Search Results
JEL Code: C41

176,342 Total downloads

Viewing: 1 - 50 of 1,037 papers

1.

On Default Correlation: A Copula Function Approach

Number of pages: 28 Posted: 09 Dec 1999
Working Paper Series
Shanghai Advanced Institute of Finance, SJTU
Downloads 6,986
2.

Modeling Asset Prices for Algorithmic and High Frequency Trading

Applied Mathematical Finance, Vol. 20, No. 6, 2013
Number of pages: 32 Posted: 09 Dec 2010 Last Revised: 28 Feb 2014
Working Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 5,416
3.

Estimating Lifetime Expected Credit Losses Under IFRS 9

Number of pages: 22 Posted: 04 Apr 2016 Last Revised: 05 Mar 2017
Working Paper Series
Unisys Machine Learning and Advanced Analytics Services
Downloads 4,932
4.

Bankruptcy Prediction With Industry Effects

Number of pages: 49 Posted: 20 Oct 2001
Working Paper Series
Georgia Institute of Technology - Scheller College of Business and Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 4,189
5.

Enhancing Trading Strategies with Order Book Signals

Number of pages: 38 Posted: 03 Oct 2015 Last Revised: 14 Oct 2015
Working Paper Series
University of Oxford, King's College London and University of Toronto - Department of Statistics
Downloads 4,065
6.

The Occurrence and Timing of Events: The Application of Event History Models in Accounting and Finance Research

Number of pages: 79 Posted: 01 Nov 1999
Working Paper Series
Valparaiso University
Downloads 4,006
7.

Assessing the Probability of Bankruptcy

Number of pages: 47 Posted: 03 May 2002
Working Paper Series
Arizona State University (ASU) - W. P. Carey School of Business, School of Accountancy, Harvard University - John F. Kennedy School of Government, State University of New York, Oswego and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 3,822
8.

Have Financial Statements Become Less Informative? Evidence from the Ability of Financial Ratios to Predict Bankruptcy

Number of pages: 55 Posted: 02 Feb 2005
Working Paper Series
Stanford University, Stanford University and Stanford University - Graduate School of Business (Deceased)
Downloads 3,793
9.

Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit

International Journal of Theoretical and Applied Finance, Vol. 18, No. 3, 2015
Number of pages: 26 Posted: 23 Feb 2013 Last Revised: 27 Apr 2015
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 3,744
10.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,892
11.

Mortgage Terminations, Heterogeneity and the Exercise of Mortgage Options

Number of pages: 47 Posted: 22 Mar 1999
Working Paper Series
University of California, Berkeley, College of Letters & Science, Department of Economics (Deceased), Wisconsin School of Business, University of Wisconsin-Madison and Federal Home Loan Mortgage Corporation (FHLMC) - Housing Economics and Financial Research

Multiple version iconThere are 2 versions of this paper

Downloads 2,574
12.

Momentum with Volatility Timing

Number of pages: 18 Posted: 10 Jul 2019
Working Paper Series
VKY Analytics, LLC
Downloads 2,341
13.

The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management

Number of pages: 21 Posted: 13 Apr 2001
Working Paper Series
Imperial College London - Mathematical Finance, University of Southampton - School of Management and School of Mathematics and Statistics, The University of Sydney

Multiple version iconThere are 2 versions of this paper

Downloads 1,463
14.

Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,322
15.

Survival, Growth, and Interfirm Collaboration of Start-Up Companies in High-Technology Industries: A Case Study of Upper Bavaria

Number of pages: 36 Posted: 03 Sep 2001
Working Paper Series
Ludwig Maximilian University of Munich (LMU) and Munich University of Technology (TU München) - Department of Business and Economics
Downloads 1,298
16.

Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Number of pages: 39 Posted: 08 Dec 2005
Working Paper Series
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 1,189
17.

Capital Charges Under Basel Ii: Corporate Credit Risk Modelling and the Macroeconomy

Sveriges Riksbank Working Paper No. 142
Number of pages: 54 Posted: 22 Jan 2004
Working Paper Series
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 1,090
18.

