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
13,528
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
4,615
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
4,121
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
3,473
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
3,288
6.
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
2,819
7.
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
2,450
8.
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
2,383
9.
An Introduction to Arbitrage Trading Strategies
Number of pages: 6
Posted: 28 Apr 2023
Working Paper Series
University of Oxford - Said Business School
Downloads
2,364
10.
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
2,257
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
2,085
12.
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
1,821
13.
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
1,783
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
1,734
15.
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
1,648
16.
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
1,625
How Law Affects Lending
The Review of Financial Studies, Vol. 23, Issue 2, pp. 549-580, 2009
Posted: 01 Feb 2010
Downloads
1,625
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
1,594
Currency Premia and Global Imbalances
CEPR Discussion Paper No. DP11129
Number of pages: 73
Posted: 18 Apr 2016
Downloads
1
Downloads
1,594
18.
Out-of-Sample Exchange Rate Prediction: A Machine Learning Perspective
Number of pages: 48
Posted: 27 Sep 2019
Last Revised: 27 Aug 2023
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, 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
1,379
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
1,376
20.
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
1,333
21.
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
1,280
22.
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
1,267
23.
Dividend Policy Behaviour in the Jordanian Capital Market
Number of pages: 14
Posted: 27 May 2004
Accepted Paper Series
University of Jordan
Downloads
1,253
24.
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
1,244
25.
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
1,189
Downloads
282
DSGE Models and Central Banks
Economics Discussion Paper No. 2008-30
Number of pages: 37
Posted: 18 Dec 2010
Downloads
100
Downloads
1,189
26.
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
1,166
27.
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
1,073
28.
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 EconomicsUniversity of Zurich and IMD Lausanne
Downloads
1,046
29.
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 Fulbright University Vietnam
Downloads
994
30.
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: 06 Feb 2022
Accepted Paper Series
University of Oxford - Said Business School
Downloads
975
31.
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
933
32.
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
920
33.
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
869
34.
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
863
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
863
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
853
36.
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 Okayama University
Downloads
837
37.
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
797
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
221
Downloads
797
38.
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
796
39.
Tail Risk Concerns Everywhere
Number of pages: 41
Posted: 17 May 2015
Last Revised: 08 Jun 2017
Working Paper Series
T. Rowe Price Group, Fudan University, Fanhai International School of Finance and Johns Hopkins University - Carey Business School
Downloads
794
40.
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 and University of Glasgow - Adam Smith Business School
Downloads
757
41.
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
744
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
727
43.
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
709
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
706
45.
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
702
46.
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
Ecole Polytechnique, Paris, HEC Paris - Economics & Decision Sciences and HEC Paris - Economics & Decision Sciences
Downloads
700
47.
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
694
48.
Enforcement and its Impact on Cost of Equity and Liquidity of the Market
Number of pages: 28
Posted: 21 Dec 2006
Last Revised: 12 May 2014
Working Paper Series
HKUST Business School
Downloads
683
49.
Time-Varying Integration and International Diversification Strategies
EFA 2006 Zurich Meetings Paper
Number of pages: 53
Posted: 20 Mar 2008
Working Paper Series
Tilburg University - Department of Finance and Ghent University - Department of Economics
Downloads
662
50.
Why are Capital Flows so Much More Volatile in Emerging than in Developed Countries?
Number of pages: 23
Posted: 01 Mar 2006
Working Paper Series
CREI and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads
653
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