1.
The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications
Sauder School of Business Working Paper
Number of pages: 48
Posted: 16 Mar 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management
There are 2 versions of this paper
The Ohlson Model: Contribution to Valuation Theory, Limitations, and Empirical Applications
Sauder School of Business Working Paper
Number of pages: 48
Posted: 16 Mar 2000
Downloads
10,527
Downloads
10,527
2.
Machine Learning in Asset Management
JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65
Posted: 18 Jul 2019
Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads
7,916
3.
Dealing with Logs and Zeros in Regression Models
CREST - Série des Documents de Travail n° 2019-13
Number of pages: 90
Posted: 05 Sep 2019
Last Revised: 03 Jun 2021
Working Paper Series
CREST (Center for Research in Economics and Statistics) - ENSAE (National School for Statistics and Economic Administration), CREST - ENSAE and CREST - Institut Polytechnique de Paris
Downloads
7,262
4.
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
6,623
5.
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Working Paper Series
University of Chicago - Booth School of Business, University of Chicago - Booth School of Business and Northwestern - Kellogg
There are 2 versions of this paper
TV Advertising Effectiveness and Profitability: Generalizable Results from 288 Brands
Number of pages: 46
Posted: 20 Jan 2020
Last Revised: 17 Apr 2021
Downloads
4,496
Generalizable and Robust TV Advertising Effects
NBER Working Paper No. w27684
Number of pages: 42
Posted: 17 Aug 2020
Downloads
6
Downloads
4,496
6.
A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation
Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25
Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads
4,257
7.
Evaluating Credit Risk Models
FRBSF Working Paper No. 99-06
Number of pages: 23
Posted: 27 Jul 1999
Working Paper Series
Federal Reserve Bank of San Francisco and affiliation not provided to SSRN
Downloads
3,804
8.
Analysis of Mortgage Backed Securities: Before and after the Credit Crisis
Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity; Bielecki, Tomasz,; Damiano Brigo and Frederic Patras, eds., February 2011
Number of pages: 42
Posted: 07 Jan 2007
Last Revised: 29 Jun 2018
Accepted Paper Series
Bloomberg L.P., Google Inc., Bloomberg Financial Markets (BFM) - Bloomberg LP and Bloomberg L.P. - R&D
Downloads
3,741
9.
FX Market Behavior and Valuation
Number of pages: 41
Posted: 12 Jan 2007
Working Paper Series
Bloomberg L.P.
Downloads
3,698
10.
An Econometric Analysis of Emission Trading Allowances
Journal of Banking and Finance, Vol. 32, No. 10, 2008, Swiss Finance Institute Research Paper No. 06-26
Number of pages: 45
Posted: 26 Nov 2006
Last Revised: 21 Dec 2009
Accepted Paper Series
London School of Economics & Political Science (LSE) - Grantham Research Institute on Climate Change and the Environment and University of Zurich - Department of Banking and Finance
Downloads
3,483
11.
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Expected Stock Returns and Variance Risk Premia
AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41
Posted: 21 Sep 2006
Last Revised: 14 Dec 2008
Downloads
3,250
Expected Stock Returns and Variance Risk Premia
Finance and Economics (FEDS) Discussion Paper No. W 2007-11
Number of pages: 33
Posted: 17 Sep 2009
Downloads
313
Downloads
3,250
12.
Relative Strength and Portfolio Management
Dorsey Wright Money Management, January 2012
Number of pages: 17
Posted: 04 Feb 2012
Accepted Paper Series
Dorsey Wright Money Management
Downloads
3,059
13.
Idiosyncratic Risk and the Cross-Section of Expected Stock Returns
Journal of Financial Economics, Vol. 91, pp. 24-37, January 2009
Number of pages: 45
Posted: 08 Jul 2005
Last Revised: 13 Nov 2013
Accepted Paper Series
Singapore Management University - Lee Kong Chian School of Business
Downloads
3,025
14.
Credit Risk Evaluation: Modeling - Analysis - Management
Center for Risk & Evaluation, 2002-2003
Number of pages: 195
Posted: 14 Jun 2005
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads
2,948
15.
A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?
Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23
Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and Aarhus University - School of Business and Social Sciences
Downloads
2,933
16.
Point and Figure Charting: A Computational Methodology and Trading Rule Performance in the S&P 500 Futures Market
QUT School of Economics and Finance Discussion Paper No. 01-01
Number of pages: 46
Posted: 08 May 2001
Working Paper Series
Queensland University of Technology - School of Economics and Finance
Downloads
2,873
17.