Timing of Employee Stock Option Exercises and the Cost of Stock Option Grants

Rock Center for Corporate Governance Working Paper No. 34
Number of pages: 49 Posted: 01 Jun 2006 Last Revised: 04 Apr 2012
Working Paper Series
University of Pennsylvania - Accounting Department, University of Cambridge Judge Business School and Stanford University - Graduate School of Business
Downloads 1,004
19.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03
Number of pages: 38 Posted: 14 Jun 2005
Working Paper Series
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 996
20.

On the Profitability of Optimal Mean Reversion Trading Strategies

Number of pages: 18 Posted: 22 Jan 2016 Last Revised: 19 Feb 2016
Working Paper Series
Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students and Columbia University, Fu Foundation School of Engineering and Applied Science, Department of Industrial Engineering and Operations Research (IEOR), Students
Downloads 974
21.

Corporate Credit Risk Modelling and the Macroeconomy

Journal of Banking and Finance, Forthcoming
Number of pages: 29 Posted: 09 Dec 2004
Working Paper Series
Sveriges Riksbank - Research Division, Uppsala University, Sveriges Riksbank - Research Division and Norges Bank - Research Department
Downloads 961
22.

Business Survival and Success of Young Small Business Owners

Small Business Economics, Vol. 21, No. 1, 2003, pp. 1-17
Number of pages: 17 Posted: 04 Nov 2001 Last Revised: 08 Nov 2014
Accepted Paper Series
University of Amsterdam - Department of Economics
Downloads 910
23.

Exploring the Sources of Default Clustering

Journal of Financial Economics 129 (2018), 154-183
Number of pages: 73 Posted: 05 May 2008 Last Revised: 31 Jul 2018
Accepted Paper Series
Stanford University - Department of Management Science & Engineering, Stanford University - Department of Management Science & Engineering and Santa Clara University - Department of Finance
Downloads 882
24.

Optimal Trading with a Trailing Stop

Applied Mathematics and Optimization, to appear, 2019
Number of pages: 26 Posted: 10 Jan 2017 Last Revised: 21 Feb 2019
Accepted Paper Series
University of Washington - Department of Applied Math and Columbia University
Downloads 870
25.

Sell in May and Go Away in the Equity Index Futures Markets

Number of pages: 8 Posted: 24 Jan 2016
Working Paper Series
Alpha Lake Financial Analytics Corp and University of British Columbia (UBC) - Sauder School of Business
Downloads 862
26.

Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature

Number of pages: 60 Posted: 28 Sep 2006
Working Paper Series
Dalhousie University - Rowe School of Business
Downloads 860
27.

Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp

Number of pages: 83 Posted: 31 Jan 2018 Last Revised: 05 May 2021
Working Paper Series
University of Southern California and University of Southern California
Downloads 829
28.

Determinants of Unemployment Duration for Men and Women in Turkey

Number of pages: 41 Posted: 04 Mar 2004
Working Paper Series
Middle East Technical University (METU) - Department of Economics and Balikesir University - Department of Econometrics
Downloads 819
29.

Bank Failure Prediction: A Two-Step Survival Time Approach

Number of pages: 33 Posted: 24 May 2006
Working Paper Series
University of Luxembourg and Raiffeisen Bank International
Downloads 799
30.

CEO Tenure, Board Composition and Regulation

Number of pages: 32 Posted: 11 Dec 1998
Working Paper Series
Cornell University - Department of Policy Analysis & Management (PAM) and Fordham University - Department of Economics
Downloads 794
31.

Metrics for Comparing Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-09
Number of pages: 43 Posted: 09 May 2003
Working Paper Series
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 794
32.

What Determines the Number of Bank Relationships? Cross-Country Evidence

Number of pages: 51 Posted: 01 May 1998
Working Paper Series
University of Zurich - Department of Banking and Finance and University of Virginia - McIntire School of Commerce

Multiple version iconThere are 2 versions of this paper

Downloads 764
33.

Unobserved Heterogeneity in Models of Competing Mortgage Termination

Number of pages: 41 Posted: 05 Mar 2004
Working Paper Series
University of Connecticut - Department of Finance, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and Wisconsin School of Business, University of Wisconsin-Madison
Downloads 742
34.

Modeling Bankruptcy Prediction Using Cox Regression Model with Time-Varying Covariates

Number of pages: 37 Posted: 09 Mar 2008
Working Paper Series
University of Sydney - School of Business - Finance Discipline and University of Sydney Business School
Downloads 737
35.

