posted: 18 Mar 2019
Last Revised: 23 Apr 2019
Working Paper Series
Wright Research, Qplum and Qplum
Downloads
1,182
31.
Optimal and Naive Diversification in Currency Markets
Swiss Finance Institute Research Paper No. 12-36
Number of pages: 36
Posted: 11 Dec 2012
Last Revised: 04 Feb 2016
Working Paper Series
Zurcher Kantonalbank, NHH Norwegian School of Economics and IMD
Downloads
1,124
32.
Carry Trade Dynamics Under Capital Controls: The Case of China
Number of pages: 49
Posted: 28 Jun 2015
Working Paper Series
Peking University - HSBC School of Business and New Kite Data Labs
Downloads
1,068
33.
Quanto Credit Default Swaps Theory, Pricing & Practice
Number of pages: 24
Posted: 06 Dec 2023
Working Paper Series
University of Oxford - Said Business School
Downloads
1,043
34.
Dynamic Allocations for Currency Investment Strategies
The European Journal of Finance, forthcoming
https://doi.org/10.1080/1351847X.2022.2100715
Number of pages: 73
Posted: 15 Apr 2022
Last Revised: 08 Aug 2022
Accepted Paper Series
Nomura Asset Mamagement Co,Ltd and Hokkaido University
Downloads
1,023
35.
An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention
FRB of St. Louis Working Paper No. 2005-030B
Number of pages: 41
Posted: 29 Jul 2005
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division
Downloads
967
36.
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
There are 2 versions of this paper
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
Downloads
948
Liquidity Risk and Interest Rate Risk on Banks: Are they Related?
The IUP Journal of Financial Risk Management, Vol. IX, No. 4, pp. 27-51, December 2012
Posted: 12 Dec 2012
Downloads
948
37.
World Financial Crisis: Possible Impact on Developing Economies
Number of pages: 7
Posted: 17 Oct 2008
Working Paper Series
Centre for Social and Economic Analyses (CASE)
Downloads
934
38.
Tail Risk Concerns Everywhere
Number of pages: 41
Posted: 17 May 2015
Last Revised: 08 Jun 2017
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management, Fudan University, Fanhai International School of Finance and Johns Hopkins University - Carey Business School
Downloads
923
39.
The Cross-Section of Currency Volatility Premia
Number of pages: 108
Posted: 13 Jan 2017
Last Revised: 24 Dec 2019
Working Paper Series
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads
917
40.
Can Oil Prices Forecast Exchange Rates?
Economic Research Initiatives at Duke Working Paper No. 95
Number of pages: 54
Posted: 12 May 2011
Accepted Paper Series
affiliation not provided to SSRN, Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI) and Harvard University - Department of Economics
Downloads
894
41.
Fundamentals and Exchange Rate Forecastability with Simple Machine Learning Methods
HEC Paris Research Paper No. ECO/SCD-2014-1049
Number of pages: 69
Posted: 12 Jun 2014
Last Revised: 29 May 2018
Working Paper Series
École Polytechnique, Paris, HEC Paris - Economics & Decision Sciences and HEC Paris - Economics & Decision Sciences
Downloads
852
42.
The Globalization-Deglobalization Policy Conundrum
Modern Economy, July 2012 (Forthcoming)
Number of pages: 16
Posted: 30 Jun 2012
Accepted Paper Series
University of Queensland - School of Economics
Downloads
833
43.
Conditional Dependency of Financial Series: An Application of Copulas
HEC Department of Finance Working Paper No. 723
Number of pages: 43
Posted: 05 Apr 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and University of Lausanne - Faculty of Business and Economics (HEC Lausanne)
There are 2 versions of this paper
Conditional Dependency of Financial Series: An Application of Copulas
HEC Department of Finance Working Paper No. 723
Number of pages: 43
Posted: 05 Apr 2001
Downloads
816
Conditional Dependency of Financial Series: An Application of Copulas
Banque de France Working Paper No. 82
Number of pages: 48
Posted: 26 Dec 2010
Downloads
291
Downloads
816
44.
The Effects of Brexit on the Pound: Towards a Currency Crisis?
Number of pages: 14
Posted: 24 Jul 2017
Working Paper Series
Democritus University of Thrace, University of Pretoria - Department of Economics and University of Nebraska at Omaha
Downloads
810
45.
Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia
2015 Financial Management Association Annual Meeting; Orlando, FL, US. , 2015 European Financial Management Association Annual Meeting; Amsterdam, Netherlands.
Number of pages: 64
Posted: 30 Jun 2013
Last Revised: 22 Jun 2016
Working Paper Series
City University of Hong Kong (CityU) and University of Glasgow - Adam Smith Business School
Downloads
808
46.
A Credit-Based Theory of the Currency Risk Premium
Number of pages: 117
Posted: 03 Jul 2019
Last Revised: 16 Aug 2021
Working Paper Series
Imperial College Business School, UNSW Business School and UBC - Sauder School of Business
Downloads
786
47.
Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations
IIIS Discussion Paper No. 122
Number of pages: 27
Posted: 02 Mar 2006
Last Revised: 14 Jul 2009
Working Paper Series
University of Western Australia - Business School and Trinity Business School, Trinity College Dublin
Downloads
784
48.
What Might the Next Emerging-Market Financial Crisis Look Like?
Peterson Institute for International Economics Working Paper No. 05-7
Number of pages: 109
Posted: 08 Aug 2005
Last Revised: 28 Jan 2011
Working Paper Series
Peter G. Peterson Institute for International Economics
Downloads
783
49.
Insurance Companies in Emerging Markets
IMF Working Paper No. 05/88
Number of pages: 21
Posted: 03 Mar 2006
Working Paper Series
affiliation not provided to SSRN and International Monetary Fund (IMF)
Downloads
777
50.
Financial Crisis and New Dimensions of Liquidity Risk: Rethinking Prudential Regulation and Supervision
Number of pages: 18
Posted: 19 Oct 2009
Working Paper Series
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN), Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN) and Università degli studi di Modena e Reggio Emilia (UNIMORE) - Center for Research in Banking and Finance (CEFIN)
Downloads
771
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