The Investment Opportunity Set and its Proxy Variables
Number of pages: 42
Posted: 23 Jan 2002
Last Revised: 28 Sep 2008
Working Paper Series
Humboldt University and HKUST
Downloads
2,863
18.
Incrementality Bidding & Attribution
Number of pages: 40
Posted: 06 Mar 2018
Last Revised: 12 Mar 2018
Working Paper Series
Nanigans and Netflix
Downloads
2,781
19.
Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data
Number of pages: 50
Posted: 18 Jun 2012
Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads
2,702
20.
Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy
Number of pages: 24
Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads
2,603
21.
Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014
Number of pages: 24
Posted: 28 Feb 2013
Last Revised: 02 Mar 2016
Working Paper Series
Charles University in Prague - Faculty of Mathematics and Physics
Downloads
2,516
22.
Stock Return Predictability: Is it There?
Number of pages: 53
Posted: 23 Mar 2001
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc
There are 2 versions of this paper
Stock Return Predictability: Is it There?
NBER Working Paper No. w8207
Number of pages: 53
Posted: 31 Mar 2001
Last Revised: 06 Jun 2021
Downloads
470
Downloads
2,414
23.
A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation
Number of pages: 37
Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads
2,411
24.
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Board of Governors of the Federal Reserve System and Tsinghua University - PBC School of Finance
There are 2 versions of this paper
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31
Posted: 25 Jan 2005
Last Revised: 13 Mar 2009
Downloads
2,407
Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities
CREATES Research Paper 2007-16
Number of pages: 48
Posted: 23 Jun 2008
Last Revised: 25 Sep 2009
Downloads
353
Downloads
2,407
25.
Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments
EFA 2006 Zurich Meetings Paper
Number of pages: 60
Posted: 24 May 2006
Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads
2,401
26.
Understanding the Fine Structure of Electricity Prices
Number of pages: 74
Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads
2,355
27.
NETS: Network Estimation for Time Series
Number of pages: 35
Posted: 14 Apr 2013
Last Revised: 19 Oct 2018
Working Paper Series
University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads
2,333
28.
Static Hedging of Standard Options
NYU Tandon Research Paper No. 585451
Number of pages: 61
Posted: 02 Sep 2004
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
2,333
29.
Development and Validation of Credit Scoring Models
Journal of Credit Risk, Forthcoming
Number of pages: 70
Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads
2,332
30.
The Good News and the Bad News About Long-Run Stock Market Returns
Number of pages: 44
Posted: 05 Nov 1998
Working Paper Series
Birkbeck College, University of London and Cambridge University - Department of Economics
Downloads
2,218
31.
Statistical Arbitrage: Medium Frequency Portfolio Trading
Number of pages: 27
Posted: 25 Jun 2013
Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads
2,214
32.
Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates
Number of pages: 28
Posted: 19 Sep 2010
Last Revised: 27 Jan 2013
Working Paper Series
University of North Carolina at Wilmington, Trinity College, Dublin and Trinity Business School, Trinity College Dublin
Downloads
2,203
33.
An Empirical Study of Exposure at Default
Number of pages: 36
Posted: 23 Jun 2008
Last Revised: 15 Feb 2010
Working Paper Series
Accenture Consulting
Downloads
2,161
34.
Better Investing Through Factors, Regimes and Sensitivity Analysis
Number of pages: 100
Posted: 30 Jan 2015
Working Paper Series
Independent
Downloads
2,045
35.
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Working Paper Series
Edgelab and Olsen & Associates
There are 2 versions of this paper
Operators on Inhomogeneous Time Series
Olsen & Associates Working Paper No. 324
Number of pages: 33
Posted: 21 Mar 2000
Downloads
2,025
Downloads
2,025
36.
Applying Relative Solvency to Working Capital Management - the Break-Even Approach
Number of pages: 21
Posted: 01 Aug 2005
Working Paper Series
Babcock University - School of Management Sciences
Downloads
1,994
37.
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
Olsen and Associates Working Paper No. 319
Number of pages: 62
Posted: 30 Mar 1999
Working Paper Series
Simon Fraser University, DEAR-Consulting, Pictet & Cie, Banquiers, Lykke Corp and Pictet Asset Management
There are 2 versions of this paper
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
Olsen and Associates Working Paper No. 319
Number of pages: 62
Posted: 30 Mar 1999
Downloads
1,886
Real-Time Trading Models and the Statistical Properties of Foreign Exchange Rates
International Economic Review, Vol. 43, No. 2, pp. 463-492, 2002
Number of pages: 30
Posted: 07 Feb 2003
Downloads
39
Downloads
1,886
38.