A Survival Analysis of Islamic and Conventional Banks

Journal of Financial Services Research, Forthcoming
Number of pages: 38 Posted: 31 May 2012 Last Revised: 11 Sep 2019
Working Paper Series
University of Bath, University of Zurich - Department of Banking and Finance, Lancaster University Management School and Cass Business School, City University of London
Downloads 715
36.

Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31 Posted: 14 Jun 2005
Working Paper Series
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 713
37.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Working Paper Series
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads 707
38.

Cartels: The Probability of Getting Caught in the European Union

Number of pages: 27 Posted: 20 Sep 2007 Last Revised: 02 Oct 2008
Working Paper Series
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 706
39.

Liquidity Supply and Demand in Limit Order Markets

Number of pages: 53 Posted: 27 Jan 2003
Working Paper Series
Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University - David A. Tepper School of Business, University of Virginia and Bank of Canada

Multiple version iconThere are 2 versions of this paper

Downloads 706
40.

Multi-Period Corporate Default Prediction with Stochastic Covariates

FDIC Center For Financial Research Working Paper No. 2006-05
Number of pages: 44 Posted: 23 May 2006
Working Paper Series
Stanford University - Graduate School of Business, Independent and Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 704
41.

Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics

Journal of Banking and Finance, Vol. 33, No. 2, 2009
Number of pages: 39 Posted: 27 Feb 2007 Last Revised: 13 Jan 2009
Working Paper Series
Banco de Portugal
Downloads 702
42.

Bank Relationships and Firm Profitability

Number of pages: 37 Posted: 13 Apr 1999
Working Paper Series
KU Leuven, Department Accounting, Finance and Insurance and University of Zurich - Department of Banking and Finance
Downloads 693
43.

Modelling Intraday Trading Activity Using Box-Cox Acd Models

Number of pages: 25 Posted: 08 Nov 2001
Working Paper Series
University of Vienna - Department of Statistics and Operations Research
Downloads 672
44.

Multiperiod Corporate Default Prediction - A Forward Intensity Approach

Number of pages: 48 Posted: 26 Mar 2011 Last Revised: 18 May 2012
Working Paper Series
National University of Singapore (NUS) - Business School and Risk Management Institute, Oversea-Chinese Banking Corporation Limited and National University of Singapore (NUS) - Department of Finance
Downloads 666
45.

Are More Competitive Banking Systems More Stable?

IMF Working Paper No. WP/06/143, Journal of Money, Credit, and Banking, Vol. 41, pp. 711-734
Number of pages: 37 Posted: 19 Jul 2006
Accepted Paper Series
University of Southampton - Southampton Business School, University of Bristol and International Monetary Fund (IMF)
Downloads 625
46.

The Price Consideration Model of Brand Choice

Journal of Applied Econometrics, Vol. 24, No. 3, pp. 393-420, April/May 2009
Number of pages: 46 Posted: 10 Apr 2006 Last Revised: 27 Dec 2009
Accepted Paper Series
Johns Hopkins University - Carey Business School, New York University (NYU) - Leonard N. Stern School of Business and Arizona State University (ASU) - Economics Department
Downloads 625
47.

The Markov Switching Acd Model

Johann Wolfgang Goethe-University, Finance & Accounting Working Paper No. 90
Number of pages: 45 Posted: 08 Nov 2002
Working Paper Series
University of Frankfurt, Johann Wolfgang Goethe University - University of Frankfurt and Arcor AG & Co. KG
Downloads 612
48.

Binary Logistic Regression Using Survival Analysis

Number of pages: 9 Posted: 06 Sep 2010
Working Paper Series
IIT Kanpur and Indian Institute of Technology
Downloads 597
49.

Flexible Work Hours and Dynamic Labor Supply: Evidence from Taxi Drivers

Number of pages: 36 Posted: 01 Jan 2018 Last Revised: 29 Apr 2019
Working Paper Series
Princeton University Department of Economics, California Institute of Technology and Department of Economics, University of Texas at Austin
Downloads 596
50.

Timing and Holding Periods for Common Stocks: A Duration-Based Analysis

Number of pages: 47 Posted: 26 Oct 2004
Working Paper Series
European Central Bank (ECB) and Nova School of Business and Economics
Downloads 592