A Test for Superior Predictive Ability
Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43
Posted: 01 Mar 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads
1,869
39.
Aggregate Idiosyncratic Volatility
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Working Paper Series
Columbia Business School - Finance and Economics, Columbia Business School - Finance and Economics and Tsinghua University - PBC School of Finance
There are 3 versions of this paper
Aggregate Idiosyncratic Volatility
AFA 2009 San Francisco Meetings Paper, EFA 2009 Bergen Meetings Paper
Number of pages: 63
Posted: 25 Mar 2008
Last Revised: 28 Jun 2011
Downloads
1,856
Aggregate Idiosyncratic Volatility
NBER Working Paper No. w16058
Number of pages: 75
Posted: 07 Jun 2010
Last Revised: 19 May 2021
Downloads
36
Aggregate Idiosyncratic Volatility
CEPR Discussion Paper No. DP8149
Number of pages: 65
Posted: 27 Dec 2010
Downloads
3
Downloads
1,856
40.
How Well Do Financial and Macroeconomic Variables Predict Stock Returns: Time-Series and Cross-Sectional Evidence
Number of pages: 78
Posted: 02 Nov 2006
Working Paper Series
Finance Research Group - Aarhus School of Business
Downloads
1,744
41.
Identifying and Treating Outliers in Finance
Financial Management, Forthcoming
Number of pages: 64
Posted: 16 Jun 2017
Last Revised: 24 Apr 2021
Accepted Paper Series
University of Texas at Arlington, University of Georgia - Department of Insurance, Legal Studies, Real Estate, Virginia Polytechnic Institute & State University, National University of Singapore and FUNDP - University of Namur. CRED
Downloads
1,717
42.
Accounting Accruals and Tests of Earnings Management
Number of pages: 45
Posted: 26 Jul 2007
Working Paper Series
City University of New York - Baruch College - Stan Ross Department of Accountancy
Downloads
1,698
43.
On the Persistence of Cointegration in Pairs Trading
Number of pages: 25
Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads
1,698
44.
The VIX, the Variance Premium and Stock Market Volatility
Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38
Posted: 17 Apr 2013
Last Revised: 17 Sep 2015
Working Paper Series
Columbia Business School - Finance and Economics and European Central Bank (ECB)
There are 4 versions of this paper
The VIX, the Variance Premium and Stock Market Volatility
Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38
Posted: 17 Apr 2013
Last Revised: 17 Sep 2015
Downloads
1,691
The VIX, the Variance Premium and Stock Market Volatility
ECB Working Paper No. 1675
Number of pages: 36
Posted: 04 Jul 2014
Downloads
340
The VIX, the Variance Premium and Stock Market Volatility
Netspar Discussion Paper No. 10/2013-035
Number of pages: 36
Posted: 19 Oct 2013
Downloads
200
The VIX, the Variance Premium and Stock Market Volatility
NBER Working Paper No. w18995
Number of pages: 41
Posted: 28 Apr 2013
Last Revised: 28 May 2021
Downloads
36
Downloads
1,691
45.
Many Risks, One (Optimal) Portfolio
Number of pages: 217
Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads
1,670
46.
The Model Confidence Set
Number of pages: 41
Posted: 30 Mar 2004
Last Revised: 07 Jul 2014
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads
1,636
47.
Multiple Testing in Economics
Number of pages: 21
Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads
1,634
48.
Modelling Time-Varying Exchange Rate Dependence Using the Conditional Copula
UCSD Discussion Paper No. 01-09
Number of pages: 52
Posted: 24 Jul 2001
Working Paper Series
Duke University - Department of Economics
Downloads
1,628
49.
Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management
Number of pages: 16
Posted: 01 May 2000
Working Paper Series
Queensland University of Technology - School of Economics and Finance
There are 2 versions of this paper
Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management
Number of pages: 16
Posted: 01 May 2000
Downloads
1,606
Taking a Peek Inside the Turtle's Shell: A Review of Trading Models and Money Management
Queensland Finance Conference '99 Proceedings
Posted: 01 May 2000
Downloads
1,606
50.
Tactical Asset Allocation Using Relative Strength
Number of pages: 16
Posted: 19 Mar 2012
Last Revised: 22 Mar 2012
Working Paper Series
Dorsey Wright Money Management
Downloads
1,592
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